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. | Financial Statements: | |||
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio | ||||
1 | ||||
2 | ||||
3 | ||||
5 | ||||
6 | ||||
Graham Alternative Investment Trading LLC | ||||
14 | ||||
15 | ||||
16 | ||||
17 | ||||
19 | ||||
20 | ||||
Item 2. | 60 | |||
Item 3. | 68 | |||
Item 4. | 69 |
70 | |||
71 | |||
Certification | |||
Certification | |||
Certification |
March 31, 2021 (Unaudited) | December 31, 2020 (Audited) | June 30, 2021 (Unaudited) | December 31, 2020 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 30,006,236 | $ | 29,194,816 | $ | 28,493,446 | $ | 29,194,816 | ||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 88,725 | 233,089 | 640,865 | 233,089 | ||||||||||||
Total assets | $ | 30,094,961 | $ | 29,427,905 | $ | 29,134,311 | $ | 29,427,905 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Redemptions payable | $ | 88,725 | $ | 233,089 | $ | 640,865 | $ | 233,089 | ||||||||
Total liabilities | 88,725 | 233,089 | 640,865 | 233,089 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (98,617.932 and 100,881.333 units issued and outstanding at $181.44 and $173.06, respectively) | 17,893,287 | 17,458,496 | ||||||||||||||
Class 2 Units (93,140.816 and 94,473.834 units issued and outstanding at $130.05 and $124.23, respectively) | 12,112,949 | 11,736,320 | ||||||||||||||
Class 0 Units (93,469.423 and 100,881.333 units issued and outstanding at $183.44 and $173.06, respectively) | 17,145,652 | 17,458,496 | ||||||||||||||
Class 2 Units (86,438.110 and 94,473.834 units issued and outstanding at $131.28 and $124.23, respectively) | 11,347,794 | 11,736,320 | ||||||||||||||
Total members’ capital | 30,006,236 | 29,194,816 | 28,493,446 | 29,194,816 | ||||||||||||
Total liabilities and members’ capital | $ | 30,094,961 | $ | 29,427,905 | $ | 29,134,311 | $ | 29,427,905 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net realized gain on investment | $ | 2,483,792 | $ | 576,045 | $ | 737,956 | $ | 796,313 | $ | 3,221,748 | $ | 1,372,358 | ||||||||||||
Net (decrease) increase in unrealized appreciation on investment | (552,722 | ) | 909,803 | (61,692 | ) | (637,940 | ) | (614,414 | ) | 271,863 | ||||||||||||||
Brokerage commissions and fees | (18,330 | ) | (49,215 | ) | (22,532 | ) | (25,796 | ) | (40,862 | ) | (75,011 | ) | ||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 1,912,740 | 1,436,633 | 653,732 | 132,577 | 2,566,472 | 1,569,210 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest income | 10,862 | 104,755 | 4,607 | 92,009 | 15,469 | 196,764 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Advisory fees | 113,681 | 103,126 | 223,602 | 202,868 | ||||||||||||||||||||
Incentive allocation | 345,626 | 67,842 | 84,181 | 5,737 | 429,807 | 73,579 | ||||||||||||||||||
Advisory fees | 109,921 | 99,742 | ||||||||||||||||||||||
Sponsor fees | 58,823 | 53,811 | 60,608 | 55,737 | 119,431 | 109,548 | ||||||||||||||||||
Professional fees | 17,789 | 26,699 | 51,834 | 27,337 | 69,623 | 54,036 | ||||||||||||||||||
Administrator’s fees | 9,312 | 8,445 | 9,636 | 9,058 | 18,948 | 17,503 | ||||||||||||||||||
Interest expense | 1,694 | 1,618 | 1,681 | 1,727 | 3,375 | 3,345 | ||||||||||||||||||
Total expenses | 543,165 | 258,157 | 321,621 | 202,722 | 864,786 | 460,879 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (532,303 | ) | (153,402 | ) | (317,014 | ) | (110,713 | ) | (849,317 | ) | (264,115 | ) | ||||||||||||
Net income | $ | 1,380,437 | $ | 1,283,231 | $ | 336,718 | $ | 21,864 | $ | 1,717,155 | $ | 1,305,095 |
Class 0 Units | Class 2 Units | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | Units | Capital | Units | Capital | Total Members’ Capital | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 103,946.549 | $ | 15,804,368 | 102,244.827 | $ | 11,078,195 | $ | 26,882,563 | ||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | 0 | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||||
Redemptions | (2,339.429 | ) | (355,086 | ) | (1,542.303 | ) | (163,815 | ) | (518,901 | ) | (2,263.401 | ) | (397,412 | ) | (1,333.018 | ) | (171,605 | ) | (569,017 | ) | ||||||||||||||||||||
Net income | – | 738,375 | – | 544,856 | 1,283,231 | – | 832,203 | – | 548,234 | 1,380,437 | ||||||||||||||||||||||||||||||
Members’ capital, March 31, 2020 | 101,607.120 | $ | 16,187,657 | 100,702.524 | $ | 11,459,236 | $ | 27,646,893 | ||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2021 | 98,617.932 | 17,893,287 | 93,140.816 | 12,112,949 | 30,006,236 | |||||||||||||||||||||||||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Redemptions | (5,148.509 | ) | (949,508 | ) | (6,702.706 | ) | (900,000 | ) | (1,849,508 | ) | ||||||||||||||||||||||||||||||
Net income | – | 201,873 | – | 134,845 | 336,718 | |||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2021 | 93,469.423 | $ | 17,145,652 | 86,438.110 | $ | 11,347,794 | $ | 28,493,446 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (2,263.401 | ) | (397,412 | ) | (1,333.018 | ) | (171,605 | ) | (569,017 | ) | ||||||||||
Net income | – | 832,203 | – | 548,234 | 1,380,437 | |||||||||||||||
Members’ capital, March 31, 2021 | 98,617.932 | $ | 17,893,287 | 93,140.816 | $ | 12,112,949 | $ | 30,006,236 |
Three Months Ended March 31, | ||||||||
2021 | 2020 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 1,380,437 | $ | 1,283,231 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (1,380,437 | ) | (1,283,231 | ) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 713,381 | 573,655 | ||||||
Net cash provided by operating activities | 713,381 | 573,655 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions | (713,381 | ) | (573,655 | ) | ||||
Net cash used in financing activities | (713,381 | ) | (573,655 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
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 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
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 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
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 |
Six Months Ended June 30, | ||||||||
2021 | 2020 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 1,717,155 | $ | 1,305,095 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (1,717,155 | ) | (1,305,095 | ) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,010,749 | 779,764 | ||||||
Net cash provided by operating activities | 2,010,749 | 779,764 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | 0 | 0 | ||||||
Redemptions (net of redemptions payable) | (2,010,749 | ) | (779,764 | ) | ||||
Net cash used in financing activities | (2,010,749 | ) | (779,764 | ) | ||||
Net change in cash and cash equivalents | 0 | 0 | ||||||
Cash and cash equivalents, beginning of period | 0 | 0 | ||||||
Cash and cash equivalents, end of period | $ | 0 | $ | 0 |
• | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
• | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. |
• | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||||||||||
Net asset value per Unit, March 31, 2020 | $ | 159.32 | $ | 113.79 | ||||||||||||
Net income (loss): | ||||||||||||||||
Net investment loss | (0.54 | ) | (0.56 | ) | ||||||||||||
Net gain on investments | 0.76 | 0.55 | ||||||||||||||
Net income (loss) | 0.22 | (0.01 | ) | |||||||||||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||||||||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.03 | ) | (0.47 | ) | (1.82 | ) | (1.57 | ) | ||||||||
Net gain on investments | 8.31 | 5.91 | 3.82 | 2.80 | ||||||||||||
Net income | 7.28 | 5.44 | 2.00 | 1.23 | ||||||||||||
Net asset value per Unit, March 31, 2020 | $ | 159.32 | $ | 113.79 | ||||||||||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (3.08 | ) | (2.40 | ) | ||||||||||||
Net gain on investments | 11.46 | 8.22 | ||||||||||||||
Net income | 8.38 | 5.82 | ||||||||||||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 | ||||||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 6.07 | % | 5.21 | % | 5.87 | % | 5.02 | % | 1.40 | % | 0.18 | % | 1.25 | % | (0.01 | )% | |||||||||||||||||
Incentive Allocation | (1.23 | ) | (0.43 | ) | (1.18 | ) | 0.00 | (0.30 | ) | (0.04 | ) | (0.30 | ) | 0.00 | |||||||||||||||||||
Total return after Incentive Allocation | 4.84 | % | 4.78 | % | 4.69 | % | 5.02 | % | 1.10 | % | 0.14 | % | 0.95 | % | (0.01 | )% | |||||||||||||||||
Net investment loss before Incentive Allocation | (0.56 | )% | (0.25 | )% | (0.75 | )% | (0.43 | )% | (0.71 | )% | (0.30 | )% | (0.90 | )% | (0.49 | )% | |||||||||||||||||
Incentive Allocation | (1.19 | ) | (0.43 | ) | (1.16 | ) | 0.00 | (0.28 | ) | (0.04 | ) | (0.28 | ) | 0.00 | |||||||||||||||||||
Net investment loss after Incentive Allocation | (1.75 | )% | (0.68 | )% | (1.91 | )% | (0.43 | )% | (0.99 | )% | (0.34 | )% | (1.18 | )% | (0.49 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 0.60 | % | 0.64 | % | 0.79 | % | 0.83 | % | 0.72 | % | 0.64 | % | 0.92 | % | 0.83 | % | |||||||||||||||||
Incentive Allocation | 1.19 | 0.43 | 1.16 | 0.00 | 0.28 | 0.04 | 0.28 | 0.00 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.79 | % | 1.07 | % | 1.95 | % | 0.83 | % | 1.00 | % | 0.68 | % | 1.20 | % | 0.83 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | ||||||||
Net investment loss | (1.58 | ) | (1.03 | ) | ||||
Net gain on investments | 9.08 | 6.46 | ||||||
Net income | 7.50 | 5.43 | ||||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||
Net income: | ||||||||
Net investment loss | (4.92 | ) | (3.99 | ) | ||||
Net gain on investments | 15.30 | 11.04 | ||||||
Net income | 10.38 | 7.05 | ||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 |
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio Notes to Unaudited Financial Statements (continued) 7. Financial Highlights (continued) |
