Delaware | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | |||
None | N/A | None |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☐ | Smaller reporting company ☒ | Emerging Growth company ☐ |
Page Number | |||
PART I - Financial Information: | |||
Item 1. | |||
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio | |||
1 | |||
2 | |||
3 | |||
5 | |||
6 | |||
Graham Alternative Investment Trading LLC | |||
15 | |||
16 | |||
17 | |||
Item 2. | |||
Item 3. | |||
Item 4. |
69 | |
Certification | |||
Certification | |||
Certification |
September 30, 2017 (Unaudited) | December 31, 2016 (Audited) | September 30, 2020 (Unaudited) | December 31, 2019 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 57,346,551 | $ | 72,903,383 | $ | 28,640,205 | $ | 26,882,563 | ||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 1,791,113 | 1,207,986 | ||||||||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 26,000 | 144,707 | ||||||||||||||
Total assets | $ | 59,137,664 | $ | 74,111,369 | $ | 28,666,205 | $ | 27,027,270 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 1,791,113 | $ | 1,207,986 | ||||||||||||
Redemptions payable | $ | 26,000 | $ | 144,707 | ||||||||||||
Total liabilities | 1,791,113 | 1,207,986 | 26,000 | 144,707 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (274,944.559 and 331,592.087 units issued and outstanding at $138.81 and $146.92, respectively) | 38,164,984 | 48,718,754 | ||||||||||||||
Class 2 Units (190,645.279 and 225,124.868 units issued and outstanding at $100.61 and $107.43, respectively) | 19,181,567 | 24,184,629 | ||||||||||||||
Class 0 Units (101,205.423 and 103,946.549 units issued and outstanding at $167.69 and $152.04, respectively) | 16,971,588 | 15,804,368 | ||||||||||||||
Class 2 Units (96,786.798 and 102,244.827 units issued and outstanding at $120.56 and $108.35, respectively) | 11,668,617 | 11,078,195 | ||||||||||||||
Total members’ capital | 57,346,551 | 72,903,383 | 28,640,205 | 26,882,563 | ||||||||||||
Total liabilities and members’ capital | $ | 59,137,664 | $ | 74,111,369 | $ | 28,666,205 | $ | 27,027,270 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain on investment | $ | 2,609,754 | $ | 3,185,384 | $ | 3,982,112 | $ | 4,384,425 | ||||||||
Net decrease in unrealized appreciation on investment | (681,055 | ) | (1,185,505 | ) | (409,192 | ) | (452,067 | ) | ||||||||
Brokerage commissions and fees | (19,362 | ) | (55,426 | ) | (94,373 | ) | (172,712 | ) | ||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 1,909,337 | 1,944,453 | 3,478,547 | 3,759,646 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 58,061 | 145,770 | 254,825 | 440,380 | ||||||||||||
Expenses: | ||||||||||||||||
Incentive allocation | 233,979 | 187 | 307,558 | 187 | ||||||||||||
Advisory fees | 110,724 | 111,212 | 313,592 | 330,544 | ||||||||||||
Sponsor fees | 59,576 | 60,581 | 169,124 | 178,169 | ||||||||||||
Professional fees | 47,747 | 71,747 | 101,783 | 142,585 | ||||||||||||
Administrator’s fees | 9,507 | 9,482 | 27,010 | 29,021 | ||||||||||||
Interest expense | 1,703 | 1,528 | 5,048 | 4,713 | ||||||||||||
Total expenses | 463,236 | 254,737 | 924,115 | 685,219 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (405,175 | ) | (108,967 | ) | (669,290 | ) | (244,839 | ) | ||||||||
Net income | $ | 1,504,162 | $ | 1,835,486 | $ | 2,809,257 | $ | 3,514,807 |
Three months ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||
Net realized loss on investments | $ | (172,239 | ) | $ | (660,454 | ) | $ | (1,167,358 | ) | $ | (3,273,674 | ) | ||||
Net increase (decrease) in unrealized appreciation on investments | 966,686 | (2,134,403 | ) | (1,378,347 | ) | 321,142 | ||||||||||
Brokerage commissions and fees | (83,399 | ) | (102,309 | ) | (286,047 | ) | (358,103 | ) | ||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 711,048 | (2,897,166 | ) | (2,831,752 | ) | (3,310,635 | ) | |||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||
Investment income | ||||||||||||||||
Interest income | 143,541 | 96,714 | 383,046 | 282,588 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees | 231,154 | 341,242 | 823,050 | 1,062,346 | ||||||||||||
Sponsor fees | 114,638 | 271,441 | 523,795 | 839,663 | ||||||||||||
Professional fees and other | 44,409 | 44,456 | 186,879 | 125,939 | ||||||||||||
Administrator’s fees | 20,275 | 25,284 | 65,496 | 82,004 | ||||||||||||
Incentive allocation | - | - | - | - | ||||||||||||
Total expenses | 410,476 | 682,423 | 1,599,220 | 2,109,952 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (266,935 | ) | (585,709 | ) | (1,216,174 | ) | (1,827,364 | ) | ||||||||
Net income (loss) | $ | 444,113 | $ | (3,482,875 | ) | $ | (4,047,926 | ) | $ | (5,137,999 | ) |
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 | 9,070.957 | 959,739 | 1,434,739 | |||||||||||||||
Redemptions | (55,202.551 | ) | (7,835,723 | ) | (17,808.788 | ) | (1,888,427 | ) | (9,724,150 | ) | ||||||||||
Net loss | – | (3,250,001 | ) | – | (1,887,998 | ) | (5,137,999 | ) | ||||||||||||
Members’ capital, September 30, 2016 | 348,964.783 | $ | 48,453,860 | 235,697.740 | $ | 24,050,041 | $ | 72,503,901 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2016 | 331,592.087 | $ | 48,718,754 | 225,124.868 | $ | 24,184,629 | $ | 72,903,383 | ||||||||||||
Subscriptions | 13,427.913 | 1,942,500 | 2,380.376 | 250,000 | 2,192,500 | |||||||||||||||
Redemptions | (70,075.441 | ) | (9,906,945 | ) | (36,859.965 | ) | (3,794,461 | ) | (13,701,406 | ) | ||||||||||
Net loss | – | (2,589,325 | ) | – | (1,458,601 | ) | (4,047,926 | ) | ||||||||||||
Members’ capital, September 30, 2017 | 274,944.559 | $ | 38,164,984 | 190,645.279 | $ | 19,181,567 | $ | 57,346,551 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2019 | 103,946.549 | $ | 15,804,368 | 102,244.827 | $ | 11,078,195 | $ | 26,882,563 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (2,339.429 | ) | (355,086 | ) | (1,542.303 | ) | (163,815 | ) | (518,901 | ) | ||||||||||
Net income | – | 738,375 | – | 544,856 | 1,283,231 | |||||||||||||||
Members’ capital, March 31, 2020 | 101,607.120 | 16,187,657 | 100,702.524 | 11,459,236 | 27,646,893 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (401.697 | ) | (64,067 | ) | (1,135.107 | ) | (129,144 | ) | (193,211 | ) | ||||||||||
Net income (loss) | – | 22,950 | – | (1,086 | ) | 21,864 | ||||||||||||||
Members’ capital, June 30, 2020 | 101,205.423 | 16,146,540 | 99,567.417 | 11,329,006 | 27,475,546 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | – | – | (2,780.619 | ) | (339,503 | ) | (339,503 | ) | ||||||||||||
Net income | – | 825,048 | – | 679,114 | 1,504,162 | |||||||||||||||
Members’ capital, September 30, 2020 | 101,205.423 | $ | 16,971,588 | 96,786.798 | $ | 11,668,617 | $ | 28,640,205 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2018 | 137,453.802 | $ | 18,378,136 | 134,750.838 | $ | 12,936,828 | $ | 31,314,964 | ||||||||||||
Subscriptions | 564.711 | 75,000 | – | – | 75,000 | |||||||||||||||
Redemptions | (11,007.395 | ) | (1,465,554 | ) | (15,884.948 | ) | (1,509,226 | ) | (2,974,780 | ) | ||||||||||
Net loss | – | (6,281 | ) | – | (37,350 | ) | (43,631 | ) | ||||||||||||
Members’ capital, March 31, 2019 | 127,011.118 | 16,981,301 | 118,865.890 | 11,390,252 | 28,371,553 | |||||||||||||||
Subscriptions | 934.934 | 125,000 | – | – | 125,000 | |||||||||||||||
Redemptions | (16,044.659 | ) | (2,218,094 | ) | (4,461.913 | ) | (448,288 | ) | (2,666,382 | ) | ||||||||||
Net income | – | 1,025,823 | – | 697,129 | 1,722,952 | |||||||||||||||
Members’ capital, June 30, 2019 | 111,901.393 | 15,914,030 | 114,403.977 | 11,639,093 | 27,553,123 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (1,718.012 | ) | (262,230 | ) | (10,849.153 | ) | (1,176,818 | ) | (1,439,048 | ) | ||||||||||
Net income | – | 1,074,216 | – | 761,270 | 1,835,486 | |||||||||||||||
Members’ capital, September 30, 2019 | 110,183.381 | $ | 16,726,016 | 103,554.824 | $ | 11,223,545 | $ | 27,949,561 |
Nine Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net loss | $ | (4,047,926 | ) | $ | (5,137,999 | ) | ||||||||||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading LLC | 4,047,926 | 5,137,999 | ||||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 13,118,279 | 10,384,543 | ||||||||||||||
Investments in Graham Alternative Investment Trading LLC | (2,192,500 | ) | (1,434,739 | ) | ||||||||||||
Net income | $ | 2,809,257 | $ | 3,514,807 | ||||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (2,809,257 | ) | (3,514,807 | ) | ||||||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 1,170,322 | 6,290,862 | ||||||||||||||
Purchases of investment in Graham Alternative Investment Trading LLC | – | (200,000 | ) | |||||||||||||
Net cash provided by operating activities | 10,925,779 | 8,949,804 | 1,170,322 | 6,090,862 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 2,192,500 | 1,434,739 | – | 200,000 | ||||||||||||
Redemptions | (13,118,279 | ) | (10,384,543 | ) | (1,170,322 | ) | (6,290,862 | ) | ||||||||
Net cash used in financing activities | (10,925,779 | ) | (8,949,804 | ) | (1,170,322 | ) | (6,090,862 | ) | ||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of period | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of period | $ | – | $ | – | $ | – | $ | – |
Period | Class 0 | Class 2 |
For the period from January 1, 2016 through March 31, 2017 | 0.75% | 2.75% |
For the period from April 1, 2017 through June 30, 2017 | 0.75% | 1.50% |
For the period from July 1, 2017 through September 30, 2017 | 0.75% | 1.25% |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, June 30, 2016 | $ | 144.89 | $ | 107.02 | ||||
Net loss: | ||||||||
Net investment loss | (0.85 | ) | (1.15 | ) | ||||
Net loss on investments | (5.19 | ) | (3.83 | ) | ||||
Net loss | (6.04 | ) | (4.98 | ) | ||||
Net asset value per unit, September 30, 2016 | $ | 138.85 | $ | 102.04 | ||||
Net asset value per unit, June 30, 2017 | $ | 137.79 | $ | 100.07 | ||||
Net gain: | ||||||||
Net investment loss | (0.53 | ) | (0.58 | ) | ||||
Net gain on investments | 1.55 | 1.12 | ||||||
Net gain | 1.02 | 0.54 | ||||||
Net asset value per unit, September 30, 2017 | $ | 138.81 | $ | 100.61 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, June 30, 2019 | $ | 142.21 | $ | 101.74 | ||||
Net income: | ||||||||
Net investment loss | (0.44 | ) | (0.53 | ) | ||||
Net gain on investments | 10.03 | 7.17 | ||||||
Net income | 9.59 | 6.64 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net income: | ||||||||
Net investment loss | (2.90 | ) | (1.13 | ) | ||||
Net gain on investments | 11.05 | 7.91 | ||||||
Net income | 8.15 | 6.78 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Total return before Incentive Allocation | 0.74 | % | (4.17 | )% | 0.54 | % | (4.65 | )% | 6.33 | % | 6.74 | % | 6.20 | % | 6.53 | % | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | (1.22 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||||||||||||||
Total return after Incentive Allocation | 0.74 | % | (4.17 | )% | 0.54 | % | (4.65 | )% | 5.11 | % | 6.74 | % | 5.96 | % | 6.53 | % | |||||||||||||
Net investment loss before Incentive Allocation | (0.38 | )% | (0.60 | )% | (0.57 | )% | (1.10 | )% | (0.52 | )% | (0.30 | )% | (0.71 | )% | (0.50 | )% | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | (1.22 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||||||||||||||
Net investment loss after Incentive Allocation | (0.38 | )% | (0.60 | )% | (0.57 | )% | (1.10 | )% | (1.74 | )% | (0.30 | )% | (0.95 | )% | (0.50 | )% | |||||||||||||
Total expenses before Incentive Allocation | 0.62 | % | 0.73 | % | 0.81 | % | 1.22 | % | 0.72 | % | 0.80 | % | 0.92 | % | 1.02 | % | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 1.22 | 0.00 | 0.24 | 0.00 | |||||||||||||||||||||
Total expenses after Incentive Allocation | 0.62 | % | 0.73 | % | 0.81 | % | 1.22 | % | 1.94 | % | 0.80 | % | 1.16 | % | 1.02 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2015 | $ | 147.34 | $ | 109.91 | ||||
Net loss: | ||||||||
Net investment loss | (2.58 | ) | (3.51 | ) | ||||
Net loss on investments | (5.91 | ) | (4.36 | ) | ||||
Net loss | (8.49 | ) | (7.87 | ) | ||||
Net asset value per unit, September 30, 2016 | $ | 138.85 | $ | 102.04 | ||||
Net asset value per unit, December 31, 2016 | $ | 146.92 | $ | 107.43 | ||||
Net loss: | ||||||||
Net investment loss | (2.24 | ) | (2.55 | ) | ||||
Net loss on investments | (5.87 | ) | (4.27 | ) | ||||
Net loss | (8.11 | ) | (6.82 | ) | ||||
Net asset value per unit, September 30, 2017 | $ | 138.81 | $ | 100.61 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2018 | $ | 133.70 | $ | 96.01 | ||||
Net income: | ||||||||
Net investment loss | (0.85 | ) | (1.20 | ) | ||||
Net gain on investments | 18.95 | 13.57 | ||||||
Net income | 18.10 | 12.37 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | ||||||||
