9086

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following schedule displays the condensed schedule of investments for GCA as of March 31, 2011.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,367,048,721)
United States
FDIC Guaranteed Bonds (cost $1,179,021,270)
Citibank 1.25% - 1.88% due 07/12/11 – 12/28/12	$	375,000,000	$	377,224,782		12.44	%
Citigroup Funding Inc. 1.38% - 1.88% due 05/05/11 – 11/15/12		175,000,000		176,506,228		5.82	%
Other FDIC guaranteed bonds				625,290,260		20.62	%
Total FDIC Guaranteed Bonds				1,179,021,270		38.88	%

Government Bonds (cost $1,188,027,451)
U.S. Treasury 0.38% - 1.13% due 04/30/11 – 11/30/12		1,185,000,000		1,188,027,451		39.18	%
Total Government Bonds				1,188,027,451		39.18	%

Total Investments in Fixed Income Securities			$	2,367,048,721		78.06	%

The following schedule displays the condensed schedule of investments for GCA as of December 31, 2010.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,215,622,512)
United States
FDIC Guaranteed Bonds (cost $1,101,463,404)
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12	$	350,000,000	$	351,915,163		11.84	%
Other FDIC guaranteed bonds				749,548,241		25.22	%
Total FDIC Guaranteed Bonds				1,101,463,404		37.06	%

Government Bonds (cost $1,114,159,108)
U.S. Treasury 0.88% due 04/30/11		150,000,000		150,213,724		5.05	%
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12				963,945,384		32.43	%
Total Government Bonds				1,114,159,108		37.48	%

Total Investments in Fixed Income Securities			$	2,215,622,512		74.54	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

GCA reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by GCA as of ~~September 30, 2010~~March 31, 2011 and December 31, ~~2009:~~2010:

	September 30, 2010		December 31, 2009		March 31, 2011		December 31, 2010
Long positions
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	985,173,744	$	667,900,290	$	1,179,021,270	$	1,101,463,404
Government Bonds		701,513,054		754,013,512		1,188,027,451		1,114,159,108
Fixed income securities		1,686,686,798		1,421,913,802		2,367,048,721		2,215,622,512
Total Level 2		1,686,686,798		1,421,913,802		2,367,048,721		2,215,622,512
Total long positions	$	1,686,686,798	$	1,421,913,802	$	2,367,048,721	$	2,215,622,512

5. Capital Accounts

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

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

Addition of ~~Limited~~Members and Managing Members

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

Subscriptions

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

Redemptions

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

9188

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees

Advisory Fees

Each Class of GAIT II other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 2% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

Each Class of GAIT II other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of 1% of its Net Asset Value, payable monthly in arrears, determined in the same manner as the Advisory Fee.

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter.

Brokerage Fees

Each Class of GAIT II other than Class M pays the Manager a brokerage fee (the “Brokerage Fee”) at the annual rate specified in the table below. This Brokerage Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager bears all of GAIT II’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT II and GAIT II’s continuous offering of Units. To the extent GAIT II is allocated any of these expenses from the Master Fund, the Manager will reimburse GAIT II for those amounts. This reimbursement is included in ~~other income~~commission reimbursements in the ~~statement~~statements of operations and managing member allocation.

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

9289

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

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

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

8. Related Party Transactions

The Manager, due to its relationship with its affiliates, may enter into certain related party transactions.

9. Financial Highlights

~~The following is the per unit operating performance calculation for the three months ended September 30, 2010 and 2009:~~

Class 0 Class 2
Per unit operating performance:
Initial net asset value per unit, June 30, 2009 $ 93.58 $ 92.63
Net income:
Net investment loss (1.32 ) (1.80 )
Net gain on investments 9.16 9.44
Net income 7.84 7.64
Net asset value per unit, September 30, 2009 $ 101.42 $ 100.27

Net asset value per unit, June 30, 2010 $ 95.72 $ 93.33
Net income:
Net investment loss (1.14 ) (0.25 )
Net gain on investments 3.68 2.24
Net income 2.54 1.99
Net asset value per unit, September 30, 2010 $ 98.26 $ 95.32

~~Index~~

~~Graham Alternative Investment Trading II LLC~~

~~Notes to Financial Statements (continued)~~

~~9. Financial Highlights (continued)~~

~~The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three months ended September 30, 2010 and 2009:~~

Class 0 Class 2
2010 2009 2010 2009

Total return before Incentive Allocation 2.52 % 11.48 % 2.00 % 10.42 %
Incentive Allocation 0.00 (3.64 ) 0.00 (2.78 )
Total return after Incentive Allocation 2.52 % 7.84 % 2.00 % 7.64 %

Net investment loss before Incentive Allocation (1.18 )% (1.63 )% (1.72 )% (2.13 )%
Incentive Allocation 0.00 (3.64 ) 0.00 (2.78 )
Net investment loss after Incentive Allocation (1.18 )% (5.27 )% (1.72 )% (4.91 )%

Total expenses before Incentive Allocation 1.30 % 0.76 % 1.82 % 1.26 %
Incentive Allocation 0.00 3.64 0.00 2.78
Total expenses after Incentive Allocation 1.30 % 4.40 % 1.82 % 4.04 %

The following is the per unit operating performance calculation for the ~~nine months~~three month periods ended ~~September 30, 2010~~March 31, 2011 and ~~2009:~~2010:

Class 0 Class 2
Per unit operating performance:
Initial net asset value per unit, January 4, 2009 $ 100.00 $ 100.00
Net income:
Net investment loss (3.73 ) (5.16 )
Net gain on investments 5.15 5.43
Net income 1.42 0.27
Net asset value per unit, September 30, 2009 $ 101.42 $ 100.27

Net asset value per unit, December 31, 2009 $ 100.59 $ 99.05
Net loss:
Net investment loss (3.41 ) (4.77 )
Net gain on investments 1.08 1.04
Net loss (2.33 ) (3.73 )
Net asset value per unit, September 30, 2010 $ 98.26 $ 95.32

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2009	$	100.59		$	99.05
Net loss:
Net investment loss		(1.84	)		(1.73	)
Net loss on investments		(2.46	)		(2.97	)
Net loss		(4.30	)		(4.70	)
Net asset value per unit, March 31, 2010	$	96.29		$	94.35

Net asset value per unit, December 31, 2010	$	102.92		$	99.72
Net loss:
Net investment loss		(1.05	)		(1.50	)
Net loss on investments		(1.79	)		(1.74	)
Net loss		(2.84	)		(3.24	)
Net asset value per unit, March 31, 2011	$	100.08		$	96.48

9490

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the ~~nine months~~three month periods ended ~~September 30, 2010~~March 31, 2011 and ~~2009:~~2010:

	Class 0						Class 2						Class 0						Class 2
	2010			2009			2010			2009			2011			2010			2011			2010

Total return before Incentive Allocation		(2.32	)%		5.06	%		(3.77	)%		3.05	%		(2.75	)%		(4.27	)%		(3.24	)%		(4.75	)%
Incentive Allocation		0.00			(3.64	)		0.00			(2.78	)		(0.01	)		0.00			(0.01	)		0.00
Total return after Incentive Allocation		(2.32	)%		1.42	%		(3.77	)%		0.27	%		(2.76	)%		(4.27	)%		(3.25	)%		(4.75	)%

Net investment loss before Incentive Allocation		(3.55	)%		(3.80	)%		(5.11	)%		(5.32	)%		(1.03	)%		(1.21	)%		(1.52	)%		(1.69	)%
Incentive Allocation		0.00			(3.64	)		0.00			(2.78	)		(0.01	)		0.00			(0.01	)		0.00
Net investment loss after Incentive Allocation		(3.55	)%		(7.44	)%		(5.11	)%		(8.10	)%		(1.04	)%		(1.21	)%		(1.53	)%		(1.69	)%

Total expenses before Incentive Allocation		3.88	%		3.26	%		5.43	%		4.79	%		1.12	%		1.28	%		1.64	%		7.11	%
Incentive Allocation		0.00			3.64			0.00			2.78			0.01			0.00			0.01			0.00
Total expenses after Incentive Allocation		3.88	%		6.90	%		5.43	%		7.57	%		1.13	%		1.28	%		1.65	%		7.11	%

Total return is calculated for Class 0 and Class 2 units taken as a ~~whole and has not been annualized.~~whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the year. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT II and amounts allocated from the Master Fund. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and ~~to tal~~total expense ratios are computed based upon the weighted average of members’ capital of GAIT II, excluding that of the Managing Member, for the three month periods ended March 31, 2011 and ~~nine months ended September 30, 2010 and 2009.~~2010.

10. Subsequent Events

The Fund had subscriptions of approximately ~~$2.4~~$7.8 million and redemptions of approximately ~~$0.6~~$1.2 million through ~~November 15, 2010.~~May 16, 2011. These amounts have not been included in the financial statements.