Class 0 | Class 2 | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Total return before Incentive Allocation | 7.60 | % | 5.39 | % | 7.27 | % | 5.01 | % | ||||||||
Incentive Allocation | (1.60 | ) | (0.46 | ) | (1.60 | ) | 0.00 | |||||||||
Total return after Incentive Allocation | 6.00 | % | 4.93 | % | 5.67 | % | 5.01 | % | ||||||||
Net investment loss before Incentive Allocation | (1.27 | )% | (0.55 | )% | (1.66 | )% | (0.93 | )% | ||||||||
Incentive Allocation | (1.47 | ) | (0.46 | ) | (1.45 | ) | 0.00 | |||||||||
Net investment loss after Incentive Allocation | (2.74 | )% | (1.01 | )% | (3.11 | )% | (0.93 | )% | ||||||||
Total expenses before Incentive Allocation | 1.32 | % | 1.28 | % | 1.71 | % | 1.66 | % | ||||||||
Incentive Allocation | 1.47 | 0.46 | 1.45 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.79 | % | 1.74 | % | 3.16 | % | 1.66 | % |
June 30, 2021 (Unaudited) | December 31, 2020 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 8,088,983 | $ | 6,446,067 | ||||
Investment in Graham Cash Assets LLC, at fair value | 53,133,401 | 54,304,841 | ||||||
Receivable from Master Funds | 246 | 3 | ||||||
Total assets | $ | 61,222,630 | $ | 60,750,911 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 992,436 | $ | 757,071 | ||||
Accrued professional fees | 81,467 | 128,331 | ||||||
Accrued advisory fees | 73,275 | 75,035 | ||||||
Accrued sponsor fees | 38,448 | 39,910 | ||||||
Accrued administrator’s fee | 6,356 | 6,618 | ||||||
Payable to Master Funds | 23 | 95 | ||||||
Total liabilities | 1,192,005 | 1,007,060 | ||||||
Members’ capital: | ||||||||
Class 0 Units (195,624.743 and 203,816.771 units issued and outstanding at $183.44 and $173.06 per unit, respectively) | 35,884,619 | 35,272,482 | ||||||
Class 2 Units (171,052.515 and 184,460.524 units issued and outstanding at $131.28 and $124.23 per unit, respectively) | 22,456,147 | 22,915,191 | ||||||
Class M Units (4,671.470 units issued and outstanding at $361.74 and $333.12 per unit, respectively) | 1,689,859 | 1,556,178 | ||||||
Total members’ capital | 60,030,625 | 59,743,851 | ||||||
Total liabilities and members’ capital | $ | 61,222,630 | $ | 60,750,911 |
March 31, 2021 (Unaudited) | December 31, 2020 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 5,834,232 | $ | 6,446,067 | ||||
Investment in Graham Cash Assets LLC, at fair value | 57,253,709 | 54,304,841 | ||||||
Receivable from Master Funds | 33 | 3 | ||||||
Total assets | $ | 63,087,974 | $ | 60,750,911 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 1,162,556 | $ | 757,071 | ||||
Accrued professional fees | 136,249 | 128,331 | ||||||
Accrued advisory fees | 78,074 | 75,035 | ||||||
Accrued sponsor fees | 41,458 | 39,910 | ||||||
Accrued administrator’s fee | 6,726 | 6,618 | ||||||
Payable to Master Funds | – | 95 | ||||||
Total liabilities | 1,425,063 | 1,007,060 | ||||||
Members’ capital: | ||||||||
Class 0 Units (200,773.252 and 203,816.771 units issued and outstanding at $181.44 and $173.06 per unit, respectively) | 36,428,408 | 35,272,482 | ||||||
Class 2 Units (181,281.877 and 184,460.524 units issued and outstanding at $130.05 and $124.23 per unit, respectively) | 23,575,660 | 22,915,191 | ||||||
Class M Units (4,671.470 units issued and outstanding at $355.10 and $333.12 per unit, respectively) | 1,658,843 | 1,556,178 | ||||||
Total members’ capital | 61,662,911 | 59,743,851 | ||||||
Total liabilities and members’ capital | $ | 63,087,974 | $ | 60,750,911 |
March 31, 2021 (Unaudited) | December 31, 2020 (Audited) | June 30, 2021 (Unaudited) | December 31, 2020 (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 | $ | 2,822,995 | 4.58 | % | $ | 2,103,213 | 3.52 | % | $ | 3,964,962 | 6.60 | % | $ | 2,103,213 | 3.52 | % | ||||||||||||||||||
Graham K4D Trading Ltd. | 3,011,237 | 4.88 | % | 4,342,854 | 7.27 | % | 4,124,021 | 6.87 | % | 4,342,854 | 7.27 | % | ||||||||||||||||||||||
Total investments in Master Funds | $ | 5,834,232 | 9.46 | % | $ | 6,446,067 | 10.79 | % | $ | 8,088,983 | 13.47 | % | $ | 6,446,067 | 10.79 | % |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||||||||||
Net realized gain on investments | $ | 5,095,467 | $ | 1,191,386 | $ | 1,516,330 | $ | 1,633,430 | $ | 6,611,797 | $ | 2,824,816 | ||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (1,122,610 | ) | 1,879,868 | (152,855 | ) | (1,310,212 | ) | (1,275,465 | ) | 569,656 | ||||||||||||||
Brokerage commissions and fees | (37,646 | ) | (101,748 | ) | (46,615 | ) | (52,775 | ) | (84,261 | ) | (154,523 | ) | ||||||||||||
Net gain allocated from investments in Master Funds | 3,935,211 | 2,969,506 | 1,316,860 | 270,443 | 5,252,071 | 3,239,949 | ||||||||||||||||||
Net investment (loss) income allocated from investments in Master Funds | (237 | ) | 17,733 | (764 | ) | 12,836 | (1,001 | ) | 30,569 | |||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest income | 22,358 | 198,834 | 10,276 | 175,321 | 32,634 | 374,155 | ||||||||||||||||||
Total investment income | 22,358 | 198,834 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Advisory fees | 219,830 | 201,293 | 228,390 | 205,807 | 448,220 | 407,100 | ||||||||||||||||||
Sponsor fees | 116,640 | 107,597 | 120,584 | 109,817 | 237,224 | 217,414 | ||||||||||||||||||
Professional fees | 36,351 | 55,179 | 106,696 | 55,919 | 143,047 | 111,098 | ||||||||||||||||||
Administrator’s fee | 19,124 | 17,460 | 19,904 | 18,529 | 39,028 | 35,989 | ||||||||||||||||||
Interest expense | 3,479 | 3,344 | 3,472 | 3,448 | 6,951 | 6,792 | ||||||||||||||||||
Total expenses | 395,424 | 384,873 | 479,046 | 393,520 | 874,470 | 778,393 | ||||||||||||||||||
Net investment loss of the Fund | (373,066 | ) | (186,039 | ) | ||||||||||||||||||||
Net investment loss of GAIT | (468,770 | ) | (218,199 | ) | (841,836 | ) | (404,238 | ) | ||||||||||||||||
Net income | 3,561,908 | 2,801,200 | 847,326 | 65,080 | 4,409,234 | 2,866,280 | ||||||||||||||||||
Incentive allocation | (692,262 | ) | (139,069 | ) | (163,263 | ) | (11,712 | ) | (855,525 | ) | (150,781 | ) | ||||||||||||
Net income available for pro-rata allocation to all members | $ | 2,869,646 | $ | 2,662,131 | $ | 684,063 | $ | 53,368 | $ | 3,553,709 | $ | 2,715,499 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
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 | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (5,366.145 | ) | (816,202 | ) | (6,097.039 | ) | (673,152 | ) | – | (139,069 | ) | (1,628,423 | ) | |||||||||||||||
Incentive allocation | – | (139,069 | ) | – | – | – | 139,069 | – | ||||||||||||||||||||
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 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2020 | 203,816.771 | $ | 35,272,482 | 184,460.524 | $ | 22,915,191 | 4,671.470 | $ | 1,556,178 | $ | 59,743,851 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (3,043.519 | ) | (538,957 | ) | (3,178.647 | ) | (411,629 | ) | – | (692,262 | ) | (1,642,848 | ) | |||||||||||||||
Incentive allocation | – | (424,238 | ) | – | (268,024 | ) | – | 692,262 | – | |||||||||||||||||||
Net income | – | 2,119,121 | – | 1,340,122 | – | 102,665 | 3,561,908 | |||||||||||||||||||||
Members’ capital, March 31, 2021 | 200,773.252 | $ | 36,428,408 | 181,281.877 | $ | 23,575,660 | 4,671.470 | $ | 1,658,843 | $ | 61,662,911 |
Three Months Ended March 31, | ||||||||
2021 | 2020 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 3,561,908 | $ | 2,801,200 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (3,934,974 | ) | (2,987,239 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (22,358 | ) | (198,834 | ) | ||||
Proceeds from sale of investments in Master Funds | 20,606,296 | 19,043,220 | ||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 11,764,515 | 9,733,960 | ||||||
Purchases of investments in Master Funds | (16,059,612 | ) | (13,714,245 | ) | ||||
Purchases of investment in Graham Cash Assets LLC | (14,691,025 | ) | (13,359,889 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase (decrease) in accrued professional fees | 7,918 | (80,998 | ) | |||||
Increase in accrued advisory fees | 3,039 | 1,700 | ||||||
Increase in accrued sponsor fees | 1,548 | 908 | ||||||
Increase in accrued administrator’s fee | 108 | 166 | ||||||
Net cash provided by operating activities | 1,237,363 | 1,239,949 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions | (1,237,363 | ) | (1,239,896 | ) | ||||
Net cash used in financing activities | (1,237,363 | ) | (1,239,896 | ) | ||||
Net change in cash and cash equivalents | – | 53 | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | 53 |
Supplemental cash flow information | ||||||||
Interest paid | $ | 3,479 | $ | 3,344 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2020 | 203,816.771 | $ | 35,272,482 | 184,460.524 | $ | 22,915,191 | 4,671.470 | $ | 1,556,178 | $ | 59,743,851 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (3,043.519 | ) | (538,957 | ) | (3,178.647 | ) | (411,629 | ) | – | (692,262 | ) | (1,642,848 | ) | |||||||||||||||
Incentive allocation | – | (424,238 | ) | – | (268,024 | ) | – | 692,262 | – | |||||||||||||||||||
Net income | – | 2,119,121 | – | 1,340,122 | – | 102,665 | 3,561,908 | |||||||||||||||||||||
Members’ capital, March 31, 2021 | 200,773.252 | $ | 36,428,408 | 181,281.877 | $ | 23,575,660 | 4,671.470 | $ | 1,658,843 | $ | 61,662,911 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (5,148.509 | ) | (949,508 | ) | (10,229.362 | ) | (1,366,841 | ) | – | (163,263 | ) | (2,479,612 | ) | |||||||||||||||
Incentive allocation | – | (101,431 | ) | – | (61,832 | ) | – | 163,263 | – | |||||||||||||||||||
Net income | – | 507,150 | – | 309,160 | – | 31,016 | 847,326 | |||||||||||||||||||||
Members’ capital, June 30, 2021 | 195,624.743 | $ | 35,884,619 | 171,052.515 | $ | 22,456,147 | 4,671.470 | $ | 1,689,859 | $ | 60,030,625 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