Net investment loss | (4.47 | ) | (2.15 | ) | ||||
Net gain on investments | 20.12 | 14.36 | ||||||
Net income | 15.65 | 12.21 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2020 | 2019 | 2020 | 2019 | ||||||||||||||||||||||
Total return before Incentive Allocation | (5.52 | )% | (5.76 | )% | (6.35 | )% | (7.16 | )% | 12.02 | % | 13.54 | % | 11.51 | % | 12.88 | % | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | (1.73 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||||||||||||||
Total return after Incentive Allocation | (5.52 | )% | (5.76 | )% | (6.35 | )% | (7.16 | )% | 10.29 | % | 13.54 | % | 11.27 | % | 12.88 | % | |||||||||||||
Net investment loss before Incentive Allocation | (1.58 | )% | (1.80 | )% | (2.47 | )% | (3.30 | )% | (1.08 | )% | (0.61 | )% | (1.65 | )% | (1.19 | )% | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | (1.73 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||||||||||||||
Net investment loss after Incentive Allocation | (1.58 | )% | (1.80 | )% | (2.47 | )% | (3.30 | )% | (2.81 | )% | (0.61 | )% | (1.89 | )% | (1.19 | )% | |||||||||||||
Total expenses before Incentive Allocation | 2.17 | % | 2.15 | % | 3.06 | % | 3.65 | % | 2.00 | % | 2.13 | % | 2.57 | % | 2.72 | % | |||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 1.73 | 0.00 | 0.24 | 0.00 | |||||||||||||||||||||
Total expenses after Incentive Allocation | 2.17 | % | 2.15 | % | 3.06 | % | 3.65 | % | 3.73 | % | 2.13 | % | 2.81 | % | 2.72 | % |
September 30, 2017 (Unaudited) | December 31, 2016 (Audited) | September 30, 2020 (Unaudited) | December 31, 2019 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investments in Master Funds, at fair value | $ | 13,999,346 | $ | 16,404,782 | $ | 5,788,259 | $ | 7,251,243 | ||||||||
Investment in Graham Cash Assets LLC, at fair value | 95,629,797 | 123,316,812 | 53,762,743 | 48,977,607 | ||||||||||||
Receivable from Master Funds | 70,673 | 45 | 53 | 167 | ||||||||||||
Total assets | $ | 109,699,816 | $ | 139,721,639 | $ | 59,551,055 | $ | 56,229,017 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 4,815,621 | $ | 1,570,542 | ||||||||||||
Redemptions payable | $ | 663,893 | $ | 386,119 | ||||||||||||
Accrued professional fees | 223,082 | 184,381 | 115,495 | 195,023 | ||||||||||||
Accrued advisory fees | 133,549 | 205,048 | 71,236 | 69,712 | ||||||||||||
Accrued sponsor fees | 65,492 | 158,099 | 37,831 | 37,281 | ||||||||||||
Accrued administrator’s fee | 11,813 | 13,455 | 6,221 | 6,032 | ||||||||||||
Payable to Master Funds | 4 | 85 | – | 195 | ||||||||||||
Total liabilities | 5,249,561 | 2,131,610 | 894,676 | 694,362 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (503,056.668 and 650,889.077 units issued and outstanding at $138.81 and $146.92 per unit, respectively) | 69,829,162 | 95,631,060 | ||||||||||||||
Class 2 Units (332,752.372 and 379,525.982 units issued and outstanding at $100.61 and $107.43 per unit, respectively) | 33,479,509 | 40,771,563 | ||||||||||||||
Class M Units (4,671.470 units issued and outstanding at $244.37 and $254.18 per unit, respectively) | 1,141,584 | 1,187,406 | ||||||||||||||
Class 0 Units (206,023.230 and 213,162.414 units issued and outstanding at $167.69 and $152.04 per unit, respectively) | 34,548,958 | 32,409,897 | ||||||||||||||
Class 2 Units (187,612.958 and 201,355.180 units issued and outstanding at $120.56 and $108.35 per unit, respectively) | 22,618,601 | 21,816,766 | ||||||||||||||
Class M Units (4,671.470 units issued and outstanding at $318.70 and $279.99 per unit, respectively) | 1,488,820 | 1,307,992 | ||||||||||||||
Total members’ capital | 104,450,255 | 137,590,029 | 58,656,379 | 55,534,655 | ||||||||||||
Total liabilities and members’ capital | $ | 109,699,816 | $ | 139,721,639 | $ | 59,551,055 | $ | 56,229,017 |
September 30, 2017 (Unaudited) | December 31, 2016 (Audited) | September 30, 2020 (Unaudited) | December 31, 2019 (Audited) | |||||||||||||||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | $ | 7,168,845 | 6.86% | $ | 7,580,654 | 5.51% | $ | 2,472,918 | 4.22% | $ | 3,714,431 | 6.69% | ||||||||||||||||||||
Graham K4D Trading Ltd. | 6,830,501 | 6.54% | 8,824,128 | 6.41% | 3,315,341 | 5.65% | 3,536,812 | 6.37% | ||||||||||||||||||||||||
Total investments in Master Funds | $ | 13,999,346 | 13.40% | $ | 16,404,782 | 11.92% | $ | 5,788,259 | 9.87% | $ | 7,251,243 | 13.06% |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net gain (loss) allocated from investments in Master Funds | ||||||||||||||||
Net realized loss on investments | $ | (310,034 | ) | $ | (1,220,650 | ) | $ | (2,190,880 | ) | $ | (6,263,880 | ) | ||||
Net increase (decrease) in unrealized appreciation on investments | 1,759,944 | (3,889,143 | ) | (2,570,908 | ) | 764,958 | ||||||||||
Brokerage commissions and fees | (153,509 | ) | (188,001 | ) | (523,799 | ) | (675,280 | ) | ||||||||
Net gain (loss) allocated from investments in Master Funds | 1,296,401 | (5,297,794 | ) | (5,285,587 | ) | (6,174,202 | ) | |||||||||
Net investment gain (loss) allocated from investments in Master Funds | 27,587 | (2,758 | ) | 61,007 | (12,345 | ) | ||||||||||
Investment income | ||||||||||||||||
Interest income | 236,468 | 177,535 | 640,675 | 532,422 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees | 420,842 | 621,713 | 1,493,059 | 1,988,366 | ||||||||||||
Sponsor fees | 205,709 | 480,767 | 928,621 | 1,509,403 | ||||||||||||
Professional fees and other | 81,759 | 78,761 | 342,575 | 224,259 | ||||||||||||
Administrator’s fees | 37,293 | 46,472 | 119,972 | 154,756 | ||||||||||||
Total expenses | 745,603 | 1,227,713 | 2,884,227 | 3,876,784 | ||||||||||||
Net investment loss of the Fund | (509,135 | ) | (1,050,178 | ) | (2,243,552 | ) | (3,344,362 | ) | ||||||||
Net income (loss) | 814,853 | (6,350,730 | ) | (7,468,132 | ) | (9,530,909 | ) | |||||||||
Incentive allocation | – | – | – | – | ||||||||||||
Net income (loss) available for pro-rata allocation to all members | $ | 814,853 | $ | (6,350,730 | ) | $ | (7,468,132 | ) | $ | (9,530,909 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||
Net realized gain on investments | $ | 5,339,512 | $ | 6,517,068 | $ | 8,164,328 | $ | 8,963,569 | ||||||||
Net decrease in unrealized appreciation on investments | (1,403,904 | ) | (2,430,205 | ) | (834,248 | ) | (971,786 | ) | ||||||||
Brokerage commissions and fees | (39,638 | ) | (113,446 | ) | (194,161 | ) | (346,336 | ) | ||||||||
Net gain allocated from investments in Master Funds | 3,895,970 | 3,973,417 | 7,135,919 | 7,645,447 | ||||||||||||
Net investment (loss) income allocated from investments in Master Funds | (110 | ) | 23,953 | 30,459 | 73,162 | |||||||||||
Investment income: | ||||||||||||||||
Interest income | 117,948 | 274,254 | 492,103 | 808,632 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 220,985 | 222,678 | 628,085 | 648,406 | ||||||||||||
Sponsor fees | 117,599 | 119,180 | 335,013 | 345,837 | ||||||||||||
Professional fees | 96,658 | 146,642 | 207,756 | 287,167 | ||||||||||||
Administrator’s fee | 19,460 | 19,405 | 55,449 | 58,085 | ||||||||||||
Interest expense | 3,487 | 3,126 | 10,279 | 9,436 | ||||||||||||
Total expenses | 458,189 | 511,031 | 1,236,582 | 1,348,931 | ||||||||||||
Net investment loss of the Fund | (340,241 | ) | (236,777 | ) | (744,479 | ) | (540,299 | ) | ||||||||
Net income | 3,555,619 | 3,760,593 | 6,421,899 | 7,178,310 | ||||||||||||
Incentive allocation | (472,401 | ) | (187 | ) | (623,182 | ) | (187 | ) | ||||||||
Net income available for pro-rata allocation to all members | $ | 3,083,218 | $ | 3,760,406 | $ | 5,798,717 | $ | 7,178,123 |
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, 2015 | 791,620.850 | $ | 116,635,944 | 415,606.489 | $ | 45,680,694 | 4,671.470 | $ | 1,161,324 | $ | 163,477,962 | |||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 213,162.414 | $ | 32,409,897 | 201,355.180 | $ | 21,816,766 | 4,671.470 | $ | 1,307,992 | $ | 55,534,655 | |||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | 7,356.555 | 1,065,000 | 14,477.337 | 1,541,239 | – | – | 2,606,239 | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (181,332.219 | ) | (25,694,780 | ) | (28,822.882 | ) | (3,039,479 | ) | – | – | (28,734,259 | ) | (5,366.145 | ) | (816,202 | ) | (6,097.039 | ) | (673,152 | ) | – | (139,069 | ) | (1,628,423 | ) | |||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | – | (139,069 | ) | – | – | – | 139,069 | – | |||||||||||||||||||||||||||||||||||||||||
Net loss | – | (6,245,966 | ) | – | (3,238,739 | ) | – | (46,204 | ) | (9,530,909 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2016 | 617,645.186 | $ | 85,760,198 | 401,260.944 | $ | 40,943,715 | 4,671.470 | $ | 1,115,120 | $ | 127,819,033 | |||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 1,650,675 | – | 1,075,378 | – | 75,147 | 2,801,200 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2020 | 207,796.269 | 33,105,301 | 195,258.141 | 22,218,992 | 4,671.470 | 1,383,139 | 56,707,432 | |||||||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (1,773.039 | ) | (282,562 | ) | (2,988.460 | ) | (339,451 | ) | – | (11,712 | ) | (633,725 | ) | |||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (11,712 | ) | – | – | – | 11,712 | – | ||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | – | 58,386 | – | (2,677 | ) | – | 9,371 | 65,080 | ||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2020 | 206,023.230 | 32,869,413 | 192,269.681 | 21,876,864 | 4,671.470 | 1,392,510 | $ | 56,138,787 | ||||||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | – | – | (4,656.723 | ) | (565,626 | ) | – | (472,401 | ) | (1,038,027 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (419,887 | ) | – | (52,514 | ) | – | 472,401 | – | |||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 2,099,432 | – | 1,359,877 | – | 96,310 | 3,555,619 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2020 | 206,023.230 | $ | 34,548,958 | 187,612.958 | $ | 22,618,601 | 4,671.470 | $ | 1,488,820 | $ | 58,656,379 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2016 | 650,889.077 | $ | 95,631,060 | 379,525.982 | $ | 40,771,563 | 4,671.470 | $ | 1,187,406 | $ | 137,590,029 | |||||||||||||||||
Subscriptions | 15,572.352 | 2,251,500 | 3,734.542 | 390,000 | – | – | 2,641,500 | |||||||||||||||||||||
Redemptions | (163,404.761 | ) | (23,117,598 | ) | (50,508.152 | ) | (5,195,544 | ) | – | – | (28,313,142 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net loss | – | (4,935,800 | ) | – | (2,486,510 | ) | – | (45,822 | ) | (7,468,132 | ) | |||||||||||||||||
Members’ capital, September 30, 2017 | 503,056.668 | $ | 69,829,162 | 332,752.372 | $ | 33,479,509 | 4,671.470 | $ | 1,141,584 | $ | 104,450,255 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2018 | 263,114.613 | $ | 35,179,498 | 251,175.400 | $ | 24,114,225 | 4,671.470 | $ | 1,127,501 | $ | 60,421,224 | |||||||||||||||||
Subscriptions | 2,447.080 | 325,000 | 775.525 | 73,500 | – | – | 398,500 | |||||||||||||||||||||
Redemptions | (15,238.411 | ) | (2,029,083 | ) | (23,162.529 | ) | (2,203,496 | ) | – | – | (4,232,579 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net (loss) income | – | (7,364 | ) | – | (60,726 | ) | – | 5,537 | (62,553 | ) | ||||||||||||||||||
Members’ capital, March 31, 2019 | 250,323.282 | 33,468,051 | 228,788.396 | 21,923,503 | 4,671.470 | 1,133,038 | 56,524,592 | |||||||||||||||||||||
Subscriptions | 1,308.908 | 175,000 | – | – | – | – | 175,000 | |||||||||||||||||||||
Redemptions | (20,134.592 | ) | (2,789,632 | ) | (9,736.326 | ) | (970,981 | ) | – | – | (3,760,613 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 2,068,954 | – | 1,333,122 | 78,194 | 3,480,270 | ||||||||||||||||||||||
Members’ capital, June 30, 2019 | 231,497.598 | 32,922,373 | 219,052.070 | 22,285,644 | 4,671.470 | 1,211,232 | 56,419,249 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (9,981.499 | ) | (1,511,641 | ) | (12,736.909 | ) | (1,381,202 | ) | – | (187 | ) | (2,893,030 | ) | |||||||||||||||
Incentive allocation | – | (187 | ) | – | – | – | 187 | – | ||||||||||||||||||||
Net income | – | 2,215,955 | – | 1,456,531 | – | 88,107 | 3,760,593 | |||||||||||||||||||||
Members’ capital, September 30, 2019 | 221,516.099 | $ | 33,626,500 | 206,315.161 | $ | 22,360,973 | 4,671.470 | $ | 1,299,339 | $ | 57,286,812 |
Nine Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2020 | 2019 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net loss | $ | (7,468,132 | ) | $ | (9,530,909 | ) | ||||||||||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||||||||||
Net loss allocated from investments in Master Funds | 5,224,580 | 6,186,547 | ||||||||||||||
Net income allocated from investment in Graham Cash Assets LLC | (640,675 | ) | (532,422 | ) | ||||||||||||
Net income | $ | 6,421,899 | $ | 7,178,310 | ||||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) allocated from investments in Master Funds | (7,166,378 | ) | (7,718,609 | ) | ||||||||||||
