UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June~~September 30, 2016

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

OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Paul Sedlack

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

PART I - Financial Information:

PART II - Other Information

See accompanying notes.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

~~June~~September 30, 2016

1. Organization and Business

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

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

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

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

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

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

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

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Investment in Graham Alternative Investment Trading LLC

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

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

At ~~June~~September 30, 2016 and December 31, 2015, the Fund owned ~~53.05%~~56.72% and 52.56%, respectively of GAIT.

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

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

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

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

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. According to FASB Accounting Standards Update 2015-07 – Disclosures for Investment in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”), these investments are no longer categorized in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the ~~six~~nine months ended ~~June~~September 30, 2016 or the year ended December 31, 2015 by the Fund, GAIT, or the Master Funds and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Recent Accounting Pronouncements

In August 2014, the FASB issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements which is expected to be minimal.

In the normal course of business, the Master Funds, GAIT, Cash Assets, and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At ~~June~~September 30, 2016 and December 31, 2015, no accruals have been recorded by the Fund for indemnifications.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

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

~~Graham Alternative Investment Fund I LLC~~

~~Blended Strategies Portfolio~~

~~Notes to Unaudited Financial Statements (continued)~~

~~3. Capital Accounts (continued)~~

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

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

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

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. ~~Redemption fees of~~There were $231 and $0 ~~were~~of redemption fees paid to the Manager for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, respectively.

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions

For the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% 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.

~~Graham Alternative Investment Fund I LLC~~

~~Blended Strategies Portfolio~~

~~Notes to Unaudited Financial Statements (continued)~~

~~4. Fees and Related Party Transactions (continued)~~

For the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. The total Incentive Allocation allocated to the Fund by GAIT for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015 was $0 and $1,550,824, respectively.

Administrator’s Fee

For the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015 were ~~$56,720~~$82,004 and ~~$65,166,~~$97,678, respectively.

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

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

5. Income Taxes

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

~~Index~~

~~Graham Alternative Investment Fund I LLC~~

~~Blended Strategies Portfolio~~

~~Notes to Unaudited Financial Statements (continued)~~

~~5. Income Taxes (continued)~~

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2013 through 2015 or expected to be taken in the Fund’s 2016 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

6. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended ~~June~~September 30, 2016 and 2015:

	Class 0			Class 2			Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net asset value per unit, June 30, 2015							$	149.49		$	112.66
Net income:
Net investment loss								(0.93	)		(1.29	)
Net gain on investments								2.07			1.57
Net income								1.14			0.28
Net asset value per unit, September 30, 2015							$	150.63		$	112.94

Net asset value per unit, June 30, 2016							$	144.89		$	107.02
Net loss:
Net investment loss		(1.01	)		(1.34	)		(0.85	)		(1.15	)
Net loss on investments		(9.43	)		(7.12	)		(5.19	)		(3.83	)
Net loss		(10.44	)		(8.46	)		(6.04	)		(4.98	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

Net asset value per unit, March 31, 2016	$	143.72		$	106.68
Net income:
Net investment loss		(0.89	)		(1.19	)
Net gain on investments		2.06			1.53
Net income		1.17			0.34
Net asset value per unit, June 30, 2016	$	144.89		$	107.02
Net asset value per unit, September 30, 2016							$	138.85		$	102.04

Index

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended ~~June~~September 30, 2016 and 2015:

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the ~~six~~nine month periods ended ~~June~~September 30, 2016 and 2015:

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios have not been annualized and are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and ~~six~~nine month periods ended ~~June~~September 30, 2016 and 2015.

7. Subsequent Events

The Fund had subscriptions of approximately $0.2 million and redemptions of approximately ~~$0.5~~$0.9 million from ~~July~~October 1, 2016 through ~~August 15,~~November 14, 2016, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

See accompanying notes.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

~~June~~September 30, 2016

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

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

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

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

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

Duties of the Managing Member

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

2. Summary of Significant Accounting Policies

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

Investments in Master Funds

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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

All financial instruments are recorded on the trade date at fair value. Net unrealized gain or loss on open derivative instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at the end of the period. Any change in net unrealized gain or loss from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of related withholding taxes. All other expenses are recorded on the accrual basis.

Brokerage Commissions and Fees

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

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at ~~June~~September 30, 2016 and December 31, 2015. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. Currency translation gains and losses are included in the statement of operations within net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments.

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

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

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

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

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

GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. According to FASB Accounting Standards Update 2015-07 – Disclosures for Investment in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”), these investments are no longer categorized in the fair value hierarchy. GAIT’s investments in Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the ~~six~~nine months ended ~~June~~September 30, 2016 or the year ended December 31, 2015 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Derivative Instruments

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

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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

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

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

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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

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

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

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

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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

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

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

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

Credit Risk Related Contingent Features

OTC Derivative Instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return, and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the ~~six~~nine months ended ~~June~~September 30, 2016 or for the year ended December 31, 2015 which caused any counterparty to demand liquidation of any outstanding positions. At ~~June~~September 30, 2016 and December 31, 2015, there were no Derivative Instruments subject to credit risk related contingent features in a net liability position for either of the Master Funds in which GAIT invests except for Graham Commodity Strategies LLC. Graham Commodity Strategies LLC had Derivative Instruments subject to credit risk related contingent features in a net liability position in the amount of ~~$9,635,727~~$12,136,407 and $102,519 at ~~June~~September 30, 2016 and December 31, 2015, respectively.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX memberships and the shares of the CME Group at fair value. As of ~~June~~September 30, 2016 and December 31, 2015, the two NYMEX memberships were valued at ~~$396,000~~$382,000 and $305,000, respectively, and the 30,000 shares of CME Group were valued at ~~$2,922,000~~$3,135,600 and $2,718,000, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of ~~June~~September 30, 2016 and December 31, 2015, the B-1/Full memberships were valued at ~~$415,000~~$404,000 and $455,000, respectively, and the B-2/Associate memberships were valued at ~~$67,500~~$70,000 and $72,500, respectively, both of which are included in CME Membership on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange seat valued at ~~$237,500~~$214,500 and $224,500 at ~~June~~September 30, 2016 and December 31, 2015, respectively, which is also included in Exchange Membership on the statements of financial condition. The CBOT memberships and shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Recent Accounting Pronouncements

In August 2014, the FASB issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of GAIT’s ability to continue as a going concern even if GAIT’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about GAIT’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that GAIT will be unable to meet its obligations as they become due. Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements. Any impact is expected to be minimal.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At ~~June~~September 30, 2016 and December 31, 2015, no accruals have been recorded by GAIT for indemnifications.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of ~~June~~September 30, 2016 and December 31, 2015, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds,” if applicable. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

June 30, 2016
September 30, 2016									September 30, 2016
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (six months ended)				Percent of Members’ Capital			Fair Value		Net Loss (nine months ended)

Systematic Macro Funds
Graham K4D Trading Ltd.		6.53	%	$	9,933,058	$	145,642				5.81	%	$	7,432,774	$	(2,100,634	)

Global Macro Funds
Graham Commodity Strategies LLC		5.42	%		8,254,512		(1,031,637	)			5.29	%		6,757,718		(4,085,913	)
		11.95	%	$	18,187,570	$	(885,995	)			11.10	%	$	14,190,492	$	(6,186,547	)

December 31, 2015
Investment – Objective
Percent of
Members’
Capital
Fair Value
Net Income
(six months ended
June 30, 2015)

Systematic Macro Funds

Graham K4D Trading Ltd. 6.80 % $ 11,122,516 $ 4,250,708

Global Macro Funds

Graham Commodity Strategies LLC 3.90 % 6,374,087 1,046,859
10.70 % $ 17,496,603 $ 5,297,567

December 31, 2015
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (nine months ended September 30, 2015)

Systematic Macro Funds
Graham K4D Trading Ltd.		6.80	%	$	11,122,516	$	4,492,339

Global Macro Funds
Graham Commodity Strategies LLC		3.90	%		6,374,087		3,125,698
		10.70	%	$	17,496,603	$	7,618,037

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of ~~June~~September 30, 2016:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)				Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	128,661,360		$	72,712,384			$	109,832,953		$	72,595,138
Derivative financial instruments, at fair value		33,509,522			34,056,597				31,679,608			8,661,108
Exchange membership, at fair value		3,318,000			720,000				3,517,600			688,500
Total assets		165,488,882			107,488,981				145,030,161			81,944,746

Liabilities:
Derivative financial instruments, at fair value		9,635,727			-				12,136,407			-
Total liabilities		9,635,727			-				12,136,407			-
Net assets	$	155,853,155		$	107,488,981			$	132,893,754		$	81,944,746

Percentage of Master Fund held by GAIT		5.30	%		9.24	%	��		5.09	%		9.07	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2016.