9591

Index

~~Investment Advisor~~

~~Graham Capital Management, L.P.~~

~~40 Highland Avenue~~

~~Rowayton, CT 06853~~

~~U.S.A.~~

~~Administrator~~

~~SEI Global Services Inc.~~

~~1 Freedom Valley Drive~~

~~Oaks, PA 19456~~

~~U.S.A.~~

~~Legal and Tax Advisors~~

~~Proskauer Rose LLP~~

~~1585 Broadway~~

~~New York, NY 10036~~

~~U.S.A.~~

~~Registered Address~~

~~Corporation Service Company~~

~~2711 Centerville Road~~

~~Suite 400~~

~~Wilmington, DE 19808~~

~~U.S.A.~~

~~Independent Registered Public Accounting Firm~~

~~Ernst & Young LLP~~

~~300 First Stamford Place~~

~~Stamford, CT 06902~~

~~U.S.A.~~

~~Index~~

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

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

Reference is made to “Item 1: Financial Statements”. The information contained therein is essential to, and should be read in conjunction with, the following analysis. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the ~~Members,~~members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In ~~t he~~the case of Graham Cash Assets LLC, the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended ~~September 30, 2010~~March 31, 2011 the Fund’s net asset value increased by ~~$29,354,584~~$43,794,481 or ~~11.0%~~12.9%. This increase was attributable to a ~~$24,805,816~~$36,000,872 or ~~9.3%~~10.6% net increase in the Blended Strategies Portfolio and a ~~$4,548,768~~$7,793,609 or ~~1.7%~~2.3% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of ~~$23,167,136~~$45,254,701 or ~~8.7% and net income of $4,262,929 or 1.6%~~13.3% partially offset by redemptions totaling ~~$2,624,249~~$5,128,829 or ~~-1.0%~~-1.5% and net a loss of $4,125,000 or -1.2%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of ~~$4,047,001~~$10,986,665 or ~~1.5% and net income of $990,125 or 0.4%~~3.2% partially offset by redemptions totaling ~~$488,358~~$1,447,762 or ~~-0.2%~~-0.4% and a net loss of $1,745,294 or -0.5%, for the period.

For the three months ended ~~September 30, 2009~~March 31, 2010 the Fund’s net asset value increased by ~~$24,454,815~~$17,033,789 or ~~14.3%~~7.8%. This increase was attributable to a ~~$17,302,588~~$13,141,649 or ~~10.1%~~6.0% net increase in the Blended Strategies Portfolio and a ~~$7,152,227~~$3,892,140 or ~~4.2%~~1.8% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of ~~$18,775,941~~$17,578,350 or ~~11.0% and net income of $5,670,786 or 3.3%~~8.0% partially offset by redemptions totaling ~~$7,144,139~~$3,070,622 or ~~-4.2%~~-1.4% and a net loss of $1,366,079 or -0.6%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of ~~$6,301,600~~$5,526,003 or ~~3.7%~~2.6% partially offset by redemptions totaling $341,343 or -0.2% and a net ~~income~~loss of ~~$850,627~~$1,292,520 or ~~0.5%~~-0.6%, for the period.

For the nine months ended September 30, 2010 the Fund’s net asset value increased by $78,992,107 or 36.3%. This increase was attributable to a $66,348,804 or 30.5% net increase in the Blended Strategies Portfolio and a $12,643,303 or 5.8% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $81,414,715 or 37.4% and net income of $2,937,612 or 1.4% partially offset by redemptions totaling $18,003,523 or -8.3%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $15,494,795 or 7.1% partially offset by redemptions totaling $2,198,996 or -1.0% and a net los s of $652,496 or -0.3%, for the period.

For the nine months ended September 30, 2009 the Fund’s net asset value increased by $43,275,416 or 28.5%. This increase was attributable to a $30,321,043 or 20.0% net increase in the Blended Strategies Portfolio and a $12,954,373 or 8.5% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $47,762,843 or 31.4% and net income of $3,324,511 or 2.2% partially offset by redemptions totaling $20,766,311 or -13.6%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $12,431,197 or 8.2% and net income of $572,085 or 0.4% partially offset by redemptions totaling $48,909 or -0.1%, f or the period.

~~Index~~

(i)

Results of Operations

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

Blended Strategies Portfolio

~~2010~~2011 Summary

For the three months ended ~~September 30, 2010,~~March 31, 2011, the portfolio experienced net trading ~~gains~~losses of ~~$7,715,839~~$218,055 attributable to the following sectors:

Agriculture	$	(551,207	)	$	236,882
Energy		(197,988	)		783,331
Foreign exchange		2,701,778			(501,870	)
Interest rates		5,452,796			(335,514	)
Metals		2,618,043			214,411
Softs		616,722			250,962
Stock index		(2,924,305	)		(866,257	)
	$	7,715,839		$	(218,055	)

The U.S. dollar’s continued depreciation on the back of growing expectations for quantitative easing and the appreciation of commodity currencies especially those with ties to gold, notably Australian dollar, Canadian dollar and South African rand, contributed to significant gains in foreign currency trading. The expectation of quantitative easing and the Federal Reserve’s anticipated, and later in the quarter confirmed, accommodative monetary policy stance led to gains in short term interest rate trading. Gains were also recognized in European interest rates as a weakened global growth outlook drove investors to flock to the safety of government securities during the quarter lowering yields which benefitted the portfolio.

Index

The portfolio ~~was able to benefit from~~recorded a net loss for the ~~rise in prices in g lobal metals driven~~period led by both economic growth concerns, especially in gold which crept closer to its all time high prices, as well as in base metals where a favorable outlook in industrial activity and increased demand from China led to gains. Trading results in commodities were mixed throughoutstock indices. The stock index sector generated large losses for the ~~quarter as trends coming into the quarter reversed~~period despite recognizing gains in the early part of the quarter ~~as projections for harvests~~amid rising equity prices driven by improved global economic output and investor optimism. Significant losses, notably in ~~some of the staple crops turned below initial expectations and prices~~European indices, were ~~additionally affected by economic growth sentiment while other markets continued to follow trends leading to overall gains~~recognized in softs and losses in agriculture. Trading in energy was mixed as gains in calendar spread positions in crude oil and heating oil generated profits which were offset by losses on outright positions, most notably natural gasMarch as the ~~energy markets exhibited volatile price swings throughout the period. Trading~~earthquake and tsunami in ~~stock indices~~Japan generated ~~losses~~dramatic market reversals. Losses were also recognized in foreign exchange during the period aswith trading in Asian currencies during March contributing most significantly. The interest rates sector posted a loss for the ~~markets e xhibited significant volatility~~period predominantly from trading in U.S. and European fixed income markets. The portfolio was able to generate profits in the energy sector led by crude and heating oil as continued tensions in the Middle East drove energy prices higher. Trading in commodities (agriculture, metals and softs) were also profitable as the portfolio took advantage of rising prices in these markets ~~with a sharp rally~~notably in ~~July followed by a sell off in August on the back of economic growth concerns reversing again in September, as an appetite for risk reappeared.~~agricultural commodities.

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

For the three months ended ~~September 30, 2010,~~March 31, 2011, Brokerage Fees increased by ~~$398,138~~$879,782 or ~~38.0%~~92.3%, Advisory Fees increased by ~~$344,820~~$464,150 or ~~38.5%~~41.1% and Sponsor Fees increased by ~~$172,410~~$319,734 or ~~38.5%~~67.1% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net ~~gain~~loss for the ~~period partially offset by redemptions.~~period. During the same period interest income ~~increased~~decreased by ~~$287,096~~$199,990 or ~~83.2%~~ ~~predominantly due to the increase in net assets discussed above.~~-37.6%. Interest was earned on free cash at an average annualized yield of ~~0.61%~~0.49% for the three months ended ~~September 30, 2010~~March 31, 2011 compared to ~~0.62%~~0.61% for the same period in ~~200 9.~~2010.

~~Index~~

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended ~~September 30, 2010,~~March 31, 2011, the Incentive Allocation ~~decreased~~increased by ~~$79,178, or -9.4%, when~~$7,813, compared to zero, for the ~~same~~corresponding period of ~~2009. This was the~~2010 as a result of incentive allocations made mid-quarter related to shares redeemed when the portfolio was in a ~~lower~~period of New High Net Trading Profits.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net ~~gain before incentive allocation for~~assets whereas negative percentages represent a net liability.

Agriculture	23.4	%
Energy	35.2	%
Foreign exchange	6.1	%
Interest rates	29.8	%
Metals	0.3	%
Softs	(4.1	%)
Stock index	9.3	%
	100.0	%

Index

2010 Summary

For the three months ended September 30, 2010 when compared to 2009. In addition, the portfolio had a loss carryforward at the beginning of the quarter in 2010, which further contributed to the decrease in incentive allocation over the same period in 2009.

~~For the nine months ended September 30,~~March 31, 2010, the Blended Strategies Portfolio experienced net trading gains of ~~$10,829,799~~$661,845 attributable to the following sectors:

Agriculture	$	(700,485	)	$	368,180
Energy		(2,979,619	)		524,280
Foreign exchange		6,611,730			2,577,495
Interest rates		14,895,930			1,469,154
Metals		997,110			(566,789	)
Softs		(757,694	)		(1,154,853	)
Stock index		(7,237,173	)		(2,555,622	)
	$	10,829,799		$	661,845

The ~~portfolio experienced overall gains this year as economic concerns ebbed~~Blended Strategies Portfolio recorded a net loss during January due primarily to sharp reversals in global equity indices, foreign exchange and flowed creating significant volatility in most markets. Consistent gains were posted in interest rates as beginning of the year concerns about Greece and the European Union as well as the efforts of the U.S. Federal Reserve to be accommodative and stimulate growth, led to a general trend towards flatter yield curves throughout the year in the U.S. and Europe. The portfolio was able to generate gains in foreign currency during high volatility as early year concerns about Greece, Portugal, Ireland and Spain led to declines in the Euro versus the U.S. dollar in the early part of the year only to reverse more recently as the Federal Reserve’s continued efforts to stimulate growth coupl ed with a more stable outlook for Europe has driven a devaluation of the dollar versus the Euro and Japanese yen. The portfolio was able to generate gains in trading in many of the major commodity currencies such as Australian dollar and Canadian dollar as these strengthened against the U.S. dollar on the heels of the increase in value of gold throughout the year. Trading in commodities generated mixed results for the year, as many commodities alternated between trading highly correlated to the U.S. dollar to trading on fundamental news creating several instances of abrupt price reversals throughout the year leading to overallcommodities. These losses with one standout being gains in gold which crept towards all time price highs in the third quarter. Trading in energy generated losses as dramatic price movements predominantly in the second quarter moved against the portfolio’s positions notably in crude and natural gas as the uneasiness in the markets about the global growth p otential, exacerbated by the May “flash crash” in U.S. stock markets, triggered a flight to quality and adverse price moves for the portfolio. Losses in energies were partially offset by gains in ~~calendar spread positions in crude oil~~the interest rate sector from both the discretionary and heating oil. Trading in stock indices generated losses during the year as the gyrations in economic sentiment resulted in, at times, abrupt volatility in the major European and U.S. stock markets highlighted by the May “flash crash”.