Net (income) allocated from investment in Graham Cash Assets LLC | (492,103 | ) | (808,632 | ) | ||||||||||||
Proceeds from sale of investments in Master Funds | 85,043,840 | 100,726,354 | 49,538,983 | 52,804,810 | ||||||||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 98,065,780 | 105,462,720 | ||||||||||||||
Investments in Master Funds | (87,933,693 | ) | (103,606,856 | ) | ||||||||||||
Investments in Graham Cash Assets LLC | (69,738,090 | ) | (75,961,796 | ) | ||||||||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 33,700,267 | 45,575,107 | ||||||||||||||
Purchases of investments in Master Funds | (40,931,275 | ) | (47,742,660 | ) | ||||||||||||
Purchases of investment in Graham Cash Assets LLC | (37,971,727 | ) | (40,726,996 | ) | ||||||||||||
Changes in assets and liabilities: | ||||||||||||||||
Increase in accrued professional fees | 38,701 | 36,983 | ||||||||||||||
Decrease in accrued advisory fees | (71,499 | ) | (54,924 | ) | ||||||||||||
Decrease in accrued sponsor fees | (92,607 | ) | (33,650 | ) | ||||||||||||
Decrease in accrued administrator’s fee | (1,642 | ) | (7,047 | ) | ||||||||||||
(Decrease) increase in accrued professional fees | (79,528 | ) | 8,864 | |||||||||||||
Increase (decrease) in accrued advisory fees | 1,524 | (4,391 | ) | |||||||||||||
Increase (decrease) in accrued sponsor fees | 550 | (2,550 | ) | |||||||||||||
Increase (decrease) in accrued administrator’s fee | 189 | (675 | ) | |||||||||||||
Net cash provided by operating activities | 22,426,563 | 22,685,000 | 3,022,401 | 8,562,578 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 2,641,500 | 2,606,239 | – | 573,500 | ||||||||||||
Redemptions | (25,068,063 | ) | (25,291,239 | ) | (3,022,401 | ) | (9,136,078 | ) | ||||||||
Net cash used in financing activities | (22,426,563 | ) | (22,685,000 | ) | (3,022,401 | ) | (8,562,578 | ) | ||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of period | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of period | $ | – | $ | – | $ | – | $ | – |
Supplemental cash flow information | ||||||||
Interest paid | $ | 10,279 | $ | 9,436 |
September 30, 2017 | ||||||||||||||||||||||||
September 30, 2020 | September 30, 2020 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (nine months ended) | Percent of Members’ Capital | Fair Value | Net Income (Loss) (nine months ended September 2020) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 6.86 | % | $ | 7,168,845 | $ | (2,668,942 | ) | 4.22% | $ | 2,472,918 | $ | 8,768,627 | ||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 6.54 | % | 6,830,501 | (2,555,638 | ) | 5.65% | 3,315,341 | (1,623,822 | ) | |||||||||||||||
13.40 | % | $ | 13,999,346 | $ | (5,224,580 | ) | 9.87% | $ | 5,788,259 | $ | 7,144,805 | |||||||||||||
December 31, 2016 | ||||||||||||||||||||||||
December 31, 2019 | December 31, 2019 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (nine months ended September 30, 2016) | Percent of Members’ Capital | Fair Value | Net Income (nine months ended September 2019) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 5.51 | % | $ | 7,580,654 | $ | (4,085,913 | ) | 6.69% | $ | 3,714,431 | $ | 2,501,873 | ||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 6.41 | % | 8,824,128 | (2,100,634 | ) | 6.37% | 3,536,812 | 5,216,736 | ||||||||||||||||
11.92 | % | $ | 16,404,782 | $ | (6,186,547 | ) | 13.06% | $ | 7,251,243 | $ | 7,718,609 |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||||||||
Assets: | ||||||||||||||||
Fixed income securities, at fair value (cost $15,290,650) | $ | – | $ | 15,296,199 | ||||||||||||
Due from brokers | $ | 187,870,828 | $ | 131,494,066 | 66,816,965 | 17,743,311 | ||||||||||
Derivative financial instruments, at fair value | 48,077,793 | - | 19,290,737 | – | ||||||||||||
Exchange membership, at fair value | 4,280,400 | 1,032,500 | ||||||||||||||
Exchange memberships, at fair value | 6,452,753 | 1,289,752 | ||||||||||||||
Interest receivable | 1,579 | 347 | ||||||||||||||
Total assets | 240,229,021 | 132,526,566 | 92,562,034 | 34,329,609 | ||||||||||||
Liabilities: | ||||||||||||||||
Derivative financial instruments, at fair value | 33,888,529 | 16,554,207 | – | 5,088,808 | ||||||||||||
Other payable | 2,551,419 | - | ||||||||||||||
Interest payable | 15,464 | 895 | ||||||||||||||
Total liabilities | 36,439,948 | 16,554,207 | 15,464 | 5,089,703 | ||||||||||||
Members’ Capital / Net Assets | $ | 203,789,073 | $ | 115,972,359 | $ | 92,546,570 | $ | 29,239,906 | ||||||||
Percentage of Master Fund held by GAIT | 3.52 | % | 5.89 | % | 2.67 | % | 11.34 | % |
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 | ||||||||||||
Brent crude oil December 2018 | 40 | $ | 64,400 | 0.03 | % | |||||||
Natural gas November 2017 - March 2018 | 2,837 | 870,680 | 0.43 | % | ||||||||
WTI crude oil November 2017 - December 2019 | 1,855 | 519,420 | 0.25 | % | ||||||||
Other commodity futures | (5,204,394 | ) | (2.56 | )% | ||||||||
Foreign bond | (373,252 | ) | (0.18 | )% | ||||||||
Foreign index | 667,783 | 0.33 | % | |||||||||
90 Day Euro dollar December 2017 - June 2019 | 38,257 | (1,915,900 | ) | (0.94 | )% | |||||||
Other interest rate | 190,495 | 0.09 | % | |||||||||
U.S. bond | (2,060,469 | ) | (1.01 | )% | ||||||||
U.S. index | 1,665,695 | 0.82 | % | |||||||||
Total futures | (5,575,542 | ) | (2.74 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 3,337,237 | 1.64 | % | |||||||||
Total forwards | 3,337,237 | 1.64 | % | |||||||||
Options (cost $130,634,662) | ||||||||||||
Crude oil November 2017 - December 2018, $51.00 - $73.00 Call | 6 | 6,295,000 | 3.09 | % | ||||||||
Crude oil November 2017 - December 2018, $40.00 - $57.00 Put | 12 | 12,579,030 | 6.17 | % | ||||||||
Natural gas Euro November 2017 - March 2018, $3.20 - $4.00 Call | 10 | 16,311,450 | 8.00 | % | ||||||||
Natural gas Euro November 2017 - April 2018, $2.40 - $2.65 Put | 3 | 727,750 | 0.36 | % | ||||||||
Other commodity futures | 18,047,998 | 8.86 | % | |||||||||
Euro / U.S. dollar November 2017 - May 2018, $1.19 - $1.25 Call | 8 | 14,217,489 | 6.98 | % | ||||||||
Euro / U.S. dollar October 2017, $1.17 Put | 1 | 840,080 | 0.41 | % | ||||||||
Other currency futures | 17,732,311 | 8.70 | % | |||||||||
Euro dollar 1 year mid curve option December 2017, $97.75 Put | 1 | 31,250 | 0.02 | % | ||||||||
IMM Euro dollar option December 2017, $98.50 - $98.75 Call | 2 | 1,087,500 | 0.53 | % | ||||||||
IMM Euro dollar option December 2017 – December 2018, $97.75 - $98.25 Put | 3 | 843,750 | 0.41 | % | ||||||||
Other interest rate futures | 968,402 | 0.48 | % | |||||||||
U.S. bond futures | 3,281,250 | 1.61 | % | |||||||||
U.S. index | 699,000 | 0.34 | % | |||||||||
Total options | 93,662,260 | 45.96 | % |
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 | ||||||||||||
Brent crude oil September 2018 | (37 | ) | $ | (72,150 | ) | (0.04 | )% | |||||
Natural gas April 2018 | (1,350 | ) | (374,470 | ) | (0.18 | )% | ||||||
WTI crude oil November 2017 - December 2018 | (1,375 | ) | (218,340 | ) | (0.11 | )% | ||||||
Other commodity futures | (90,228 | ) | (0.04 | )% | ||||||||
Foreign bond future | 2,194,133 | 1.08 | % | |||||||||
Foreign index | (55,071 | ) | (0.03 | )% | ||||||||
90 Day Euro dollar December 2018 | (37,010 | ) | 15,886,963 | 7.80 | % | |||||||
90 Day Euro dollar March 2019 - June 2020 | (14,312 | ) | 2,208,275 | 1.08 | % | |||||||
Other interest rate | 862,916 | 0.42 | % | |||||||||
U.S. bond | 1,376,047 | 0.68 | % | |||||||||
U.S. index | (860,000 | ) | (0.42 | )% | ||||||||
Total futures | 20,858,075 | 10.24 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 3,836,144 | 1.88 | % | |||||||||
Total forwards | 3,836,144 | 1.88 | % | |||||||||
Options (proceeds $123,134,104) | ||||||||||||
Crude oil June 2018, $50.00 Call | (1 | ) | (11,240,000 | ) | (5.52 | )% | ||||||
Crude oil November 2017 - December 2019, $47.50 - $80.00 Call | (17 | ) | (18,626,240 | ) | (9.14 | )% | ||||||
Crude oil November 2017 - September 2018, $40.00 - $55.00 Put | (10 | ) | (12,820,160 | ) | (6.29 | )% | ||||||
Natural gas Euro November 2017 - March 2018, $3.10 - $5.00 Call | (9 | ) | (11,395,766 | ) | (5.59 | )% | ||||||
Natural gas Euro November 2017 - December 2018, $2.40 - $3.30 Put | (19 | ) | (13,362,250 | ) | (6.56 | )% | ||||||
Other commodity futures | (16,192,550 | ) | (7.94 | )% | ||||||||
Euro / U.S. dollar November 2017 - May 2018, $1.15 - $1.30 Call | (7 | ) | (10,289,903 | ) | (5.05 | )% | ||||||
Euro / U.S. dollar October 2017, $1.15 Put | (1 | ) | (269,370 | ) | (0.13 | )% | ||||||
Other currency futures | (6,208,373 | ) | (3.04 | )% | ||||||||
Euro dollar 1 year mid curve December 2017, $97.63 Put | (1 | ) | (15,625 | ) | (0.01 | )% | ||||||
IMM Euro dollar December 2017, $98.63 Call | (1 | ) | (543,750 | ) | (0.27 | )% | ||||||
IMM Euro dollar December 2017 – December 2018, $97.25 - $98.13 Put | (3 | ) | (343,750 | ) | (0.17 | )% | ||||||
Other interest rate futures | 1,001,077 | 0.49 | % | |||||||||
U.S. bond futures | (1,406,250 | ) | (0.69 | )% | ||||||||
U.S. index | (216,000 | ) | (0.11 | )% | ||||||||
Total options | (101,928,910 | ) | (50.02 | )% | ||||||||
Total derivative financial instruments | $ | 14,189,264 | 6.96 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $9,884,735) | ||||||||||||
United States (cost $9,884,735) | ||||||||||||
Financial services (cost $9,884,735) | $ | 6,452,753 | 6.97 | % | ||||||||
Total exchange memberships | $ | 6,452,753 | 6.97 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | (931,656 | ) | (1.00 | )% | ||||||||
Foreign bond | 911,965 | 0.99 | % | |||||||||
Foreign index | 427,578 | 0.46 | % | |||||||||
Interest rate | (97,874 | ) | (0.11 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 10yr Ultra bond December 2020 | 151 | (52,891 | ) | (0.06 | )% | |||||||
U.S. long bond December 2020 | 176 | (155,156 | ) | (0.17 | )% | |||||||
U.S. index | 3,111,515 | 3.36 | % | |||||||||
Total futures | 3,213,481 | 3.47 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 7,310,869 | 7.90 | % | |||||||||
Total forwards | 7,310,869 | 7.90 | % | |||||||||
Options (cost $71,262,578) | ||||||||||||
Commodity futures | 4,446,645 | 4.80 | % | |||||||||
Currency futures | ||||||||||||
Chinese yuan / Taiwan dollar December 2020 - February 2021, $4.18 - $4.35 Call | 12 | 4,639,914 | 5.01 | % | ||||||||
Euro / U.S. dollar October 2020 - January 2021, $1.15 - $1.29 Call | 34 | 10,443,265 | 11.29 | % | ||||||||
Euro / U.S. dollar October 2020, $1.12 Put | 1 | 104 | 0.00 | % | ||||||||
Other currency futures | 6,555,079 | 7.08 | % | |||||||||
Interest rate futures | 5,174,019 | 5.59 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 10yr December 2020, $140.00 - $142.00 Call | 2 | 5,518,500 | 5.96 | % | ||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini October 2020 - March 2021, $3,400.00 - $4,000.00 Call | 2 | 5,995,185 | 6.48 | % | ||||||||
S&P 500 E-mini March 2021, $2,000.00 Put | 1 | 1,122,255 | 1.21 | % | ||||||||
Total options | 43,894,966 | 47.42 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (386,643 | ) | (0.42 | )% | |||||||
Foreign bond | (10,064 | ) | (0.01 | )% | ||||||||
Foreign index | 574,783 | 0.62 | % | |||||||||
Interest rate | (757,925 | ) | (0.82 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. Ultra bond December 2020 | (515 | ) | 183,500 | 0.20 | % | |||||||
U.S. index | ||||||||||||
S&P 500 E-mini December 2020 | (692 | ) | (144,750 | ) | (0.15 | )% | ||||||
Total futures | (541,099 | ) | (0.58 | )% | ||||||||
Forwards | ||||||||||||
U.S. dollar / Euro 10/19/2020 - 12/16/2020 | EUR | (131,091,627 | ) | (5,544,720 | ) | (5.99 | )% | |||||
Other foreign currency | (1,869,458 | ) | (2.02 | )% | ||||||||
Total forwards | (7,414,178 | ) | (8.01 | )% | ||||||||
Options (proceeds $39,858,143) | ||||||||||||
Commodity futures | (3,662,680 | ) | (3.96 | )% | ||||||||
Currency futures | ||||||||||||
Euro / U.S. dollar October 2020 - February 2021, $1.15 - $1.27 Call | (17 | ) | (7,514,450 | ) | (8.12 | )% | ||||||
Euro / U.S. dollar October 2020 - February 2021, $1.12 - $1.13 Put | (3 | ) | (785,785 | ) | (0.85 | )% | ||||||
Other currency futures | (2,443,860 | ) | (2.64 | )% | ||||||||
Interest rate futures | (4,199,026 | ) | (4.53 | )% | ||||||||
U.S. bond futures | ||||||||||||
U.S. 10yr December 2020, $141.00 Call | (1 | ) | (3,961,781 | ) | (4.28 | )% | ||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini October 2020 - March 2021, $3,500.00 - $4,200.00 Call | (2 | ) | (4,200,720 | ) | (4.54 | )% | ||||||
S&P 500 E-mini October 2020, $2,700.00 Put | (1 | ) | (405,000 | ) | (0.44 | )% | ||||||
Total options | (27,173,302 | ) | (29.36 | )% | ||||||||
Total derivative financial instruments | $ | 19,290,737 | 20.84 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | Principal / Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Fixed income securities owned (cost $15,290,650) | ||||||||||||||||||||||||