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Coffee Robusta 10TN November 2016		4,789	$	8,977,020			6.75	%
Coffee Robusta 10TN January 2017 - March 2017		6,087		8,035,240			6.05	%
WTI Crude Oil Future November 2016		250		2,500			0.00	%
Natural Gas November 2016 - March 2017		1,401		(1,324,240	)		(1.00	)%
Other commodity				(4,643,919	)		(3.49	)%
Foreign index				260,529			0.20	%
Fed fund 30 day October 2016		50,924		13,767,685			10.36	%
Fed fund 30 day November 2016		140		40,837			0.03	%
Other interest rate				448,946			0.34	%
U.S. bond				626,875			0.47	%
Total futures				26,191,473			19.71	%

Forwards
Chinese yuan / U.S. dollar 10/12/2016 – 06/13/2017	CNY	6,099,653,901		(4,071,239	)		(3.06	)%
Other foreign currency				67,220			0.05	%
Total forwards				(4,004,019	)		(3.01	)%

Options (cost $117,145,741)
Coffee Robusta 10TN November 2016, $1,800.00 - $2,100.00 Call		2		1,190,000			0.90	%
Coffee Robusta 10TN November 2016, $1,700.00 Put		1		(360,000	)		(0.27	)%
Coffee future November 2016, $157.50 - $162.50 Call		2		174,750			0.13	%
Crude Oil future November 2016 - December 2016, $40.00 - $45.00 Put		4		960,500			0.72	%
Crude Oil future November 2016 - March 2017, $47.50 - $100.00 Call		5		8,582,500			6.46	%
Natural Gas Euro January 2017, $3.75 Call		1		1,195,000			0.90	%
Natural Gas Euro November 2016, $2.70 - $3.05 Put		4		4,580,000			3.45	%
Other commodity futures				10,654,832			8.01	%
U.S. dollar / Chinese yuan 10/03/2016 - 02/24/2017, $6.60 - $7.60 Call		7		1,579,621			1.19	%
Other currency				15,508,226			11.66	%
IMM Eurodollar June 2017, $99.00 Put		1		21,000,000			15.80	%
IMM Eurodollar June 2017, $98.63 Put		1		3,500,000			2.63	%
IMM Eurodollar October 2016 - March 2017, $99.25 - $99.50 Call		3		578,125			0.44	%
Other interest rate future				(2,782,113	)		(2.09	)%
U.S. bond future				543,750			0.41	%
U.S. index				1,842,660			1.39	%
Total options				68,747,851			51.73	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of ~~June~~September 30, 2016.

Description
Number of
Contracts /
Notional Amounts
Fair Value
Percentage of
Members’
Capital of
Master Fund

Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Soybean November 2016 250 $ 300,963 0.19 %
Soybean August 2016 5,000 (823,663 ) (0.53 )%
Gold August 2016 1,162 1,422,210 0.91 %
Other commodity 1,397,915 0.90 %
Foreign bond 2,606 0.00 %
Foreign index (432,775 ) (0.28 )%
Fed fund 30 day August 2016 47,228 9,985,653 6.41 %
Fed fund 30 day July 2016 20,207 6,092,935 3.91 %
U.S. bond 3,134,453 2.01 %
U.S. index 366,010 0.24 %
Total futures 21,446,307 13.76 %

Forwards
Euro / U.S. dollar 07/05/2016 - 09/06/2016 EUR 719,837,049 (10,250,621 ) (6.57 )%
Chinese yuan / U.S. dollar 07/15/2016 - 02/06/2017 CNY 6,042,963,967 (8,802,636 ) (5.65 )%
Japanese yen / U.S. dollar 07/05/2016 JPY 4,107,708,000 (217,399 ) (0.14 )%
Other foreign currency 1,965,752 1.26 %
Total forwards (17,304,904 ) (11.10 )%

Options (cost $103,883,660)
Crude Oil futures option August 2016, $43.50 Put 1 375,000 0.24 %
Crude Oil futures option August 2016 - December 2016, $52.50 - $100.00 Call 4 747,670 0.48 %
Gold future option August 2016, $1,325.00 Call 1 9,877,500 6.34 %
Gold future option October 2016, $1,350.00 Call 1 1,190,000 0.76 %
Soybean futures option November 2016, $1,100.00 Call 1 27,412,500 17.59 %
Soybean futures option August 2016, $1,200.00 Call 1 400,781 0.26 %
Other commodity futures options 14,513,528 9.31 %
Euro / U.S. dollar 07/01/2016 - 02/24/2017, $1.00 - $1.18 Put 7 2,412,589 1.55 %
U.S. dollar / Chinese yuan 07/15/2016 - 02/24/2017, $6.55 - $7.60 Call 22 13,909,172 8.93 %
U.S. dollar / Japanese yen 07/29/2016 - 09/26/2016, $107.00 - $129.60 Call 3 440,702 0.28 %
U.S. dollar / Japanese yen 07/06/2016 - 08/08/2016, $99.00 - $127.02 Put 6 9,645,934 6.19 %
Other currency 11,360,475 7.29 %
Interest rate futures 520,610 0.33 %
U.S. bond futures 2,265,625 1.45 %
U.S. index futures 330,000 0.21 %
Total options 95,402,086 61.21 %

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

~~3. Investments in Master Funds (continued)~~

~~The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2016.~~

Description
Number of
Contracts / Notional
Amounts
Fair Value
Percentage
of Members’
Capital of
Master Fund

Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Soybean November 2016 (5,000 ) $ 1,467,863 0.94 %
Other commodity futures (184,438 ) (0.12 )%
Foreign index (411,370 ) (0.26 )%
Fed fund 30 Day October 2016 (31,728 ) (14,430,363 ) (9.26 )%
Fed fund 30 Day April 2017 (1,000 ) (41,670 ) (0.03 )%
Other interest rate (2,938,701 ) (1.88 )%
U.S. bond 871,766 0.56 %
U.S. index (818,438 ) (0.53 )%
Total futures (16,485,351 ) (10.58 )%

Forwards
U.S. dollar / Euro 07/05/2016 - 09/06/2016 EUR (1,299,935,858) 11,531,112 7.40 %
U.S. dollar / Chinese yuan 07/05/2016 - 06/13/2017 CNY (7,562,316,468) 7,563,173 4.85 %
U.S. dollar / Japanese yen 07/05/2016 JPY (14,982,783,566) 630,210 0.40 %
Other foreign currencies (3,499,169 ) (2.24 )%
Total forwards 16,225,326 10.41 %

Options (proceeds $105,482,162)
Crude Oil futures option October 2016 - December 2016, $45.00 - $120.00 Call (7 ) (16,684,400 ) (10.71 )%
Crude Oil futures option August 2016 - December 2016, $35.00 - $46.00 Put (8 ) (9,767,500 ) (6.27 )%
Gold futures option August 2016 - October 2016, $1,400.00 - $1,425.00 Call (3 ) (5,392,500 ) (3.46 )%
Gold futures option August 2016, $1,275.00 Put (1 ) (540,000 ) (0.35 )%
Soybean futures option November 2016, $1,300.00 Call (1 ) (7,800,000 ) (5.00 )%
Soybean futures option August 2016, $1,250.00 Call (1 ) (375,000 ) (0.24 )%
Soybean futures option August 2016, $1,100.00 Put (1 ) (140,625 ) (0.09 )%
Other commodity futures (10,222,098 ) (6.55 )%
Euro / U.S. dollar 07/01/16 - 01/10/17, $1.00 - $1.10 Put (4 ) (992,991 ) (0.64 )%
U.S. dollar / Chinese yuan 08/12/16 - 02/24/17, $6.70 - $7.40 Call (19 ) (7,944,926 ) (5.10 )%
U.S. dollar / Chinese yuan 08/26/16, $6.37 Put (1 ) (38,407 ) (0.02 )%
U.S. dollar / Japanese yen 07/06/16 - 08/01/16, $100.00 - $107.02 Put (5 ) (9,806,810 ) (6.29 )%
Other currency (4,115,662 ) (2.64 )%
Interest rate futures (312,500 ) (0.20 )%
U.S. bond futures (1,156,250 ) (0.74 )%
U.S. index futures (120,000 ) (0.08 )%
Total options (75,409,669 ) (48.38 )%
Total derivative financial instruments $ 23,873,795 15.32 %

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Natural Gas November 2016		(2,000	)	$	2,020,030			1.52	%
Other commodity					(3,938,239	)		(2.96	)%
Foreign bond					156,805			0.12	%
Foreign index					(104,518	)		(0.08	)%
Fed fund 30 Day November 2016		(41,978	)		(10,522,925	)		(7.92	)%
Fed fund 30 Day January 2017		(3,142	)		196,766			0.15	%
Other Interest rate					(1,963,783	)		(1.48	)%
U.S. bond					4,261,570			3.21	%
U.S. index					(51,725	)		(0.04	)%
Total futures					(9,946,019	)		(7.48	)%

Forwards
U.S. dollar / Chinese yuan 07/05/2016 - 06/13/2017	CNY	(7,046,712,529	)		3,182,833			2.40	%
Other foreign currencies					(386,229	)		(0.30	)%
Total forwards					2,796,604			2.10	%

Options (proceeds $101,112,732)
Coffee Robusta 10TN November 2016, $1,600.00 Put		1			330,000			0.25	%
Coffee Robusta 10TN November 2016, $1,900.00 - $2,100.00 Call		2			(1,335,000	)		(1.00	)%
Coffee future November 2016, $165.00 - $175.00 Call		2			(113,438	)		(0.09	)%
Crude oil future November 2016 - January 2017, $45.00 - $120.00 Call		8			(21,182,500	)		(15.94	)%
Crude oil future November 2016 - June 2017, $40.00 - $52.50 Put		8			(9,680,340	)		(7.28	)%
Natural Gas Euro November 2016 - January 2017, $2.50 - $2.90 Put		5			(4,119,500	)		(3.10	)%
Natural Gas Euro November 2016 - January 2017, $3.30 - $4.75 Call		3			(720,000	)		(0.54	)%
Other commodity futures					(7,592,970	)		(5.71	)%
U.S. dollar / Chinese yuan 11/03/2016 - 02/24/2017, $7.05 - $7.30 Call		5			(172,164	)		(0.13	)%
Other currency					(4,905,758	)		(3.69	)%
IMM Eurodollar June 2017, $98.88 Put		1			(12,250,000	)		(9.22	)%
IMM Eurodollar June 2017, $98.75 Put		1			(6,562,500	)		(4.94	)%
IMM Eurodollar March 2017, $98.63 Call		1			(46,875	)		(0.04	)%
Interest rate future					4,298,081			3.23	%
U.S. index					(189,725	)		(0.14	)%
Total options					(64,242,689	)		(48.34	)%
Total derivative financial instruments				$	19,543,201			14.71	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of ~~June~~September 30, 2016.