For the nine months ended September 30, 2010, Brokerage Fees increased by $997,718 or 34.6%, Advisory Fees increased by $806,821 or 32.3% and Sponsor Fees increased by $403,410 or 32.3% in the Blended Strategies Portfolio over the corresponding periodsystematic portion of the ~~preceding year. These increases are all attributable to higher net assets~~portfolio. The discretionary portion of the portfolio ~~resulting~~also contributed gains in currencies, which were generated by short positions in the euro as well as short crosses in the Swiss franc and Australian and New Zealand dollars. During February, the portfolio was profitable in both systematic and discretionary trading in foreign exchange, including positions in European currencies and the Australian dollar. Additional gains stemmed from ~~subscriptions~~positions in the European fixed income and industrial metals markets. Smaller losses, from trading in global stock indices and commodities offset a ~~net gain for~~portion of the period, partially offset by redemptions. During the same period interest income increased by $892,615 or 104.4% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the nine months ended September 30, 2010 compared to 0.60% for the same period in 2009.

~~Index~~

month’s gains. For the ~~nine months ended September 30, 2010, the Incentive Allocation decreased by $94,344 or -11.0%,~~month of March, trading gains were recorded in global stock indices as equities rallied, and in energy amid falling natural gas prices. The portfolio also generated profits in foreign exchange, agriculturals and industrial metals. Losses in the ~~portfolio over~~U.S. fixed income markets detracted from the ~~corresponding period of the preceding year due to lower net gain before incentive allocation partially offset by an increase in interest income.~~portfolio's overall profits.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of ~~September 30,~~December 31, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	~~7.6%~~20.7	%
Energy	~~11.7%~~19.7	%
Foreign exchange	~~81.9%~~4.4	%
Interest rates	~~47.3%~~21.7	%
Metals	~~(48.7%)~~30.7	%
Softs	~~1.8%~~4.3	%
Stock index	~~(1.6%)~~(1.5	%)
	~~100.0%~~100.0	%

Index

Systematic Strategies Portfolio

~~2009~~2011 Summary

For the three months ended ~~September 30, 2009, the Blended Strategies Portfolio experienced net trading gains of $8,563,058 attributable to the following sectors:~~

Agriculture
$ 430,585
Energy
(1,329,002 )
Foreign exchange
431,050
Interest rates
(570,787 )
Metals
1,120,749
Softs
1,190,469
Stock index
7,289,994
$ 8,563,058

The portfolio recorded gains in the quarter as global stock indices began an upward trend in July based on positive economic news and continued to rise steadily throughout the quarter. Gains were also recognized in commodity markets such as metals and softs led by gains in sugar which reached all time highs during the quarter. These gains were partially offset by losses in the energy markets where the portfolio experienced some losses in crude oil as price volatility increased driven by weak demand data and geopolitical tension. This was also evidenced in natural gas which experienced some weakness in the beginning of the quarter then sharply reversed in the last month of the quarter resulting in losses. The portfolio also experienced losses in interest rates as gains in short term interest rates were offset by losses in the longer end of the curve led by losses in European interest rate markets.

~~100~~

~~Index~~

~~For the nine months ended September 30, 2009, the Blended Strategies Portfolio experienced net trading gains of $9,953,988 attributable to the following sectors:~~

Agriculture
$ (33,812 )
Energy
(1,163,889 )
Foreign exchange
3,345,955
Interest rates
(432,871 )
Metals
511,276
Softs
834,627
Stock index
6,892,702
$ 9,953,988

The portfolio experienced volatility throughout the first nine months of the year as macro trends appeared and reversed significantly resulting in mixed results in several sectors. The portfolio recorded overall gains in stock indices as global equity prices plummeted in the first portion of the first quarter on the heels of heightened recessionary fears. This situation persisted into mid March when earning reports from large U.S. financials as well as the prospect of further stimulus funds to be released, sparked a global stock market rally. The general upward trend in the equity markets persisted through the third quarter. The portfolio was able to recoup losses in its short stock positions when the turnaround began by reversing its position in late March and benefitting from the continued upwa rd trend in indices. The portfolio posted gains in currency trading in each quarter despite the volatility in the markets. The U.S. dollar strengthened throughout the first part of the year as stock markets weakened on recessionary fears only to reverse course and weaken as the stock market gained momentum through the summer. The discretionary portion of the portfolio was able to take advantage in short term trading opportunities while the systematic portion was able to post gains on longer term trends in the currency markets. The portfolio was able to recognize gains in several commodities markets as trends developed in the later portion of the year, notably, sugar rising to an all time high in the third quarter as well as increasing prices in base metals in the third quarter. These gains were offset by losses experienced in energy and interest rates. The energy markets began the year with some weakness following the recessionary concerns of the markets , as well as the U.S. dollar strength. This trend abruptly reversed late in the first quarter as the U.S. dollar weakened and global stock market gains provided increased abatement of the recessionary concerns. The scenario repeated itself late in the third quarter as weakness in natural gas abruptly reversed late in the quarter resulting in losses for the portfolio. The portfolio posted losses in interest rates overall with mixed results throughout the year as the changing sentiment on the economies of both the U.S. and Europe led to yield curve compression and expansion during the year.

~~101~~

~~Index~~

~~The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of December~~ 31, 2009 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

~~Agriculture~~			~~3.1%~~
~~Energy~~			~~6.4%~~
~~Foreign exchange~~			~~42.1%~~
~~Interest rates~~			~~(39.1%)~~
~~Metals~~			~~54.5%~~
~~Softs~~			~~23.2%~~
~~Stock index~~			~~9.8%~~
			~~100.0%~~

~~Systematic Strategies Portfolio~~

~~2010 Summary~~

~~For the three months ended September 30, 2010,~~2011, the Systematic Strategies Portfolio experienced net trading ~~gains~~losses of ~~$1,486,594~~$986,394 attributable to the following sectors:

Agriculture	$	(44,736	)	$	1,626
Energy		(164,282	)		416,891
Foreign exchange		704,551			(762,592	)
Interest rates		1,001,399			(468,594	)
Metals		605,029			332,942
Softs		186,340			329,739
Stock index		(801,707	)		(836,406	)
	$	1,486,594		$	(986,394	)

The ~~U.S. dollar’s continued depreciation on the back of growing expectations for quantitative easing contributed to significant gains in~~ foreign currency trading. The expectation of quantitative easing coupled with a weakened global growth outlook, which drove investors toward the safety of government securities during the quarter, also generated gains in interest rate trading. The portfolio was able to benefit from the rise in prices in global metals driven by both economic growth concerns especially in gold which crept closer to its all time high prices as well as in base metals where a favorable outlook in industrial activity and increased demand from China led to gains. Trading results in commodities were mixed throughout the quarter as trends coming into the quarter reversed in the early par t of the quarter as projections for harvests in some of the staple crops turned below initial expectations and prices were additionally affected by economic growth sentiment while other markets continued to follow trends leading to overall gains in softs and losses in agriculture and energies. Trading in stock indicesexchange sector generated losses during the period as the ~~markets exhibited significant volatility~~U.S. dollar abruptly reversed its declining trend early in the quarter and strengthened following the release of favorable employment data. The losses were slightly offset as trading for the remainder of quarter generated modest gains notably in commodity currencies such as the Canadian and Australian dollars. The stock index sector also generated losses for the period despite recognizing gains in the early part of the quarter amid rising equity prices driven by improved global economic output and investor optimism. Significant losses, notably in European indices, were recognized in March as the earthquake and tsunami in Japan generated dramatic market reversals. Net losses were recorded in the interest rates sector predominantly infrom U.S. and European ~~markets with a sharp rally~~fixed income markets. The portfolio was able to generate profits in ~~July followed~~the energy sector led by ~~a sell off~~crude and heating oil as continued tensions in ~~August~~the Middle East drove energy prices higher during the period. Gains were recognized in metals benefiting from the rising price of silver, which rose on steep demand and tight supply levels. Gains were also recognized in other commodities (agriculture and softs) on the ~~back~~heels of ~~economic growth concerns reversing again~~rising prices in ~~September, as an appetite for risk reappeared.~~sugar, corn and cotton.

~~102~~

~~Index~~

For the three months ended ~~September 30, 2010,~~March 31, 2011, Brokerage Fees increased by ~~$201,423~~$235,475 or ~~224.2%~~150.9%, Advisory Fees increased by ~~$150,743~~$64,750 or ~~278.6%~~30.0% and Sponsor Fees increased by ~~$75,372~~$62,145 or 278.6% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period, partially offset by redemptions. During the same period interest income increased by $84,694 or 445.1% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the three months ended September 30, 2010 compared to 0.62% for the same period in 2009.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended September 30, 2010 there was no Incentive Allocation earned despite the portfolio’s profitability, due to the loss carryforward at the beginning of the quarter.