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 | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (5,366.145 | ) | (816,202 | ) | (6,097.039 | ) | (673,152 | ) | – | (139,069 | ) | (1,628,423 | ) | |||||||||||||||
Incentive allocation | – | (139,069 | ) | – | – | – | 139,069 | – | ||||||||||||||||||||
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 |
Six Months Ended June 30, | ||||||||
2021 | 2020 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 4,409,234 | $ | 2,866,280 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (5,251,070 | ) | (3,270,518 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (32,634 | ) | (374,155 | ) | ||||
Proceeds from sale of investments in Master Funds | 35,557,695 | 32,747,567 | ||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 28,466,809 | 22,911,926 | ||||||
Purchases of investments in Master Funds | (31,949,856 | ) | (28,650,545 | ) | ||||
Purchases of investment in Graham Cash Assets LLC | (27,262,735 | ) | (23,689,846 | ) | ||||
Changes in assets and liabilities: | ||||||||
Decrease in accrued professional fees | (46,864 | ) | (101,107 | ) | ||||
Decrease in accrued advisory fees | (1,760 | ) | (2,013 | ) | ||||
Decrease in accrued sponsor fees | (1,462 | ) | (1,174 | ) | ||||
Decrease in accrued administrator’s fee | (262 | ) | (35 | ) | ||||
Net cash provided by operating activities | 3,887,095 | 2,436,380 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (3,887,095 | ) | (2,436,380 | ) | ||||
Net cash used in financing activities | (3,887,095 | ) | (2,436,380 | ) | ||||
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 | $ | 6,951 | $ | 6,792 |
March 31, 2021 | ||||||||||||||||||||||||
June 30, 2021 | June 30, 2021 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 2021) | Percent of Members’ Capital | Fair Value | Net Income (six months ended June 2021) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 4.58 | % | $ | 2,822,995 | $ | 3,765,855 | 6.60 | % | $ | 3,964,962 | $ | 3,854,656 | ||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 4.88 | % | 3,011,237 | 169,119 | 6.87 | % | 4,124,021 | 1,396,414 | ||||||||||||||||
9.46 | % | $ | 5,834,232 | $ | 3,934,974 | 13.47 | % | $ | 8,088,983 | $ | 5,251,070 |
December 31, 2020 | December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) (three months ended March 2020) | Percent of Members’ Capital | Fair Value | Net Income (Loss) (six months ended June 2020) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.52 | % | $ | 2,103,213 | $ | 5,693,182 | 3.52 | % | $ | 2,103,213 | $ | 5,339,793 | ||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 7.27 | % | 4,342,854 | (2,727,516 | ) | 7.27 | % | 4,342,854 | (2,090,848 | ) | ||||||||||||||
10.79 | % | $ | 6,446,067 | $ | 2,965,666 | 10.79 | % | $ | 6,446,067 | $ | 3,248,945 |
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 $27,488,878) | $ | – | $ | 27,499,251 | ||||||||||||
Fixed income securities, at fair value (cost $27,500,000) | $ | – | $ | 27,499,806 | ||||||||||||
Due from brokers | 61,506,232 | 4,413,888 | 118,378,764 | 23,540,984 | ||||||||||||
Derivative financial instruments, at fair value | 23,555,888 | 4,608,785 | 12,354,726 | 1,539,203 | ||||||||||||
Exchange memberships, at fair value | 8,065,052 | 1,475,383 | 8,466,752 | 1,578,347 | ||||||||||||
Interest receivable | 1,109 | 368 | 4,087 | 1,521 | ||||||||||||
Total assets | 93,128,281 | 37,997,675 | 139,204,329 | 54,159,861 | ||||||||||||
Liabilities: | ||||||||||||||||
Derivative financial instruments, at fair value | – | 1,690,104 | 3,033,856 | – | ||||||||||||
Interest payable | 12,851 | 1,305 | 19,112 | 3,202 | ||||||||||||
Total liabilities | 12,851 | 1,691,409 | 3,052,968 | 3,202 | ||||||||||||
Members’ Capital / Net Assets | $ | 93,115,430 | $ | 36,306,266 | $ | 136,151,361 | $ | 54,156,659 | ||||||||
Percentage of Master Fund held by GAIT | 3.03 | % | 8.29 | % | 2.91 | % | 7.61 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham Commodity Strategies LLC | |||||||||||||||||||||
Exchange memberships (cost $3,649,411) | |||||||||||||||||||||
United States (cost $3,649,411) | |||||||||||||||||||||
Financial services (cost $3,649,411) | $ | 8,065,052 | 8.66 | % | |||||||||||||||||
Financial services (cost $3,649,411) | $ | 8,466,752 | 6.22 | % | |||||||||||||||||
Total exchange memberships | $ | 8,065,052 | 8.66 | % | $ | 8,466,752 | 6.22 | % | |||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | (2,490,306 | ) | (2.67 | )% | $ | 2,377,996 | 1.75 | % | ||||||||||||
Foreign bond | 243,745 | 0.26 | % | 189,408 | 0.14 | % | |||||||||||||||
Foreign index | 1,189,197 | 1.28 | % | (568,473 | ) | (0.42 | )% | ||||||||||||||
Interest rate | (288,175 | ) | (0.31 | )% | 159,963 | 0.12 | % | ||||||||||||||
U.S. bond | |||||||||||||||||||||
U.S. long bond September 2021 | 360,781 | 0.26 | % | ||||||||||||||||||
U.S. 10 yr note September 2021 | (1,297 | ) | (0.00 | )% | |||||||||||||||||
U.S. index | (516,913 | ) | (0.56 | )% | 5,210,203 | 3.83 | % | ||||||||||||||
Total futures | (1,862,452 | ) | (2.00 | )% | 7,728,581 | 5.68 | % | ||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | (4,402,732 | ) | (4.73 | )% | (3,224,103 | ) | (2.37 | )% | |||||||||||||
Total forwards | (4,402,732 | ) | (4.73 | )% | (3,224,103 | ) | (2.37 | )% | |||||||||||||
Options (cost $33,259,925) | |||||||||||||||||||||
Options (cost $33,266,987) | |||||||||||||||||||||
Commodity futures | 1,470,075 | 1.58 | % | 3,126,301 | 2.30 | % | |||||||||||||||
Currency futures | 9,414,502 | 6.91 | % | ||||||||||||||||||
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 - $114.25 Call | 6 | 8,740,911 | 9.39 | % | |||||||||||||||||
U.S. dollar / Japanese yen April 2021, $96.02 - $102.02 Put | 3 | 4 | 0.00 | % | |||||||||||||||||
Other currency futures | 16,317,417 | 17.52 | % | ||||||||||||||||||
Interest rate futures | 6,562,881 | 4.82 | % | ||||||||||||||||||
Euro dollar 2 yr midcurve December 2021, $98.75 - $99.00 Put | 2 | 8,236,844 | 8.85 | % | |||||||||||||||||
Other interest rate futures | 245,987 | 0.26 | % | ||||||||||||||||||
U.S. bond futures | |||||||||||||||||||||
U.S. 10 yr May 2021, $133.00 Call | 1 | 143,828 | 0.15 | % | |||||||||||||||||
U.S. 10 yr May 2021 - June 2021, $131.00 Put | 2 | 4,058,547 | 4.36 | % | |||||||||||||||||
U.S. 5 yr May 2021, $123.50 Put | 1 | 1,633,477 | 1.75 | % | |||||||||||||||||
U.S. 10 yr September 2021, $130.50 - $131.00 Put | 2 | 920,156 | 0.68 | % | |||||||||||||||||
U.S. 5 yr September 2021, $122.25 - $123.25 Put | 2 | 1,734,148 | 1.27 | % | |||||||||||||||||
U.S. index futures | 1,234,685 | 1.33 | % | 5,282,980 | 3.88 | % | |||||||||||||||
Total options | 42,081,775 | 45.19 | % | 27,040,968 | 19.86 | % |
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) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (153,424 | ) | (0.16 | )% | $ | (429,900 | ) | (0.32 | )% | ||||||||||||||
Foreign bond | (99,976 | ) | (0.11 | )% | (1,528,550 | ) | (1.12 | )% | ||||||||||||||||
Foreign index | (400,804 | ) | (0.43 | )% | 111,196 | 0.08 | % | |||||||||||||||||
Interest rate | 406,413 | 0.44 | % | 665,740 | 0.49 | % | ||||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 10 yr Ultra June 2021 | (2,449 | ) | 873,000 | 0.94 | % | |||||||||||||||||||
U.S. long bond June 2021 | (522 | ) | (999,656 | ) | (1.07 | )% | ||||||||||||||||||
U.S. 10 yr note June 2021 | (4,518 | ) | 3,510,203 | 3.76 | % | |||||||||||||||||||
U.S. Ultra bond June 2021 | (761 | ) | 917,719 | 0.99 | % | |||||||||||||||||||
U.S. 5 yr note September 2021 | (10,446 | ) | (199,797 | ) | (0.15 | )% | ||||||||||||||||||
U.S. 10 yr note September 2021 | (16,941 | ) | (5,713,344 | ) | (4.20 | )% | ||||||||||||||||||
U.S. 10 yr Ultra bond September 2021 | (202 | ) | (520,781 | ) | (0.39 | )% | ||||||||||||||||||
U.S. long bond September 2021 | (670 | ) | (137,969 | ) | (0.10 | )% | ||||||||||||||||||
U.S. Ultra September 2021 | (617 | ) | (2,031,906 | ) | (1.49 | )% | ||||||||||||||||||
U.S. index | (384,277 | ) | (0.41 | )% | (1,690,848 | ) | (1.24 | )% | ||||||||||||||||
Total futures | 3,669,198 | 3.95 | % | (11,476,159 | ) | (8.44 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 3,932,672 | 4.22 | % | 1,847,187 | 1.36 | % | ||||||||||||||||||
Total forwards | 3,932,672 | 4.22 | % | 1,847,187 | 1.36 | % | ||||||||||||||||||
Options (proceeds $16,521,145) | ||||||||||||||||||||||||
Options (proceeds $17,561,248) | ||||||||||||||||||||||||
Commodity futures | (1,075,340 | ) | (1.15 | )% | (1,653,338 | ) | (1.21 | )% | ||||||||||||||||
Currency futures | (1,366,933 | ) | (1.00 | )% | ||||||||||||||||||||
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 – $112.50 Call | (6 | ) | (5,857,258 | ) | (6.29 | )% | ||||||||||||||||||
U.S. dollar / Japanese yen April 2021, $97.80 Put | (1 | ) | – | 0.00 | % | |||||||||||||||||||
Other currency futures | (4,056,897 | ) | (4.35 | )% | ||||||||||||||||||||
Interest rate futures | (5,102,388 | ) | (3.75 | )% | ||||||||||||||||||||
Euro dollar 2 yr midcurve December 2021, $98.50 Put | (1 | ) | (4,746,656 | ) | (5.10 | )% | ||||||||||||||||||
Other interest rate futures | (111,814 | ) | (0.12 | )% | ||||||||||||||||||||
U.S. bond futures | ||||||||||||||||||||||||
U.S. 10 yr May 2021, $134.00 Call | (1 | ) | (61,641 | ) | (0.07 | )% | ||||||||||||||||||
U.S. 10 yr May 2021 - June 2021, $123.00 - $130.00 Put | (3 | ) | (3,646,367 | ) | (3.92 | )% | ||||||||||||||||||
U.S. 10 yr September 2021, $134.00 Call | (1 | ) | (142,500 | ) | (0.10 | )% | ||||||||||||||||||
U.S. 10 yr September 2021, $128.00 - $130.00 Put | (3 | ) | (621,781 | ) | (0.46 | )% | ||||||||||||||||||
U.S. 5 yr September 2021, $122.75 Put | (1 | ) | (1,552,969 | ) | (1.14 | )% | ||||||||||||||||||
U.S. index futures | (306,600 | ) | (0.33 | )% | (2,155,695 | ) | (1.58 | )% | ||||||||||||||||
Total options | (19,862,573 | ) | (21.33 | )% | (12,595,604 | ) | (9.24 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 23,555,888 | 25.30 | % | $ | 9,320,870 | 6.85 | % |