Description	Number of Contracts/Notional Amounts			Fair Value			Percentage of Net Assets of Master Fund					Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Commodity				$	5,190,464			4.83	%
Copper December 2016										1		$	283			0.00	%
KC HRW Wheat December 2016										1			(131	)		0.00	%
LME Copper December 2016										150			441,737			0.54	%
Wheat December 2016										25			(135,568	)		(0.17	)%
Other commodity													2,832,870			3.45	%
Currency					66,468			0.06	%				42,888			0.05	%
Foreign bond					13,685,374			12.73	%				3,479,296			4.25	%
Foreign index					2,550,896			2.37	%				1,027,008			1.25	%
Interest rate					1,761,445			1.64	%				547,296			0.67	%
U.S. 2yr – 5yr note September 2016		3,672			2,608,939			2.43	%
U.S. 10yr note September 2016		2,551			6,945,033			6.46	%
U.S. long bond September 2016		795			4,706,606			4.38	%
U.S. bond													(12,249	)		(0.01	)%
U.S. index					(2,332,883	)		(2.17	)%				1,047,331			1.28	%
Total futures					35,182,342			32.73	%				9,270,761			11.31	%

Forwards
Japanese yen / U.S. dollar 07/05/2016 – 09/21/2016	JPY 24,499,828,949				6,630,111			6.17	%
British pound / U.S. dollar 07/05/2016 – 09/21/2016	GBP 158,573,000				(21,122,127	)		(19.65	)%
Other foreign currency					(1,800,920	)		(1.68	)%				4,565,465			5.57	%
Total forwards					(16,292,936	)		(15.16	)%				4,565,465			5.57	%

Short contracts
Futures
Commodity					(6,638,472	)		(6.18	)%
Copper December 2016										(32	)		(56,462	)		(0.07	)%
KC HRW Wheat December 2016										(500	)		2,046,015			2.50	%
LME Copper December 2016										(806	)		(4,307,110	)		(5.26	)%
Wheat December 2016										(1,077	)		3,706,313			4.52	%
Other commodity													(5,407,961	)		(6.58	)%
Currency					(30,349	)		(0.03	)%				(94,676	)		(0.12	)%
Foreign bond					(939,594	)		(0.87	)%				(302,180	)		(0.37	)%
Foreign index					3,521,380			3.28	%				(1,251,673	)		(1.53	)%
Interest rate					(1,303,611	)		(1.21	)%				(596,981	)		(0.73	)%
U.S. 2yr – 5yr note September 2016		(3,253	)		(4,683,485	)		(4.36	)%
U.S. long bond September 2016		(49	)		37,364			0.03	%
U.S. bond													(5,423	)		(0.01	)%
U.S. index					(10,197	)		(0.01	)%				(18,683	)		(0.02	)%
Total futures					(10,046,964	)		(9.35	)%				(6,288,821	)		(7.67	)%

Forwards
Japanese yen / U.S. dollar 07/05/2016 – 09/21/2016	JPY (6,166,142,000)				127,878			0.12	%
British pound / U.S. dollar 07/05/2016 – 09/21/2016	GBP (205,427,063)				18,513,692			17.22	%
Other foreign currency					6,572,585			6.12	%				1,113,703			1.36	%
Total forwards					25,214,155			23.46	%				1,113,703			1.36	%
Total derivative financial instruments				$	34,056,597			31.68	%			$	8,661,108			10.57	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of ~~June~~September 30, 2016:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.			Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	8,696,735		$	17,036,439		$	22,962,295		$	11,703,138
Commodity futures options		54,516,979			-			27,727,582			-
Currency futures		-			406,503			-			71,807
Foreign bond futures		2,606			13,685,374			369,656			3,638,680
Foreign index futures		302,849			6,845,678			260,529			1,646,841
Interest rate futures		16,125,279			1,761,445			15,004,070			654,919
Interest rate futures options		1,125,000			-			30,688,706			-
U.S. bond futures		4,363,157			14,297,942			4,910,664			142,270
U.S. bond futures options		2,265,625			-			543,750			-
U.S. index futures		366,010			-			14,375			1,407,266
U.S. index futures options		330,000			-			1,842,660			-
Total Level 1		88,094,240			54,033,381			104,324,287			19,264,921

Level 2:
Foreign currency forwards		41,026,684			32,846,073			15,329,748			8,007,893
Foreign currency options		37,768,871			-			17,087,846			-
Total Level 2		78,795,555			32,846,073			32,417,594			8,007,893
Total investment related assets	$	166,889,795		$	86,879,454		$	136,741,881		$	27,272,814

Liabilities
Level 1:
Commodity futures	$	(5,115,885	)	$	(18,484,447	)	$	(13,833,903	)	$	(12,583,152	)
Commodity futures options		(50,922,123	)		-			(45,163,748	)		-
Currency futures		-			(370,384	)		-			(123,595	)
Foreign bond futures		-			(939,594	)		(212,851	)		(461,564	)
Foreign index futures		(1,146,994	)		(773,402	)		(104,518	)		(1,871,506	)
Interest rate futures		(17,457,425	)		(1,303,611	)		(13,036,544	)		(704,604	)
Interest rate futures options		(916,890	)		-			(22,953,988	)		-
U.S. bond futures		(356,938	)		(4,683,485	)		(22,219	)		(159,942	)
U.S. bond futures options		(1,156,250	)		-
U.S. index futures		(818,438	)		(2,343,080	)		(66,100	)		(378,618	)
U.S. index futures options		(120,000	)		-			(189,725	)		-
Total Level 1		(78,010,943	)		(28,898,003	)		(95,583,596	)		(16,282,981	)

Level 2:
Foreign currency forwards		(42,106,262	)		(23,924,854	)		(16,537,163	)		(2,328,725	)
Foreign currency options		(22,898,795	)		-			(5,077,921	)		-
Total Level 2		(65,005,057	)		(23,924,854	)		(21,615,084	)		(2,328,725	)
Total investment related liabilities	$	(143,016,000	)	$	(52,822,857	)	$	(117,198,680	)	$	(18,611,706	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the ~~six~~nine months ended ~~June~~September 30, 2016. The table also displays the fair value of derivative contracts held by the Master Funds at ~~June~~September 30, 2016 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

		Graham Commodity Strategies LLC																Graham Commodity Strategies 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		$	607,529,446		17,106	$	(391,413,863	)		(8,835	)	$	8,696,735	$	(5,115,885	)		$	603,523,395		18,815	$	(383,616,509	)		(10,125	)	$	22,962,295	$	(13,833,903	)
Options(a)			715,954,010		37,179		(425,855,297	)		(21,750	)		54,516,979		(50,922,123	)			623,134,249		40,675		(420,764,793	)		(25,158	)		27,727,582		(45,163,748	)
Swaps(b)			27,685,864		595		-			-			-		-				27,685,864		595		-			-			-		-
			1,351,169,320		54,880		(817,269,160	)		(30,585	)		63,213,714		(56,038,008	)			1,254,343,508		60,085		(804,381,302	)		(35,283	)		50,689,877		(58,997,651	)
Equity price
Futures			98,467,488		1,206		(70,359,720	)		(986	)		668,859		(1,965,432	)			86,794,800		1,028		(57,620,758	)		(807	)		274,904		(170,618	)
Options(a)			30,644,426		7,125		(8,528,506	)		(2,250	)		330,000		(120,000	)			59,269,823		8,864		(10,604,221	)		(6,163	)		1,842,660		(189,725	)
			129,111,914		8,331		(78,888,226	)		(3,236	)		998,859		(2,085,432	)			146,064,623		9,892		(68,224,979	)		(6,970	)		2,117,564		(360,343	)
Foreign currency exchange rate	Foreign currency exchange rate																Foreign currency exchange rate
Forwards			9,725,885,810		N/A		(4,338,620,439	)		N/A			41,026,684		(42,106,262	)			12,139,450,814		N/A		(3,412,941,630	)		N/A			15,329,748		(16,537,163	)
Options(a)			1,522,097,750		59		(1,241,945,137	)		(56	)		37,768,871		(22,898,795	)			1,182,080,118		51		(1,010,560,791	)		(52	)		17,087,846		(5,077,921	)
			11,247,983,560		59		(5,580,565,576	)		(56	)		78,795,555		(65,005,057	)			13,321,530,932		51		(4,423,502,421	)		(52	)		32,417,594		(21,615,084	)
Interest rate
Futures			21,084,895,288		68,829		(8,672,618,014	)		(24,282	)		20,491,042		(17,814,363	)			23,057,674,406		73,582		(14,339,505,209	)		(43,486	)		20,284,390		(13,271,614	)
Options(a)			2,819,629,079		100,500		(2,823,493,989	)		(82,000	)		3,390,625		(2,073,140	)			5,862,937,807		147,033		(6,154,493,332	)		(115,000	)		31,232,456		(22,953,988	)
Swaps(b)			559,814		1		(2,624,769	)		(2	)		-		-				559,814		1		(2,624,769	)		(2	)		-		-
			23,905,084,181		169,330		(11,498,736,772	)		(106,284	)		23,881,667		(19,887,503	)			28,921,172,027		220,616		(20,496,623,310	)		(158,488	)		51,516,846		(36,225,602	)
Total		$	36,633,348,975		232,600	$	(17,975,459,734	)		(140,161	)	$	166,889,795	$	(143,016,000	)		$	43,643,111,090		290,644	$	(25,792,732,012	)		(200,793	)	$	136,741,881	$	(117,198,680	)