~~For the nine months ended September 30, 2010, the Systematic Strategies Portfolio experienced net trading gains of $664,007 attributable to the following sectors:~~

Agriculture
$ (89,841 )
Energy
(647,672 )
Foreign exchange
421,668
Interest rates
2,476,875
Metals
181,743
Softs
(192,407 )
Stock index
(1,486,359 )
$ 664,007

The portfolio experienced overall gains this year as economic concerns ebbed and flowed creating significant volatility in most markets. Consistent gains were posted in interest rates as beginning of the year concerns about Greece and the European Union as well as the efforts of the U.S. Federal Reserve to be accommodative and stimulate growth, led to general trend in lower yields throughout the year in both the U.S. and Europe. The portfolio was able to generate gains in foreign currency during high volatility as early year concerns about Greece, Portugal, Ireland and Spain led to declines in the Euro against the U.S. dollar early in the year. This trend later reversed as the Federal Reserve’s continued efforts to stimulate growth, coupled with a more stable outlook for Europe, has driven a deva luation of the U.S. dollar versus the Euro and Japanese yen as well as several other more commodity linked currencies such as the Australian dollar. Trading in commodities generated mixed results for the year as many commodities alternated between trading highly correlated to the U.S. dollar and trading on fundamental news creating several instances of abrupt price reversals throughout the year leading to overall losses, with one exception being gold which crept towards all time price highs in the third quarter. Trading in energy generated losses as dramatic price movements predominantly in the second quarter moved against the portfolio positions notably in crude and natural gas as the uneasiness in the markets about the global growth potential exacerbated by the May “flash crash” in U.S. stock markets triggered a flight to quality and adverse price moves for the portfolio. Trading in stock indices generated losses during the year as the gyrations in economic sent iment resulted in, at times, abrupt volatility in the major European and U.S. stock markets highlighted by the May “flash crash”.

~~For the nine months ended September 30, 2010, Brokerage Fees increased by $633,251 or 454.4%, Advisory Fees increased by $464,267 or 549.1% and Sponsor Fees increased by $232,133 or 549.1%~~79.7% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions, partially offset by redemptions and a net ~~gain~~loss for the ~~period, partially offset by redemptions.~~period. During the same period interest income ~~increased~~decreased by ~~$259,787~~$27,761 or ~~1,033.3% predominantly due to the increase in net assets discussed above.~~-32.6%. Interest was earned on free cash at an average annualized yield of ~~0.61%~~0.49% for the ~~nine~~three months ended ~~September 30, 2010~~March 31, 2011 compared to ~~0.60%~~0.61% for the same period in ~~2009.~~2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended March 31, 2011 Incentive Allocation increased by $3,007, compared to zero, for the corresponding period of 2010 as a result of incentive allocations made mid-quarter related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

~~103~~95

Index

~~For the nine months ended September 30, 2010, there was no incentive allocation due to the portfolio’s lack of year to date profitability.~~

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of ~~September 30,~~March 31, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	5.8	%
Energy	22.1	%
Foreign exchange	10.6	%
Interest rates	32.1	%
Metals	17.0	%
Softs	(4.7	%)
Stock index	17.1	%
	100.0	%

2010 Summary

For the three months ended March 31, 2010, the Systematic Strategies Portfolio experienced net trading losses of $928,016 attributable to the following sectors:

Agriculture	$	192,135
Energy		55,186
Foreign exchange		108,305
Interest rates		299,889
Metals		(232,240	)
Softs		(571,725	)
Stock index		(779,566	)
	$	(928,016	)

The portfolio recorded a loss during January due primarily to sharp price trend reversals across virtually all macro sectors. Specifically, losses occurred as the European equity index markets declined, while the U.S. dollar rallied against the Swiss franc, Australian and New Zealand dollars and the euro. In the commodity sector, losses resulted as prices declined in industrial metals, crude oil and soybeans. Smaller gains in the interest rate sector offset a portion of the month’s losses. The portfolio experienced gains in February as trends emerged in currencies and the fixed income markets. The portfolio generated profits in foreign exchange, particularly from trading the Australian dollar, euro, yen and British pound. Similarly, a rally in the fixed income markets resulted in gains for the portfolio in European interest rates, particularly from positions in Euribor and German bond futures. The portfolio incurred smaller losses for the month from trading commodities, including sugar, corn, wheat and crude oil. During the month of March, profits were recorded in U.S. equity indices, as well as across Asian and European equity indices. The portfolio also experienced gains in foreign exchange, with notable profits from long positions in the Canadian and Australian dollars. Smaller gains were recorded in commodities trading. Losses in the U.S. and Asian fixed income markets offset a portion of the portfolio’s overall gain for the month.

Index

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of December 31, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	~~4.0%~~21.3	%
Energy	~~7.5%~~14.1	%
Foreign exchange	~~43.5%~~19.3	%
Interest rates	~~21.4%~~(15.6	%)
Metals	~~25.1%~~56.3	%
Softs	~~0.8%~~7.6	%
Stock index	~~(2.3%)~~(3.0	%)
	~~100.0%~~100.0	%

~~2009 Summary~~

~~For the three months ended September 30, 2009, the Systematic Strategies Portfolio experienced net trading gains of $1,159,086 attributable to the following sectors:~~

Agriculture
$ 64,085
Energy
(160,058 )
Foreign exchange
194,236
Interest rates
(194,673 )
Metals
139,985
Softs
162,513
Stock index
952,998
$ 1,159,086

The portfolio recorded gains in the quarter in U.S. and European stock indices as U.S. jobless claims improved during July and positive second quarter earnings in the finance and technology sector above estimates helped spur a rally. Despite volatility in the markets during the quarter, the portfolio was able to post consistent gains in U.S. equities. Similarly in Europe and UK equities, strong retail sales reports early in the quarter pushed European stock indices higher and the rally gained momentum behind the dovish interest rate environment in the UK and Europe as well as signs of budding growth on the continent. Gains were also recognized in currency trading as general U.S. dollar weakness prevailed during the quarter providing opportunity for gains against many currencies. Positive ret urns were also registered in commodities including softs, metals and agriculture markets most notably in sugar which hit an all time high during the quarter as well as in base metals which also experienced increased prices. Gains were offset with losses in interest rates and energies as the dovish interest rate environment led to losses on European interest rate trades and a late quarter rally in natural gas which reversed its course from long standing weakness.

~~104~~

~~Index~~

~~For the nine months ended September 30, 2009, the Systematic Strategies Portfolio experienced net trading gains of $969,752 attributable to the following sectors:~~

Agriculture
$ 49,192
Energy
(196,542 )
Foreign exchange
213,557
Interest rates
(230,163 )
Metals
112,753
Softs
133,342
Stock index
887,613
$ 969,752

The portfolio experienced volatility throughout the first nine months of the year as macro trends appeared and reversed significantly this year resulting in mixed results in several sectors. The portfolio recorded overall gains in stock indices as global equity prices plummeted in the first portion of the first quarter on the heels of heightened recessionary fears. This situation persisted into mid March when earnings reports from large U.S. financials as well as the prospect of further stimulus funds to be released sparked a global stock market rally. The general upward trend in the equity markets persisted through the third quarter. The portfolio was able to recoup losses in its short stock positions when the turnaround began by reversing its position in late March and benefitting from the cont inued upward trend in indices. Similar volatility was experienced in currency trading as the U.S. dollar strengthened in the first part of the year and the stock markets weakened, only to reverse course and weaken as the stock markets gained momentum in the second part of the year. The portfolio was able to post overall gains in its currency trading as it was able to profit in both environments. The portfolio was able to recognize gains in several commodities markets as trends developed in the later portion of the year, notably sugar rising to an all time high in the third quarter as well as increasing prices in base metals in the third quarter. These gains were offset by losses experienced in energy and interest rates. The energy markets began the year with some weakness following the recessionary concerns of the markets as well as the U.S. dollar strength. This trend abruptly reversed late in the first quarter as the U.S. dollar weakened and global stock market gains provided increased abatement of the recessionary concerns. The scenario repeated itself late in the third quarter as weakness in natural gas abruptly reversed late in the quarter resulting in losses for the portfolio. Losses in interest rates were recognized on the reversal of sentiment as well as safe haven buying which led to gains in the beginning of the first quarter reversed late in the first quarter affecting the portfolios performance. This occurred again late in the second quarter and into the third quarter as strong selling in the short end of the yield curve on the back of smaller than expected May U.S. payrolls data led to losses for the portfolio.