Government bonds (cost $15,290,650) | ||||||||||||||||||||||||
United States (cost $15,290,650) | ||||||||||||||||||||||||
Treasury Bonds (cost $15,290,650) | ||||||||||||||||||||||||
U.S. Treasury bond 0.00% due 01/07/2021 | $ | 15,300,000 | $ | 15,296,199 | 52.31 | % | ||||||||||||||||||
Total United States | 15,296,199 | 52.31 | % | |||||||||||||||||||||
Total government bonds | 15,296,199 | 52.31 | % | |||||||||||||||||||||
Total fixed income securities owned | $ | 15,296,199 | 52.31 | % | ||||||||||||||||||||
Exchange memberships (cost $1,902,973) | ||||||||||||||||||||||||
United States (cost $1,902,973) | ||||||||||||||||||||||||
Financial services (cost $1,902,973) | $ | 1,289,752 | 4.41 | % | ||||||||||||||||||||
Total exchange memberships | $ | 1,289,752 | 4.41 | % | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (5,143,250 | ) | (4.43 | )% | $ | (1,156,402 | ) | (3.96 | )% | ||||||||||||||
Canadian dollar December 2017 | 10 | (6,731 | ) | (0.01 | )% | |||||||||||||||||||
Other currency | 12,030 | 0.01 | % | |||||||||||||||||||||
Canadian 10yr bond future December 2017 | 226 | (445,847 | ) | (0.38 | )% | |||||||||||||||||||
Other foreign bond | (9,312,275 | ) | (8.03 | )% | ||||||||||||||||||||
Currency | 21,003 | 0.07 | % | |||||||||||||||||||||
Foreign bond | 692,168 | 2.37 | % | |||||||||||||||||||||
Foreign index | 10,627,443 | 9.16 | % | (427,190 | ) | (1.46 | )% | |||||||||||||||||
Interest rate | (2,945,840 | ) | (2.54 | )% | 384,856 | 1.32 | % | |||||||||||||||||
U.S. bond | (9,689,730 | ) | (8.35 | )% | (92,584 | ) | (0.32 | )% | ||||||||||||||||
U.S. index | 8,166,131 | 7.04 | % | 876,110 | 3.00 | % | ||||||||||||||||||
Total futures | (8,738,069 | ) | (7.53 | )% | 297,961 | 1.02 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Canadian dollar / U.S. dollar 12/20/2017 | CAD | 289,027,000 | (6,152,090 | ) | (5.30 | )% | ||||||||||||||||||
Other foreign currency | (13,303,764 | ) | (11.48 | )% | ||||||||||||||||||||
Foreign currency | (2,548,805 | ) | (8.72 | )% | ||||||||||||||||||||
Total forwards | (19,455,854 | ) | (16.78 | )% | (2,548,805 | ) | (8.72 | )% | ||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | 3,737,374 | 3.22 | % | |||||||||||||||||||||
Canadian dollar December 2017 | (1 | ) | 65 | 0.00 | % | |||||||||||||||||||
Other currency | (619,085 | ) | (0.53 | )% | ||||||||||||||||||||
Canadian 10yr bond future December 2017 | (2,057 | ) | 3,507,552 | 3.02 | % | |||||||||||||||||||
Other foreign bond | 388,185 | 0.33 | % | |||||||||||||||||||||
Foreign index | (800,861 | ) | (0.69 | )% | ||||||||||||||||||||
Interest rate | 437,883 | 0.38 | % | |||||||||||||||||||||
U.S. bond | 1,205,919 | 1.04 | % | |||||||||||||||||||||
U.S. index | 874,050 | 0.76 | % | |||||||||||||||||||||
Total futures | 8,731,082 | 7.53 | % | |||||||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / Canadian dollar 12/20/2017 | CAD | (17,401,000) | 276,371 | 0.24 | % | |||||||||||||||||||
Other foreign currency | 2,632,263 | 2.27 | % | |||||||||||||||||||||
Total forwards | 2,908,634 | 2.51 | % | |||||||||||||||||||||
Total derivative financial instruments | $ | (16,554,207 | ) | (14.27 | )% |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Derivative financial instruments (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
Commodity | $ | (2,515,071 | ) | (8.60 | )% | ||||
Currency | 7,492 | 0.03 | % | ||||||
Foreign bond | (98,280 | ) | (0.34 | )% | |||||
Foreign index | 315,334 | 1.08 | % | ||||||
U.S. bond | (29,348 | ) | (0.10 | )% | |||||
Total futures | (2,319,873 | ) | (7.93 | )% | |||||
Forwards | |||||||||
Foreign currency | (518,091 | ) | (1.77 | )% | |||||
Total forwards | (518,091 | ) | (1.77 | )% | |||||
Total derivative financial instruments | $ | (5,088,808 | ) | (17.40 | )% |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 932,506 | $ | 1,289,469 | ||||
Commodity futures options | 4,446,645 | – | ||||||
Currency futures | – | 34,998 | ||||||
Exchange memberships | 6,452,753 | 1,289,752 | ||||||
Foreign bond futures | 1,038,953 | 699,934 | ||||||
Foreign index futures | 1,538,279 | 631,270 | ||||||
Interest rate futures | 186,565 | 384,856 | ||||||
Interest rate futures options | 5,174,018 | – | ||||||
U.S. bond futures | 183,500 | 54,012 | ||||||
U.S. bond futures options | 5,518,500 | – | ||||||
U.S. index futures | 3,463,353 | 876,110 | ||||||
U.S. index futures options | 7,117,440 | – | ||||||
Total Level 1 | 36,052,512 | 5,260,401 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 14,453,850 | 447,532 | ||||||
Foreign currency futures options | 21,638,363 | – | ||||||
Government bonds* | – | 15,296,199 | ||||||
Total Level 2 | 36,092,213 | 15,743,731 | ||||||
Total investment related assets | $ | 72,144,725 | $ | 21,004,132 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (2,250,805 | ) | $ | (4,960,942 | ) | ||
Commodity futures options | (3,662,680 | ) | – | |||||
Currency futures | – | (6,503 | ) | |||||
Foreign bond futures | (137,052 | ) | (106,046 | ) | ||||
Foreign index futures | (535,918 | ) | (743,126 | ) | ||||
Interest rate futures | (1,042,364 | ) | – | |||||
Interest rate futures options | (4,199,025 | ) | – | |||||
U.S. bond futures | (208,047 | ) | (175,944 | ) | ||||
U.S. bond futures options | (3,961,781 | ) | – | |||||
U.S. index futures | (496,588 | ) | – | |||||
U.S. index futures options | (4,605,720 | ) | – | |||||
Total Level 1 | (21,099,980 | ) | (5,992,561 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (14,557,159 | ) | (3,514,428 | ) | ||||
Foreign currency futures options | (10,744,096 | ) | – | |||||
Total Level 2 | (25,301,255 | ) | (3,514,428 | ) | ||||
Total investment related liabilities | $ | (46,401,235 | ) | $ | (9,506,989 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 9,879,423 | $ | 8,472,880 | ||||
Commodity futures options | 55,221,238 | - | ||||||
Currency futures | - | 55,051 | ||||||
Foreign bond futures | 2,214,926 | 3,895,737 | ||||||
Foreign index futures | 667,783 | 11,283,225 | ||||||
Interest rate futures | 19,234,879 | 438,968 | ||||||
Interest rate futures options | 4,677,971 | - | ||||||
U.S. bond futures | 1,467,016 | 1,205,919 | ||||||
U.S. bond futures options | 3,281,250 | - | ||||||
U.S. index futures | 1,665,695 | 10,001,016 | ||||||
U.S. index futures options | 699,000 | - | ||||||
Total Level 1 | 99,009,181 | 35,352,796 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 13,974,456 | 4,171,413 | ||||||
Foreign currency options | 32,789,880 | - | ||||||
Total Level 2 | 46,764,336 | 4,171,413 | ||||||
Total investment related assets | $ | 145,773,517 | $ | 39,524,209 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (14,384,505 | ) | $ | (9,878,756 | ) | ||
Commodity futures options | (84,896,976 | ) | - | |||||
Currency futures | - | (668,772 | ) | |||||
Foreign bond futures | (394,045 | ) | (9,758,122 | ) | ||||
Foreign index futures | (55,071 | ) | (1,456,643 | ) | ||||
Interest rate futures | (2,002,130 | ) | (2,946,925 | ) | ||||
Interest rate futures options | (1,649,117 | ) | - | |||||
U.S. bond futures | (2,151,438 | ) | (9,689,730 | ) | ||||
U.S. bond futures options | (1,406,250 | ) | - | |||||
U.S. index futures | (860,000 | ) | (960,835 | ) | ||||
U.S. index futures options | (216,000 | ) | - | |||||
Total Level 1 | (108,015,532 | ) | (35,359,783 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (6,801,075 | ) | (20,718,633 | ) | ||||
Foreign currency options | (16,767,646 | ) | - | |||||
Total Level 2 | (23,568,721 | ) | (20,718,633 | ) | ||||
Total investment related liabilities | $ | (131,584,253 | ) | $ | (56,078,416 | ) |
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 | $ | 818,046,168 | 34,085 | $ | (532,404,070 | ) | (14,497 | ) | $ | 9,879,423 | $ | (14,384,505 | ) | $ | 309,300,565 | 3,947 | $ | (22,864,484 | ) | (954 | ) | $ | 932,506 | $ | (2,250,805 | ) | ||||||||||||||||||||||
Options(a) | 714,124,234 | 55,216 | (684,044,574 | ) | (65,846 | ) | 55,221,238 | (84,896,976 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 105,479,925 | 8,962 | (56,593,941 | ) | (9,509 | ) | 4,446,645 | (3,662,680 | ) | |||||||||||||||||||||||||||||||||||||||
414,780,490 | 12,909 | (79,458,425 | ) | (10,463 | ) | 5,379,151 | (5,913,485 | ) | ||||||||||||||||||||||||||||||||||||||||
1,532,170,402 | 89,301 | (1,216,448,644 | ) | (80,343 | ) | 65,100,661 | (99,281,481 | ) | ||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 191,290,741 | 1,947 | (321,439,086 | ) | (3,270 | ) | 2,333,478 | (915,071 | ) | 224,174,597 | 2,623 | (240,390,590 | ) | (3,281 | ) | 5,001,632 | (1,032,506 | ) | ||||||||||||||||||||||||||||||
Options(a) | 54,458,717 | 2,700 | (38,054,862 | ) | (2,700 | ) | 699,000 | (216,000 | ) | |||||||||||||||||||||||||||||||||||||||
245,749,458 | 4,647 | (359,493,948 | ) | (5,970 | ) | 3,032,478 | (1,131,071 | ) | ||||||||||||||||||||||||||||||||||||||||
Options (a) | 74,880,908 | 6,059 | (55,284,075 | ) | (4,835 | ) | 7,117,440 | (4,605,720 | ) | |||||||||||||||||||||||||||||||||||||||
299,055,505 | 8,682 | (295,674,665 | ) | (8,116 | ) | 12,119,072 | (5,638,226 | ) | ||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 7,068,732,208 | N/A | (1,509,091,155 | ) | N/A | 13,974,456 | (6,801,075 | ) | 1,083,797,743 | N/A | (1,168,184,894 | ) | N/A | 14,453,850 | (14,557,159 | ) | ||||||||||||||||||||||||||||||||
Options(a) | 1,135,893,783 | 40 | (915,368,683 | ) | (39 | ) | 32,789,880 | (16,767,646 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 1,094,842,859 | 71 | (853,913,378 | ) | (54 | ) | 21,638,363 | (10,744,096 | ) | |||||||||||||||||||||||||||||||||||||||
2,178,640,602 | 71 | (2,022,098,272 | ) | (54 | ) | 36,092,213 | (25,301,255 | ) | ||||||||||||||||||||||||||||||||||||||||
8,204,625,991 | 40 | (2,424,459,838 | ) | (39 | ) | 46,764,336 | (23,568,721 | ) | ||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 9,850,411,192 | 37,261 | (27,543,208,384 | ) | (99,179 | ) | 22,916,821 | (4,547,613 | ) | 4,762,284,095 | 18,046 | (1,488,129,024 | ) | (6,380 | ) | 1,409,018 | (1,387,463 | ) | ||||||||||||||||||||||||||||||
Options(a) | 3,979,334,577 | 138,635 | (7,679,217,541 | ) | (127,793 | ) | 7,959,221 | (3,055,367 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 1,970,152,715 | 154,783 | (2,782,007,765 | ) | (30,429 | ) | 10,692,518 | (8,160,806 | ) | |||||||||||||||||||||||||||||||||||||||
13,829,745,769 | 175,896 | (35,222,425,925 | ) | (226,972 | ) | 30,876,042 | (7,602,980 | ) | 6,732,436,810 | 172,829 | (4,270,136,789 | ) | (36,809 | ) | 12,101,536 | (9,548,269 | ) | |||||||||||||||||||||||||||||||
Total | $ | 23,812,291,620 | 269,884 | $ | (39,222,828,355 | ) | (313,324 | ) | $ | 145,773,517 | $ | (131,584,253 | ) | $ | 9,624,913,407 | 194,491 | $ | (6,667,368,151 | ) | (55,442 | ) | $ | 65,691,972 | $ | (46,401,235 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
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 | $ | 366,267,743 | 5,063 | $ | (449,865,772 | ) | (10,488 | ) | $ | 8,472,880 | $ | (9,878,756 | ) | $ | 63,811,579 | 752 | $ | (77,847,272 | ) | (1,956 | ) | $ | 1,289,469 | $ | (4,960,942 | ) | ||||||||||||||||||||||
366,267,743 | 5,063 | (449,865,772 | ) | (10,488 | ) | 8,472,880 | (9,878,756 | ) | 63,811,579 | 752 | (77,847,272 | ) | (1,956 | ) | 1,289,469 | (4,960,942 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,015,887,700 | 9,844 | (71,576,317 | ) | (1,281 | ) | 21,284,241 | (2,417,478 | ) | 99,554,777 | 887 | (16,134,732 | ) | (191 | ) | 1,507,380 | (743,126 | ) | ||||||||||||||||||||||||||||||
�� | 1,015,887,700 | 9,844 | (71,576,317 | ) | (1,281 | ) | 21,284,241 | (2,417,478 | ) | 99,554,777 | 887 | (16,134,732 | ) | (191 | ) | 1,507,380 | (743,126 | ) | ||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,232,219,879 | N/A | (738,460,324 | ) | N/A | 4,171,413 | (20,718,633 | ) | 190,437,417 | N/A | (180,046,439 | ) | N/A | 447,532 | (3,514,428 | ) | ||||||||||||||||||||||||||||||||
Futures | 20,682,169 | 211 | (43,563,347 | ) | (454 | ) | 55,051 | (668,772 | ) | 2,712,549 | 26 | (2,714,167 | ) | (29 | ) | 34,998 | (6,503 | ) | ||||||||||||||||||||||||||||||
1,252,902,048 | 211 | (782,023,671 | ) | (454 | ) | 4,226,464 | (21,387,405 | ) | 193,149,966 | 26 | (182,760,606 | ) | (29 | ) | 482,530 | (3,520,931 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 3,927,829,997 | 22,973 | (2,199,438,472 | ) | (11,652 | ) | 5,540,624 | (22,394,777 | ) | 866,702,900 | 4,627 | (129,112,699 | ) | (612 | ) | 1,138,802 | (281,990 | ) | ||||||||||||||||||||||||||||||
3,927,829,997 | 22,973 | (2,199,438,472 | ) | (11,652 | ) | 5,540,624 | (22,394,777 | ) | 866,702,900 | 4,627 | (129,112,699 | ) | (612 | ) | 1,138,802 | (281,990 | ) | |||||||||||||||||||||||||||||||