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

(b)

– Notional amounts and number of contracts for these swaps are calculated based on the average amount of each swap transaction that occurred during the ~~six~~nine months ended ~~June~~September 30, 2016, as a result of no open contracts at any quarter end.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at ~~June~~September 30, 2016 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Graham Commodity Strategies LLC¹

¹Net derivative asset and liability amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has pledged offsetting collateral to one of those counterparties as of ~~June~~September 30, 2016. At ~~June~~September 30, 2016, additional collateral pledged in the amount of ~~$119,013,033~~$97,683,946 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

²Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. The Master Fund did not receive collateral from of these counterparties that may have been used to offset these derivative amounts as of ~~June~~September 30, 2016. At ~~June~~September 30, 2016, additional collateral pledged in the amount of ~~$72,712,384~~$72,595,138 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended ~~June~~September 30, 2016:

The following table summarizes the results of operations of each Master Fund for the ~~six~~nine months ended ~~June~~September 30, 2016:

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized ~~loss~~gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended ~~June~~September 30, 2016:

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2015:

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Contracts / Notional

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Contracts / Notional

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

~~3. Investments in Master Funds (continued)~~

Contracts / Notional

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2015:

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2015 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Graham Commodity Strategies LLC¹

Graham K4D Trading Ltd.²

¹Net derivative asset and liability amounts presented in the statement of financial condition are held with five counterparties. The Master Fund has pledged offsetting collateral to one of those counterparties as of December 31, 2015. At December 31, 2015, additional collateral pledged in the amount of $63,779,068 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

²Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. The Master Fund did not receive collateral from of these counterparties that may have been used to offset these derivative amounts as of December 31, 2015. At December 31, 2015, additional collateral pledged in the amount of $100,917,683 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the ~~year~~three months ended ~~December~~September 31, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.			Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment income (loss)	$	18,652		$	(124,700	)
Net investment loss							$	(4,388	)	$	(44,412	)

Net realized gain on investments		70,189,877			91,533,151
Net decrease in unrealized appreciation on investments		(50,162,298	)		(50,295,170	)
Net realized gain (loss) on investments								28,678,398			(41,190,734	)
Net increase in unrealized appreciation on investments								11,531,326			43,124,082
Brokerage commissions and fees		(17,331,586	)		(1,159,521	)		(4,912,053	)		(258,275	)
Net gain on investments		2,695,993			40,078,460			35,297,671			1,675,073
Net income	$	2,714,645		$	39,953,760		$	35,293,283		$	1,630,661

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.

Net investment loss	$	(12,984	)	$	(84,887	)

Net realized gain on investments		89,311,622			68,467,140
Net decrease in unrealized appreciation on investments		(25,911,987	)		(26,169,980	)
Brokerage commissions and fees		(13,004,452	)		(896,587	)
Net gain on investments		50,395,183			41,400,573
Net income	$	50,382,199		$	41,315,686

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the ~~year~~three months ended ~~December 31,~~September 30, 2015:

Graham
Commodity
Strategies LLC

Graham
K4D Trading
Ltd.

Commodity price
Futures $ 7,461,370 $ 34,713,887
Options (16,246,281 ) -
Swaps (79,938 ) -
(8,864,849 ) 34,713,887
Equity price
Equities (116,500 ) (305,500 )
Futures 29,023,886 695,389
Options (8,300,588 ) -
20,606,798 389,889
Foreign currency exchange rate
Forwards 40,840,293 23,190,075
Futures - 442,172
Options (4,923,365 ) -
35,916,928 23,632,247
Interest rate
Futures (22,648,710 ) (17,498,042 )
Options (168,603 ) -
Swaps (4,813,985 ) -
(27,631,298 ) (17,498,042 )
Total $ 20,027,579 $ 41,237,981

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	5,832,368		$	27,224,493
Options		6,168,921			-
		12,001,289			27,224,493
Equity price
Equities		(79,600	)		(9,750	)
Futures		22,739,059			(44,293,069	)
Options		(94,463	)		-
		22,564,996			(44,302,819	)
Foreign currency exchange rate
Forwards		19,333,324			6,874,220
Futures		-			343,341
Options		(6,894,004	)		-
		12,439,320			7,217,561
Interest rate
Futures		(1,568,765	)		11,794,113
Options		(2,181,313	)		-
Swaps		(3,045,803	)		-
		(6,795,881	)		11,794,113
Total	$	40,209,724		$	1,933,348

4647

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(9,017,587	)	$	(13,683,910	)
Options		(7,297,033	)		-
Swaps		3,572,250			-
		(12,742,370	)		(13,683,910	)
Equity price
Equities		(42,300	)		(218,000	)
Futures		31,452,562			8,850,283
Options		1,230,730			-
		32,640,992			8,632,283
Foreign currency exchange rate
Forwards		48,336,335			32,689,108
Futures		-			6,148,272
Options		3,848,412			-
		52,184,747			38,837,380
Interest rate
Futures		(3,138,720	)		8,511,407
Options		(824,774	)		-
Swaps		(4,720,240	)		-
		(8,683,734	)		8,511,407
Total	$	63,399,635		$	42,297,160

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to ~~twenty-two~~twenty-six months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three and ~~six~~nine months ended ~~June~~September 30, 2016, the total amount recognized by GAIT with respect to its investment in Cash Assets was ~~$176,984~~$177,535 and ~~$354,887,~~$532,422, respectively. For the three and ~~six~~nine months ended ~~June~~September 30, 2015, the total amount recognized by GAIT with respect to its investment in Cash Assets was ~~$132,112~~$146,750 and ~~$224,107,~~$390,857, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At ~~June~~September 30, 2016 and December 31, 2015, GAIT owned approximately ~~3.51%~~2.89% and 4.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of ~~June~~September 30, 2016 and December 31, 2015:

	June 30, 2016		December 31, 2015		September 30, 2016		December 31, 2015
Assets:
Cash and cash equivalents	$	769,396,523	$	850,874,164	$	535,844,505	$	850,874,164
Investments in fixed income securities (cost $3,407,010,957 and $2,885,317,424, respectively)		3,407,010,957		2,885,317,424
Investments in fixed income securities (cost $3,660,212,574 and $2,885,317,424, respectively)						3,660,212,574		2,885,317,424
Accrued interest receivable		5,300,203		5,861,018		7,328,855		5,861,018
Total assets		4,181,707,683		3,742,052,606		4,203,385,934		3,742,052,606

Liabilities:
Due to broker		301,413,086		-
Total liabilities		301,413,086		-

Net assets	$	3,880,294,597	$	3,742,052,606	$	4,203,385,934	$	3,742,052,606

The following table summarizes the results of operations of Cash Assets for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015:

	Three Months Ended June 30,				Six Months Ended June 30,				Three Months Ended September 30,				Nine Months Ended September 30,
	2016		2015		2016		2015		2016		2015		2016		2015
Investment income
Interest income	$	4,967,225	$	2,486,964	$	9,649,425	$	4,819,027	$	5,671,187	$	3,079,399	$	15,320,613	$	7,856,426
Total investment income		4,967,225		2,486,964		9,649,425		4,819,027		5,671,187		3,079,399		15,320,613		7,856,426

Expenses:
Bank fee expense		12,020		7,386		35,338		17,240		12,960		8,899		48,299		26,139
Total expenses		12,020		7,386		35,338		17,240		12,960		8,899		48,299		26,139
Net investment income		4,955,205		2,479,578		9,614,087		4,801,787		5,658,227		3,070,500		15,272,314		7,830,287
Net income	$	4,955,205	$	2,479,578	$	9,614,087	$	4,801,787	$	5,658,227	$	3,070,500	$	15,272,314	$	7,830,287

4749

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of ~~June~~September 30, 2016:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital			Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $3,407,010,957)
Investments in Fixed Income Securities (cost $3,660,212,574)
United States
Government Bonds (cost $3,407,010,957)
U.S. Treasury 0.38% – 3.25% due 07/07/2016 – 04/30/2018	$	3,400,000,000	$	3,407,010,957		87.80	%
Government Bonds (cost $3,660,212,574)
U.S. Treasury 0.38% – 3.25% due 10/06/2016 – 11/30/2018								$	3,650,000,000	$	3,660,212,574		87.08	%
Total Government Bonds				3,407,010,957		87.80	%				3,660,212,574		87.08	%
Total United States				3,407,010,957		87.80	%				3,660,212,574		87.08	%
Total Investments in Fixed Income Securities			$	3,407,010,957		87.80	%			$	3,660,212,574		87.08	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2015:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,885,317,424)
United States
Government Bonds (cost $2,885,317,424)
U.S. Treasury 0.25% – 3.25% due 01/15/2016 – 12/31/2017	$	2,875,000,000	$	2,885,317,424		77.11	%
Total Government Bonds				2,885,317,424		77.11	%
Total United States				2,885,317,424		77.11	%
Total Investments in Fixed Income Securities			$	2,885,317,424		77.11	%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of ~~June~~September 30, 2016 and December 31, 2015:

	June 30, 2016		December 31, 2015		September 30, 2016		December 31, 2015
Assets
Level 2:
Fixed income securities
Government Bonds	$	3,407,010,957	$	2,885,317,424	$	3,660,212,574	$	2,885,317,424
Total fixed income securities		3,407,010,957		2,885,317,424		3,660,212,574		2,885,317,424
Total Level 2		3,407,010,957		2,885,317,424		3,660,212,574		2,885,317,424
Total assets	$	3,407,010,957	$	2,885,317,424	$	3,660,212,574	$	2,885,317,424

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

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

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

~~5. Capital Accounts (continued)~~

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

Subscriptions

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

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

Redemptions

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

6. Fees and Related Party Transactions

Advisory Fees

For the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, each Class of GAIT other than Class M ~~pays~~paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% 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.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Sponsor Fees

Class	Annual Rate

Class 0	0.75%
Class 2	2.75%

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

~~6. Fees and Related Party Transactions (continued)~~

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. The Incentive Allocation was $0 and $2,920,022 for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, respectively.