Description | Principal Amount / Number of Contracts | 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 $27,488,878) | ||||||||||||||||||||||||
Government bonds (cost $27,488,878) | ||||||||||||||||||||||||
United States (cost $27,488,878) | ||||||||||||||||||||||||
Treasury Bonds (cost $27,488,878) | ||||||||||||||||||||||||
Fixed income securities owned (cost $27,500,000) | ||||||||||||||||||||||||
Government bonds (cost $27,500,000) | ||||||||||||||||||||||||
United States (cost $27,500,000) | ||||||||||||||||||||||||
Treasury Bonds (cost $27,500,000) | ||||||||||||||||||||||||
U.S. Treasury bond 0.00% due 07/08/2021 | $ | 27,500,000 | $ | 27,499,251 | 75.74 | % | $ | 27,500,000 | $ | 27,499,806 | 50.78 | % | ||||||||||||
Total United States | 27,499,251 | 75.74 | % | 27,499,806 | 50.78 | % | ||||||||||||||||||
Total government bonds | 27,499,251 | 75.74 | % | 27,499,806 | 50.78 | % | ||||||||||||||||||
Total fixed income securities owned | $ | 27,499,251 | 75.74 | % | $ | 27,499,806 | 50.78 | % | ||||||||||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||||||||||||||
United States (cost $1,924,208) | ||||||||||||||||||||||||
Financial services (cost $1,924,208) | $ | 1,475,383 | 4.06 | % | $ | 1,578,347 | 2.91 | % | ||||||||||||||||
Total exchange memberships | $ | 1,475,383 | 4.06 | % | $ | 1,578,347 | 2.91 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (1,500,013 | ) | (4.13 | )% | |||||||||||||||||||
Copper September 2021 | 1 | $ | 213 | 0.00 | % | |||||||||||||||||||
LME Copper September 2021 | 220 | (3,047,948 | ) | (5.63 | )% | |||||||||||||||||||
Other commodity | 4,250,085 | 7.85 | % | |||||||||||||||||||||
Currency | (41,555 | ) | (0.11 | )% | (44,028 | ) | (0.08 | )% | ||||||||||||||||
Foreign bond | (100,360 | ) | (0.28 | )% | 48,538 | 0.09 | % | |||||||||||||||||
Foreign index | 1,070,999 | 2.95 | % | (500,347 | ) | (0.92 | )% | |||||||||||||||||
Interest rate | (751,344 | ) | (2.07 | )% | (426,872 | ) | (0.79 | )% | ||||||||||||||||
U.S. bond | (922,237 | ) | (2.54 | )% | (490,763 | ) | (0.91 | )% | ||||||||||||||||
U.S. index | 443,633 | 1.22 | % | 2,067,009 | 3.82 | % | ||||||||||||||||||
Total futures | (1,800,877 | ) | (4.96 | )% | 1,855,887 | 3.43 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Japanese yen / U.S. dollar 06/16/21 | JPY | 2,423,862,000 | (294,874 | ) | (0.81 | )% | ||||||||||||||||||
Other foreign currency | (1,146,020 | ) | (3.16 | )% | ||||||||||||||||||||
Foreign currency | (4,941,330 | ) | (9.12 | )% | ||||||||||||||||||||
Total forwards | (1,440,894 | ) | (3.97 | )% | (4,941,330 | ) | (9.12 | )% |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | 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 | $ | (94,209 | ) | (0.26 | )% | |||||||||||||||||||
LME Copper September 2021 | (160 | ) | $ | 1,304,320 | 2.41 | % | ||||||||||||||||||
Other commodity | (1,220,840 | ) | (2.26 | )% | ||||||||||||||||||||
Currency | (38,444 | ) | (0.11 | )% | (14,900 | ) | (0.03 | )% | ||||||||||||||||
Foreign bond | (327,343 | ) | (0.90 | )% | (756,327 | ) | (1.40 | )% | ||||||||||||||||
Foreign index | (669,536 | ) | (1.84 | )% | (50,924 | ) | (0.09 | )% | ||||||||||||||||
Interest rate | (18,679 | ) | (0.04 | )% | ||||||||||||||||||||
U.S. bond | 1,240,305 | 3.42 | % | (1,527,414 | ) | (2.82 | )% | |||||||||||||||||
Total futures | 110,773 | 0.31 | % | (2,284,764 | ) | (4.23 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / Japanese yen 06/16/2021 | JPY | (18,596,684,000 | ) | 3,230,386 | 8.89 | % | ||||||||||||||||||
Foreign currency | 2,819,293 | 7.77 | % | 6,909,410 | 12.76 | % | ||||||||||||||||||
Total forwards | 6,049,679 | 16.66 | % | 6,909,410 | 12.76 | % | ||||||||||||||||||
Total derivative financial instruments | $ | 2,918,681 | 8.04 | % | $ | 1,539,203 | 2.84 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Assets | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | 546,428 | $ | 3,955,267 | $ | 2,931,566 | $ | 5,858,258 | ||||||||
Commodity futures options | 1,470,075 | – | 3,126,301 | – | ||||||||||||
Currency futures | – | 55,954 | – | 63,288 | ||||||||||||
Exchange memberships | 8,065,052 | 1,475,383 | 8,466,752 | 1,578,347 | ||||||||||||
Foreign bond futures | 243,745 | 123,847 | 261,383 | 96,055 | ||||||||||||
Foreign index futures | 1,194,209 | 1,160,802 | 111,196 | 44,887 | ||||||||||||
Interest rate futures | 406,413 | 75 | 1,344,353 | 50,293 | ||||||||||||
Interest rate futures options | 8,482,830 | – | 6,562,881 | – | ||||||||||||
U.S. bond futures | 5,417,891 | 1,240,304 | 447,788 | 23,624 | ||||||||||||
U.S. bond futures options | 5,835,852 | – | 2,654,304 | – | ||||||||||||
U.S. index futures | 363,557 | 486,131 | 5,216,303 | 2,151,063 | ||||||||||||
U.S. index futures options | 1,234,685 | – | 5,282,980 | – | ||||||||||||
Total Level 1 | 33,260,737 | 8,497,763 | 36,405,807 | 9,865,815 | ||||||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | 9,757,957 | 7,282,221 | 5,594,247 | 7,396,514 | ||||||||||||
Foreign currency futures options | 25,058,333 | – | 9,414,502 | – | ||||||||||||
Government bonds* | – | 27,499,251 | – | 27,499,806 | ||||||||||||
Total Level 2 | 34,816,290 | 34,781,472 | 15,008,749 | 34,896,320 | ||||||||||||
Total investment related assets | $ | 68,077,027 | $ | 43,279,235 | $ | 51,414,556 | $ | 44,762,135 | ||||||||
Liabilities | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | (3,190,158 | ) | $ | (5,549,489 | ) | $ | (983,470 | ) | $ | (4,572,428 | ) | ||||
Commodity futures options | (1,075,340 | ) | – | (1,653,338 | ) | – | ||||||||||
Currency futures | – | (135,953 | ) | – | (122,216 | ) | ||||||||||
Foreign bond futures | (99,976 | ) | (551,550 | ) | (1,600,525 | ) | (803,844 | ) | ||||||||
Foreign index futures | (405,816 | ) | (759,339 | ) | (568,473 | ) | (596,158 | ) | ||||||||
Interest rate futures | (288,175 | ) | (751,419 | ) | (518,650 | ) | (495,844 | ) | ||||||||
Interest rate futures options | (4,858,469 | ) | – | (5,102,388 | ) | – | ||||||||||
U.S. bond futures | (1,116,625 | ) | (922,236 | ) | (8,692,101 | ) | (2,041,801 | ) | ||||||||
U.S. bond futures options | (3,708,008 | ) | – | (2,317,250 | ) | – | ||||||||||
U.S. index futures | (1,264,747 | ) | (42,498 | ) | (1,696,948 | ) | (84,054 | ) | ||||||||
U.S. index futures options | (306,600 | ) | – | (2,155,695 | ) | – | ||||||||||
Total Level 1 | (16,313,914 | ) | (8,712,484 | ) | (25,288,838 | ) | (8,716,345 | ) | ||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | (10,228,017 | ) | (2,673,436 | ) | (6,971,163 | ) | (5,428,434 | ) | ||||||||
Foreign currency futures options | (9,914,156 | ) | – | (1,366,933 | ) | – | ||||||||||
Total Level 2 | (20,142,173 | ) | (2,673,436 | ) | (8,338,096 | ) | (5,428,434 | ) | ||||||||
Total investment related liabilities | $ | (36,456,087 | ) | $ | (11,385,920 | ) | $ | (33,626,934 | ) | $ | (14,144,779 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 119,543,333 | 1,782 | $ | (21,355,958 | ) | (391 | ) | $ | 546,428 | $ | (3,190,158 | ) | |||||||||||
Options (a) | 75,946,701 | 1,884 | (19,193,515 | ) | (1,869 | ) | 1,470,075 | (1,075,340 | ) | |||||||||||||||
195,490,034 | 3,666 | (40,549,473 | ) | (2,260 | ) | 2,016,503 | (4,265,498 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 330,877,198 | 3,386 | (64,976,853 | ) | (1,004 | ) | 1,557,766 | (1,670,563 | ) | |||||||||||||||
Options (a) | 59,115,404 | 1,127 | (9,687,796 | ) | (876 | ) | 1,234,685 | (306,600 | ) | |||||||||||||||
389,992,602 | 4,513 | (74,664,649 | ) | (1,880 | ) | 2,792,451 | (1,977,163 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,219,171,584 | N/A | (1,159,285,096 | ) | N/A | 9,757,957 | (10,228,017 | ) | ||||||||||||||||
Options (a) | 1,115,519,116 | 43 | (1,032,508,318 | ) | (60 | ) | 25,058,333 | (9,914,156 | ) | |||||||||||||||
2,334,690,700 | 43 | (2,191,793,414 | ) | (60 | ) | 34,816,290 | (20,142,173 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 852,199,452 | 4,246 | (1,851,754,577 | ) | (10,730 | ) | 6,068,049 | (1,504,776 | ) | |||||||||||||||
Options (a) | 2,059,595,961 | 23,707 | (2,223,598,636 | ) | (25,088 | ) | 14,318,682 | (8,566,477 | ) | |||||||||||||||
2,911,795,413 | 27,953 | (4,075,353,213 | ) | (35,818 | ) | 20,386,731 | (10,071,253 | ) | ||||||||||||||||
Total | $ | 5,831,968,749 | 36,175 | $ | (6,382,360,749 | ) | (40,018 | ) | $ | 60,011,975 | $ | (36,456,087 | ) |
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 | $ | 191,299,105 | 3,240 | $ | (62,287,293 | ) | (499 | ) | $ | 3,955,267 | $ | (5,549,489 | ) | $ | 136,799,221 | 2,083 | $ | (22,549,868 | ) | (393 | ) | $ | 2,931,566 | $ | (983,470 | ) | ||||||||||||||||||||||
Options (a) | 59,280,796 | 2,033 | (21,014,976 | ) | (2,129 | ) | 3,126,301 | (1,653,338 | ) | |||||||||||||||||||||||||||||||||||||||
191,299,105 | 3,240 | (62,287,293 | ) | (499 | ) | 3,955,267 | (5,549,489 | ) | 196,080,017 | 4,116 | (43,564,844 | ) | (2,522 | ) | 6,057,867 | (2,636,808 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 188,526,395 | 1,374 | (20,303,960 | ) | (192 | ) | 1,646,933 | (801,837 | ) | 326,282,526 | 2,614 | (79,767,132 | ) | (1,232 | ) | 5,327,499 | (2,265,421 | ) | ||||||||||||||||||||||||||||||
Options (a) | 138,545,364 | 2,913 | (52,604,982 | ) | (2,891 | ) | 5,282,980 | (2,155,695 | ) | |||||||||||||||||||||||||||||||||||||||
188,526,395 | 1,374 | (20,303,960 | ) | (192 | ) | 1,646,933 | (801,837 | ) | 464,827,890 | 5,527 | (132,372,114 | ) | (4,123 | ) | 10,610,479 | (4,421,116 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 217,733,693 | N/A | (467,289,454 | ) | N/A | 7,282,221 | (2,673,436 | ) | 1,180,755,654 | N/A | (1,083,319,784 | ) | N/A | 5,594,247 | (6,971,163 | ) | ||||||||||||||||||||||||||||||||