Total | $ | 6,562,887,488 | 38,091 | $ | (3,502,904,232 | ) | (23,875 | ) | $ | 39,524,209 | $ | (56,078,416 | ) | $ | 1,223,219,222 | 6,292 | $ | (405,855,309 | ) | (2,788 | ) | $ | 4,418,181 | $ | (9,506,989 | ) |
3. | Investments in Master Funds (continued) |
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 | |||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 145,773,517 | $ | (97,695,724 | ) | $ | 48,077,793 | $ | - | $ | 48,077,793 | $ | 65,691,972 | $ | (46,401,235 | ) | $ | 19,290,737 | $ | – | $ | 19,290,737 | ||||||||||||||||||
Derivative liabilities | (131,584,253 | ) | 97,695,724 | (33,888,529 | ) | 33,888,529 | - | (46,401,235 | ) | 46,401,235 | – | – | – | |||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 39,524,209 | $ | (39,524,209 | ) | $ | - | $ | - | $ | - | $ | 4,418,181 | $ | (4,418,181 | ) | $ | – | $ | – | $ | – | ||||||||||||||||||
Derivative liabilities | (56,078,416 | ) | 39,524,209 | (16,554,207 | ) | 16,554,207 | - | (9,506,989 | ) | 4,418,181 | (5,088,808 | ) | 5,088,808 | – |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Net investment income | $ | 318,736 | $ | 273,889 | ||||||||||||
Net investment (loss) income | $ | (29,038 | ) | $ | 8,494 | |||||||||||
Net realized gain (loss) on investments | 28,216,055 | (20,810,507 | ) | |||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (1,110,622 | ) | 28,967,852 | |||||||||||||
Net realized gain on investments | 143,227,155 | 14,438,755 | ||||||||||||||
Net decrease in unrealized appreciation on investments | (11,466,402 | ) | (7,128,704 | ) | ||||||||||||
Brokerage commissions and fees | (3,957,340 | ) | (225,744 | ) | (1,321,901 | ) | (43,396 | ) | ||||||||
Net gain on investments | 23,148,093 | 7,931,601 | 130,438,852 | 7,266,655 | ||||||||||||
Net income | $ | 23,466,829 | $ | 8,205,490 | $ | 130,409,814 | $ | 7,275,149 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 652,103 | $ | 572,973 | ||||
Net loss on investments | (42,569,811 | ) | (9,965,119 | ) | ||||
Net decrease in unrealized appreciation on investments | (12,602,938 | ) | (26,948,060 | ) | ||||
Brokerage commissions and fees | (12,770,644 | ) | (725,187 | ) | ||||
Net loss on investments | (67,943,393 | ) | (37,638,366 | ) | ||||
Net loss | $ | (67,291,290 | ) | $ | (37,065,393 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 384,871 | $ | 284,107 | ||||
Net realized gain (loss) on investments | 380,652,858 | (21,152,402 | ) | |||||
Net (decrease) increase in unrealized appreciation on investments | (13,409,220 | ) | 12,729 | |||||
Brokerage commissions and fees | (7,193,271 | ) | (170,012 | ) | ||||
Net gain (loss) on investments | 360,050,367 | (21,309,685 | ) | |||||
Net income (loss) | $ | 360,435,238 | $ | (21,025,578 | ) |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (53,698,440 | ) | $ | (3,710,585 | ) | $ | 26,621,796 | $ | 3,207,585 | ||||||
Options | (6,007,812 | ) | - | (4,793,514 | ) | – | ||||||||||
(59,706,252 | ) | (3,710,585 | ) | 21,828,282 | 3,207,585 | |||||||||||
Equity price | ||||||||||||||||
Equities | 222,200 | 314,750 | 125,618 | (59,970 | ) | |||||||||||
Futures | 10,304,892 | 28,680,561 | 47,845,536 | 5,579,032 | ||||||||||||
Options | (578,923 | ) | - | 1,946,153 | – | |||||||||||
9,948,169 | 28,995,311 | 49,917,307 | 5,519,062 | |||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 93,475,211 | 3,168,944 | 55,642,266 | (1,363,587 | ) | |||||||||||
Futures | - | 1,209,334 | – | 78,644 | ||||||||||||
Options | (15,088,565 | ) | - | 3,665,096 | – | |||||||||||
78,386,646 | 4,378,278 | 59,307,362 | (1,284,943 | ) | ||||||||||||
Interest rate | ||||||||||||||||
Fixed income securities | – | (10,584 | ) | |||||||||||||
Futures | 4,003,164 | (21,505,659 | ) | 1,236,867 | (121,069 | ) | ||||||||||
Options | (5,526,294 | ) | - | (529,065 | ) | – | ||||||||||
(1,523,130 | ) | (21,505,659 | ) | 707,802 | (131,653 | ) | ||||||||||
Total | $ | 27,105,433 | $ | 8,157,345 | $ | 131,760,753 | $ | 7,310,051 |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (41,425,597 | ) | $ | (45,412,560 | ) | $ | 80,761,561 | $ | 10,173,235 | ||||||
Options | (48,512,796 | ) | - | 624,249 | – | |||||||||||
(89,938,393 | ) | (45,412,560 | ) | 81,385,810 | 10,173,235 | |||||||||||
Equity price | ||||||||||||||||
Equities | 421,900 | 365,750 | (1,084,282 | ) | (17,970 | ) | ||||||||||
Futures | (24,833,092 | ) | 103,302,310 | 115,194,212 | (57,466,301 | ) | ||||||||||
Options | (10,771,904 | ) | - | (16,701,485 | ) | – | ||||||||||
(35,183,096 | ) | 103,668,060 | 97,408,445 | (57,484,271 | ) | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 127,006,978 | (45,853,419 | ) | 105,610,650 | (11,528,466 | ) | ||||||||||
Futures | - | 883,930 | (13,804 | ) | (139,697 | ) | ||||||||||
Options | (50,821,540 | ) | - | (20,785,553 | ) | – | ||||||||||
76,185,438 | (44,969,489 | ) | 84,811,293 | (11,668,163 | ) | |||||||||||
Interest rate | ||||||||||||||||
Fixed income securities | – | 18,082 | ||||||||||||||
Futures | 24,508,535 | (50,199,190 | ) | 92,220,289 | 37,821,444 | |||||||||||
Options | (30,745,233 | ) | - | 11,674,838 | – | |||||||||||
Swaps | (257,037 | ) | – | |||||||||||||
(6,236,698 | ) | (50,199,190 | ) | 103,638,090 | 37,839,526 | |||||||||||
Total | $ | (55,172,749 | ) | $ | (36,913,179 | ) | $ | 367,243,638 | $ | (21,139,673 | ) |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Fixed income securities, at fair value (cost $34,872,355) | $ | – | $ | 35,296,686 | ||||
Due from brokers | 129,280,189 | 18,550,998 | ||||||
Derivative financial instruments, at fair value | 18,431,371 | – | ||||||
Exchange memberships, at fair value | 6,211,100 | 433,250 | ||||||
Interest receivable | 65,045 | 223,901 | ||||||
Dividends receivable | 52,500 | – | ||||||
Total assets | 154,040,205 | 54,504,835 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | – | 5,607,980 | ||||||
Interest payable | 11,220 | 6,615 | ||||||
Total liabilities | 11,220 | 5,614,595 | ||||||
Members’ Capital / Net Assets | $ | 154,028,985 | $ | 48,890,240 | ||||
Percentage of Master Fund held by GAIT | 2.41 | % | 7.23 | % |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 106,497,715 | $ | 89,715,477 | ||||
Derivative financial instruments, at fair value | 59,863,776 | 10,834,324 | ||||||
Exchange membership, at fair value | 3,858,500 | 666,750 | ||||||
Dividends receivable | 68,250 | - | ||||||
Total assets | 170,288,241 | 101,216,551 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | - | - | ||||||
Total liabilities | - | - | ||||||
Members’ Capital / Net Assets | $ | 170,288,241 | $ | 101,216,551 | ||||
Percentage of Master Fund held by GAIT | 4.45 | % | 8.72 | % |
3. | Investments in Master Funds (continued) |
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 | ||||||||||||
Brent crude oil March 2017 – December 2017 | 420 | $ | 323,780 | 0.19 | % | |||||||
Coffee May 2017 | 32 | (65,400 | ) | (0.04 | )% | |||||||
Coffee Robusta March 2017 | 4,325 | 5,634,070 | 3.31 | % | ||||||||
Natural gas March 2017 | 500 | 619,660 | 0.36 | % | ||||||||
WTI crude oil April 2017 – June 2017 | 1,800 | 1,031,760 | 0.61 | % | ||||||||
Other commodity | 2,391,795 | 1.39 | % | |||||||||
Foreign index | 678,522 | 0.40 | % | |||||||||
Interest rate | 163,377 | 0.10 | % | |||||||||
U.S. bond | 1,290,594 | 0.76 | % | |||||||||
U.S. index | (159,638 | ) | (0.09 | )% | ||||||||
Total futures | 11,908,520 | 6.99 | % | |||||||||
Forwards | ||||||||||||
Chinese yuan / U.S. dollar 01/09/2017 - 10/31/2017 | CNY | 1,858,354,550 | (5,082,907 | ) | (2.99 | )% | ||||||
Euro / U.S. dollar 01/03/2017 | EUR | 45,000,000 | 424,786 | 0.25 | % | |||||||
Japanese yen / U.S. dollar 01/04/2017 - 01/05/2017 | JPY | 24,025,706,717 | 370,501 | 0.22 | % | |||||||
Other foreign currency | (992,700 | ) | (0.58 | )% | ||||||||
Total forwards | (5,280,320 | ) | (3.10 | )% | ||||||||
Options (cost $148,645,305) | ||||||||||||
Coffee Robusta March 2017, $2,050.00 - $2,200.00 Call | 3 | 1,469,500 | 0.86 | % | ||||||||
Coffee Robusta March 2017, $1,900.00 - $2,000.00 Put | 2 | (331,000 | ) | (0.19 | )% | |||||||
Coffee future March - May 2017, $170.00 Call | 2 | 1,948,500 | 1.14 | % | ||||||||
Crude oil March 2017 - December 2018, $50.00 - $73.00 Call | 6 | 15,410,500 | 9.05 | % | ||||||||
Natural gas Euro February 2017 - October 2017, $3.25 - $4.00 Call | 11 | 20,719,250 | 12.17 | % | ||||||||
Other commodity futures | 17,080,628 | 10.03 | % | |||||||||
Foreign bond futures | 371,034 | 0.22 | % | |||||||||
Euro / U.S. dollar 01/13/2017, $1.13 - $1.12 Call | 2 | 5,580 | 0.00 | % | ||||||||
Euro / U.S. dollar 01/10/2017 - 05/19/2017, $0.93 - $1.03 Put | 9 | 4,748,294 | 2.79 | % | ||||||||
U.S. dollar / Chinese yuan 01/23/2017 - 09/17/2017, $6.90 - $7.60 Call | 11 | 7,954,932 | 4.67 | % | ||||||||
U.S. dollar / Japanese yen 02/03/2017, $109.00 Call | 1 | 13,245,000 | 7.78 | % | ||||||||
U.S. dollar / Japanese yen 01/04/2017 - 03/30/2017, $112.50 - $122.48 Call | 11 | 17,623,072 | 10.35 | % | ||||||||
U.S. dollar / Japanese yen 02/03/2017 - 02/28/2017, $104.50 - $122.98 Put | 2 | 293,183 | 0.17 | % | ||||||||
Other currency | 10,789,649 | 6.34 | % | |||||||||
IMM Eurodollar June 2017, $99.00 Put | 1 | 24,750,000 | 14.53 | % | ||||||||
IMM Eurodollar December 2017, $98.50 Put | 1 | 11,093,750 | 6.51 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $2,146,960) | ||||||||||||
United States (cost $2,146,960) | ||||||||||||
Financial services (cost $2,146,960) | $ | 6,211,100 | 4.03 | % | ||||||||
Total exchange memberships | $ | 6,211,100 | 4.03 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Gold 100 Oz. February 2020 | 1,326 | $ | 4,984,390 | 3.24 | % | |||||||
Other commodity | 2,909,894 | 1.89 | % | |||||||||
Currency | 11,053 | 0.01 | % | |||||||||
Foreign bond | (1,350,205 | ) | (0.88 | )% | ||||||||
Foreign index | (560,883 | ) | (0.36 | )% | ||||||||
Interest rate | (1,463,850 | ) | (0.96 | )% | ||||||||
U.S. bond | 2,649,266 | 1.72 | % | |||||||||
U.S. index | 705,547 | 0.46 | % | |||||||||
Total futures | 7,885,212 | 5.12 | % | |||||||||
Forwards | ||||||||||||
Taiwan dollar / U.S. dollar 01/02/2020 – 03/18/2020 | TWD | 31,715,871,614 | 14,298,690 | 9.28 | % | |||||||
Other foreign currency | 17,331,749 | 11.26 | % | |||||||||
Total forwards | 31,630,439 | 20.54 | % | |||||||||
Options (cost $47,570,776) | ||||||||||||
Commodity futures | ||||||||||||
Gold February 2020 - April 2020, $1,550.00 – $1,650.00 Call | 2 | 6,007,490 | 3.90 | % | ||||||||
Other commodity | 373,430 | 0.24 | % | |||||||||
Currency futures | ||||||||||||
U.S. dollar / Taiwan dollar February 2020, $33.00 Call | 1 | 2 | 0.00 | % | ||||||||
Other currency futures | 19,948,850 | 12.97 | % | |||||||||
Foreign bond futures | 915,343 | 0.59 | % | |||||||||
Interest rate futures | (337,798 | ) | (0.22 | )% | ||||||||
U.S. bond futures | 839,267 | 0.54 | % | |||||||||
U.S. index futures | 1,946,160 | 1.26 | % | |||||||||
Total options | 29,692,744 | 19.28 | % |
3. | Investments in Master Funds (continued) |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Long contracts (continued) | ||||||||||||||||||||||||
Options (continued) | ||||||||||||||||||||||||
IMM Eurodollar June 2017 - December 2018, $97.75 - $98.63 Put | 2 | $ | 6,312,500 | 3.71 | % | |||||||||||||||||||
IMM Eurodollar March 2017, $99.38 Call | 1 | 46,875 | 0.03 | % | ||||||||||||||||||||
Other interest rate futures | 4,715,625 | 2.77 | % | |||||||||||||||||||||
U.S. bond futures | 1,476,563 | 0.87 | % | |||||||||||||||||||||
U.S. index futures | 2,475,000 | 1.45 | % | |||||||||||||||||||||
Total options | 162,198,435 | 95.25 | % | |||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Brent crude oil December 2018 | (150 | ) | (170,790 | ) | (0.10 | )% | ||||||||||||||||||
WTI crude oil February - March 2017 | (1,500 | ) | (590,670 | ) | (0.35 | )% | ||||||||||||||||||
Other commodity | 2,116,601 | 1.25 | % | |||||||||||||||||||||
Commodity | $ | 150 | 0.00 | % | ||||||||||||||||||||
Currency | 54 | 0.00 | % | |||||||||||||||||||||
Foreign bond | (1,640,883 | ) | (0.96 | )% | 857,428 | 0.56 | % | |||||||||||||||||
Foreign index | 216,165 | 0.14 | % | |||||||||||||||||||||
Interest rate | 1,901,210 | 1.12 | % | (419,994 | ) | (0.27 | )% | |||||||||||||||||
U.S. bond | (2,580,891 | ) | (1.52 | )% | 1,703,860 | 1.10 | % | |||||||||||||||||
U.S. index | 430,525 | 0.25 | % | 239,200 | 0.16 | % | ||||||||||||||||||
Total futures | (534,898 | ) | (0.31 | )% | 2,596,863 | 1.69 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Chinese yuan / U.S. dollar 01/09/2017 - 10/31/2017 | CNY | (1,995,485,204) | 4,111,234 | 2.41 | % | |||||||||||||||||||
Euro / U.S. dollar 01/03/2017 | EUR | (1,814,750,514) | (8,472,386 | ) | (4.97 | )% | ||||||||||||||||||
Japanese yen / U.S. dollar 01/04/2017 - 01/05/2017 | JPY | (36,516,967,351) | (279,864 | ) | (0.16 | )% | ||||||||||||||||||
U.S. dollar / Taiwan dollar 02/05/2020 | TWD | (8,048,818,557 | ) | (8,431,977 | ) | (5.47 | )% | |||||||||||||||||