Administrator’s Fee

For the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015 were ~~$108,284~~$154,756 and ~~$123,175,~~$184,141, respectively, of which ~~$17,428~~$12,700 and ~~$19,618~~$19,836 was accrued as of ~~June~~September 30, 2016 and 2015, respectively.

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.

7. Income Taxes

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

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes (continued)

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and GAIT identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2013 through 2015 or expected to be taken in GAIT’s 2016 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

8. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended ~~June~~September 30, 2016 and 2015:

	Class 0			Class 2			Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net asset value per unit, June 30, 2015							$	149.49		$	112.66
Net loss:
Net investment loss		(1.01	)		(1.34	)
Net loss on investments		(9.43	)		(7.12	)
Net loss		(10.44	)		(8.46	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

Net asset value per unit, March 31, 2016	$	143.72		$	106.68
Net income:
Net investment loss		(0.89	)		(1.18	)		(0.93	)		(1.29	)
Net gain on investments		2.06			1.52			2.07			1.57
Net income		1.17			0.34			1.14			0.28
Net asset value per unit, June 30, 2016	$	144.89		$	107.02
Net asset value per unit, September 30, 2015							$	150.63		$	112.94

~~The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three months ended June 30, 2016 and 2015:~~

Class 0 Class 2
2016 2015 2016 2015

Total return before Incentive Allocation 0.81 % (6.52 )% 0.32 % (6.99 )%
Incentive Allocation 0.00 0.00 0.00 0.00
Total return after Incentive Allocation 0.81 % (6.52 )% 0.32 % (6.99 )%

Net investment loss before Incentive Allocation (0.63 )% (0.65 )% (1.13 )% (1.15 )%
Incentive Allocation 0.00 0.00 0.00 0.00
Net investment loss after Incentive Allocation (0.63 )% (0.65 )% (1.13 )% (1.15 )%

Total expenses before Incentive Allocation 0.74 % 0.73 % 1.24 % 1.22 %
Incentive Allocation 0.00 0.00 0.00 0.00
Total expenses after Incentive Allocation 0.74 % 0.73 % 1.24 % 1.22 %

Net asset value per unit, June 30, 2016	$	144.89		$	107.02
Net loss:
Net investment loss		(0.86	)		(1.15	)
Net loss on investments		(5.18	)		(3.83	)
Net loss		(6.04	)		(4.98	)
Net asset value per unit, September 30, 2016	$	138.85		$	102.04

5153

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three months ended September 30, 2016 and 2015:

	Class 0						Class 2
	2016			2015			2016			2015

Total return before Incentive Allocation		(4.17	)%		0.76	%		(4.65	)%		0.25	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(4.17	)%		0.76	%		(4.65	)%		0.25	%

Net investment loss before Incentive Allocation		(0.61	)%		(0.62	)%		(1.10	)%		(1.14	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.61	)%		(0.62	)%		(1.10	)%		(1.14	)%

Total expenses before Incentive Allocation		0.74	%		0.70	%		1.23	%		1.23	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.74	%		0.70	%		1.23	%		1.23	%

The following is the per ~~unit~~Unit operating performance calculation for the ~~six~~nine month periods ended ~~June~~September 30, 2016 and 2015:

	Class 0			Class 2			Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2014	$	149.37		$	113.58		$	149.37		$	113.58
Net income (loss):
Net investment loss		(2.05	)		(2.74	)		(2.97	)		(4.02	)
Net gain on investments		2.17			1.82			4.23			3.38
Net income (loss)		0.12			(0.92	)		1.26			(0.64	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66
Net asset value per unit, September 30, 2015							$	150.63		$	112.94

Net asset value per unit, December 31, 2015	$	147.34		$	109.91		$	147.34		$	109.91
Net loss:
Net investment loss		(1.73	)		(2.36	)		(2.61	)		(3.51	)
Net loss on investments		(0.72	)		(0.53	)		(5.88	)		(4.36	)
Net loss		(2.45	)		(2.89	)		(8.49	)		(7.87	)
Net asset value per unit, June 30, 2016	$	144.89		$	107.02
Net asset value per unit, September 30, 2016							$	138.85		$	102.04

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the ~~six~~nine month periods ended ~~June~~September 30, 2016 and 2015:

	Class 0						Class 2						Class 0						Class 2
	2016			2015			2016			2015			2016			2015			2016			2015

Total return before Incentive Allocation		(1.66	)%		1.85	%		(2.63	)%		0.83	%		(5.76	)%		2.62	%		(7.16	)%		1.01	%
Incentive Allocation		0.00			(1.77	)		0.00			(1.64	)		0.00			(1.78	)		0.00			(1.58	)
Total return after Incentive Allocation		(1.66	)%		0.08	%		(2.63	)%		(0.81	)%		(5.76	)%		0.84	%		(7.16	)%		(0.57	)%

Net investment loss before Incentive Allocation		(1.19	)%		(1.32	)%		(2.19	)%		(2.34	)%		(1.81	)%		(1.93	)%		(3.30	)%		(3.47	)%
Incentive Allocation		0.00			(1.70	)		0.00			(1.61	)		0.00			(1.72	)		0.00			(1.60	)
Net investment loss after Incentive Allocation		(1.19	)%		(3.02	)%		(2.19	)%		(3.95	)%		(1.81	)%		(3.65	)%		(3.30	)%		(5.07	)%

Total expenses before Incentive Allocation		1.42	%		1.46	%		2.42	%		2.48	%		2.16	%		2.16	%		3.65	%		3.70	%
Incentive Allocation		0.00			1.70			0.00			1.61			0.00			1.72			0.00			1.60
Total expenses after Incentive Allocation		1.42	%		3.16	%		2.42	%		4.09	%		2.16	%		3.88	%		3.65	%		5.30	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios have not been annualized and are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015.

~~Index~~

~~Graham Alternative Investment Trading LLC~~

~~Notes to Unaudited Financial Statements (continued)~~

9. Subsequent Events

GAIT had subscriptions of approximately ~~$0.6~~$7.4 million and redemptions of approximately ~~$7.1~~$1.3 million from ~~July~~October 1, 2016 through ~~August 15,~~November 14, 2016, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

5355

Index

Item 2.

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

Forward-Looking Statements

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

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

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2015 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2016. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended ~~June~~September 30, 2016, the Blended Strategies Portfolio’s net asset value decreased by ~~$325,595~~$8,250,693 or ~~-0.4%~~-10.2%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $5,017,818 or -6.2 % and a net loss of $3,482,875 or -4.3% partially offset by total subscriptions of ~~$1,059,739~~$250,000 or ~~1.3% and net income of $501,526 of 0.6% offset by redemptions totaling $1,886,860 or -2.3%~~0.3%, for the period.

For the ~~six~~nine months ended ~~June~~September 30, 2016, the Blended Strategies Portfolio’s net asset value decreased by ~~$5,176,717~~$13,427,410 or ~~-6.0%~~-15.6%. The net decrease in the Blended Strategies Portfolio was attributable to ~~total subscriptions of $1,184,739 or 1.4% offset by~~ redemptions totaling ~~$4,706,332~~$9,724,150 or ~~-5.5%~~-11.3% and a net loss of ~~$1,655,124~~$5,137,999 or ~~-1.9%~~-6.0% partially offset by total subscriptions of $1,434,739 or 1.7%, for the period.

For the three months ended June 30, 2015, the Blended Strategies Portfolio’s net asset value decreased by $4,591,138 or -4.8%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $2,485,000 or 2.6% offset by redemptions totaling $594,265 or -0.6% and a net loss of $6,481,873 or -6.8%, for the period.

~~For the six months ended June~~September 30, 2015, the Blended Strategies Portfolio’s net asset value increased by ~~$1,551,431~~$594,530 or ~~1.7%~~0.7%. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of ~~$3,742,000~~$2,038,000 or ~~4.2%~~2.3% and net income of $540,440 or 0.6% partially offset by redemptions totaling ~~$1,912,212~~$1,983,910 or ~~-2.1%~~-2.2% , for the period.

For the nine months ended September 30, 2015, the Blended Strategies Portfolio’s net asset value increased by $2,145,961 or 2.4%. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $5,780,000 or 6.5% and a net ~~loss~~income of ~~$278,357~~$262,083 or ~~-0.3%~~0.3% partially offset by redemptions totaling $3,896,122 or -4.4%, for the period.

5456

Index

~~(i)~~

(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.