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of December 31, 2009 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

~~Agriculture~~			~~10.2%~~
~~Energy~~			~~19.5%~~
~~Foreign exchange~~			~~49.3%~~
~~Interest rates~~			~~(76.9%)~~
~~Metals~~			~~60.9%~~
~~Softs~~			~~23.5%~~
~~Stock index~~			~~13.5%~~
			~~100.0%~~

~~105~~

~~Index~~

Variables Affecting Performance

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

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

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

(ii)

Liquidity

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

Blended Strategies Portfolio Systematic Strategies Portfolio
September 30, 2010 11.53 % 13.70 %
December 31, 2009 5.34 % 9.18 %
September 30, 2009 10.37 % 17.55 %

	Blended Strategies Portfolio			Systematic Strategies Portfolio
March 31, 2011		11.74	%		14.45	%
December 31, 2010		7.57	%		7.73	%
March 31, 2010		12.42	%		17.40	%

Index

Delaware		20-4897069

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

			Page
			Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC

		Statements of Financial Condition at ~~September 30, 2010~~March 31, 2011 (unaudited) and December 31, ~~2009~~2010 (audited)	1

		Statements of Operations for the three months ended March 31, 2011 and ~~nine months ended September 30,~~ 2010 ~~and 2009~~ (unaudited)	2

		Statements of Changes in Members’ Capital for the ~~nine~~three months ended ~~September 30,~~March 31, 2011 and 2010 ~~and 2009~~ (unaudited)	3

		Statements of Cash Flows for the ~~nine~~three months ended ~~September 30,~~March 31, 2011 and 2010 ~~and 2009~~ (unaudited)	5

		Notes to Unaudited Financial Statements ~~(unaudited)~~	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at ~~September 30, 2010~~March 31, 2011 (unaudited) and December 31, ~~2009~~2010 (audited)	1513

		Condensed Schedules of Investments at ~~September 30, 2010~~March 31, 2011 (unaudited) and December 31, ~~2009~~2010 (audited)	14

		Statements of Operations and Managing Member Allocation for the three months ended March 31, 2011 and 2010 (unaudited)	15

		Statements of Changes in Members’ Capital for the three months ended March 31, 2011 and 2010 (unaudited)	16

		Statements of ~~Operations and Managing Member Allocation~~Cash Flows for the three months ended March 31, 2011 and ~~nine months ended September 30,~~ 2010 ~~and 2009~~ (unaudited)	3717

		Notes to Unaudited Financial Statements ~~of Changes in Members’ Capital for the nine months ended September 30, 2010 and 2009 (unaudited)~~	38

		~~Statements of Cash Flows for the nine months ended September 30, 2010 and 2009 (unaudited)~~	39

		~~Notes to Financial Statements (unaudited)~~	4018

		Graham Alternative Investment Trading II LLC

		Statements of Financial Condition at ~~September 30, 2010~~March 31, 2011 (unaudited) and December 31, ~~2009~~2010 (audited)	6965

		~~Condensed Schedules~~Statements of ~~Investments at September 30,~~Operations and Managing Member Allocation for the three months ended March 31, 2011 and 2010 (unaudited) ~~and December 31, 2009 (audited)~~	7066

		Statements of ~~Operations and Managing Member Allocation~~Changes in Members’ Capital for the three months ended March 31, 2011 and ~~nine months ended September 30,~~ 2010 ~~and 2009~~ (unaudited)	7667

		Statements of ~~Changes in Members’ Capital~~Cash Flows for the ~~nine~~three months ended ~~September 30,~~March 31, 2011 and 2010 ~~and 2009~~ (unaudited)	7768

		Notes to Unaudited Financial Statements ~~of Cash Flows for the nine months ended September 30, 2010 and 2009 (unaudited)~~	78

		~~Notes to Financial Statements (unaudited)~~	7969

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	9792

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	~~109~~100

	Item 4.	Controls and Procedures	~~110~~101

PART II - Other Information			~~111~~102
~~Exhibits~~
	Item 1.	Legal Proceedings	102

	Item 1A.	Risk Factors	102

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	102

	Item 3.	Defaults Upon Senior Securities	102

	Item 4.	[Removed and Reserved]	102

	Item 5.	Other Information	102

	Item 6.	Exhibits	103

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

					March 31, 2011		December 31, 2010
	September 30, 2010 (Unaudited)		December 31, 2009 (Audited)		(Unaudited)		(Audited)

Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	254,099,398	$	187,750,594	$	326,024,192	$	290,023,320
Investment in Graham Alternative Investment Trading II LLC, at fair value		42,597,030		29,953,727		56,235,758		48,442,149
Redemption receivable from Graham Alternative Investment Trading LLC		947,199		392,777		2,351,929		1,296,065
Redemption receivable from Graham Alternative Investment Trading II LLC		320,519		-		574,316		125,284
Total assets	$	297,964,146	$	218,097,098	$	385,186,195	$	339,886,818

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,267,718	$	392,777	$	2,926,245	$	1,421,349
Total liabilities		1,267,718		392,777		2,926,245		1,421,349

Members’ capital:
Blended Strategies Portfolio:
Class 0 Units (1,553,143.510 and 1,134,943.426 units issued and outstanding at $137.19 and $135.56, respectively)		213,083,503		153,850,323
Class 2 Units (363,937.044 and 300,723.739 units issued and outstanding at $112.70 and $112.73, respectively)		41,015,895		33,900,271
Class 0 Units (2,030,986.163 and 1,752,436.237 units issued and outstanding at $137.45 and $138.96, respectively)						279,163,401		243,511,752
Class 2 Units (418,725.533 and 409,129.824 units issued and outstanding at $111.91 and $113.68, respectively)						46,860,791		46,511,568
Total Blended Strategies Portfolio		254,099,398		187,750,594		326,024,192		290,023,320

Systematic Strategies Portfolio:
Class 0 Units (253,641.699 and 180,564.957 units issued and outstanding at $98.26 and $100.59, respectively)		24,922,700		18,162,877
Class 2 Units (185,430.488 and 119,035.753 units issued and outstanding at $95.32 and $99.05, respectively)		17,674,330		11,790,850
Class 0 Units (338,461.004 and 274,960.438 units issued and outstanding at $100.08 and $102.92, respectively)						33,872,160		28,297,652
Class 2 Units (231,790.265 and 202,003.861 units issued and outstanding at $96.48 and $99.72, respectively)						22,363,598		20,144,497
Total Systematic Strategies Portfolio		42,597,030		29,953,727		56,235,758		48,442,149
Total members’ capital		296,696,428		217,704,321		382,259,950		338,465,469
Total liabilities and members’ capital	$	297,964,146	$	218,097,098	$	385,186,195	$	339,886,818

	Three Months Ended September 30,						Nine Months Ended September 30,						Three Months Ended March 31,
	2010 (Unaudited)			2009 (Unaudited)			2010 (Unaudited)			2009 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net gain allocated from investments in other funds:
Net realized (loss) gain on investments	$	(2,209,180	)	$	4,778,993		$	674,394		$	9,817,565
Net increase in unrealized appreciation on investments		11,411,613			4,943,151			10,819,412			1,106,175
Net gain allocated from investments in other funds		9,202,433			9,722,144			11,493,806			10,923,740
Net loss allocated from investments in other funds:
Net realized gain (loss) on investments													$	1,048,228		$	(5,388,177	)
Net (decrease) increase in unrealized appreciation on investments														(2,252,677	)		5,122,006
Net loss allocated from investments in other funds														(1,204,449	)		(266,171	)

Net investment loss allocated from investment in other funds:
Investment income:
Interest income		735,716			363,926			2,032,862			880,460			388,729			616,480

Expenses:
Brokerage fees		1,737,922			1,138,361			4,650,241			3,019,272			2,224,876			1,109,619
Advisory fees		1,446,548			950,985			3,852,692			2,581,604			1,873,379			1,344,479
Sponsor fees		723,275			475,493			1,926,346			1,290,803			936,689			554,810
Incentive allocation		762,334			997,991			761,792			1,012,726			10,820			-
Interest and other		15,016			1,827			50,481			3,199			8,810			-
Total expenses		4,685,095			3,564,657			11,241,552			7,907,604			5,054,574			3,008,908
Net investment loss allocated from investments in other funds		(3,949,379	)		(3,200,731	)		(9,208,690	)		(7,027,144	)		(4,665,845	)		(2,392,428	)
Net income	$	5,253,054		$	6,521,413		$	2,285,116		$	3,896,596

Net loss													$	(5,870,294	)	$	(2,658,599	)

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2008		1,003,242.664		$	132,546,601			173,269.774		$	19,361,456		$	151,908,057
Subscriptions		240,680.629			31,758,000			144,724.293			16,004,843			47,762,843
Redemptions		(124,901.201	)		(16,450,573	)		(38,849.282	)		(4,315,738	)		(20,766,311	)
Net income		–			2,960,833			–			363,678			3,324,511
Members’ capital, September 30, 2009		1,119,022.092		$	150,814,861			279,144.785		$	31,414,239		$	182,229,100

	Blended Strategies Portfolio															Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total			Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio			Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2009		1,134,943.426		$	153,850,323			300,723.739		$	33,900,271		$	187,750,594			1,134,943.426		$	153,850,323			300,723.739		$	33,900,271		$	187,750,594
Subscriptions		518,631.500			69,924,258			103,536.819			11,490,457			81,414,715			99,991.726			13,249,791			39,174.910			4,328,559			17,578,350
Redemptions		(100,431.416	)		(13,534,505	)		(40,323.514	)		(4,469,018	)		(18,003,523	)		(15,238.212	)		(1,995,955	)		(9,891.505	)		(1,074,667	)		(3,070,622	)
Net income		–			2,843,427			–			94,185			2,937,612
Members’ capital, September 30, 2010		1,553,143.510		$	213,083,503			363,937.044		$	41,015,895		$	254,099,398
Net loss																	–			(961,453	)		–			(404,626	)		(1,366,079	)
Members’ capital, March 31, 2010																	1,219,696.940		$	164,142,706			330,007.144		$	36,749,537		$	200,892,243

																Blended Strategies Portfolio
																Class 0 Units						Class 2 Units						Total
																Units			Capital			Units			Capital			Blended Strategies Portfolio