U.S. dollar / Taiwan dollar 01/02/2020 – 03/18/2020 | TWD | (25,995,417,072 | ) | (15,787,940 | ) | (10.25 | )% | |||||||||||||||||
Other foreign currency | (285,428 | ) | (0.17 | )% | (19,091,770 | ) | (12.40 | )% | ||||||||||||||||
Total forwards | (4,926,444 | ) | (2.89 | )% | (43,311,687 | ) | (28.12 | )% | ||||||||||||||||
Options (proceeds $20,452,912) | ||||||||||||||||||||||||
Commodity futures | ||||||||||||||||||||||||
Gold April 2020, $1,750.00 – $1,900.00 Call | (2 | ) | (1,181,900 | ) | (0.77 | )% | ||||||||||||||||||
Other commodity futures | (138,510 | ) | (0.09 | )% | ||||||||||||||||||||
Currency futures | (5,260,260 | ) | (3.42 | )% | ||||||||||||||||||||
Foreign bond futures | (515,648 | ) | (0.33 | )% | ||||||||||||||||||||
Interest rate futures | (439,272 | ) | (0.29 | )% | ||||||||||||||||||||
U.S. bond futures | (368,875 | ) | (0.24 | )% | ||||||||||||||||||||
U.S. index futures | (2,157,735 | ) | (1.40 | )% | ||||||||||||||||||||
Total options | (10,062,200 | ) | (6.54 | )% | ||||||||||||||||||||
Total derivative financial instruments | $ | 18,431,371 | 11.97 | % |
Description | 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 | ||||||||||||
Options (proceeds $91,934,878) | ||||||||||||
Coffee Robusta March 2017, $2,400.00 Call | (1 | ) | $ | (17,000 | ) | (0.01 | )% | |||||
Coffee Robusta March 2017, $1,900.00 - $1,950.00 Put | (2 | ) | 196,500 | 0.12 | % | |||||||
Coffee future March - May 2017, $185.00 - $200.00 Call | (3 | ) | (635,250 | ) | (0.37 | )% | ||||||
Crude oil future February 2017 - December 2018, $52.50 - $80.00 Call | (10 | ) | (17,391,000 | ) | (10.21 | )% | ||||||
Crude oil future February 2017 - December 2017, $45.00 - $54.00 Put | (12 | ) | (7,941,520 | ) | (4.66 | )% | ||||||
Natural gas Euro February 2017 - October 2017, $3.50 - $5.00 Call | (20 | ) | (15,652,875 | ) | (9.19 | )% | ||||||
Natural gas Euro February 2017 - August 2017, $2.75 - $3.50 Put | (5 | ) | (2,718,750 | ) | (1.60 | )% | ||||||
Other commodity futures | (2,090,590 | ) | (1.24 | )% | ||||||||
Euro / U.S. dollar 01/13/2017, $1.13 - $1.12 Call | (2 | ) | (5,580 | ) | (0.00 | )% | ||||||
Euro / U.S. dollar 01/10/2017 - 05/19/2017, $0.93 - $1.01 Put | (4 | ) | (2,800,870 | ) | (1.64 | )% | ||||||
U.S. dollar / Chinese yuan 01/23/2017 - 09/17/2017, $7.20 - $7.90 Call | (4 | ) | (917,033 | ) | (0.54 | )% | ||||||
U.S. dollar / Japanese yen 02/03/2017, $109.00 Call | (1 | ) | (13,245,000 | ) | (7.78 | )% | ||||||
U.S. dollar / Japanese yen 01/13/2017 - 02/02/2017, $116.50 - $122.52 Call | (5 | ) | (5,196,358 | ) | (3.05 | )% | ||||||
U.S. dollar / Japanese yen 01/23/2017 - 02/03/2017, $104.50 - $113.75 Put | (3 | ) | (455,030 | ) | (0.27 | )% | ||||||
Other currency | (1,596,719 | ) | (0.94 | )% | ||||||||
IMM Eurodollar June 2017, $98.88 Put | (1 | ) | (14,062,500 | ) | (8.26 | )% | ||||||
IMM Eurodollar March 2017, $99.63 Call | (1 | ) | (46,875 | ) | (0.03 | )% | ||||||
IMM Eurodollar June 2017 - December 2018, $97.25 - $98.75 Put | (3 | ) | (15,656,250 | ) | (9.19 | )% | ||||||
Other interest rate futures | (2,187,500 | ) | (1.29 | )% | ||||||||
Foreign bond futures | (265,692 | ) | (0.16 | )% | ||||||||
U.S. bond futures | (328,125 | ) | (0.19 | )% | ||||||||
U.S. index futures | (487,500 | ) | (0.29 | )% | ||||||||
Total options | (103,501,517 | ) | (60.79 | )% | ||||||||
Total derivative financial instruments | $ | 59,863,776 | 35.15 | % |
3. | Investments in Master Funds (continued) |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Fixed income securities owned (cost $34,872,355) | ||||||||||||||||||||||||
Government bonds (cost $34,872,355) | ||||||||||||||||||||||||
United States (cost $34,872,355) | ||||||||||||||||||||||||
Treasury bonds (cost $31,087,793) | ||||||||||||||||||||||||
U.S. Treasury bond 1.38% due 01/15/2020 | $ | 31,500,000 | $ | 31,498,770 | 64.43 | % | ||||||||||||||||||
Total Treasury Bonds | 31,498,770 | 64.43 | % | |||||||||||||||||||||
Treasury bills (cost $3,784,562) | ||||||||||||||||||||||||
U.S. Treasury bills 0.00% due 01/16/2020 | $ | 3,800,000 | 3,797,916 | 7.77 | % | |||||||||||||||||||
Total Treasury bills | 3,797,916 | 7.77 | % | |||||||||||||||||||||
Total United States | 35,296,686 | 72.20 | % | |||||||||||||||||||||
Total government bonds | 35,296,686 | 72.20 | % | |||||||||||||||||||||
Total fixed income securities owned | $ | 35,296,686 | 72.20 | % | ||||||||||||||||||||
Exchange memberships (cost $1,051,100) | ||||||||||||||||||||||||
United States (cost $1,051,100) | ||||||||||||||||||||||||
Financial services (cost $1,051,100) | $ | 433,250 | 0.89 | % | ||||||||||||||||||||
Total exchange memberships | $ | 433,250 | 0.89 | % | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (3,650,299 | ) | (3.61 | )% | $ | 3,318,844 | 6.78 | % | |||||||||||||||
Canadian dollar March 2017 | 17 | (24,477 | ) | (0.02 | )% | |||||||||||||||||||
Other currency | 296,075 | 0.28 | % | |||||||||||||||||||||
Currency | 14,595 | 0.03 | % | |||||||||||||||||||||
Foreign bond | 3,609,660 | 3.57 | % | (2,634,458 | ) | (5.39 | )% | |||||||||||||||||
Foreign index | 4,228,909 | 4.18 | % | 380,112 | 0.78 | % | ||||||||||||||||||
Interest rate | (90,443 | ) | (0.09 | )% | 27,104 | 0.06 | % | |||||||||||||||||
U.S. bond | (276,795 | ) | (0.27 | )% | ||||||||||||||||||||
U.S. 2 yr – 10 yr note March 2020 | 2,090 | (1,390,733 | ) | (2.84 | )% | |||||||||||||||||||
U.S. long bond March 2020 | 516 | (1,382,658 | ) | (2.83 | )% | |||||||||||||||||||
U.S. index | (1,187,357 | ) | (1.17 | )% | 531,446 | 1.09 | % | |||||||||||||||||
Total futures | 2,905,273 | 2.87 | % | (1,135,748 | ) | (2.32 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Canadian dollar / U.S. dollar 03/15/2017 | CAD | 53,947,000 | (349,056 | ) | (0.35 | )% | ||||||||||||||||||
Australian dollar / U.S. dollar 03/15/2017 | AUD | 199,857,000 | (5,618,079 | ) | (5.55 | )% | ||||||||||||||||||
Australian dollar / U.S. dollar 01/03/2017 – 03/15/2017 | AUD | 43,303,274 | (108,700 | ) | (0.11 | )% | ||||||||||||||||||
Other foreign currency | (3,545,034 | ) | (3.50 | )% | ||||||||||||||||||||
Foreign currency | 1,590,436 | 3.25 | % | |||||||||||||||||||||
Total forwards | (9,620,869 | ) | (9.51 | )% | 1,590,436 | 3.25 | % | |||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | 4,381,482 | 4.33 | % | |||||||||||||||||||||
Australian dollar March 2017 | (10 | ) | 6,093 | 0.01 | % | |||||||||||||||||||
Other currency | (13,007 | ) | (0.01 | )% | ||||||||||||||||||||
Foreign bond | (947,794 | ) | (0.94 | )% | ||||||||||||||||||||
Foreign index | (749,021 | ) | (0.74 | )% | ||||||||||||||||||||
Interest rate | 1,325,779 | 1.31 | % | |||||||||||||||||||||
U.S. bond | 1,255,178 | 1.24 | % | |||||||||||||||||||||
U.S. index | 34,730 | 0.03 | % | |||||||||||||||||||||
Total futures | 5,293,440 | 5.23 | % | |||||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Canadian dollar / U.S. dollar 03/15/2017 | CAD | (287,093,000) | 5,336,391 | 5.27 | % | |||||||||||||||||||
Australian dollar / U.S. dollar 01/03/2017 – 03/15/2017 | AUD | (90,861,000) | 35,674 | 0.04 | % | |||||||||||||||||||
Other foreign currency | 6,884,415 | 6.80 | % | |||||||||||||||||||||
Total forwards | 12,256,480 | 12.11 | % | |||||||||||||||||||||
Total derivative financial instruments | $ | 10,834,324 | 10.70 | % |
3. | Investments in Master Funds (continued) |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Derivative financial instruments (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
Commodity | $ | (3,239,514 | ) | (6.62 | )% | ||||
Currency | (30,159 | ) | (0.06 | )% | |||||
Foreign bond | 1,896,129 | 3.88 | % | ||||||
Foreign index | 16,525 | 0.03 | % | ||||||
Interest rate | 12,120 | 0.02 | % | ||||||
U.S. index | (650,009 | ) | (1.33 | )% | |||||
Total futures | (1,994,908 | ) | (4.08 | )% | |||||
Forwards | |||||||||
Foreign currency | (4,067,760 | ) | (8.32 | )% | |||||
Total forwards | (4,067,760 | ) | (8.32 | )% | |||||
Total derivative financial instruments | $ | (5,607,980 | ) | (11.47 | )% |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Assets | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | 14,319,838 | $ | 8,742,664 | $ | 8,202,787 | $ | 4,548,612 | ||||||||
Commodity futures options | 56,824,878 | - | 6,380,920 | – | ||||||||||||
Currency futures | - | 302,492 | 11,107 | 73,472 | ||||||||||||
Exchange memberships | 6,211,100 | 433,250 | ||||||||||||||
Foreign bond futures | 48,225 | 3,822,421 | 857,428 | 1,943,300 | ||||||||||||
Foreign bond futures options | 371,034 | - | 915,343 | – | ||||||||||||
Foreign index futures | 985,283 | 4,321,716 | 806,271 | 983,149 | ||||||||||||
Interest rate futures | 3,317,486 | 1,882,466 | 86,329 | 74,409 | ||||||||||||
Interest rate futures options | 46,918,750 | - | 4,525,823 | – | ||||||||||||
U.S. bond futures | 1,290,594 | 1,432,048 | 5,547,173 | 2,347 | ||||||||||||
U.S. bond futures options | 1,476,563 | - | ||||||||||||||
U.S. bond future options | 839,267 | – | ||||||||||||||
U.S. index futures | 430,525 | 1,249,198 | 1,609,698 | 552,136 | ||||||||||||
U.S. index futures options | 2,475,000 | - | 1,946,160 | – | ||||||||||||
Total Level 1 | 128,458,176 | 21,753,005 | 37,939,406 | 8,610,675 | ||||||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | 10,689,404 | 14,142,320 | 32,356,429 | 1,609,343 | ||||||||||||
Foreign currency options | 54,659,710 | - | 19,948,852 | – | ||||||||||||
Government bonds* | – | 35,296,686 | ||||||||||||||
Total Level 2 | 65,349,114 | 14,142,320 | 52,305,281 | 36,906,029 | ||||||||||||
Total investment related assets | $ | 193,807,290 | $ | 35,895,325 | $ | 90,244,687 | $ | 45,516,704 | ||||||||
Liabilities | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | (3,029,032 | ) | $ | (8,011,481 | ) | $ | (308,353 | ) | $ | (4,469,282 | ) | ||||
Commodity futures options | (46,777,985 | ) | - | (1,320,410 | ) | – | ||||||||||
Currency futures | - | (37,808 | ) | – | (89,036 | ) | ||||||||||
Foreign bond futures | (1,689,108 | ) | (1,160,555 | ) | (1,350,205 | ) | (2,681,629 | ) | ||||||||
Foreign bond futures options | (265,692 | ) | - | (515,648 | ) | – | ||||||||||
Foreign index futures | (306,761 | ) | (841,828 | ) | (1,150,989 | ) | (586,512 | ) | ||||||||
Interest rate futures | (1,252,899 | ) | (647,130 | ) | (1,970,173 | ) | (35,185 | ) | ||||||||
Interest rate futures options | (31,953,125 | ) | - | (5,302,893 | ) | – | ||||||||||
U.S. bond futures | (2,580,891 | ) | (453,665 | ) | (1,194,047 | ) | (2,775,738 | ) | ||||||||
U.S. bond futures options | (328,125 | ) | - | |||||||||||||
U.S. bond future options | (368,875 | ) | – | |||||||||||||
U.S. index futures | (159,638 | ) | (2,401,825 | ) | (664,951 | ) | (670,699 | ) | ||||||||
U.S. index futures options | (487,500 | ) | - | (2,157,735 | ) | – | ||||||||||
Total Level 1 | (88,830,756 | ) | (13,554,292 | ) | (16,304,279 | ) | (11,308,081 | ) | ||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | (20,896,168 | ) | (11,506,709 | ) | (44,037,677 | ) | (4,086,667 | ) | ||||||||
Foreign currency options | (24,216,590 | ) | - | (5,260,260 | ) | – | ||||||||||
Total Level 2 | (45,112,758 | ) | (11,506,709 | ) | (49,297,937 | ) | (4,086,667 | ) | ||||||||
Total investment related liabilities | $ | (133,943,514 | ) | $ | (25,061,001 | ) | $ | (65,602,216 | ) | $ | (15,394,748 | ) |
3. | Investments in Master Funds (continued) |
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 | $ | 594,473,573 | 18,890 | $ | (378,174,689 | ) | (10,348 | ) | $ | 14,319,838 | $ | (3,029,032 | ) | $ | 313,741,559 | 3,397 | $ | (30,152,749 | ) | (549 | ) | $ | 8,202,787 | $ | (308,353 | ) | ||||||||||||||||||||||
Options(a) | 645,422,049 | 43,618 | (422,143,840 | ) | (28,650 | ) | 56,824,878 | (46,777,985 | ) | |||||||||||||||||||||||||||||||||||||||
Swaps(b) | 27,685,864 | 595 | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Options (a) | 200,027,267 | 5,972 | (128,937,374 | ) | (5,645 | ) | 6,380,920 | (1,320,410 | ) | |||||||||||||||||||||||||||||||||||||||
1,267,581,486 | 63,103 | (800,318,529 | ) | (38,998 | ) | 71,144,716 | (49,807,017 | ) | 513,768,826 | 9,369 | (159,090,123 | ) | (6,194 | ) | 14,583,707 | (1,628,763 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 93,578,564 | 1,005 | (62,056,131 | ) | (781 | ) | 1,415,808 | (466,399 | ) | 297,466,626 | 2,785 | (147,992,807 | ) | (1,505 | ) | 2,415,969 | (1,815,940 | ) | ||||||||||||||||||||||||||||||
Options(a) | 64,008,276 | 7,398 | (12,900,694 | ) | (4,998 | ) | 2,475,000 | (487,500 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 112,874,233 | 3,043 | (70,088,951 | ) | (6,420 | ) | 1,946,160 | (2,157,735 | ) | |||||||||||||||||||||||||||||||||||||||