2016 Summary

Three Months Ended ~~June~~September 30, 2016

For the three months ended ~~June~~September 30, 2016, the Blended Strategies Portfolio experienced net trading ~~gains~~losses of ~~$1,243,465.~~$2,794,857. The trading results are attributable to the following sectors:

Agriculture / Softs	$	1,025,949		$	(344,327	)
Base metals		(584,255	)		(236,180	)
Energy		(386,531	)		(1,288,394	)
Equities		(1,125,662	)		1,167,485
Foreign exchange		82,044			(859,643	)
Long term / Intermediate rates		1,797,479			(1,377,447	)
Precious metals		1,152,514			(100,168	)
Short term rates		(718,073	)		243,817
	$	1,243,465		$	(2,794,857	)

The Blended Strategies Portfolio recorded a net ~~gain~~loss for the ~~second~~third quarter of 2016. ~~The majority of the gains~~Losses resulted primarily from trading commodities, particularly from positions in the energy complex with smaller losses in agricultural commodities and metals. The portfolio also experienced losses in U.S. fixed income futures as well as in foreign exchange, most notably from long positions in gold and silver as precious metals rallied with additional gains from long positions in soybeans. The portfolio also recorded gains in fixed income, primarily from long positions on the long end of the yield curve in the U.S. and Europe as bond futures rallied. Smaller profits resulted in foreign exchange, primarily from long positions in the euro, Canadian dollar and Japanese ~~yen versus the U.S. dollar. The portfolio experienced losses~~yen. Positions in equity index futures ~~primarily from positions in~~led to gains for the portfolio, including U.S., European and ~~European~~Asian benchmark indices, which offset a portion of the overall ~~gains for~~losses during the ~~period.~~quarter.

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

For the three months ended ~~June~~September 30, 2016, Advisory Fees decreased by ~~$58,869~~$67,123 or ~~-14.5%~~-16.4%, Sponsor Fees decreased by ~~$36,206~~$43,523 or ~~-11.6%~~-13.8%, and Administrator’s Fees decreased by ~~$4,944~~$7,228 or ~~-15.3%~~-22.2% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions ~~and net income~~ for the period. During the same period, interest income increased by ~~$22,500~~$18,454 or ~~32.1%~~23.6%. Interest was earned on free cash at an average annualized yield of ~~0.52%~~0.55% for the three months ended ~~June~~September 30, 2016 compared to ~~0.34%~~0.40% for the same period in 2015.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended ~~June~~September 30, 2016 and ~~June~~September 30, 2015, the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

5557

Index

~~Six Months~~Nine months Ended ~~June~~September 30, 2016

For the ~~six~~nine months ended ~~June~~September 30, 2016, the Blended Strategies Portfolio experienced net trading losses of ~~$157,675.~~$2,952,532. The trading results are attributable to the following sectors:

Agriculture / Softs	$	131,801		$	41,834
Base metals		(297,831	)		(1,012,542	)
Energy		434,409			(1,066	)
Equities		(581,970	)		(504,124	)
Foreign exchange		(417,824	)		(1,898,663	)
Long term / Intermediate rates		540,810			203,695
Precious metals		232,170			532,009
Short term rates		(199,240	)		(313,675	)
	$	(157,675	)	$	(2,952,532	)

The Blended Strategies Portfolio recorded a net loss ~~for~~year-to-date through the ~~first half~~third quarter of 2016. The portfolio has experienced losses in ~~equity index futures,~~foreign exchange, primarily from ~~positions in U.S., Asian and European benchmark indices. Losses also resulted from positions in foreign exchange, particularly from a long bias in the U.S. dollar versus~~trading the euro and Swiss franc ~~with smaller~~versus the U.S. dollar. The portfolio has recorded losses in ~~the New Zealand dollar~~commodities as profits from trading coffee, gold and ~~emerging market currencies. The portfolio recorded gains in commodities, primarily~~silver were more than offset by losses from positions across the energy complex and in ~~crude oil, natural gas, soybeans~~copper. In equity index futures, the portfolio has experienced losses from trading in U.S., European and ~~gold. Additional profits resulted~~Asian benchmark indices. In fixed income futures, gains from ~~long~~ positions on the long end of the ~~fixed income~~ yield curve in Europe and Asia ~~as bond futures rallied, which~~were more than offset ~~a portion of~~by losses from positions in the ~~overall losses for the period.~~Eurodollar.

For the ~~six~~nine months ended ~~June~~September 30, 2016, Advisory Fees decreased by ~~$101,542~~$168,665 or ~~-12.3%~~-13.7%, Sponsor Fees decreased by ~~$60,585~~$104,108 or ~~-9.6%~~-11.0%, and Administrator’s Fees decreased by ~~$8,446~~$15,674 or ~~-13.0%~~-16.0% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. During the same period, interest income increased by ~~$56,685~~$75,139 or ~~43.9%~~36.2%. Interest was earned on free cash at an average annualized yield of ~~0.50%~~0.52% for the ~~six~~nine months ended ~~June~~September 30, 2016 compared to ~~0.32%~~0.34% for the same period in 2015.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the ~~six~~nine months ended ~~June~~September 30, 2016, the Incentive Allocation decreased by $1,550,824 over the corresponding period of the preceding year. This was the result of a net loss before incentive allocation for the ~~six~~nine months ended ~~June~~September 30, 2016 compared to a net gain before incentive allocation for the ~~six~~nine months ended ~~June~~September 30, 2015.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of ~~June~~September 30, 2016 based on the fair value of the underlying assets and liabilities in each Master Fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	~~62.1~~73.9	%
Base metals	(~~13.8~~29.2	)%
Energy	(~~59.6~~60.0	)%
Equities	~~3.4~~11.1	%
Foreign exchange	~~41.1~~54.7	%
Long term / Intermediate rates	~~45.6~~28.4	%
Precious metals	~~22.6~~(10.2	)%
Short term rates	~~(1.4~~31.3	)%
	100.0	%

5658

Index

2015 Summary

Three Months Ended ~~June~~September 30, 2015

For the three months ended ~~June~~September 30, 2015, the Blended Strategies Portfolio experienced net trading ~~losses~~gains of ~~$5,592,236.~~$1,396,336. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(582,181	)	$	(900,835	)
Base metals		(518,850	)		1,113,697
Energy		(704,162	)		1,325,271
Equities		805,376			(1,948,497	)
Foreign exchange		(2,084,147	)		888,144
Long term / Intermediate rates		(1,577,542	)		93,700
Precious metals		(466,286	)		486,844
Short term rates		(464,444	)		338,012
	$	(5,592,236	)	$	1,396,336

The Blended Strategies Portfolio recorded a net ~~loss~~gain for the ~~second~~third quarter of 2015. The ~~portfolio~~Portfolio recorded ~~losses~~gains from positions in commodity futures, particularly in ~~agriculture/softs, metals,~~energy and ~~energy. The portfolio recorded losses in~~metals. In foreign exchange, trading commodity currencies versus the U.S. dollar contributed to the overall profits. In fixed income futures, the Portfolio recorded gains from positions on the short end of the yield curve in the U.S. and on the long end of the yield curve in ~~the U.S., Australia~~Europe and ~~Europe.~~Asia. Losses also resulted from the foreign exchange sector, as gains from trading the Japanese yen and New Zealand dollar versus the U.S dollar were offset by losses in the euro, British pound sterling and Australian dollar. Gains in equity index futures, most notably from long positions in Asian and European benchmark indices, offset a portion of the ~~portfolio’s losses~~Portfolio’s gains for the quarter.

For the three months ended ~~June~~September 30, 2015, Advisory Fees increased by ~~$20,055~~$28,196 or ~~5.2%~~7.4%, Sponsor Fees increased by ~~$37,881~~$39,030 or ~~13.9%~~14.1%, and Administrator’s Fees increased by ~~$2,325~~$2,484 or ~~7.7%~~8.3% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and net income partially offset by redemptions ~~and a net loss~~ for the period. During the same period, interest income increased by ~~$21,785~~$34,183 or ~~45.1%~~77.6%. Interest was earned on free cash at an average annualized yield of ~~0.34%~~0.40% for the three months ended ~~June~~September 30, 2015 compared to ~~0.25%~~0.26% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended ~~June~~September 30, 2015 ~~the portfolio experienced net trading losses. For the three months ended June 30,~~and 2014 the portfolio ~~has~~had not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

~~Six Months~~Nine months Ended ~~June~~September 30, 2015

For the ~~six~~nine months ended ~~June~~September 30, 2015, the Blended Strategies Portfolio experienced net trading gains of ~~$3,038,738.~~$4,435,074. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(397,908	)	$	(1,275,302	)
Base metals		(614,617	)		453,498
Energy		(1,112,861	)		152,445
Equities		3,338,333			1,503,537
Foreign exchange		3,231,969			4,139,604
Long term / Intermediate rates		(474,203	)		(390,676	)
Precious metals		(1,034,534	)		(579,106	)
Short term rates		102,559			431,074
	$	3,038,738		$	4,435,074

5759

Index

The Blended Strategies Portfolio posted a net gain ~~for~~through the ~~first half~~third quarter of 2015. The ~~portfolio~~Portfolio recorded gains from foreign exchange trading, most notably from a long bias in the U.S. dollar versus the euro and commodity currencies. Gains also resulted from positions in equity index futures, particularly in Asia and ~~Europe as equities rallied during the first half of the year.~~Europe. Profits in European fixed income futures were offset by losses in the U.S. ~~The portfolio recorded~~and Australia. In commodity futures, losses in ~~metals, energy and~~ agricultural commodities, ~~which~~most notably in soybeans and corn, offset ~~a portion of~~ the ~~gains.~~gains in metals and energy, in particular aluminum and crude oil.