Members’ capital, December 31, 2010																	1,752,436.237		$	243,511,752			409,129.824		$	46,511,568		$	290,023,320
Subscriptions																	300,033.166			41,996,602			28,498.156			3,258,099			45,254,701
Redemptions																	(21,483.240	)		(2,991,431	)		(18,902.447	)		(2,137,398	)		(5,128,829	)
Net loss																	–			(3,353,522	)		–			(771,478	)		(4,125,000	)
Members’ capital, March 31, 2011																	2,030,986.163		$	279,163,401			418,725.533		$	46,860,791		$	326,024,192

	March 31, 2011 (Unaudited)		December 31, 2010 (Audited)
Assets
Investments in Master Funds, at fair value	$	80,018,732	$	43,910,786
Investment in Graham Cash Assets LLC, at fair value		422,134,782		409,389,656
Commission reimbursements receivable		501,077		278,469
Total assets	$	502,654,591	$	453,578,911

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	2,858,194	$	4,817,403
Accrued brokerage fees		983,124		894,187
Accrued advisory fees		852,305		768,947
Accrued sponsor fees		426,153		384,474
Payable to Master Funds		551		61
Total liabilities		5,120,327		6,865,072

Members’ capital:
Class 0 Units (3,065,466.192 and 2,685,172.128 units issued and outstanding at $137.45 and $138.96 per unit, respectively)		421,354,913		373,121,130
Class 2 Units (672,805.309 and 639,582.657 units issued and outstanding at $111.91 and $113.68 per unit, respectively)		75,295,604		72,710,381
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $189.18 and $188.88 per unit, respectively)		883,747		882,328
Total members’ capital		497,534,264		446,713,839
Total liabilities and members’ capital	$	502,654,591	$	453,578,911

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

Members’ capital, December 31, 2009		1,851,259.271		$	250,952,480			462,314.824		$	52,116,241			4,671.470	$	813,191		$	303,881,912
Subscriptions		151,028.659			20,005,694			45,915.276			5,069,594			–		–			25,075,288
Redemptions		(36,152.265	)		(4,733,057	)		(12,948.251	)		(1,406,910	)		–		–			(6,139,967	)
Incentive allocation		–			–			–			–			–		–			–
Net (loss) income		–			(1,629,259	)		–			(624,416	)		–		4,150			(2,249,525	)
Members’ capital, March 31, 2010		1,966,135.665		$	264,595,858			495,281.849		$	55,154,509			4,671.470	$	817,341		$	320,567,708


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

Members’ capital, December 31, 2010		2,685,172.128		$	373,121,130			639,582.657		$	72,710,381			4,671.470	$	882,328		$	446,713,839
Subscriptions		408,198.569			57,181,643			56,759.804			6,490,664			–		–			63,672,307
Redemptions		(27,904.505	)		(3,886,994	)		(23,537.152	)		(2,669,490	)		–		(10,086	)		(6,566,570	)
Incentive allocation		–			(6,683	)		–			(3,403	)		–		10,086			–
Net (loss) income		–			(5,054,183	)		–			(1,232,548	)		–		1,419			(6,285,312	)
Members’ capital, March 31, 2011		3,065,466.192		$	421,354,913			672,805.309		$	75,295,604			4,671.470	$	883,747		$	497,534,264

Description	Number of Contracts		Fair Value			Percentage of Members' Capital
Graham Commodity Strategies LLC
Long contracts
Futures
Brent Crude Oil November 2010		2,860	$	9,915,240			23.21	%
Brent Crude Oil December 2010		947		4,038,950			9.45	%
Brent Crude Penultimate Financial December 2011		1,095		5,380,900			12.59	%
Copper March 2011		2,293		21,718,625			50.83	%
Cotton March 2011		1,476		14,615,780			34.21	%
Gas Oil October 2010		1,314		3,898,800			9.13	%
Gasoline RBOB November 2010		1,198		3,429,884			8.03	%
Heating Oil December 2010		583		2,649,688			6.20	%
Natural Gas March 2011		598		(7,342,030	)		(17.18	)%
Soybean November 2011		980		2,269,325			5.31	%
LME Aluminum December 2010		1,386		5,686,388			13.31	%
Wheat December 2010		2,072		5,778,138			13.52	%
WTI Crude December 2012		2,364		7,869,570			18.42	%
Other commodity				8,121,270			19.01	%
Total futures				88,030,528			206.04	%

Swaps
Commodity				1,046,250			2.45	%
Total swaps				1,046,250			2.45	%

Description	Number of Contracts / Principal Amount			Fair Value			Percentage of Members' Capital
Graham Global Monetary Policy LLC
Long contracts
Futures
U.S. 10 Year Note December 2010		584		$	1,479,625			6.55	%
Natural Gas March 2011		150			(1,315,560	)		(5.82	)%
Foreign bond					(614,299	)		(2.72	)%
Foreign index					(185,173	)		(0.82	)%
U.S. index					(68,750	)		(0.30	)%
Other U.S. bond					142,578			0.63	%
Other commodity					1,713,426			7.58	%
Total futures					1,151,847			5.10	%

Options
Bond future					672,965			2.98	%
Currency					225,466			0.99	%
Total options					898,431			3.97	%

Forwards
Chinese Yuan / U.S. Dollar 06/17/11	CNY 338,000,000				1,417,342			6.27	%
Indian Rupee / U.S. Dollar 10/13/10	IDR 1,404,600,000				1,419,760			6.29	%
Other foreign currency					2,854,393			12.63	%
Total forwards					5,691,495			25.19	%

Short contracts
Futures
Euroswiss December 2010		(7,848	)		(1,131,048	)		(5.01	)%
U.S. bond					(59,813	)		(0.26	)%
U.S. index					(135,450	)		(0.60	)%
Commodity					457,290			2.03	%
Other interest rate					(476,164	)		(2.11	)%
Total futures					(1,345,185	)		(5.95	)%

Forwards
Korean Won / U.S. Dollar 10/04/10	KRW (29,962,500,000)				(1,282,993	)		(5.68	)%
Other foreign currency					(630,888	)		(2.79	)%
Total forwards					(1,913,881	)		(8.47	)%

Total				$	4,482,707			19.84	%

Description	Principal Amount	Fair Value			Percentage of Members' Capital
Graham GMP Securities LLC
Short contracts
Interest Rate Swaps
Pay 0.69%, receive floating, quarterly expiring 09/13/12	CHF (253,400,000)	$	(255,841	)		(18.60	)%
Pay 0.70%, receive floating, quarterly expiring 09/13/12	CHF (250,000,000)		(277,668	)		(20.19	)%
Total futures			(533,509	)		(38.79	)%

Total		$	(533,509	)		(38.79	)%

Description	Number of Contracts / Principal Amount		Fair Value			Percentage of Members' Capital
Graham Global Monetary Policy LLC
Long contracts
Futures
Commodity			$	29,025			0.33	%
Total futures				29,025			0.33	%

Options
Euro / Swiss Franc 03/04/10, $1.50 Put	100,000,000			2,245,923			25.89	%
Euro / Swiss Franc 03/11/10, $1.50 Put	100,000,000			2,304,314			26.56	%
U.S. index				12,500			0.14	%
Total options				4,562,737			52.59	%

Forwards
Australian Dollar / Japanese Yen 01/04/10	AUD 60,000,000			919,592			10.60	%
Australian Dollar / U.S. Dollar 01/04/10	AUD 80,000,000			495,440			5.71	%
Japanese Yen / U.S. Dollar 01/04/10	JPY 11,025,114,000			(1,513,453	)		(17.44	)%
Other foreign currency				554,290			6.38	%
Total forwards				455,869			5.25	%

Short contracts
Futures
Foreign bond				373,824			4.31	%
Interest rate				(253,871	)		(2.93	)%
Total futures				119,953			1.38	%

Options
Euro / Swiss Franc 03/04/10, $1.46 Put	(100,000,000	)		(651,902	)		(7.51	)%
Euro / Swiss Franc 03/11/10, $1.47 Put	(100,000,000	)		(916,709	)		(10.57	)%
Total options				(1,568,611	)		(18.08	)%

Forwards
Japanese Yen / U.S. Dollar 01/04/10	JPY (11,047,096,000)			1,582,181			18.24	%
Euro / Japanese Yen 01/04/10	EUR (40,000,000)			(434,683	)		(5.01	)%
Australian Dollar / Japanese Yen 01/04/10	AUD (60,000,000)			(930,489	)		(10.72	)%
Other foreign currency				499,007			5.75	%
Total forwards				716,016			8.26	%

Total			$	4,314,989			49.73	%

Description	Number of Contracts/Principal Amount	Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd.
Long contracts
Futures
LME Aluminum January 2010	1,302	$	6,972,938			5.92	%
LME Copper January 2010	366		6,743,091			5.72	%
Other commodity			21,454,287			18.21	%
U.S. bond			(4,526,734	)		(3.84	)%
Foreign bond			(6,607,015	)		(5.61	)%
U.S. index			5,331,432			4.53	%
Foreign index			8,908,434			7.56	%
Interest rate			(8,722,161	)		(7.40	)%
Currency			355,993			0.30	%
Total futures			29,910,265			25.39	%

Forwards
British Pound / Japanese Yen 01/20/10	GBP 224,750,683		11,529,834			9.79	%
Euro / U.S. Dollar 01/20/10	EUR 593,968,247		(12,238,099	)		(10.39	)%
Japanese Yen / U.S. Dollar 01/20/10	JPY 51,561,122,880		(17,479,840	)		(14.84	)%
Other foreign currency			9,230,717			7.84	%
Total forwards			(8,957,388	)		(7.60	)%

December 31, 2009
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (twelve months then ended)