Futures | 3,943,588 | 31 | (12,314,593 | ) | (137 | ) | 55,954 | (135,953 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 850,261,308 | 39 | (714,257,351 | ) | (47 | ) | 9,414,502 | (1,366,933 | ) | |||||||||||||||||||||||||||||||||||||||
221,677,281 | 31 | (479,604,047 | ) | (137 | ) | 7,338,175 | (2,809,389 | ) | 2,031,016,962 | 39 | (1,797,577,135 | ) | (47 | ) | 15,008,749 | (8,338,096 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,979,165,524 | 8,904 | (303,079,094 | ) | (1,970 | ) | 1,364,226 | (2,225,205 | ) | 1,644,605,021 | 7,237 | (5,413,492,112 | ) | (30,083 | ) | 2,053,524 | (10,811,276 | ) | ||||||||||||||||||||||||||||||
Options (a) | 1,567,631,108 | 31,415 | (1,797,039,738 | ) | (33,022 | ) | 9,217,185 | (7,419,638 | ) | |||||||||||||||||||||||||||||||||||||||
1,979,165,524 | 8,904 | (303,079,094 | ) | (1,970 | ) | 1,364,226 | (2,225,205 | ) | 3,212,236,129 | 38,652 | (7,210,531,850 | ) | (63,105 | ) | 11,270,709 | (18,230,914 | ) | |||||||||||||||||||||||||||||||
Total | $ | 2,580,668,305 | 13,549 | $ | (865,274,394 | ) | (2,798 | ) | $ | 14,304,601 | $ | (11,385,920 | ) | $ | 5,904,160,998 | 48,334 | $ | (9,184,045,943 | ) | (69,797 | ) | $ | 42,947,804 | $ | (33,626,934 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 238,095,367 | 3,478 | $ | (99,318,379 | ) | (990 | ) | $ | 5,858,258 | $ | (4,572,428 | ) | |||||||||||
238,095,367 | 3,478 | (99,318,379 | ) | (990 | ) | 5,858,258 | (4,572,428 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 236,663,038 | 1,444 | (12,652,513 | ) | (144 | ) | 2,195,950 | (680,212 | ) | |||||||||||||||
236,663,038 | 1,444 | (12,652,513 | ) | (144 | ) | 2,195,950 | (680,212 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 238,114,128 | N/A | (447,972,174 | ) | N/A | 7,396,514 | (5,428,434 | ) | ||||||||||||||||
Futures | 3,291,669 | 29 | (13,398,498 | ) | (145 | ) | 63,288 | (122,216 | ) | |||||||||||||||
241,405,797 | 29 | (461,370,672 | ) | (145 | ) | 7,459,802 | (5,550,650 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,631,705,573 | 7,131 | (506,139,869 | ) | (3,377 | ) | 169,972 | (3,341,489 | ) | |||||||||||||||
1,631,705,573 | 7,131 | (506,139,869 | ) | (3,377 | ) | 169,972 | (3,341,489 | ) | ||||||||||||||||
Total | $ | 2,347,869,775 | 12,082 | $ | (1,079,481,433 | ) | (4,656 | ) | $ | 15,683,982 | $ | (14,144,779 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | ||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC1 | Graham Commodity Strategies LLC1 | Graham Commodity Strategies LLC1 | ||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 60,011,975 | $ | (36,456,087 | ) | $ | 23,555,888 | $ | – | $ | 23,555,888 | $ | 42,947,804 | $ | (30,593,078 | ) | $ | 12,354,726 | $ | – | $ | 12,354,726 | ||||||||||||||||||
Derivative liabilities | (36,456,087 | ) | 36,456,087 | – | – | – | (33,626,934 | ) | 30,593,078 | (3,033,856 | ) | 3,033,856 | – | |||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 14,304,601 | $ | (9,695,816 | ) | $ | 4,608,785 | $ | – | $ | 4,608,785 | $ | 15,683,982 | $ | (14,144,779 | ) | $ | 1,539,203 | $ | – | $ | 1,539,203 | ||||||||||||||||||
Derivative liabilities | (11,385,920 | ) | 9,695,816 | (1,690,104 | ) | 1,690,104 | – | (14,144,779 | ) | 14,144,779 | – | – | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Net investment (loss) | $ | (2,215 | ) | $ | (1,894 | ) | ||||||||||
Net investment loss | $ | (23,520 | ) | $ | (93 | ) | ||||||||||
Net realized gain on investments | 138,893,184 | 17,766,111 | 11,119,651 | 14,394,114 | ||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 9,806,624 | (15,583,260 | ) | |||||||||||||
Net decrease in unrealized appreciation on investments | (8,703,090 | ) | (1,099,277 | ) | ||||||||||||
Brokerage commissions and fees | (1,174,935 | ) | (69,436 | ) | (1,353,248 | ) | (76,167 | ) | ||||||||
Net gain on investments | 147,524,873 | 2,113,415 | 1,063,313 | 13,218,670 | ||||||||||||
Net income | $ | 147,522,658 | $ | 2,111,521 | $ | 1,039,793 | $ | 13,218,577 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (25,735 | ) | $ | (1,987 | ) | ||
Net realized gain on investments | 150,012,835 | 32,160,225 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 1,103,534 | (16,682,537 | ) | |||||
Brokerage commissions and fees | (2,528,183 | ) | (145,603 | ) | ||||
Net gain on investments | 148,588,186 | 15,332,085 | ||||||
Net income | $ | 148,562,451 | $ | 15,330,098 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 24,544,523 | $ | 4,591,827 | $ | 15,201,247 | $ | 2,919,023 | ||||||||
Options | 2,564,635 | 573,766 | – | – | ||||||||||||
27,109,158 | 5,165,593 | 15,201,247 | 2,919,023 | |||||||||||||
Equity price | ||||||||||||||||
Futures | 16,579,751 | 3,174,872 | 8,639,313 | 623,449 | ||||||||||||
Options | 344,493 | 539,230 | – | – | ||||||||||||
16,924,244 | 3,714,102 | 8,639,313 | 623,449 | |||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 4,677,541 | 3,404,408 | (1,319,772 | ) | (2,632,153 | ) | ||||||||||
Futures | – | – | (249,772 | ) | 8,936 | |||||||||||
Options | (10,066,430 | ) | (6,034,713 | ) | – | – | ||||||||||
(5,388,889 | ) | (2,630,305 | ) | (1,569,544 | ) | (2,623,217 | ) | |||||||||
Interest rate | ||||||||||||||||
Futures | (24,630,424 | ) | (13,535,102 | ) | (7,888,024 | ) | (2,110,930 | ) | ||||||||
Options | (2,894,438 | ) | (1,819,078 | ) | – | – | ||||||||||
(27,524,862 | ) | (15,354,180 | ) | (7,888,024 | ) | (2,110,930 | ) | |||||||||
Total | $ | 11,119,651 | $ | (9,104,790 | ) | $ | 14,382,992 | $ | (1,191,675 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||
Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 2,503,326 | $ | (6,195,506 | ) | $ | 18,616,257 | $ | (13,504,895 | ) | $ | 27,047,849 | $ | (1,603,679 | ) | $ | 33,817,504 | $ | (10,585,872 | ) | ||||||||||||
Options | (1,301,862 | ) | 1,010,316 | – | – | 1,262,773 | 1,584,082 | – | – | |||||||||||||||||||||||
1,201,464 | (5,185,190 | ) | 18,616,257 | (13,504,895 | ) | 28,310,622 | (19,597 | ) | 33,817,504 | (10,585,872 | ) | |||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | 27,780,064 | (954,906 | ) | 14,129,733 | (5,639,093 | ) | 44,359,815 | 2,219,966 | 22,769,046 | (5,015,644 | ) | |||||||||||||||||||||
Options | (2,139,341 | ) | 1,693,318 | – | – | (1,794,848 | ) | 2,232,548 | – | – | ||||||||||||||||||||||
25,640,723 | 738,412 | 14,129,733 | (5,639,093 | ) | 42,564,967 | 4,452,514 | 22,769,046 | (5,015,644 | ) | |||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 8,248,143 | (1,381,872 | ) | (3,914,165 | ) | 5,505,995 | 12,925,684 | 2,022,536 | (5,233,937 | ) | 2,873,842 | |||||||||||||||||||||
Futures | – | – | (79,408 | ) | (171,708 | ) | – | – | (329,180 | ) | (162,772 | ) | ||||||||||||||||||||
Options | 4,563,655 | (2,263,513 | ) | – | – | (5,502,775 | ) | (8,298,226 | ) | – | – | |||||||||||||||||||||
12,811,798 | (3,645,385 | ) | (3,993,573 | ) | 5,334,287 | 7,422,909 | (6,275,690 | ) | (5,563,117 | ) | 2,711,070 | |||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | 96,371,602 | 7,686,430 | (11,018,255 | ) | (1,850,881 | ) | 71,741,178 | (5,848,672 | ) | (18,906,279 | ) | (3,961,811 | ) | |||||||||||||||||||
Options | 9,279,435 | 2,952,746 | �� | – | – | 6,384,997 | 1,133,668 | – | – | |||||||||||||||||||||||
105,651,037 | 10,639,176 | (11,018,255 | ) | (1,850,881 | ) | 78,126,175 | (4,715,004 | ) | (18,906,279 | ) | (3,961,811 | ) | ||||||||||||||||||||
Total | $ | 145,305,022 | $ | 2,547,013 | $ | 17,734,162 | $ | (15,660,582 | ) | $ | 156,424,673 | $ | (6,557,777 | ) | $ | 32,117,154 | $ | (16,852,257 | ) |
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) | $ | – | $ | 15,299,973 | $ | – | $ | 15,299,973 | ||||||||
Due from brokers | 53,351,844 | 13,045,449 | 53,351,844 | 13,045,449 | ||||||||||||
Derivative financial instruments, at fair value | 19,688,505 | 19,267,599 | 19,688,505 | 19,267,599 | ||||||||||||
Exchange memberships, at fair value | 7,217,279 | 1,376,513 | 7,217,279 | 1,376,513 | ||||||||||||
Dividends receivable | 62,120 | 8,846 | ||||||||||||||
Interest receivable | 62,120 | 8,846 | 1,123 | 379 | ||||||||||||
Dividends receivable | 1,123 | 379 | ||||||||||||||
Total assets | 80,320,871 | 48,998,759 | 80,320,871 | 48,998,759 | ||||||||||||
Liabilities: | ||||||||||||||||
Derivative financial instruments, at fair value | – | 901,032 | – | 901,032 | ||||||||||||
Interest payable | 26,417 | 2,940 | 26,417 | 2,940 | ||||||||||||
Total liabilities | 26,417 | 903,972 | 26,417 | 903,972 | ||||||||||||
Members’ Capital / Net Assets | $ | 80,294,454 | $ | 48,094,787 | $ | 80,294,454 | $ | 48,094,787 | ||||||||
Percentage of Master Fund held by GAIT | 2.62 | % | 9.03 | % | 2.62 | % | 9.03 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||||||||||||||
United States (cost $3,649,411) | ||||||||||||||||||||||||
Financial services (cost $3,649,411) | $ | 7,217,279 | 8.99 | % | $ | 7,217,279 | 8.99 | % | ||||||||||||||||
Total exchange memberships | $ | 7,217,279 | 8.99 | % | $ | 7,217,279 | 8.99 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 3,605,184 | 4.49 | % | $ | 3,605,184 | 4.49 | % | ||||||||||||||||
Foreign index | 86,848 | 0.11 | % | 86,848 | 0.11 | % | ||||||||||||||||||
Interest rate | (1,593,877 | ) | (1.99 | )% | (1,593,877 | ) | (1.99 | )% | ||||||||||||||||
U.S. index | 945,270 | 1.18 | % | 945,270 | 1.18 | % | ||||||||||||||||||
Total futures | 3,043,425 | 3.79 | % | 3,043,425 | 3.79 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Euro dollar / U.S. dollar 01/04/2021 - 01/05/2021 | EUR | 996,045,395 | (6,213,377 | ) | (7.74 | )% | EUR | 996,045,395 | (6,213,377 | ) | (7.74 | )% | ||||||||||||
Other foreign currency | 8,418,948 | 10.49 | % | 8,418,948 | 10.49 | % | ||||||||||||||||||
Total forwards | 2,205,571 | 2.75 | % | 2,205,571 | 2.75 | % | ||||||||||||||||||
Options (cost $34,126,355) | ||||||||||||||||||||||||
Commodity futures | 2,853,904 | 3.55 | % | 2,853,904 | 3.55 | % | ||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put | 2 | 201,977 | 0.25 | % | 2 | 201,977 | 0.25 | % | ||||||||||||||||