For the ~~six~~nine months ended ~~June~~September 30, 2015, Advisory Fees increased by ~~$38,371~~$66,567 or ~~4.9%~~5.7%, Sponsor Fees increased by ~~$86,635~~$125,665 or ~~16.0%~~15.4%, and Administrator’s Fees increased by ~~$5,434~~$7,918 or ~~9.1%~~8.8% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and net income partially offset by redemptions ~~and a net loss~~ for the period. During the same period, interest income increased by ~~$32,014~~$66,197 or ~~32.9%~~46.9%. Interest was earned on free cash at an average annualized yield of ~~0.32%~~0.34% for the ~~six~~nine months ended ~~June~~September 30, 2015 compared to 0.25% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the ~~six~~nine months ended ~~June~~September 30, 2015 the Incentive Allocation increased by $1,550,824. This was the result of a higher net gain before incentive allocation for the ~~six~~nine months ended ~~June~~September 30, 2015 compared to the ~~six~~nine months ended ~~June~~September 30, 2014. For the ~~six~~nine months ended ~~June~~September 30, 2014, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for that period.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of ~~June~~September 30, 2015 based on the fair value of the underlying assets and liabilities in each ~~Master Fund~~master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	~~69.1~~7.9	%
Base metals	~~14.8~~3.2	%
Energy	~~6.9~~19.8	%
Equities	~~22.0~~3.3	%
Foreign exchange	~~14.2~~16.2	%
Long term / Intermediate rates	~~(12.1~~28.4	)%
Precious metals	~~(11.7~~8.0	)%
Short term rates	~~(3.2~~13.2	)%
	100.0	%

Variables Affecting Performance

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

5860

Index

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

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

(ii) Liquidity

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

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

	Blended Strategies Portfolio
~~June~~September 30, 2016		~~11.82~~10.46	%
December 31, 2015		10.48	%
~~June~~September 30, 2015		~~10.15~~10.88	%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through ~~June~~September 30, 2016, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii) Capital Resources

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

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

5961

Index

(iv) Critical Accounting Policies

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

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

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

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

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

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

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

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

6062

Index

(v) Off-Balance Sheet Arrangements

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

6163

Index

Item 3.

Quantitative and Qualitative Disclosures about Market Risk

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

6264

Index

Item 4.

Controls and Procedures

Evaluation of Disclosure Control and Procedures

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

Based on their evaluation as of ~~June~~September 30, 2016, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal control over financial reporting during the ~~second~~third quarter of 2016 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

6365

Index

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None

Item 1A.

Risk Factors

Not Required

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended ~~June~~September 30, 2016, the Fund issued ~~9,009.588~~2,336.094 Units in exchange for ~~$1,059,739~~$250,000 with respect to the Blended Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.D, and are Members of the Fund.

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

Period (as of)		Blended Strategies Portfolio Total Number of Units Issued
~~April 2016~~	~~4,456.851~~
~~May~~July 2016	~~3,826.701~~		2,336.094
~~June~~August 2016	~~726.036~~		0.000
September 2016			0.000

Issuer Purchases of Units

Date
(a)   Total
Number of
Units
Purchased¹

(b)   Average
Price Paid
per Unit
(c)   Total Number of
Units Purchased
as Part of Publicly
Announced Plans
or Programs
(d)   Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
April 1 - April 30, 2016 7,376. 633 130.38 N/A N/A
May 1 - May 31, 2016 4,290. 776 125.45 N/A N/A
June 1 - June 30, 2016 3,021. 607 128.03 N/A N/A
TOTAL 14,689. 016 128.45 N/A N/A

Date

(a) Total

Number of

Units

Purchased¹

(b) Average

Price Paid

per Unit

Units Purchased

as Part of Publicly

Announced Plans

or Programs

(d) Maximum Number

of Approximate

Dollar Value of

Units that May Yet

Be Purchased

Under the Plans or

Programs

July 1 - July 31, 2016

3,838.600

134.55

N/A

August 1 - August 31, 2016

16,673.063

133.33

N/A

September 1 - September 30, 2016

17,000.588

134.02

N/A

TOTAL

37,512.251

133.77

N/A

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

Item 3.

Defaults Upon Senior Securities – None

Item 4.

Mine Safety Disclosures – None

Item 5.

Other Information – None

6466

Index

Item 6.

Exhibits

** 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
* 3.2	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
* 4.1	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
** 10.1	Form of Subscription Agreement
** 10.2	Form of Placement Agreement
*** 10.10	Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.
**** 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
**** 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
**** 32.1	Section 1350 Certification (Certification of Principal Executive Officer and Chief Financial Officer)
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema
101.CAL	XBRL Taxonomy Extension Calculation Linkbase
101.DEF	XBRL Taxonomy Extension Definition Linkbase
101.LAB	XBRL Taxonomy Extension Label Linkbase
101.PRE	XBRL Taxonomy Extension Presentation Linkbase

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

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


	***	Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010


	****	Filed herewith

6567

Index

SIGNATURES

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

Dated: ~~August 15,~~November 14, 2016	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO

	By:	GRAHAM CAPITAL MANAGEMENT, L.P.
		its Manager

~~By:~~	~~/s/ Paul Sedlack~~
		~~Paul Sedlack, Principal Executive Officer~~

By:	/s/ ~~Brian Douglas~~Paul Sedlack
	Paul Sedlack, Principal Executive Officer

By:	/s/ Brian Douglas
	Brian Douglas, Chief Financial Officer

6668

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


Large accelerated filer ☐		Accelerated filer ☐		Non-accelerated filer ☐		Smaller reporting company ☒

	June 30, 2016 (Unaudited)		December 31, 2015 (Audited)		September 30, 2016 (Unaudited)		December 31, 2015 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	80,754,594	$	85,931,311	$	72,503,901	$	85,931,311
Redemption receivable from Graham Alternative Investment Trading LLC		386,843		2,938,722		2,278,329		2,938,722
Total assets	$	81,141,437	$	88,870,033	$	74,782,230	$	88,870,033

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	386,843	$	2,938,722	$	2,278,329	$	2,938,722
Total liabilities		386,843		2,938,722		2,278,329		2,938,722

Members’ capital:
Class 0 Units (380,760.834 and 400,877.751 units issued and outstanding at $144.89 and $147.34, respectively)		55,169,402		59,064,584
Class 2 Units (239,077.826 and 244,435.571 units issued and outstanding at $107.02 and $109.91, respectively)		25,585,192		26,866,727
Class 0 Units (348,964.783 and 400,877.751 units issued and outstanding at $138.85 and $147.34, respectively)						48,453,860		59,064,584
Class 2 Units (235,697.740 and 244,435.571 units issued and outstanding at $102.04 and $109.91, respectively)						24,050,041		26,866,727
Total members’ capital		80,754,594		85,931,311		72,503,901		85,931,311
Total liabilities and members’ capital	$	81,141,437	$	88,870,033	$	74,782,230	$	88,870,033

	Three Months Ended June 30,						Six Months Ended June 30,						Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015			2016			2015			2016			2015
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
Net realized gain (loss) on investments	$	(599,409	)	$	(3,006,604	)	$	(2,613,220	)	$	7,873,404
Net increase (decrease) in unrealized appreciation on investments		1,842,874			(2,585,632	)		2,455,545			(4,834,666	)
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC
Net realized (loss) gain on investments													$	(660,454	)	$	(1,288,243	)	$	(3,273,674	)	$	6,585,161
Net (decrease) increase in unrealized appreciation on investments														(2,134,403	)		2,684,579			321,142			(2,150,087	)
Brokerage commissions and fees		(118,677	)		(145,457	)		(255,794	)		(262,251	)		(102,309	)		(150,503	)		(358,103	)		(412,754	)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC		1,124,788			(5,737,693	)		(413,469	)		2,776,487
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC														(2,897,166	)		1,245,833			(3,310,635	)		4,022,320

Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
Investment income
Interest income		92,637			70,137			185,874			129,189			96,714			78,260			282,588			207,449

Expenses
Advisory fees		348,452			407,321			721,104			822,646			341,242			408,365			1,062,346			1,231,011
Sponsor fees		275,133			311,339			568,222			628,807			271,441			314,964			839,663			943,771
Professional fees and other		64,920			63,319			81,483			116,590			44,456			27,812			125,939			144,402
Administrator’s fees		27,394			32,338			56,720			65,166			25,284			32,512			82,004			97,678
Incentive allocation		-			-			-			1,550,824			-			-			-			1,550,824
Total expenses		715,899			814,317			1,427,529			3,184,033			682,423			783,653			2,109,952			3,967,686
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(623,262	)		(744,180	)		(1,241,655	)		(3,054,844	)		(585,709	)		(705,393	)		(1,827,364	)		(3,760,237	)
Net income (loss)	$	501,526		$	(6,481,873	)	$	(1,655,124	)	$	(278,357	)
Net (loss) income													$	(3,482,875	)	$	540,440		$	(5,137,999	)	$	262,083