Master Funds (6) – (a) (b) (c) (d) (e)		5.33	%	$	16,210,863	$	19,395,922
		5.33	%	$	16,210,863	$	19,395,922

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham GMP Securities LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)			Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)
Assets:
Cash and cash equivalents	$	1		$	-		$	-		$	-		$	6		$	-		$	-		$	-
Due from brokers		19,204,912			3,668,548			3,174,872			19,489,417			1,908,865			140,608,437			26,199,281			1,183,365		$	71,788,618		$	-		$	17,984,242		$	25,147,965		$	32,252,617		$	288,833,860		$	4,762,663
Options, at fair value		-			11,482,000			29,243,476			898,431			-			-			-			31,249			-			11,794,000			15,045,300			46,076,251			427,005			-			-
Derivative financial instruments, at fair value		23,519,240			4,706,904			20,179,904			3,584,276			-			74,010,326			253,089			-			11,551,256			25,885,509			-			10,117,976			3,767,638			52,072,797			255,550
Subscriptions receivable		-			-			12			130			156			-			-			38,268			-			-			7			-			239			405			-
Interest receivable		-			-			-			533			1			11,929			172			-			-			-			-			-			3,341			20,997			109
Total assets		42,724,153			19,857,452			52,598,264			23,972,787			1,909,028			214,630,692			26,452,542			1,252,882			83,339,874			37,679,509			33,029,549			81,342,192			36,450,840			340,928,059			5,018,322

Liabilities:
Options, at fair value		-			-			11,370,356			-			-			-			-			-			-			100,000			5,998,200			36,226,853			50,000			-			-
Derivative financial instruments, at fair value		-			-			-			-			533,509			-			302,924			485,235			-			-			3,679,198			-			-			1,544,291			-
Due to brokers		-			-			-			1,379,506			-			1,113,899			1,463,918			363,135			-			13,764,783			-			-			409,325			-			-
Redemptions payable		-			-			154			10			156			-			-			38,268			-			-			7			142			120			405			-
Total liabilities		-			-			11,370,510			1,379,516			533,665			1,113,899			1,766,842			886,638			-			13,864,783			9,677,405			36,226,995			459,445			1,544,696			-
Net assets	$	42,724,153		$	19,857,452		$	41,227,754		$	22,593,271		$	1,375,363		$	213,516,793		$	24,685,700		$	366,244		$	83,339,874		$	23,814,726		$	23,352,144		$	45,115,197		$	35,991,395		$	339,383,363		$	5,018,322

Percentage of Master Fund held by the Fund		14.42	%		14.11	%		13.88	%		8.18	%		7.77	%		12.53	%		17.13	%		27.70	%		14.51	%		16.71	%		26.80	%		17.36	%		12.14	%		13.07	%		22.34	%

	Nine Months Ended September 30, 2010
Net investment income (loss)	$	(9,606	)	$	(95,164	)	$	(6,706	)	$	(47,142	)	$	(25,215	)	$	(127,018	)	$	(36,686	)	$	912

Net realized gain (loss) on investments		(27,201,108	)		618,331			12,832,214			95,303,646			(4,743,412	)		(31,318,993	)		17,533,873			(3,686,155	)
Net increase (decrease) in appreciation on investments		23,031,904			9,373,559			26,296,377			5,543,806			1,324,681			54,268,614			(1,589,754	)		1,941,696
Brokerage commissions and fees		(3,540,939	)		(1,066,971	)		(2,885,788	)		(1,618,332	)		(1,695	)		(4,773,158	)		(665,723	)		(285,325	)
Net gain (loss) on investments		(7,710,143	)		8,924,919			36,242,803			99,229,120			(3,420,426	)		18,176,463			15,278,396			(2,029,784	)
Net income (loss)	$	(7,719,749	)	$	8,829,755		$	36,236,097		$	99,181,978		$	(3,445,641	)	$	18,049,445		$	15,241,710		$	(2,028,872	)

	Graham Commodity Strategies LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Macro Focus LLC * (Delaware)		Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)

	Three Months Ended September 30, 2009
Net investment income	$	(5,961	)	$	(1,528	)	$	-	$	(16,897	)	$	(87,844	)	$	(825	)

Net realized gain (loss) on investments		(2,453,546	)		3,332,452			-		(10,548,829	)		71,311,018			(2,034,940	)
Net increase (decrease) in appreciation on investments		(408,035	)		14,092,262			-		(6,155,522	)		62,612,060			1,140,287
Brokerage commissions and fees		(1,079,848	)		(312,748	)		-		(264,215	)		(2,462,705	)		(167,696	)
Net gain (loss) on investments		(3,941,429	)		17,111,966			-		(16,968,566	)		131,460,373			(1,062,349	)
Net income (loss)	$	(3,947,390	)	$	17,110,438		$	-	$	(16,985,463	)	$	131,372,529		$	(1,063,174	)

	Nine Months Ended September 30, 2009
Net investment income (loss)	$	(7,355	)	$	(7,197	)	$	33		$	(32,278	)	$	(169,463	)	$	(1,643	)

Net realized gain (loss) on investments		(7,326,588	)		90,236,041			(299,050	)		20,884,233			(120,649	)		4,112,183
Net increase (decrease) in appreciation on investments		13,192,385			(57,836,596	)		299,050			(6,246,402	)		38,270,144			1,470,892
Brokerage commissions and fees		(2,416,865	)		(1,027,152	)		-			(655,942	)		(5,377,799	)		(392,311	)
Net gain on investments		3,448,932			31,372,293			-			13,981,889			32,771,696			5,190,764
Net income	$	3,441,577		$	31,365,096		$	33		$	13,949,611		$	32,602,233		$	5,189,121

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Long Contracts
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	-		$	(1,693,870	)	$	-
Foreign bond futures		-			-			-			-			-			1,076,899			-
U.S. index futures		-			-			-			-			-			8,356,229			(37,500	)
Foreign index futures		-			-			-			-			-			6,955,415			-
Commodity futures		103,331,372			52,965,139			4,555,562			-			1,613,130			25,056,183			293,050
Commodity futures options		-			11,794,000			15,045,300			-			345,000			-			-
Commodity swaps		7,917,750			2,098,430			7,423,858			-			-			-			-
Interest rate futures		-			-			-			9,600,081			1,172,679			(958,759	)		-
Interest rate futures options		-			-			-			46,076,251			-			-			-
Currency futures		-			-			-			-			-			4,703,445			-
Total Level 1		111,249,122			66,857,569			27,024,720			55,676,332			3,130,809			43,495,542			255,550

Level 2:
Foreign currency forwards		-			-			-			-			5,676,622			218,469,433			-
Foreign currency forwards options		-			-			-			-			82,005			-			-
Total Level 2		-			-			-			-			5,758,627			218,469,433			-
Total long contracts	$	111,249,122		$	66,857,569		$	27,024,720		$	55,676,332		$	8,889,436		$	261,964,975		$	255,550

Short Contracts			��
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	(323,187	)	$	393,672		$	-
Foreign bond futures		-			-			-			-			128,741			12,829,370			-
Foreign index futures		-			-			-			-			-			(6,392,370	)		-
Commodity futures		(92,576,616	)		(25,588,830	)		(12,898,663	)		-			(551,860	)		(4,114,279	)		-
Commodity futures options		-			(100,000	)		(5,998,200	)		-			(50,000	)		-			-
Commodity swaps		(7,121,250	)		(3,589,230	)		(2,759,955	)		-			-			-			-
Interest rate futures		-			-			-			517,895			(7,374	)		5,053,667			-
Interest rate futures options		-			-			-			(36,226,853	)		-			-			-
Currency futures		-			-			-			-			-			807,195			-
Total Level 1		(99,697,866	)		(29,278,060	)		(21,656,818	)		(35,708,958	)		(803,680	)		8,577,255			-

Level 2:
Foreign currency forwards		-			-			-			-			(3,941,113	)		(220,013,724	)		-
Total Level 2		-			-			-			-			(3,941,113	)		(220,013,724	)		-
Total short contracts	$	(99,697,866	)	$	(29,278,060	)	$	(21,656,818	)	$	(35,708,958	)	$	(4,744,793	)	$	(211,436,469	)	$	-

	Graham Commodity Strategies LLC															Graham Discretionary Energy Trading III LLC
	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	$	3,125,470,679		39,677	$	(2,776,326,546	)		(37,009	)	$	112,336,594	$	(101,581,838	)	$	1,095,037,792		37,955	$	(931,009,729	)		(9,460	)	$	56,270,758	$	(28,894,449	)
Swaps		26,777,250		27		(26,514,000	)		(27	)		7,917,750		(7,121,250	)		138,594,740		11,372		(127,521,540	)		(11,048	)		2,300,000		(3,790,800	)
		3,152,247,929		39,704		(2,802,840,546	)		(37,036	)		120,254,344		(108,703,088	)		1,233,632,532		49,327		(1,058,531,269	)		(20,508	)		58,570,758		(32,685,249	)

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-
Total	$	3,152,247,929		39,704	$	(2,802,840,546	)		(37,036	)	$	120,254,344	$	(108,703,088	)	$	1,233,632,532		49,327	$	(1,058,531,269	)		(20,508	)	$	58,570,758	$	(32,685,249	)


Collateral balances supporting all derivative positions													$	71,788,618														$	(13,764,783	)

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)

Net investment income (loss)	$	(4,480	)	$	968		$	(8,821	)	$	(1,120	)	$	(28,130	)	$	(83,866	)	$	(557	)	$	1,186