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call | 22 | 7,930,615 | 9.88 | % | 22 | 7,930,615 | 9.88 | % | ||||||||||||||||
Other currency futures | 15,258,361 | 19.01 | % | 15,258,361 | 19.01 | % | ||||||||||||||||||
Foreign bond futures | (474,329 | ) | (0.59 | )% | (474,329 | ) | (0.59 | )% | ||||||||||||||||
Interest rate futures | (353,350 | ) | (0.44 | )% | (353,350 | ) | (0.44 | )% | ||||||||||||||||
U.S. bond futures | ||||||||||||||||||||||||
U.S. 10 yr. January 2021 - February 2021, $137.00 Put | 2 | 613,781 | 0.76 | % | ||||||||||||||||||||
U.S. 10 yr January 2021 - February 2021, $137.00 Put | 2 | 613,781 | 0.76 | % | ||||||||||||||||||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put | 3 | 4,750,609 | 5.92 | % | 3 | 4,750,609 | 5.92 | % | ||||||||||||||||
U.S. index futures | 156,243 | 0.19 | % | 156,243 | 0.19 | % | ||||||||||||||||||
Total options | 30,937,811 | 38.53 | % | 30,937,811 | 38.53 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (112,721 | ) | (0.14 | )% | |||||||
Foreign bond | (231,767 | ) | (0.29 | )% | ||||||||
Foreign index | (190,008 | ) | (0.24 | )% | ||||||||
Interest rate | (774,012 | ) | (0.96 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. long bond (CBT) March 2021 | (359 | ) | (7,469 | ) | (0.01 | )% | ||||||
U.S. Ultra bond (CBT) March 2021 | (281 | ) | (413,531 | ) | (0.52 | )% | ||||||
Total futures | (1,729,508 | ) | (2.16 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (4,255,973 | ) | (5.30 | )% | ||||||||
Total forwards | (4,255,973 | ) | (5.30 | )% | ||||||||
Options (proceeds $15,848,231) | ||||||||||||
Commodity futures | (1,158,990 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put | (2 | ) | (424,428 | ) | (0.53 | )% | ||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.23 - $1.27 Call | (9 | ) | (3,657,297 | ) | (4.55 | )% | ||||||
Other currency futures | (1,619,819 | ) | (2.02 | )% | ||||||||
Interest rate futures | 88,338 | 0.11 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr January 2021 - February 2021, $137.00 Put | (1 | ) | (81,844 | ) | (0.10 | )% | ||||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put | (2 | ) | (3,658,781 | ) | (4.56 | )% | ||||||
Total options | (10,512,821 | ) | (13.09 | )% | ||||||||
Total derivative financial instruments | $ | 19,688,505 | 24.52 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
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 bills (cost $15,290,650) | ||||||||||||
U.S. Treasury bills 0.00% due 01/07/2021 | $ | 15,300,000 | $ | 15,299,973 | 31.81 | % | ||||||
Total Treasury Bills | 15,299,973 | 31.81 | % | |||||||||
Total fixed income securities owned | $ | 15,299,973 | 31.81 | % | ||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,376,513 | 2.86 | % | ||||||||
Total exchange memberships | $ | 1,376,513 | 2.86 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Copper March 2021 | 2 | $ | (188 | ) | (0.00 | )% | ||||||
LME Copper March 2021 | 148 | 3,338,829 | 6.94 | % | ||||||||
Soybean March 2021 | 244 | 3,274,653 | 6.81 | % | ||||||||
Soybean Meal March 2021 | 128 | 486,331 | 1.01 | % | ||||||||
Soybean Oil March 2021 | 104 | 297,162 | 0.62 | % | ||||||||
Other commodity | 5,029,748 | 10.46 | % | |||||||||
Currency | 17,648 | 0.04 | % | |||||||||
Foreign bond | 712,283 | 1.48 | % | |||||||||
Foreign index | 3,707,132 | 7.71 | % | |||||||||
Interest rate | 218,418 | 0.45 | % | |||||||||
U.S. bond | (176,241 | ) | (0.37 | )% | ||||||||
U.S. index | 2,684,392 | 5.58 | % | |||||||||
Total futures | 19,590,167 | 40.73 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 1,990,729 | 4.14 | % | |||||||||
Total forwards | 1,990,729 | 4.14 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
LME Copper March 2021 | (28 | ) | $ | (26,265 | ) | (0.05 | )% | |||||
Other commodity | (567,408 | ) | (1.18 | )% | ||||||||
Currency | 72,159 | 0.15 | % | |||||||||
Foreign bond | 236,444 | 0.49 | % | |||||||||
Foreign index | 180,289 | 0.37 | % | |||||||||
Interest rate | (44,120 | ) | (0.09 | )% | ||||||||
U.S. bond | (173,211 | ) | (0.36 | )% | ||||||||
Total futures | (322,112 | ) | (0.67 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (2,892,217 | ) | (6.01 | )% | ||||||||
Total forwards | (2,892,217 | ) | (6.01 | )% | ||||||||
Total derivative financial instruments | $ | 18,366,567 | 38.19 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Assets | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | 4,747,408 | $ | 12,876,497 | $ | 4,747,408 | $ | 12,876,497 | ||||||||
Commodity futures options | 2,853,904 | – | 2,853,904 | – | ||||||||||||
Currency futures | – | 98,453 | – | 98,453 | ||||||||||||
Exchange memberships | 7,217,279 | 1,376,513 | 7,217,279 | 1,376,513 | ||||||||||||
Foreign bond futures | – | 1,002,520 | – | 1,002,520 | ||||||||||||
Foreign index futures | 784,870 | 4,009,649 | 784,870 | 4,009,649 | ||||||||||||
Interest rate futures | – | 268,741 | – | 268,741 | ||||||||||||
Interest rate futures options | 88,338 | – | 88,338 | – | ||||||||||||
U.S. bond futures | – | 179,111 | – | 179,111 | ||||||||||||
U.S. bond future options | 5,364,390 | – | ||||||||||||||
U.S. bond futures options | 5,364,390 | – | ||||||||||||||
U.S. index futures | 1,654,860 | 2,684,392 | 1,654,860 | 2,684,392 | ||||||||||||
U.S. index futures options | 156,243 | – | 156,243 | – | ||||||||||||
Total Level 1 | 22,867,292 | 22,495,876 | 22,867,292 | 22,495,876 | ||||||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | 16,048,079 | 2,161,662 | 16,048,079 | 2,161,662 | ||||||||||||
Foreign currency options | 23,390,952 | – | 23,390,952 | – | ||||||||||||
Government bonds* | – | 15,299,973 | – | 15,299,973 | ||||||||||||
Total Level 2 | 39,439,031 | 17,461,635 | 39,439,031 | 17,461,635 | ||||||||||||
Total investment related assets | $ | 62,306,323 | $ | 39,957,511 | $ | 62,306,323 | $ | 39,957,511 | ||||||||
Liabilities | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | (1,254,945 | ) | $ | (1,043,635 | ) | $ | (1,254,945 | ) | $ | (1,043,635 | ) | ||||
Commodity futures options | (1,158,990 | ) | – | (1,158,990 | ) | – | ||||||||||
Currency futures | – | (8,646 | ) | – | (8,646 | ) | ||||||||||
Foreign bond futures | (231,767 | ) | (53,793 | ) | (231,767 | ) | (53,793 | ) | ||||||||
Foreign bond futures options | (474,329 | ) | – | (474,329 | ) | – | ||||||||||
Foreign index futures | (888,030 | ) | (122,228 | ) | (888,030 | ) | (122,228 | ) | ||||||||
Interest rate futures | (2,367,889 | ) | (94,443 | ) | (2,367,889 | ) | (94,443 | ) | ||||||||
Interest rate futures options | (353,350 | ) | – | (353,350 | ) | – | ||||||||||
U.S. bond futures | (421,000 | ) | (528,563 | ) | (421,000 | ) | (528,563 | ) | ||||||||
U.S. bond future options | (3,740,625 | ) | – | |||||||||||||
U.S. bond futures options | (3,740,625 | ) | – | |||||||||||||
U.S. index futures | (709,590 | ) | – | (709,590 | ) | – | ||||||||||
Total Level 1 | (11,600,515 | ) | (1,851,308 | ) | (11,600,515 | ) | (1,851,308 | ) | ||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | (18,098,481 | ) | (3,063,150 | ) | (18,098,481 | ) | (3,063,150 | ) | ||||||||
Foreign currency options | (5,701,543 | ) | – | (5,701,543 | ) | – | ||||||||||
Total Level 2 | (23,800,024 | ) | (3,063,150 | ) | (23,800,024 | ) | (3,063,150 | ) | ||||||||
Total investment related liabilities | $ | (35,400,539 | ) | $ | (4,914,458 | ) | $ | (35,400,539 | ) | $ | (4,914,458 | ) |
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 | $ | 291,947,987 | 3,666 | $ | (22,208,833 | ) | (848 | ) | $ | 4,747,408 | $ | (1,254,945 | ) | $ | 291,947,987 | 3,666 | $ | (22,208,833 | ) | (848 | ) | $ | 4,747,408 | $ | (1,254,945 | ) | ||||||||||||||||||||||
Options (a) | 166,938,932 | 9,926 | (71,048,077 | ) | (9,418 | ) | 2,853,904 | (1,158,990 | ) | 166,938,932 | 9,926 | (71,048,077 | ) | (9,418 | ) | 2,853,904 | (1,158,990 | ) | ||||||||||||||||||||||||||||||
458,886,919 | 13,592 | (93,256,910 | ) | (10,266 | ) | 7,601,312 | (2,413,935 | ) | 458,886,919 | 13,592 | (93,256,910 | ) | (10,266 | ) | 7,601,312 | (2,413,935 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 228,334,088 | 2,646 | (183,175,537 | ) | (2,528 | ) | 2,439,730 | (1,597,620 | ) | 228,334,088 | 2,646 | (183,175,537 | ) | (2,528 | ) | 2,439,730 | (1,597,620 | ) | ||||||||||||||||||||||||||||||
Options (a) | 56,160,681 | 4,956 | (41,895,632 | ) | (3,627 | ) | 156,243 | – | 56,160,681 | 4,956 | (41,895,632 | ) | (3,627 | ) | 156,243 | – | ||||||||||||||||||||||||||||||||
284,494,769 | 7,602 | (225,071,169 | ) | (6,155 | ) | 2,595,973 | (1,597,620 | ) | 284,494,769 | 7,602 | (225,071,169 | ) | (6,155 | ) | 2,595,973 | (1,597,620 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,740,877,419 | N/A | (1,442,685,488 | ) | N/A | 16,048,079 | (18,098,481 | ) | 1,740,877,419 | N/A | (1,442,685,488 | ) | N/A | 16,048,079 | (18,098,481 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 1,057,757,240 | 68 | (2,263,871,198 | ) | (55 | ) | 23,390,952 | (5,701,543 | ) | 1,057,757,240 | 68 | (821,185,710 | ) | (55 | ) | 23,390,952 | (5,701,543 | ) | ||||||||||||||||||||||||||||||
2,798,634,659 | 68 | (55 | ) | 39,439,031 | (23,800,024 | ) | 2,798,634,659 | 68 | (2,263,871,198 | ) | (55 | ) | 39,439,031 | (23,800,024 | ) | |||||||||||||||||||||||||||||||||
Interest rate | (1,399,855,375 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Futures | 4,702,409,114 | 16,250 | (2,314,949,508 | ) | (5,972 | ) | – | (3,020,656 | ) | 4,702,409,114 | 16,250 | (1,399,855,375 | ) | (5,972 | ) | – | (3,020,656 | ) | ||||||||||||||||||||||||||||||
Options (a) | �� | 1,626,301,542 | 125,103 | (3,714,804,883 | ) | (28,892 | ) | 5,452,728 | (4,568,304 | ) | 1,626,301,542 | 125,103 | (2,314,949,508 | ) | (28,892 | ) | 5,452,728 | (4,568,304 | ) | |||||||||||||||||||||||||||||