	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, 2014		422,282.349		$	63,076,949			229,870.220		$	26,108,985		$	89,185,934			422,282.349		$	63,076,949			229,870.220		$	26,108,985		$	89,185,934
Subscriptions		15,027.939			2,372,000			11,496.267			1,370,000			3,742,000			15,793.010			2,487,000			28,404.051			3,293,000			5,780,000
Redemptions		(7,229.440	)		(1,132,890	)		(6,644.916	)		(779,322	)		(1,912,212	)		(13,187.736	)		(2,036,317	)		(16,260.113	)		(1,859,805	)		(3,896,122	)
Net loss		–			(21,341	)		–			(257,016	)		(278,357	)
Members’ capital, June 30, 2015		430,080.848		$	64,294,718			234,721.571		$	26,442,647		$	90,737,365

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

Members’ capital, December 31, 2015		400,877.751		$	59,064,584			244,435.571		$	26,866,727		$	85,931,311
Subscriptions		3,289.583			475,000			6,734.863			709,739			1,184,739
Redemptions		(23,406.500	)		(3,405,216	)		(12,092.608	)		(1,301,116	)		(4,706,332	)
Net loss					(964,966	)					(690,158	)		(1,655,124	)
Members’ capital, June 30, 2016		380,760.834		$	55,169,402			239,077.826		$	25,585,192		$	80,754,594
Net income (loss)																	–			472,020			–			(209,937	)		262,083
Members’ capital, September 30, 2015																	424,887.623		$	63,999,652			242,014.158		$	27,332,243		$	91,331,895

			Page Number

PART I - Financial Information:

	Item 1.	Financial Statements:

		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio

		Statements of Financial Condition at ~~June~~September 30, 2016 (unaudited) and December 31, 2015 (audited)	1

		Unaudited Statements of Operations for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	2

		Unaudited Statements of Changes in Members’ Capital for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	3

		Unaudited Statements of Cash Flows for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	4

		Notes to Unaudited Financial Statements	5

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at ~~June~~September 30, 2016 (unaudited) and December 31, 2015 (audited)	13

		Condensed Schedules of Investments at ~~June~~September 30, 2016 (unaudited) and December 31, 2015 (audited)	14

		Unaudited Statements of Operations and Incentive Allocation for the three and ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	15

		Unaudited Statements of Changes in Members’ Capital for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	16

		Unaudited Statements of Cash Flows for the ~~six~~nine months ended ~~June~~September 30, 2016 and 2015	17

		Notes to Unaudited Financial Statements	18

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	5456

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	6264

	Item 4.	Controls and Procedures	6365

PART II - Other Information		64	66

Exhibits

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

	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, 2014		812,590.118		$	121,377,790			408,116.011		$	46,354,391			4,671.470	$	1,129,481		$	168,861,662			812,590.118		$	121,377,790			408,116.011		$	46,354,391			4,671.470	$	1,129,481		$	168,861,662
Subscriptions		25,361.574			3,999,644			20,350.418			2,416,950			–		–			6,416,594			29,389.879			4,606,644			47,191.380			5,462,250			–		–			10,068,894
Redemptions		(22,343.169	)		(3,461,342	)		(13,567.457	)		(1,611,936	)		–		(2,920,022	)		(7,993,300	)		(31,473.366	)		(4,841,628	)		(25,319.839	)		(2,936,035	)		–		(2,920,022	)		(10,697,685	)
Incentive allocation		–			(2,147,427	)		–			(772,595	)		–		2,920,022			–			–			(2,147,427	)		–			(772,595	)		–		2,920,022			–
Net income		–			2,160,313			–			353,791			–		34,066			2,548,170			–			3,088,998			–			453,299			–		50,301			3,592,598
Members’ capital, June 30, 2015		815,608.523		$	121,928,978			414,898.972		$	46,740,601			4,671.470	$	1,163,547		$	169,833,126
Members’ capital, September 30, 2015																						810,506.631		$	122,084,377			429,987.552		$	48,561,310			4,671.470	$	1,179,782		$	171,825,469

	Six Months Ended June 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
Cash flows provided by operating activities
Net (loss) income	$	(3,180,179	)	$	2,548,170		$	(9,530,909	)	$	3,592,598
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net loss (income) allocated from investments in Master Funds		885,995			(5,297,567	)		6,186,547			(7,618,037	)
Net income allocated from investment in Graham Cash Assets LLC		(354,887	)		(244,107	)		(532,422	)		(390,857	)
Proceeds from sale of investments in Master Funds		69,612,773			92,868,066			100,726,354			133,755,383
Proceeds from sale of investments in Graham Cash Assets LLC		66,991,701			80,885,997			105,462,720			117,296,756
Investments in Master Funds		(71,189,770	)		(82,703,571	)		(103,606,856	)		(123,106,626	)
Investments in Graham Cash Assets LLC		(52,148,641	)		(79,278,086	)		(75,961,796	)		(115,699,996	)
Changes in assets and liabilities:
Accrued advisory fees		(28,403	)		(17,356	)		(54,924	)		(14,510	)
Accrued sponsor fees		(17,974	)		(12,794	)		(33,650	)		(8,857	)
Accrued professional fees		(20,377	)		(23,876	)		36,983			(24,398	)
Accrued administrator’s fee		(2,319	)		(1,261	)		(7,047	)		(1,043	)
Net cash provided by operating activities		10,547,919			8,723,615			22,685,000			7,780,413

Cash flows used in financing activities
Subscriptions		1,966,239			6,416,594			2,606,239			10,068,894
Redemptions		(12,514,158	)		(15,140,209	)		(25,291,239	)		(17,849,307	)
Net cash used in financing activities		(10,547,919	)		(8,723,615	)		(22,685,000	)		(7,780,413	)

Net change in cash and cash equivalents		–			–			–			–

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

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			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	Graham Commodity Strategies LLC¹														Graham Commodity Strategies LLC¹
Derivative assets		$	166,889,795		$	(133,380,273	)	$	33,509,522		$	-	$	33,509,522		$	136,741,881		$	(105,062,273	)	$	31,679,608		$	-	$	31,679,608
Derivative liabilities			(143,016,000	)		133,380,273			(9,635,727	)		9,635,727		-			(117,198,680	)		105,062,273			(12,136,407	)		12,136,407		-

Graham K4D Trading Ltd.²
Derivative assets		$	86,879,454		$	(52,822,857	)	$	34,056,597		$	-	$	34,056,597		$	27,272,814		$	(18,611,706	)	$	8,661,108		$	-	$	8,661,108
Derivative liabilities			(52,822,857	)		52,822,857			-			-		-			(18,611,706	)		18,611,706			-			-		-

Description		Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund			Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)	Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts (continued)
Options (proceeds $50,339,273)
U.S. dollar / Chinese yuan 11/15/2016, $6.80 Call			(1	)	$	(10,761,400	)		(8.65	)%
Other U.S. dollar / Chinese yuan 03/2/2016 - 12/1/2016, $6.90 - $7.40 Call			(9	)		(14,075,595	)		(11.31	)%
U.S. dollar / Chinese yuan 11/15/16, $6.80 Call												(1	)	$	(10,761,400	)		(8.65	)%
Other U.S. dollar / Chinese yuan 03/2/16 - 12/1/16, $6.90 - $7.40 Call												(9	)		(14,075,595	)		(11.31	)%
British pound / U.S dollar 02/01/2016, $1.47 Put			(1	)		(1,394,550	)		(1.12	)%		(1	)		(1,394,550	)		(1.12	)%
British pound / U.S dollar 12/23/2016, $1.60 Call			(1	)		(3,141,080	)		(2.53	)%		(1	)		(3,141,080	)		(2.53	)%
Other currency options						(2,016,995	)		(1.62	)%					(2,016,995	)		(1.62	)%
Copper LME May 2016 - May 2016, $4,000.00 - $4,200.00 Put			(2	)		(817,625	)		(0.66	)%		(2	)		(817,625	)		(0.66	)%
Crude oil February 2016 - December 2016, $42.50 - $120.00 Call			(3	)		(710,000	)		(0.57	)%		(3	)		(710,000	)		(0.57	)%
Crude oil February 2016 - December 2016, $32.50 - $40.00 Put			(4	)		(5,177,500	)		(4.16	)%		(4	)		(5,177,500	)		(4.16	)%
Natural gas Euro February 2016, $2.55 Call			(1	)		(1,390,000	)		(1.12	)%		(1	)		(1,390,000	)		(1.12	)%
Natural gas Euro March 2016, $1.75 Put			(1	)		(1,235,000	)		(0.99	)%		(1	)		(1,235,000	)		(0.99	)%
Other commodity futures						(686,120	)		(0.55	)%					(686,120	)		(0.55	)%
IMM Eurodollar January 2016 - March 2016, $99.13 - $99.38 Put			(3	)		(4,118,750	)		(3.31	)%		(3	)		(4,118,750	)		(3.31	)%
Eurodollar 1 year mid-curve January 2016 $98.38 Put			(1	)		(37,500	)		(0.03	)%		(1	)		(37,500	)		(0.03	)%
Other interest rate futures						(6,083,820	)		(4.89	)%					(6,083,820	)		(4.89	)%
U.S. bond futures						(1,679,281	)		(1.35	)%					(1,679,281	)		(1.35	)%
Total options						(53,325,216	)		(42.86	)%					(53,325,216	)		(42.86	)%
Total derivative financial instruments					$	57,635,416			46.33	%				$	57,635,416			46.33	%

Date	(a) Total Number of Units Purchased¹		(b) Average Price Paid per Unit	(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs	(d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs
April 1 - April 30, 2016	7,376.	633	130.38	N/A	N/A
May 1 - May 31, 2016	4,290.	776	125.45	N/A	N/A
June 1 - June 30, 2016	3,021.	607	128.03	N/A	N/A
TOTAL	14,689.	016	128.45	N/A	N/A