Net realized gain (loss) on investments		70,342,613			561,787			(3,932,204	)		15,588,830			20,968,150			(47,163,832	)		(21,781,890	)		3,960,455
Net increase (decrease) in appreciation on investments		(25,420,622	)		3,834,874			(2,102,378	)		(1,353,759	)		3,743,874			5,253,462			279,691			(1,898,136	)
Brokerage commissions and fees		(1,833,702	)		(850,714	)		(386,480	)		(584,561	)		(713,576	)		(3,291,928	)		(318,998	)		(548,562	)
Net gain (loss) on investments		43,088,289			3,545,947			(6,421,062	)		13,650,510			23,998,448			(45,202,298	)		(21,821,197	)		1,513,757
Net income (loss)	$	43,083,809		$	3,546,915		$	(6,429,883	)	$	13,649,390		$	23,970,318		$	(45,286,164	)	$	(21,821,754	)	$	1,514,943

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Discretionary Energy Trading III LLC (continued)
Short contracts
Futures
Brent Crude March 2011		(660	)	$	(1,900,100	)		(15.68	)%
Globex Heat Oil June 2011		(550	)		(2,936,850	)		(24.23	)%
Heating Oil June 2011		(1,325	)		(5,756,297	)		(47.49	)%
Heating Oil July 2011		(1,000	)		(836,611	)		(6.90	)%
Heating Oil June 2012		(75	)		(239,350	)		(1.97	)%
Natural Gas April 2011		(1,135	)		(1,872,750	)		(15.45	)%
Natural Gas November 2011		(500	)		(840,220	)		(6.93	)%
Natural Gas January 2012 - April 2012		(302	)		(314,660	)		(2.60	)%
WTI Crude June 2011		(775	)		(4,299,500	)		(35.47	)%
WTI Crude December 2011		(500	)		(976,750	)		(8.06	)%
WTI Crude April 2011		(125	)		(363,750	)		(3.00	)%
Total futures					(20,336,838	)		(167.78	)%

Options
Commodity					(182,500	)		(1.51	)%
Total options					(182,500	)		(1.51	)%

Swaps
Natural Gas Swap January 2012		(1,800	)		(837,000	)		(6.91	)%
Natural Gas Swap April 2012		(2,000	)		(580,000	)		(4.78	)%
Total swaps					(1,417,000	)		(11.69	)%

Total				$	18,362,276			151.49	%

Description	Number of Contracts / Principal Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
Commodity		$	833,980			2.10	%
Interest rate			1,570,955			3.95	%
Total futures			2,404,935			6.05	%

Options
Foreign currency			603,151			1.52	%
Total options			603,151			1.52	%

Forwards
Japanese Yen / U.S. Dollar 01/04/11	JPY 35,703,594,900		2,677,452			6.73	%
Japanese Yen / U.S. Dollar 01/05/11	JPY 34,708,122,000		2,429,135			6.11	%
Chinese Yuan / U.S. Dollar 06/17/11 - 06/27/11	CNY 471,400,000		2,318,175			5.83	%
Australian Dollar / U.S. Dollar 01/04/11 - 01/05/11	AUD 550,000,000		3,850,775			9.68	%
Other foreign currency			(474,653	)		(1.19	)%
Total forwards			10,800,884			27.16	%

Short contracts
Futures
Euroswiss March 2011	(7,500)		(2,070,419	)		(5.21	)%
Other interest rate			(1,009,594	)		(2.53	)%
U.S. bond			(37,016	)		(0.09	)%
Foreign bond			641,195			1.61	%
Commodity			(770,200	)		(1.94	)%
Total futures			(3,246,034	)		(8.16	)%

Forwards
Australian Dollar / U.S. Dollar 01/04/11	AUD (450,000,000)		(3,909,044	)		(9.83	)%
Other Australian Dollar / U.S. Dollar 01/05/11	AUD (115,000,000)		(192,228	)		(0.48	)%
Japanese Yen / U.S. Dollar 01/04/11	JPY (35,868,141,100)		(4,709,285	)		(11.84	)%
Other Japanese Yen / U.S. Dollar 01/05/11	JPY (40,735,192,000)		(1,652,261	)		(4.16	)%
Other foreign currency			(2,682,356	)		(6.75	)%
Total forwards			(13,145,174	)		(33.06	)%

Total		$	(2,582,238	)		(6.49	)%

Description	Principal Amount / Number of Contracts	Fair Value			Percentage of Net Assets of Master Fund
Graham Short Term Global Macro LLC
Long contracts
Futures
S&P 500 E-Mini March 2011	225	$	(16,875	)		(11.52	)%
Total futures			(16,875	)		(11.52	)%

Options
British Pound Put / Swiss Franc Call, $1.47	CHF 10,000,000		47,256			32.27	%
Total options			47,256			32.27	%

Forwards
Chinese Yuan / U.S. Dollar 08/19/11	CNY 334,143,000		1,385,221			945.81	%
Total forwards			1,385,221			945.81	%

Short Contracts
Forwards
Swiss Franc / British Pound 01/05/11	CHF (7,292,955)		(15,162	)		(10.35	)%
Chinese Yuan / U.S. Dollar 08/19/11	CNY (334,143,000)		(1,458,935	)		(996.15	)%
Total forwards			(1,474,097	)		(1,006.50	)%

Total		$	(58,495	)		(39.94	)%

	Graham Commodity Strategies LLC			Graham Fed Policy Ltd.		Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Commodity price
Futures	$	(2,861,581	)	$	-	$	850,240		$	24,463,206		$	384,960
		(2,861,581	)		-		850,240			24,463,206			384,960
Equity price
Futures		-			-		(1,189,962	)		112,121,801			(323,373	)
Options		-			-		-			-			-
		-			-		(1,189,962	)		112,121,801			(323,373	)
Foreign currency exchange rate
Futures		-			-		-			223,969			-
Forwards		-			-		(12,298,201	)		20,247,415			(2,293,887	)
Options		-			-		(1,573,148	)		-			-
		-			-		(13,871,349	)		20,471,384			(2,293,887	)
Interest rate
Futures		-			13,532,331		(2,493,280	)		(23,133,313	)		1,337,647
Options		-			3,892,383		-			-			-
		-			17,424,714		(2,493,280	)		(23,133,313	)		1,337,647
Total	$	(2,861,581	)	$	17,424,714	$	(16,704,351	)	$	133,923,078		$	(894,653	)

Description	Number of Contracts/Principal Amount		Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd.
Long contracts
Futures
LME Aluminum January 2010		1,302	$	6,972,938			5.92	%
LME Copper January 2010		366		6,743,091			5.72	%
Other commodity				21,454,287			18.21	%
U.S. bond				(4,526,734	)		(3.84	)%
Foreign bond				(6,607,015	)		(5.61	)%
U.S. index				5,331,432			4.53	%
Foreign index				8,908,434			7.56	%
Interest rate				(8,722,161	)		(7.40	)%
Currency				355,993			0.30	%
Total futures				29,910,265			25.39	%

Forwards
British Pound / Japanese Yen 01/20/10	GBP 224,750,683			11,529,834			9.79	%
Euro / U.S. Dollar 01/20/10	EUR 593,968,247			(12,238,099	)		(10.39	)%
Japanese Yen / U.S. Dollar 01/20/10	JPY 51,561,122,880			(17,479,840	)		(14.84	)%
Other foreign currency				9,230,717			7.84	%
Total forwards				(8,957,388	)		(7.60	)%


Net investment loss	$	(83,866	)

Net realized loss on investments		(47,163,832	)
Net increase in appreciation on investments		5,253,462
Brokerage commissions and fees		(3,291,928	)
Net loss on investments		(45,202,298	)
Net loss	$	(45,286,164	)

Commodity price
Futures	$	44,811,512
		44,811,512

Equity price
Futures		(40,301,211	)
		(40,301,211	)

Foreign currency exchange rate
Futures		(5,461,945	)
Forwards		(24,055,983	)
		(29,517,928	)

Interest rate
Futures		(16,902,743	)
		(16,902,743	)
Total	$	(41,910,370	)

Assets:
Due from brokers	$	135,887,098
Derivative financial instruments, at fair value		45,743,328
Subscriptions receivable		-
Interest receivable		9,100
Total assets		181,639,526

Liabilities:
Derivative financial instruments, at fair value		-
Redemptions payable		-
Total liabilities		-
Net assets	$	181,639,526

Percentage of Master Fund held by the Fund		4.08	%

Net investment loss	$	(68,408	)

Net realized loss on investments		(77,892,271	)
Net increase in appreciation on investments		34,667,568
Brokerage commissions and fees		(1,480,295	)
Net loss on investments		(44,704,998	)
Net loss	$	(44,773,406	)

Agriculture	$	430,585
Energy		(1,329,002	)
Foreign exchange		431,050
Interest rates		(570,787	)
Metals		1,120,749
Softs		1,190,469
Stock index		7,289,994
	$	8,563,058

Agriculture	$	(33,812	)
Energy		(1,163,889	)
Foreign exchange		3,345,955
Interest rates		(432,871	)
Metals		511,276
Softs		834,627
Stock index		6,892,702
	$	9,953,988

Agriculture	$	(89,841	)
Energy		(647,672	)
Foreign exchange		421,668
Interest rates		2,476,875
Metals		181,743
Softs		(192,407	)
Stock index		(1,486,359	)
	$	664,007

Agriculture	$	64,085
Energy		(160,058	)
Foreign exchange		194,236
Interest rates		(194,673	)
Metals		139,985
Softs		162,513
Stock index		952,998
	$	1,159,086