6,328,710,656 | 141,353 | (1,442,685,488 | ) | (34,864 | ) | 5,452,728 | (7,588,960 | ) | 6,328,710,656 | 141,353 | (3,714,804,883 | ) | (34,864 | ) | 5,452,728 | (7,588,960 | ) | |||||||||||||||||||||||||||||||
Total | $ | 9,870,727,003 | 162,615 | $ | (6,297,004,160 | ) | (51,340 | ) | $ | 55,089,044 | $ | (35,400,539 | ) | $ | 9,870,727,003 | 162,615 | $ | (6,297,004,160 | ) | (51,340 | ) | $ | 55,089,044 | $ | (35,400,539 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 82,444,396 | 1,103 | $ | (63,476,837 | ) | (1,616 | ) | $ | 12,876,497 | $ | (1,043,635 | ) | |||||||||||
82,444,396 | 1,103 | (63,476,837 | ) | (1,616 | ) | 12,876,497 | (1,043,635 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 153,648,082 | 1,257 | (17,798,393 | ) | (212 | ) | 6,694,041 | (122,228 | ) | |||||||||||||||
153,648,082 | 1,257 | (17,798,393 | ) | (212 | ) | 6,694,041 | (122,228 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 227,502,442 | N/A | (185,401,425 | ) | N/A | 2,161,662 | (3,063,150 | ) | ||||||||||||||||
Futures | 2,482,513 | 25 | (4,648,985 | ) | (52 | ) | 98,453 | (8,646 | ) | |||||||||||||||
229,984,955 | 25 | (190,050,410 | ) | (52 | ) | 2,260,115 | (3,071,796 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 975,188,403 | 5,167 | (169,048,132 | ) | (830 | ) | 1,450,372 | (676,799 | ) | |||||||||||||||
975,188,403 | 5,167 | (169,048,132 | ) | (830 | ) | 1,450,372 | (676,799 | ) | ||||||||||||||||
Total | $ | 1,441,265,836 | 7,552 | $ | (440,373,772 | ) | (2,710 | ) | $ | 23,281,025 | $ | (4,914,458 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 55,089,044 | $ | (35,400,539 | ) | $ | 19,688,505 | $ | – | $ | 19,688,505 | |||||||||
Derivative liabilities | (35,400,539 | ) | 35,400,539 | – | – | – | ||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 23,281,025 | $ | (4,013,426 | ) | $ | 19,267,599 | $ | – | $ | 19,267,599 | |||||||||
Derivative liabilities | (4,914,458 | ) | 4,013,426 | (901,032 | ) | 901,032 | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 328,410 | $ | 133,182 | ||||
Net realized gain (loss) on investments | 230,629,768 | (53,213,576 | ) | |||||
Net increase in unrealized appreciation on investments | 16,825,784 | 16,645,152 | ||||||
Brokerage commissions and fees | (4,012,669 | ) | (72,065 | ) | ||||
Net gain (loss) on investments | 243,442,883 | (36,640,489 | ) | |||||
Net income (loss) | $ | 243,771,293 | $ | (36,507,307 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 85,499 | $ | 142,431 | ||||
Net realized gain on investments | 6,795,935 | 17,622,419 | ||||||
Net decrease in unrealized appreciation on investments | (18,768,602 | ) | (9,503,719 | ) | ||||
Brokerage commissions and fees | (1,858,701 | ) | (54,551 | ) | ||||
Net (loss) gain on investments | (13,831,368 | ) | 8,064,149 | |||||
Net (loss) income | $ | (13,745,869 | ) | $ | 8,206,580 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 413,909 | $ | 275,613 | ||||
Net realized gain (loss) on investments | 237,425,703 | (35,591,157 | ) | |||||
Net (decrease) increase in unrealized appreciation on investments | (1,942,818 | ) | 7,141,433 | |||||
Brokerage commissions and fees | (5,871,370 | ) | (126,616 | ) | ||||
Net gain (loss) on investments | 229,611,515 | (28,576,340 | ) | |||||
Net income (loss) | $ | 230,025,424 | $ | (28,300,727 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||
Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 33,334,714 | $ | (14,508,769 | ) | $ | 1,792,847 | $ | 5,470,825 | $ | 19,435,758 | $ | 15,878,062 | $ | 5,501,252 | $ | (5,799,274 | ) | ||||||||||||||
Options | 8,545,395 | (2,092,465 | ) | – | – | (3,934,105 | ) | 2,667,719 | – | – | ||||||||||||||||||||||
41,880,109 | (16,601,234 | ) | 1,792,847 | 5,470,825 | 15,501,653 | 18,545,781 | 5,501,252 | (5,799,274 | ) | |||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | 85,621,333 | (27,320 | ) | (77,344,267 | ) | 792,998 | (23,815,601 | ) | 5,570,264 | 13,955,994 | (450,058 | ) | ||||||||||||||||||||
Options | (11,881,545 | ) | (2,011,800 | ) | – | – | (5,489,525 | ) | 735,232 | – | – | |||||||||||||||||||||
73,739,788 | (2,039,120 | ) | (77,344,267 | ) | 792,998 | (29,305,126 | ) | 6,305,496 | 13,955,994 | (450,058 | ) | |||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 47,724,233 | 7,106,424 | (6,008,918 | ) | 2,300,025 | 5,950,015 | (10,812,288 | ) | (6,358,072 | ) | (97,914 | ) | ||||||||||||||||||||
Futures | (2,697 | ) | (11,107 | ) | 81,766 | 41,648 | – | – | (263,013 | ) | (78,742 | ) | ||||||||||||||||||||
Options | (7,447,368 | ) | (5,576,786 | ) | – | – | (14,547,330 | ) | 3,120,835 | – | – | |||||||||||||||||||||
40,274,168 | 1,518,531 | (5,927,152 | ) | 2,341,673 | (8,597,315 | ) | (7,691,453 | ) | (6,621,085 | ) | (176,656 | ) | ||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | 58,672,559 | 29,476,694 | 27,837,352 | 8,250,390 | 33,545,862 | (30,711,693 | ) | 4,786,258 | (2,931,487 | ) | ||||||||||||||||||||||
Options | 16,320,180 | 5,315,714 | – | – | (4,349,139 | ) | (4,851,633 | ) | – | – | ||||||||||||||||||||||
Swaps | (257,037 | ) | – | – | – | |||||||||||||||||||||||||||
74,735,702 | 34,792,408 | 27,837,352 | 8,250,390 | 29,196,723 | (35,563,326 | ) | 4,786,258 | (2,931,487 | ) | |||||||||||||||||||||||
Total | $ | 230,629,767 | $ | 17,670,585 | $ | (53,641,220 | ) | $ | 16,855,886 | $ | 6,795,935 | $ | (18,403,502 | ) | $ | 17,622,419 | $ | (9,357,475 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 52,770,472 | $ | 1,369,293 | $ | 7,294,099 | $ | (328,449 | ) | |||||||
Options | 4,611,290 | 575,254 | – | – | ||||||||||||
57,381,762 | 1,944,547 | 7,294,099 | (328,449 | ) | ||||||||||||
Equity price | ||||||||||||||||
Futures | 61,805,732 | 5,542,944 | (63,388,273 | ) | 342,940 | |||||||||||
Options | (17,371,070 | ) | (1,276,568 | ) | – | – | ||||||||||
44,434,662 | 4,266,376 | (63,388,273 | ) | 342,940 | ||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 53,674,248 | (3,705,864 | ) | (12,366,990 | ) | 2,202,111 | ||||||||||
Futures | (2,697 | ) | (11,107 | ) | (181,247 | ) | (37,094 | ) | ||||||||
Options | (21,994,698 | ) | (2,455,951 | ) | – | – | ||||||||||
31,676,853 | (6,172,922 | ) | (12,548,237 | ) | 2,165,017 | |||||||||||
Interest rate | ||||||||||||||||
Futures | 92,218,421 | (1,234,999 | ) | 32,623,610 | 5,318,903 | |||||||||||
Options | 11,971,042 | 464,081 | – | – | ||||||||||||
Swaps | (257,037 | ) | – | – | – | |||||||||||
103,932,426 | (770,918 | ) | 32,623,610 | 5,318,903 | ||||||||||||
Total | $ | 237,425,703 | $ | (732,917 | ) | $ | (36,018,801 | ) | $ | 7,498,411 |
March 31, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 373,930,382 | $ | 597,659,902 | $ | 498,221,086 | $ | 597,659,902 | ||||||||
Investments in fixed income securities (amortized cost $5,534,680,940 and $4,972,093,470, respectively) | 5,534,680,940 | 4,972,093,470 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,531,589,357 and $4,972,093,470, respectively) | 5,531,589,357 | 4,972,093,470 | ||||||||||||||
Interest receivable | 23,232,915 | 14,546,327 | 20,477,813 | 14,546,327 | ||||||||||||
Total assets | 5,931,844,237 | 5,584,299,699 | 6,050,288,256 | 5,584,299,699 | ||||||||||||
Members’ capital | $ | 5,931,844,237 | $ | 5,584,299,699 | $ | 6,050,288,256 | $ | 5,584,299,699 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Net gain on investment | ||||||||||||||||||||||||
Net realized gain | $ | - | $ | 2,283,203 | ||||||||||||||||||||
Net realized gain on investments | $ | - | $ | - | $ | - | $ | 2,283,203 | ||||||||||||||||
Net gain on investments | - | - | - | 2,283,203 | ||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 2,447,157 | 23,266,626 | 1,127,838 | 17,917,443 | 3,574,995 | 41,184,069 | ||||||||||||||||||
Total investment income | 1,127,838 | 17,917,443 | 3,574,995 | 41,184,069 | ||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 52,414 | 66,301 | 50,692 | 67,449 | 103,106 | 133,750 | ||||||||||||||||||
Total expenses | 52,414 | 66,301 | 50,692 | 67,449 | 103,106 | 133,750 | ||||||||||||||||||
Net investment income | 2,394,743 | 23,200,325 | 1,077,146 | 17,849,994 | 3,471,889 | 41,050,319 | ||||||||||||||||||
Net income | $ | 2,394,743 | $ | 25,483,528 | $ | 1,077,146 | $ | 17,849,994 | $ | 3,471,889 | $ | 43,333,522 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,534,680,940) | |||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,531,589,357) | |||||||||||||||||||||||||
United States | |||||||||||||||||||||||||
Government Bonds (amortized cost $4,634,699,304) | |||||||||||||||||||||||||
Government Bonds (amortized cost $5,531,589,357) | |||||||||||||||||||||||||
U.S. Treasury bonds 1.13% due 7/31/2021 | $ | 350,000,000 | $ | 351,216,340 | 5.92 | % | $ | 350,000,000 | $ | 350,309,070 | 5.79 | % | |||||||||||||
U.S. Treasury bonds 1.38% due 5/31/2021 | 300,000,000 | 300,632,836 | 5.07 | % | |||||||||||||||||||||
U.S. Treasury bonds 1.50% due 8/31/2021 | 350,000,000 | 352,069,097 | 5.94 | % | 350,000,000 | 350,838,457 | 5.80 | % | |||||||||||||||||
U.S. Treasury bonds 1.50% due 9/30/2021 | 350,000,000 | 352,481,241 | 5.94 | % | 350,000,000 | 351,247,400 | 5.81 | % | |||||||||||||||||
U.S. Treasury bonds 1.50% due 11/30/2021 | 300,000,000 | 302,866,207 | 5.11 | % | 400,000,000 | 402,405,630 | 6.65 | % | |||||||||||||||||
U.S. Treasury bonds 1.63% due 6/30/2021 | 300,000,000 | 301,142,075 | 5.08 | % | |||||||||||||||||||||
U.S. Treasury bonds 2.00% due 12/31/2021 | 300,000,000 | 304,322,574 | 5.13 | % | 400,000,000 | 403,871,280 | 6.68 | % | |||||||||||||||||
U.S. Treasury bonds 2.63% due 5/15/2021 | 300,000,000 | 300,935,677 | 5.07 | % | |||||||||||||||||||||
U.S. Treasury bonds 2.63% due 6/15/2021 | 300,000,000 | 301,587,339 | 5.08 | % | |||||||||||||||||||||
U.S. Treasury bonds 2.88% due 10/15/2021 | 300,000,000 | 304,509,928 | 5.13 | % | 300,000,000 | 302,437,183 | 5.00 | % | |||||||||||||||||
