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 | |||||
1 | |||||
2 | |||||
3 | |||||
5 | |||||
6 | |||||
Graham Alternative Investment Trading LLC | |||||
14 | |||||
15 | |||||
16 | |||||
17 | |||||
19 | |||||
20 | |||||
Item 2. | |||||
Item 3. | |||||
Item 4. |
Certification | |||
Certification | |||
Certification |
June 30, 2021 (Unaudited) | December 31, 2020 (Audited) | June 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,493,446 | $ | 29,194,816 | $ | 29,711,303 | $ | 25,597,490 | ||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 640,865 | 233,089 | 170,976 | 253,800 | ||||||||||||
Total assets | $ | 29,134,311 | $ | 29,427,905 | $ | 29,882,279 | $ | 25,851,290 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Redemptions payable | $ | 640,865 | $ | 233,089 | $ | 170,976 | $ | 253,800 | ||||||||
Total liabilities | 640,865 | 233,089 | 170,976 | 253,800 | ||||||||||||
Members’ capital: | ||||||||||||||||
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 | ||||||||||||||
Class 0 Units (76,169.919 and 83,586.118 units issued and outstanding at $217.96 and $176.27, respectively) | 16,602,091 | 14,734,016 | ||||||||||||||
Class 2 Units (84,548.290 and 86,438.110 units issued and outstanding at $155.05 and $125.68, respectively) | 13,109,212 | 10,863,474 | ||||||||||||||
Total members’ capital | 28,493,446 | 29,194,816 | 29,711,303 | 25,597,490 | ||||||||||||
Total liabilities and members’ capital | $ | 29,134,311 | $ | 29,427,905 | $ | 29,882,279 | $ | 25,851,290 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||||||||||
Net realized gain on investment | $ | 737,956 | $ | 796,313 | $ | 3,221,748 | $ | 1,372,358 | $ | 4,320,243 | $ | 737,956 | $ | 7,974,186 | $ | 3,221,748 | ||||||||||||||||
Net (decrease) increase in unrealized appreciation on investment | (61,692 | ) | (637,940 | ) | (614,414 | ) | 271,863 | |||||||||||||||||||||||||
Net decrease in unrealized appreciation on investment | (1,109,404 | ) | (61,692 | ) | (455,460 | ) | (614,414 | ) | ||||||||||||||||||||||||
Brokerage commissions and fees | (22,532 | ) | (25,796 | ) | (40,862 | ) | (75,011 | ) | (29,839 | ) | (22,532 | ) | (52,656 | ) | (40,862 | ) | ||||||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 653,732 | 132,577 | 2,566,472 | 1,569,210 | 3,181,000 | 653,732 | 7,466,070 | 2,566,472 | ||||||||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest income | 4,607 | 92,009 | 15,469 | 196,764 | 37,514 | 4,607 | 47,180 | 15,469 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Incentive allocation | 596,349 | 84,181 | 1,198,354 | 429,807 | ||||||||||||||||||||||||||||
Advisory fees | 113,681 | 103,126 | 223,602 | 202,868 | 112,856 | 113,681 | 215,874 | 223,602 | ||||||||||||||||||||||||
Incentive allocation | 84,181 | 5,737 | 429,807 | 73,579 | ||||||||||||||||||||||||||||
Sponsor fees | 60,608 | 55,737 | 119,431 | 109,548 | 62,109 | 60,608 | 118,332 | 119,431 | ||||||||||||||||||||||||
Professional fees | 51,834 | 27,337 | 69,623 | 54,036 | 49,325 | 51,834 | 81,453 | 69,623 | ||||||||||||||||||||||||
Administrator’s fees | 9,636 | 9,058 | 18,948 | 17,503 | ||||||||||||||||||||||||||||
Administrator’s fee | 9,362 | 9,636 | 18,103 | 18,948 | ||||||||||||||||||||||||||||
Interest expense | 1,681 | 1,727 | 3,375 | 3,345 | 1,581 | 1,681 | 3,184 | 3,375 | ||||||||||||||||||||||||
Operating expenses | 1,538 | 0 | 1,538 | 0 | ||||||||||||||||||||||||||||
Total expenses | 321,621 | 202,722 | 864,786 | 460,879 | 833,120 | 321,621 | 1,636,838 | 864,786 | ||||||||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (317,014 | ) | (110,713 | ) | (849,317 | ) | (264,115 | ) | (795,606 | ) | (317,014 | ) | (1,589,658 | ) | (849,317 | ) | ||||||||||||||||