157,586,840 | 8,403 | (74,956,825 | ) | (5,779 | ) | 3,890,808 | (953,899 | ) | 410,340,859 | 5,828 | (218,081,758 | ) | (7,925 | ) | 4,362,129 | (3,973,675 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 9,482,312,254 | N/A | (4,518,659,130 | ) | N/A | 10,689,404 | (20,896,168 | ) | 8,819,006,482 | N/A | (3,422,599,977 | ) | N/A | 32,356,429 | (44,037,677 | ) | ||||||||||||||||||||||||||||||||
Options(a) | 1,178,965,223 | 50 | (1,118,794,294 | ) | (50 | ) | 54,659,710 | (24,216,590 | ) | |||||||||||||||||||||||||||||||||||||||
Futures | 1,764,474 | 17 | (1,132,569 | ) | (13 | ) | 11,107 | – | ||||||||||||||||||||||||||||||||||||||||
Options (a) | 1,096,647,293 | 60 | (1,210,201,282 | ) | (51 | ) | 19,948,852 | (5,260,260 | ) | |||||||||||||||||||||||||||||||||||||||
10,661,277,477 | 50 | (5,637,453,424 | ) | (50 | ) | 65,349,114 | (45,112,758 | ) | 9,917,418,249 | 77 | (4,633,933,828 | ) | (64 | ) | 52,316,388 | (49,297,937 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 18,154,657,514 | 59,205 | (15,921,789,404 | ) | (49,300 | ) | 4,656,305 | (5,522,898 | ) | 14,635,375,167 | 57,069 | (6,634,714,049 | ) | (30,450 | ) | 6,490,930 | (4,514,425 | ) | ||||||||||||||||||||||||||||||
Options(a) | 8,496,802,913 | 147,025 | (9,037,141,028 | ) | (124,875 | ) | 48,766,347 | (32,546,942 | ) | |||||||||||||||||||||||||||||||||||||||
Swaps(b) | 559,814 | 1 | (2,624,769 | ) | (2 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||
Options (a) | 6,863,224,095 | 310,134 | (4,118,997,465 | ) | (225,245 | ) | 6,280,433 | (6,187,416 | ) | |||||||||||||||||||||||||||||||||||||||
26,652,020,241 | 206,231 | (24,961,555,201 | ) | (174,177 | ) | 53,422,652 | (38,069,840 | ) | 21,498,599,262 | 367,203 | (10,753,711,514 | ) | (255,695 | ) | 12,771,363 | (10,701,841 | ) | |||||||||||||||||||||||||||||||
Total | $ | 38,738,466,044 | 277,787 | $ | (31,474,283,979 | ) | (219,004 | ) | $ | 193,807,290 | $ | (133,943,514 | ) | $ | 32,340,127,196 | 382,477 | $ | (15,764,817,223 | ) | (269,878 | ) | $ | 84,033,587 | $ | (65,602,216 | ) |
(a) |
3. | Investments in Master Funds (continued) |
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 | $ | 369,934,460 | 7,477 | $ | (256,322,203 | ) | (5,940 | ) | $ | 8,742,664 | $ | (8,011,481 | ) | $ | 161,257,969 | 1,889 | $ | (195,309,082 | ) | (4,220 | ) | $ | 4,548,612 | $ | (4,469,282 | ) | ||||||||||||||||||||||
369,934,460 | 7,477 | (256,322,203 | ) | (5,940 | ) | 8,742,664 | (8,011,481 | ) | 161,257,969 | 1,889 | (195,309,082 | ) | (4,220 | ) | 4,548,612 | (4,469,282 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 574,565,900 | 5,873 | (135,885,108 | ) | (2,117 | ) | 5,570,914 | (3,243,653 | ) | 519,198,139 | 5,371 | (29,874,004 | ) | (284 | ) | 1,535,285 | (1,257,211 | ) | ||||||||||||||||||||||||||||||
574,565,900 | 5,873 | (135,885,108 | ) | (2,117 | ) | 5,570,914 | (3,243,653 | ) | 519,198,139 | 5,371 | (29,874,004 | ) | (284 | ) | 1,535,285 | (1,257,211 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 654,891,983 | N/A | (815,502,972 | ) | N/A | 14,142,320 | (11,506,709 | ) | 220,150,774 | N/A | (639,550,041 | ) | N/A | 1,609,343 | (4,086,667 | ) | ||||||||||||||||||||||||||||||||
Futures | 21,012,235 | 210 | (53,944,482 | ) | (552 | ) | 302,492 | (37,808 | ) | 16,316,430 | 172 | (11,935,977 | ) | (116 | ) | 73,472 | (89,036 | ) | ||||||||||||||||||||||||||||||
675,904,218 | 210 | (869,447,454 | ) | (552 | ) | 14,444,812 | (11,544,517 | ) | 236,467,204 | 172 | (651,486,018 | ) | (116 | ) | 1,682,815 | (4,175,703 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 3,085,056,458 | 17,936 | (1,804,155,003 | ) | (8,701 | ) | 7,136,935 | (2,261,350 | ) | 2,146,985,600 | 11,917 | (271,028,601 | ) | (1,663 | ) | 2,020,056 | (5,492,552 | ) | ||||||||||||||||||||||||||||||
3,085,056,458 | 17,936 | (1,804,155,003 | ) | (8,701 | ) | 7,136,935 | (2,261,350 | ) | 2,146,985,600 | 11,917 | (271,028,601 | ) | (1,663 | ) | 2,020,056 | (5,492,552 | ) | |||||||||||||||||||||||||||||||
Total | $ | 4,705,461,036 | 31,496 | $ | (3,065,809,768 | ) | (17,310 | ) | $ | 35,895,325 | $ | (25,061,001 | ) | $ | 3,063,908,912 | 19,349 | $ | (1,147,697,705 | ) | (6,283 | ) | $ | 9,786,768 | $ | (15,394,748 | ) |
3. | Investments in Master Funds (continued) |
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 | |||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 193,807,290 | $ | (133,943,514 | ) | $ | 59,863,776 | $ | - | $ | 59,863,776 | $ | 84,033,587 | $ | (65,602,216 | ) | $ | 18,431,371 | $ | – | $ | 18,431,371 | ||||||||||||||||||
Derivative liabilities | (133,943,514 | ) | 133,943,514 | - | - | - | (65,602,216 | ) | 65,602,216 | – | – | – | ||||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 35,895,325 | $ | (25,061,001 | ) | $ | 10,834,324 | $ | - | $ | 10,834,324 | $ | 9,786,768 | $ | (9,786,768 | ) | $ | – | $ | – | $ | – | ||||||||||||||||||
Derivative liabilities | (25,061,001 | ) | 25,061,001 | - | - | - | (15,394,748 | ) | 9,786,768 | (5,607,980 | ) | 5,607,980 | – |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Net investment income | $ | 62,428 | $ | 29,003 | $ | 372,292 | $ | 200,436 | ||||||||
Net realized (loss) gain on investments | (28,241,288 | ) | 2,114,589 | |||||||||||||
Net realized gain on investments | 91,288,839 | 57,612,556 | ||||||||||||||
Net decrease in unrealized appreciation on investments | (22,698,798 | ) | (25,514,946 | ) | (35,180,589 | ) | (19,316,972 | ) | ||||||||
Brokerage commissions and fees | (3,282,875 | ) | (186,881 | ) | (4,210,945 | ) | (101,863 | ) | ||||||||
Net loss on investments | (54,222,961 | ) | (23,587,238 | ) | ||||||||||||
Net loss | $ | (54,160,533 | ) | $ | (23,558,235 | ) | ||||||||||
Net gain on investments | 51,897,305 | 38,193,721 | ||||||||||||||
Net income | $ | 52,269,597 | $ | 38,394,157 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 135,374 | $ | 46,319 | ||||
Net realized loss on investments | (75,620,370 | ) | (21,354,964 | ) | ||||
Net increase in unrealized appreciation on investments | 17,773,743 | 1,505,662 | ||||||
Brokerage commissions and fees | (11,963,047 | ) | (645,945 | ) | ||||
Net loss on investments | (69,809,674 | ) | (20,495,247 | ) | ||||
Net loss | $ | (69,674,300 | ) | $ | (20,448,928 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 1,281,301 | $ | 659,930 | ||||
Net realized gain on investments | 148,812,821 | 77,214,124 | ||||||
Net (decrease) increase in unrealized appreciation on investments | (36,393,948 | ) | 5,561,738 | |||||
Brokerage commissions and fees | (12,718,098 | ) | (346,364 | ) | ||||
Net gain on investments | 99,700,775 | 82,429,498 | ||||||
Net income | $ | 100,982,076 | $ | 83,089,428 |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 23,226,681 | $ | (42,145,479 | ) | $ | 19,473,321 | $ | (5,318,152 | ) | ||||||
Options | (18,288,758 | ) | - | 4,420,347 | - | |||||||||||
4,937,923 | (42,145,479 | ) | 23,893,668 | (5,318,152 | ) | |||||||||||
Equity price | ||||||||||||||||
Equities | 199,600 | (31,500 | ) | 561,900 | (65,750 | ) | ||||||||||
Futures | 5,075,297 | 24,255,009 | 17,324,869 | 12,840,006 | ||||||||||||
Options | (6,977,968 | ) | - | (1,344,915 | ) | - | ||||||||||
(1,703,071 | ) | 24,223,509 | 16,541,854 | 12,774,256 | ||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | (3,650,777 | ) | 1,108,898 | 32,672,955 | 15,215,088 | |||||||||||
Futures | (78,885 | ) | (1,978,145 | ) | (52,501 | ) | 946,691 | |||||||||
Options | (23,359,001 | ) | - | (22,151,472 | ) | - | ||||||||||
(27,088,663 | ) | (869,247 | ) | 10,468,982 | 16,161,779 | |||||||||||
Interest rate | ||||||||||||||||
Fixed income securities | - | 71,982 | ||||||||||||||
Futures | (22,552,324 | ) | (4,609,140 | ) | 21,266,142 | 14,605,719 | ||||||||||
Options | (4,533,951 | ) | - | (16,062,396 | ) | - | ||||||||||
(27,086,275 | ) | (4,609,140 | ) | 5,203,746 | 14,677,701 | |||||||||||
Total | $ | (50,940,086 | ) | $ | (23,400,357 | ) | $ | 56,108,250 | $ | 38,295,584 |
3. | Investments in Master Funds (continued) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 50,565,065 | $ | (55,673,149 | ) | $ | 34,095,503 | $ | (34,710,115 | ) | ||||||
Options | 41,149,436 | - | 5,106,892 | - | ||||||||||||
Swaps | (5,443,954 | ) | - | |||||||||||||
86,270,547 | (55,673,149 | ) | 39,202,395 | (34,710,115 | ) | |||||||||||
Equity price | ||||||||||||||||
Equities | 494,600 | (63,500 | ) | 741,600 | (150,250 | ) | ||||||||||
Futures | (11,191,048 | ) | 6,090,507 | 26,252,521 | 37,721,909 | |||||||||||
Options | (16,683,130 | ) | - | 904,890 | - | |||||||||||
(27,379,578 | ) | 6,027,007 | 27,899,011 | 37,571,659 | ||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | (22,425,651 | ) | (618,341 | ) | 45,971,846 | 9,888,840 | ||||||||||
Futures | (78,885 | ) | (6,715,336 | ) | (148,941 | ) | 1,128,368 | |||||||||
Options | (35,234,819 | ) | - | (43,138,591 | ) | - | ||||||||||
(57,739,355 | ) | (7,333,677 | ) | 2,684,314 | 11,017,208 | |||||||||||
Interest rate | ||||||||||||||||
Fixed income securities | - | 364,834 | ||||||||||||||
Futures | (45,768,323 | ) | 37,130,517 | 35,470,016 | 68,532,276 | |||||||||||
Options | (12,524,612 | ) | - | 7,163,137 | - | |||||||||||
Swaps | (705,306 | ) | - | |||||||||||||
(58,998,241 | ) | 37,130,517 | 42,633,153 | 68,897,110 | ||||||||||||
Total | $ | (57,846,627 | ) | $ | (19,849,302 | ) | $ | 112,418,873 | $ | 82,775,862 |
4. | Graham Cash Assets LLC |
September 30, 2017 | December 31, 2016 | September 30, 2020 | December 31, 2019 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 701,909,609 | $ | 613,789,536 | $ | 630,249,714 | $ | 552,689,299 | ||||||||
Investments in fixed income securities (amortized cost $4,149,606,218 and $4,208,763,924, respectively) | 4,149,606,218 | 4,208,763,924 | ||||||||||||||
Accrued interest receivable | 10,065,652 | 8,117,639 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,077,782,984 and $5,318,988,355, respectively) | 5,077,782,984 | 5,318,988,355 | ||||||||||||||
Interest receivable | 10,745,330 | 17,960,353 | ||||||||||||||
Total assets | 4,861,581,479 | 4,830,671,099 | 5,718,778,028 | 5,889,638,007 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to broker | 99,949,192 | - | ||||||||||||||
Accrued bank fee expense | - | 17,000 | ||||||||||||||
Total liabilities | 99,949,192 | 17,000 | ||||||||||||||
Members’ capital | $ | 4,861,581,479 | $ | 4,830,671,099 | $ | 5,618,828,836 | $ | 5,889,621,007 |
4. | Graham Cash Assets LLC (continued) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 11,490,295 | $ | 5,671,187 | $ | 28,627,780 | $ | 15,320,613 | ||||||||
Total investment income | 11,490,295 | 5,671,187 | 28,627,780 | 15,320,613 | ||||||||||||
Expenses: | ||||||||||||||||
Bank fee expense | 17,225 | 12,960 | 49,936 | 48,299 | ||||||||||||
Total expenses | 17,225 | 12,960 | 49,936 | 48,299 | ||||||||||||
Net investment income | 11,473,070 | 5,658,227 | 28,577,844 | 15,272,314 | ||||||||||||
Net income | $ | 11,473,070 | $ | 5,658,227 | $ | 28,577,844 | $ | 15,272,314 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net gain on investments | ||||||||||||||||
Net realized gain on investments | $ | - | - | $ | 2,283,203 | - | ||||||||||
Net gain on investments | - | - | 2,283,203 | - | ||||||||||||
Investment income | ||||||||||||||||
Interest income | 12,176,181 | 27,890,220 | 53,360,250 | 74,162,722 | ||||||||||||
Total investment income | 12,176,181 | 27,890,220 | 53,360,250 | 74,162,722 | ||||||||||||
Expenses: | ||||||||||||||||
Bank fee expense | 32,296 | 11,503 | 166,046 | 57,410 | ||||||||||||
Total expenses | 32,296 | 11,503 | 166,046 | 57,410 | ||||||||||||
Net investment income | 12,143,885 | 27,878,717 | 53,194,204 | 74,105,312 | ||||||||||||
Net income | $ | 12,143,885 | $ | 27,878,717 | $ | 55,477,407 | $ | 74,105,312 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $4,149,606,218) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,077,782,984) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (amortized cost $3,599,762,525) | ||||||||||||||||||||||||
U.S. Treasury bonds 0.63% – 3.13% due 10/15/2017 – 01/31/2020 | $ | 3,600,000,000 | $ | 3,599,762,525 | 74.05% | |||||||||||||||||||
Government Bonds (amortized cost $2,353,578,781) | ||||||||||||||||||||||||
U.S. Treasury bonds 1.13% – 2.75% due 10/15/2020 – 5/31/2021 | $ | 2,350,000,000 | $ | 2,353,578,781 | 41.89% | |||||||||||||||||||
Total Government Bonds | 3,599,762,525 | 74.05% | 2,353,578,781 | 41.89% | ||||||||||||||||||||
Treasury Bills (amortized cost $549,843,693) | ||||||||||||||||||||||||
U.S. Treasury bills 0.00% due 10/05/2017 – 10/19/2017 | 550,000,000 | 549,843,693 | 11.31% | |||||||||||||||||||||
Treasury Bills (amortized cost $2,724,204,203) | ||||||||||||||||||||||||
U.S. Treasury bills 0.00% due 10/06/2020 – 4/22/2021 | 2,725,000,000 | 2,724,204,203 | 48.48% | |||||||||||||||||||||
Total Treasury Bills | 549,843,693 | 11.31% | 2,724,204,203 | 48.48% | ||||||||||||||||||||
Total United States | 4,149,606,218 | 85.36% | 5,077,782,984 | 90.37% | ||||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 4,149,606,218 | 85.36% | $ | 5,077,782,984 | 90.37% |