U.S. Treasury bonds 1.25% – 2.88% due 4/30/2021 – 12/15/2021 | 1,450,000,000 | 1,462,935,990 | 24.66 | % | |||||||||||||||||||||
U.S. Treasury bonds 0.13% – 2.88% due 7/15/2021 – 4/30/2023 | 3,350,000,000 | 3,370,480,337 | 55.70 | % | |||||||||||||||||||||
Total Government Bonds | 4,634,699,304 | 78.13 | % | 5,531,589,357 | 91.43 | % | |||||||||||||||||||
Treasury Bills (amortized cost $899,981,636) | |||||||||||||||||||||||||
U.S. Treasury bill 0.00% due 4/08/2021 | 400,000,000 | 399,999,533 | 6.74 | % | |||||||||||||||||||||
U.S. Treasury bills 0.00% due 4/01/2021 – 4/22/2021 | 500,000,000 | 499,982,103 | 8.43 | % | |||||||||||||||||||||
Total Treasury Bills | 899,981,636 | 15.17 | % | ||||||||||||||||||||||
Total United States | 5,534,680,940 | 93.30 | % | 5,531,589,357 | 91.43 | % | |||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 5,534,680,940 | 93.30 | % | $ | 5,531,589,357 | 91.43 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $4,972,093,470) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $3,372,351,436) | ||||||||||||
U.S. Treasury bonds 1.38% due 5/31/2021 | $ | 300,000,000 | $ | 301,566,528 | 5.40 | % | ||||||
U.S. Treasury bonds 1.63% due 6/30/2021 | 300,000,000 | 302,271,599 | 5.41 | % | ||||||||
U.S. Treasury bonds 2.63% due 5/15/2021 | 300,000,000 | 302,807,030 | 5.42 | % | ||||||||
U.S. Treasury bonds 2.63% due 6/15/2021 | 300,000,000 | 303,467,081 | 5.43 | % | ||||||||
U.S. Treasury bonds 1.13% – 2.63% due 1/15/2021 – 10/31/2021 | 2,150,000,000 | 2,162,239,198 | 38.73 | % | ||||||||
Total Government Bonds | 3,372,351,436 | 60.39 | % | |||||||||
Treasury Bills (amortized cost $1,599,742,034) | ||||||||||||
U.S. Treasury bills 0.00% due 1/07/2021 – 4/22/2021 | 1,600,000,000 | 1,599,742,034 | 28.65 | % | ||||||||
Total Treasury Bills | 1,599,742,034 | 28.65 | % | |||||||||
Total United States | 4,972,093,470 | 89.04 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 4,972,093,470 | 89.04 | % |
March 31, 2021 | December 31, 2020 | June 30, 2021 | December 31, 2020 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 4,634,699,304 | $ | 3,372,351,436 | $ | 5,531,589,357 | $ | 3,372,351,436 | ||||||||
Treasury bills | 899,981,636 | 1,599,742,034 | - | 1,599,742,034 | ||||||||||||
Total fixed income securities | 5,534,680,940 | 4,972,093,470 | 5,531,589,357 | 4,972,093,470 | ||||||||||||
Total Level 2 | 5,534,680,940 | 4,972,093,470 | 5,531,589,357 | 4,972,093,470 | ||||||||||||
Total assets | $ | 5,534,680,940 | $ | 4,972,093,470 | $ | 5,531,589,357 | $ | 4,972,093,470 |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | �� | |||||||
Net investment loss | (1.03 | ) | (0.47 | ) | ||||
Net gain on investments | 8.31 | 5.91 | ||||||
Net income | 7.28 | 5.44 | ||||||
Net asset value per Unit, March 31, 2020 | $ | 159.32 | $ | 113.79 | ||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||
Net income: | ||||||||
Net investment loss | (3.08 | ) | (2.40 | ) | ||||
Net gain on investments | 11.46 | 8.22 | ||||||
Net income | 8.38 | 5.82 | ||||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, March 31, 2020 | $ | 159.32 | $ | 113.79 | ||||
Net income (loss): | ||||||||
Net investment loss | (0.54 | ) | (0.56 | ) | ||||
Net gain on investments | 0.76 | 0.55 | ||||||
Net income (loss) | 0.22 | (0.01 | ) | |||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 | ||||
Net income: | ||||||||
Net investment loss | (1.80 | ) | (1.54 | ) | ||||
Net gain on investments | 3.80 | 2.77 | ||||||
Net income | 2.00 | 1.23 | ||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 6.06 | % | 5.21 | % | 5.88 | % | 5.02 | % | 1.38 | % | 0.18 | % | 1.22 | % | (0.01 | )% | |||||||||||||||||
Incentive Allocation | (1.22 | ) | (0.43 | ) | (1.19 | ) | 0.00 | (0.28 | ) | (0.04 | ) | (0.27 | ) | 0.00 | |||||||||||||||||||
Total return after Incentive Allocation | 4.84 | % | 4.78 | % | 4.69 | % | 5.02 | % | 1.10 | % | 0.14 | % | 0.95 | % | (0.01 | )% | |||||||||||||||||
Net investment loss before Incentive Allocation | (0.56 | )% | (0.25 | )% | (0.75 | )% | (0.43 | )% | (0.70 | )% | (0.30 | )% | (0.90 | )% | (0.49 | )% | |||||||||||||||||
Incentive Allocation | (1.20 | ) | (0.43 | ) | (1.16 | ) | 0.00 | (0.28 | ) | (0.04 | ) | (0.27 | ) | 0.00 | |||||||||||||||||||
Net investment loss after Incentive Allocation | (1.76 | )% | (0.68 | )% | (1.91 | )% | (0.43 | )% | (0.98 | )% | (0.34 | )% | (1.17 | )% | (0.49 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 0.60 | % | 0.64 | % | 0.79 | % | 0.83 | % | 0.72 | % | 0.64 | % | 0.91 | % | 0.83 | % | |||||||||||||||||
Incentive Allocation | 1.20 | 0.43 | 1.16 | 0.00 | 0.28 | 0.04 | 0.27 | 0.00 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.80 | % | 1.07 | % | 1.95 | % | 0.83 | % | 1.00 | % | 0.68 | % | 1.18 | % | 0.83 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | ||||||||
Net investment loss | (1.58 | ) | (1.03 | ) | ||||
Net gain on investments | 9.08 | 6.46 | ||||||
Net income | 7.50 | 5.43 | ||||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||
Net income: | ||||||||
Net investment loss | (4.90 | ) | (3.96 | ) | ||||
Net gain on investments | 15.28 | 11.01 | ||||||
Net income | 10.38 | 7.05 | ||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 |
Class 0 | Class 2 | |||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||
Total return before Incentive Allocation | 7.55 | % | 5.40 | % | 7.23 | % | 5.01 | % | ||||||||
Incentive Allocation | (1.55 | ) | (0.47 | ) | (1.56 | ) | 0.00 | |||||||||
Total return after Incentive Allocation | 6.00 | % | 4.93 | % | 5.67 | % | 5.01 | % | ||||||||
Net investment loss before Incentive Allocation | (1.27 | )% | (0.55 | )% | (1.65 | )% | (0.93 | )% | ||||||||
Incentive Allocation | (1.46 | ) | (0.47 | ) | (1.43 | ) | 0.00 | |||||||||
Net investment loss after Incentive Allocation | (2.73 | )% | (1.02 | )% | (3.08 | )% | (0.93 | )% | ||||||||
Total expenses before Incentive Allocation | 1.32 | % | 1.28 | % | 1.71 | % | 1.66 | % | ||||||||
Incentive Allocation | 1.46 | 0.47 | 1.43 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.78 | % | 1.75 | % | 3.14 | % | 1.66 | % |
Agriculture / Softs | $ | 126,681 | $ | 467,878 | ||||
Base Metals | 171,832 | 197,499 | ||||||
Energy | 29,429 | 651,314 | ||||||
Equities | 734,594 | 758,761 | ||||||
Foreign Exchange | 162,439 | (319,032 | ) | |||||
Long Term / Intermediate Rates | 827,808 | (1,165,956 | ) | |||||
Precious Metals | (179,631 | ) | 15,608 | |||||
Short Term Rates | 57,918 | 87,859 | ||||||
Weather | (17,667 | ) | ||||||
$ | 1,931,070 | $ | 676,264 |
Agriculture / Softs | $ | 28,304 | $ | 580,375 | ||||
Base Metals | 201,106 | 364,732 | ||||||
Energy | (25,619 | ) | 671,131 | |||||
Equities | (2,100,427 | ) | 1,476,560 | |||||
Foreign Exchange | 344,420 | (144,004 | ) | |||||
Long Term / Intermediate Rates | 1,198,524 | (289,391 | ) | |||||
Precious Metals | 415,229 | (166,653 | ) | |||||
Short Term Rates | 1,424,311 | 143,514 | ||||||
Weather | (28,930 | ) | ||||||
$ | 1,485,848 | $ | 2,607,334 |
Agriculture / Softs | 8.7 | % | ||
Base Metals | (1.6 | )% | ||
Energy | 12.3 | % | ||
Equities | 35.2 | % | ||
Foreign Exchange | 38.4 | % | ||
Long Term / Intermediate Rates | (30.5 | )% | ||
Precious Metals | 0.9 | % | ||
Short Term Rates | 36.6 | % | ||
100.0 | % |
Agriculture / Softs | $ | (12,192 | ) | |
Base Metals | 62,190 | |||
Energy | (138,919 | ) | ||
Equities | 223,901 | |||
Foreign Exchange | (563,029 | ) | ||
Long Term / Intermediate Rates | (39,340 | ) | ||
Precious Metals | 599,022 | |||
Short Term Rates | 23,726 | |||
Weather | 3,014 | |||
$ | 158,373 |
Agriculture / Softs | $ | 17,535 | ||
Base Metals | 259,481 | |||
Energy | (151,791 | ) | ||
Equities | (1,918,437 | ) | ||
Foreign Exchange | (162,475 | ) | ||
Long Term / Intermediate Rates | 1,174,823 | |||
Precious Metals | 962,327 | |||
Short Term Rates | 1,460,026 | |||
Weather | 2,732 | |||
$ | 1,644,221 |
Agriculture / Softs | % | |||
Base Metals | % | |||
Energy | )% | |||
Equities | % | |||
Foreign Exchange | % | |||
Long Term / Intermediate Rates | % | |||
Precious Metals | ||||
Short Term Rates | % | |||
100.0 | % |
(ii) Liquidity |
Blended Strategies Portfolio | ||||
June 30, 2021 | 13.26 | % | ||
December 31, 2020 | 10.72 | % | ||
June 30, 2020 | 11.33 | % |
(iii) Capital Resources |
(iv) Critical Accounting Policies |
(v) Off-Balance Sheet Arrangements |
Item 4. |
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 | |
January 1 – January 31, 2021 | 546.667 | $ 169.28 | N/A | N/A | |
February 1 – February 28, 2021 | 2,367.517 | $ 163.78 | N/A | N/A | |
March 1 – March 31, 2021 | 682.235 | $ 130.05 | N/A | N/A | |
TOTAL | 3,596.419 | $ 158.22 | 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 | ||
April 1 – April 30, 2021 | 565.268 | $ 184.56 | N/A | N/A | ||
May 1 – May 31, 2021 | 7,792.277 | $ 141.72 | N/A | N/A | ||
June 1 – June 30, 2021 | 3,493.670 | $ 183.44 | N/A | N/A | ||
TOTAL | 11,851.215 | $ 156.06 | N/A | N/A |
Item 3. | Defaults Upon Senior Securities – None |
Item 4. | Mine Safety Disclosures – None |
Item 5. | Other Information – None |
Item 6. | Exhibits |
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 Principal Financial Officer) | |
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer) | |
*** 101.INS | Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document) |
*** 101.SCH | Inline XBRL Taxonomy Extension Schema Document |
*** 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document |
*** 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document |
*** 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document |
*** 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
*** 104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* | 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: | 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: |
George Schrade, Principal Financial Officer |