4. | Graham Cash Assets LLC (continued) |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $4,208,763,924) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $3,533,849,051) | ||||||||||||
U.S. Treasury bonds 0.50% – 3.25% due 01/15/2017 – 04/15/2019 | $ | 3,525,000,000 | $ | 3,533,849,051 | 73.16% | |||||||
Total Government Bonds | 3,533,849,051 | 73.16% | ||||||||||
Treasury Bills (amortized cost $674,914,873) | ||||||||||||
U.S. Treasury bill 0.00% due 01/12/2017 | 275,000,000 | 274,964,768 | 5.69% | |||||||||
U.S. Treasury bills 0.00% due 01/5/2017 – 01/19/2017 | 400,000,000 | 399,950,105 | 8.28% | |||||||||
Total Treasury Bills | 674,914,873 | 13.97% | ||||||||||
Total United States | 4,208,763,924 | 87.13% | ||||||||||
Total Investments in Fixed Income Securities | $ | 4,208,763,924 | 87.13% |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $5,318,988,355) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $5,069,101,450) | ||||||||||||
U.S. Treasury bonds 1.13% – 2.75% due 01/15/2020 – 03/31/2021 | $ | 5,075,000,000 | $ | 5,069,101,450 | 86.07% | |||||||
Total Government Bonds | 5,069,101,450 | 86.07% | ||||||||||
Treasury Bills (amortized cost $249,886,905) | ||||||||||||
U.S. Treasury bills 0.00% 01/07/2020 – 01/14/2020 | 250,000,000 | 249,886,905 | 4.24% | |||||||||
Total Treasury Bills | 249,886,905 | 4.24% | ||||||||||
Total United States | 5,318,988,355 | 90.31% | ||||||||||
Total Investments in Fixed Income Securities | $ | 5,318,988,355 | 90.31% |
September 30, 2017 | December 31, 2016 | September 30, 2020 | December 31, 2019 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 3,599,762,525 | $ | 3,533,849,051 | $ | 2,353,578,781 | $ | 5,069,101,450 | ||||||||
Treasury bills | 549,843,693 | 674,914,873 | 2,724,204,203 | 249,886,905 | ||||||||||||
Total fixed income securities | 4,149,606,218 | 4,208,763,924 | 5,077,782,984 | 5,318,988,355 | ||||||||||||
Total Level 2 | 4,149,606,218 | 4,208,763,924 | 5,077,782,984 | 5,318,988,355 | ||||||||||||
Total assets | $ | 4,149,606,218 | $ | 4,208,763,924 | $ | 5,077,782,984 | $ | 5,318,988,355 |
5. | Capital Accounts |
5. | Capital Accounts (continued) |
6. | Fees and Related Party Transactions |
Period | Class 0 | Class2 | ||||
For the period from January 1, 2016 through March 31, 2017 | 0.75% | 2.75% | ||||
For the period from April 1, 2017 through June 30, 2017 | 0.75% | 1.50% | ||||
For the period from July 1, 2017 through September 30, 2017 | 0.75% | 1.25% |
Class 0 | Class 2 |
0.50% | 1.25% |
6. | Fees and Related Party Transactions (continued) |
7. | Income Taxes |
8. | Financial Highlights |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
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 |
Net asset value per unit, June 30, 2017 | $ | 137.79 | $ | 100.07 | ||||
Net gain: | ||||||||
Net investment loss | (0.54 | ) | (0.58 | ) | ||||
Net gain on investments | 1.56 | 1.12 | ||||||
Net gain | 1.02 | 0.54 | ||||||
Net asset value per unit, September 30, 2017 | $ | 138.81 | $ | 100.61 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, June 30, 2019 | $ | 142.21 | $ | 101.74 | ||||
Net income: | ||||||||
Net investment loss | (0.45 | ) | (0.53 | ) | ||||
Net gain on investments | 10.04 | 7.17 | ||||||
Net income | 9.59 | 6.64 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net income: | ||||||||
Net investment loss | (2.90 | ) | (1.13 | ) | ||||
Net gain on investments | 11.05 | 7.91 | ||||||
Net income | 8.15 | 6.78 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | ||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||
Total return before Incentive Allocation | 6.33 | % | 6.74 | % | 6.19 | % | 6.53 | % | |||||
Incentive Allocation | (1.22 | ) | (0.00 | ) | (0.23 | ) | 0.00 | ||||||
Total return after Incentive Allocation | 5.11 | % | 6.74 | % | 5.96 | % | 6.53 | % | |||||
Net investment loss before Incentive Allocation | (0.52 | )% | (0.30 | )% | (0.71 | )% | (0.49 | )% | |||||
Incentive Allocation | (1.22 | ) | (0.00 | ) | (0.23 | ) | 0.00 | ||||||
Net investment loss after Incentive Allocation | (1.74 | )% | (0.30 | )% | (0.94 | )% | (0.49 | )% | |||||
Total expenses before Incentive Allocation | 0.72 | % | 0.81 | % | 0.92 | % | 1.01 | % | |||||
Incentive Allocation | 1.22 | 0.00 | 0.23 | 0.00 | |||||||||
Total expenses after Incentive Allocation | 1.94 | % | 0.81 | % | 1.15 | % | 1.01 | % |
8. | Financial Highlights (continued) |
Class 0 | Class 2 | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total return before Incentive Allocation | 0.74 | % | (4.17 | )% | 0.54 | % | (4.65 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | 0.74 | % | (4.17 | )% | 0.54 | % | (4.65 | )% | ||||||||
Net investment loss before Incentive Allocation | (0.38 | )% | (0.61 | )% | (0.57 | )% | (1.10 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.38 | )% | (0.61 | )% | (0.57 | )% | (1.10 | )% | ||||||||
Total expenses before Incentive Allocation | 0.63 | % | 0.74 | % | 0.81 | % | 1.23 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 0.63 | % | 0.74 | % | 0.81 | % | 1.23 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2015 | $ | 147.34 | $ | 109.91 | ||||
Net loss: | ||||||||
Net investment loss | (2.61 | ) | (3.51 | ) | ||||
Net loss on investments | (5.88 | ) | (4.36 | ) | ||||
Net loss | (8.49 | ) | (7.87 | ) | ||||
Net asset value per unit, September 30, 2016 | $ | 138.85 | $ | 102.04 |
Net asset value per unit, December 31, 2016 | $ | 146.92 | $ | 107.43 | ||||
Net loss: | ||||||||
Net investment loss | (2.24 | ) | (2.54 | ) | ||||
Net loss on investments | (5.87 | ) | (4.28 | ) | ||||
Net loss | (8.11 | ) | (6.82 | ) | ||||
Net asset value per unit, September 30, 2017 | $ | 138.81 | $ | 100.61 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2018 | $ | 133.70 | $ | 96.01 | ||||
Net income: | ||||||||
Net investment loss | (0.86 | ) | (1.19 | ) | ||||
Net gain on investments | 18.96 | 13.56 | ||||||
Net income | 18.10 | 12.37 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | ||||||||
Net investment loss | (4.46 | ) | (2.14 | ) | ||||
Net gain on investments | 20.11 | 14.35 | ||||||
Net income | 15.65 | 12.21 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | ||||||||||||
2020 | 2019 | 2020 | 2019 | ||||||||||
Total return before Incentive Allocation | 12.01 | % | 13.54 | % | 11.51 | % | 12.88 | % | |||||
Incentive Allocation | (1.72 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||
Total return after Incentive Allocation | 10.29 | % | 13.54 | % | 11.27 | % | 12.88 | % | |||||
Net investment loss before Incentive Allocation | (1.08 | )% | (0.61 | )% | (1.64 | )% | (1.18 | )% | |||||
Incentive Allocation | (1.72 | ) | (0.00 | ) | (0.24 | ) | 0.00 | ||||||
Net investment loss after Incentive Allocation | (2.80 | )% | (0.61 | )% | (1.88 | )% | (1.18 | )% | |||||
Total expenses before Incentive Allocation | 2.00 | % | 2.14 | % | 2.57 | % | 2.71 | % | |||||
Incentive Allocation | 1.72 | 0.00 | 0.24 | 0.00 | | ||||||||
Total expenses after Incentive Allocation | 3.72 | % | 2.14 | % | 2.81 | % | 2.71 | % |
8. | Financial Highlights (continued) |
Class 0 | Class 2 | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total return before Incentive Allocation | (5.52 | )% | (5.76 | )% | (6.35 | )% | (7.16 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (5.52 | )% | (5.76 | )% | (6.35 | )% | (7.16 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.58 | )% | (1.81 | )% | (2.46 | )% | (3.30 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.58 | )% | (1.81 | )% | (2.46 | )% | (3.30 | )% | ||||||||
Total expenses before Incentive Allocation | 2.17 | % | 2.16 | % | 3.05 | % | 3.65 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.17 | % | 2.16 | % | 3.05 | % | 3.65 | % |
9. | Subsequent Events |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(i) | Results of Operations |
Agriculture / Softs | $ | (1,068,955 | ) | |
Base metals | 338,705 | |||
Energy | (712,777 | ) | ||
Equities | 1,245,225 | |||
Foreign exchange | 1,856,292 | |||
Long term / Intermediate rates | (1,255,574 | ) | ||
Precious metals | (15,176 | ) | ||
Short term rates | 406,707 | |||
$ | 794,447 |
Agriculture / Softs | $ | (237,502 | ) | |
Base Metals | 58,772 | |||
Energy | 20,022 | |||
Equities | 922,027 | |||
Foreign Exchange | 668,954 | |||
Long Term / Intermediate Rates | (50,959 | ) | ||
Precious Metals | 539,669 | |||
Short Term Rates | (4,053 | ) | ||
Weather | 11,769 | |||
$ | 1,928,699 |
Agriculture / Softs | $ | (1,147,107 | ) | |
Base metals | 52,284 | |||
Energy | (1,837,516 | ) | ||
Equities | 2,897,359 | |||
Foreign exchange | (368,070 | ) | ||
Long term / Intermediate rates | (1,958,072 | ) | ||
Precious metals | (349,527 | ) | ||
Short term rates | 164,944 | |||
$ | (2,545,705 | ) |
Agriculture / Softs | $ | (222,542 | ) | |
Base Metals | 315,803 | |||
Energy | (129,792 | ) | ||
Equities | (964,759 | ) | ||
Foreign Exchange | 515,055 | |||
Long Term / Intermediate Rates | 1,109,606 | |||
Precious Metals | 1,496,118 | |||
Short Term Rates | 1,438,845 | |||
Weather | 14,586 | |||
$ | 3,572,920 |
Agriculture / Softs | ( | )% | ||
Base | 1.2 | % | ||
Energy | ( | )% | ||
Equities | 18.6 | % | ||
Foreign | 6.9 | % | ||
Long | 7.0 | % | ||
Precious | (11.2 | )% | ||
Short | 89.3 | % | ||
100.0 | % |
Agriculture / Softs | $ | (344,327 | ) | |
Base metals | (236,180 | ) | ||
Energy | (1,288,394 | ) | ||
Equities | 1,167,485 | |||
Foreign exchange | (859,643 | ) | ||
Long term / Intermediate rates | (1,377,447 | ) | ||
Precious metals | (100,168 | ) | ||
Short term rates | 243,817 | |||
$ | (2,794,857 | ) |
Agriculture / Softs | $ | (14,782 | ) | |
Base Metals | 38,710 | |||
Energy | (234,850 | ) | ||
Equities | 672,775 | |||
Foreign Exchange | 703,198 | |||
Long Term / Intermediate Rates | 785,637 | |||
Precious Metals | 294,526 | |||
Short Term Rates | (245,335 | ) | ||
$ | 1,999,879 |
Agriculture / Softs | $ | (102,795 | ) | |
Base Metals | (103,091 | ) | ||
Energy | (831,736 | ) | ||
Equities | 1,547,472 | |||
Foreign Exchange | 491,620 | |||
Long Term / Intermediate Rates | 1,985,185 | |||
Precious Metals | 455,592 | |||
Short Term Rates | 490,111 | |||
$ | 3,932,358 |
Agriculture / Softs | $ | 41,834 | ||
Base metals | (1,012,542 | ) | ||
Energy | (1,066 | ) | ||
Equities | (504,124 | ) | ||
Foreign exchange | (1,898,663 | ) | ||
Long term / Intermediate rates | 203,695 | |||
Precious metals | 532,009 | |||
Short term rates | (313,675 | ) | ||
$ | (2,952,532 | ) |
Agriculture / Softs | (2.4 | )% | ||
Base | 3.4 | % | ||
Energy | 2.3 | % | ||
Equities | (1.1 | )% | ||
Foreign | 45.4 | % | ||
Long | (7.2 | )% | ||
Precious | ( | )% | ||
Short | 69.0 | % | ||
100.0 | % |
(ii) | Liquidity |
Blended Strategies Portfolio | |
September 30, | |
December 31, | |
September 30, |
(iii) | Capital Resources |
(iv) | Critical Accounting Policies |
(v) |
Item 1. | Legal Proceedings |
Item 1A. | Risk Factors |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
Date | (a) Total Number of Units Purchased1 | (b) Average Price Paid per Unit | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs |
July 1 – July 31, 2017 | 5,868.386 | 130.40 | N/A | N/A |
August 1 - August 31, 2017 | 13,765.612 | 134.93 | N/A | N/A |
September 1 - September 30, 2017 | 13,772.073 | 130.05 | N/A | N/A |
TOTAL | 33,406.071 | 132.12 | N/A | N/A |
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 | |
July 1 - July 31, 2020 | 866.230 | $ 120.44 | N/A | N/A | |
August 1 - August 31, 2020 | 1,698.725 | $ 123.14 | N/A | N/A | |
September 1 - September 30, 2020 | 215.664 | $ 120.56 | N/A | N/A | |
TOTAL | 2,780.619 | $ 122.10 | N/A | N/A |
Item 3. | Defaults Upon Senior Securities – None |
Item 4. | Mine Safety Disclosures – None |
Item 5. | Other Information – None |
Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC | |
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer) | |
Rule 13a-14(a)/15d-14(a) Certification (Certification of | |
Section 1350 Certification (Certification of Principal Executive Officer and | |
*** 101.INS | XBRL Instance Document |
*** 101.SCH | XBRL Taxonomy Extension Schema |
*** 101.CAL | XBRL Taxonomy Extension Calculation Linkbase |
*** 101.DEF | XBRL Taxonomy Extension Definition Linkbase |
*** 101.LAB | XBRL Taxonomy Extension Label Linkbase |
*** 101.PRE | XBRL Taxonomy Extension Presentation Linkbase |
* | Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010 |
** | Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013 |
*** | Filed herewith |
Dated: November | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
BLENDED STRATEGIES PORTFOLIO | |||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager |
By: | /s/ Brian Douglas | ||
Brian Douglas, Principal Executive Officer | |||
By: | /s/ George Schrade | ||
George Schrade, Principal | |||