Net income | $ | 336,718 | $ | 21,864 | $ | 1,717,155 | $ | 1,305,095 | $ | 2,385,394 | $ | 336,718 | $ | 5,876,412 | $ | 1,717,155 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
Redemptions | (2,813.134 | ) | (531,377 | ) | (1,889.820 | ) | (250,000 | ) | (781,377 | ) | ||||||||||
Net income | – | 2,012,269 | – | 1,478,749 | 3,491,018 | |||||||||||||||
Members’ capital, March 31, 2022 | 80,772.984 | | 16,214,908 | 84,548.290 | | 12,092,223 | | 28,307,131 | ||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
Redemptions | (4,603.065 | ) | (981,222 | ) | 0 | 0 | (981,222 | ) | ||||||||||||
Net income | – | 1,368,405 | – | 1,016,989 | 2,385,394 | |||||||||||||||
Members’ capital, June 30, 2022 | 76,169.919 | $ | 16,602,091 | 84,548.290 | $ | 13,109,212 | �� | $ | 29,711,303 |
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 | 0 | 0 | 0 | 0 | 0 | |||||||||||||||
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 | ||||||||||||
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, 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, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income | $ | 1,717,155 | $ | 1,305,095 | $ | 5,876,412 | $ | 1,717,155 | ||||||||
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 | ) | (5,876,412 | ) | (1,717,155 | ) | ||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,010,749 | 779,764 | 1,845,423 | 2,010,749 | ||||||||||||
Net cash provided by operating activities | 2,010,749 | 779,764 | 1,845,423 | 2,010,749 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | ||||||||||||
Redemptions (net of redemptions payable) | (2,010,749 | ) | (779,764 | ) | (1,845,423 | ) | (2,010,749 | ) | ||||||||
Net cash used in financing activities | (2,010,749 | ) | (779,764 | ) | (1,845,423 | ) | (2,010,749 | ) | ||||||||
Net change in cash and cash equivalents | 0 | 0 | 0 | 0 | ||||||||||||
Cash and cash equivalents, beginning of period | 0 | 0 | 0 | 0 | ||||||||||||
Cash and cash equivalents, end of period | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Graham Alternative Investment Fund I LLC Core Macro Portfolio (formerly known as Blended Strategies Portfolio) Notes to Unaudited Financial Statements (continued) 2. Summary of Significant Accounting Policies (continued) Fair Value (continued) |
• | 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. |
Index Graham Alternative Investment Fund I LLC Core Macro Portfolio (formerly known as Blended Strategies Portfolio) Notes to Unaudited Financial Statements (continued) 3. Capital Accounts (continued) |
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, 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 | $ | 181.44 | $ | 130.05 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.82 | ) | (1.57 | ) | (1.82 | ) | (1.57 | ) | ||||||||
Net gain on investments | 3.82 | 2.80 | 3.82 | 2.80 | ||||||||||||
Net income | 2.00 | 1.23 | 2.00 | 1.23 | ||||||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 | $ | 183.44 | $ | 131.28 | ||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (5.66 | ) | (4.19 | ) | ||||||||||||
Net gain on investments | 22.87 | 16.22 | ||||||||||||||
Net income | 17.21 | 12.03 | ||||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 |
Index Graham Alternative Investment Fund I LLC Core Macro Portfolio (formerly known as Blended Strategies Portfolio) Notes to Unaudited Financial Statements (continued) 7. Financial Highlights (continued) |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 1.40 | % | 0.18 | % | 1.25 | % | (0.01 | )% | 10.81 | % | 1.40 | % | 10.52 | % | 1.25 | % | |||||||||||||||||
Incentive Allocation | (0.30 | ) | (0.04 | ) | (0.30 | ) | 0.00 | (2.24 | ) | (0.30 | ) | (2.11 | ) | (0.30 | ) | ||||||||||||||||||
Total return after Incentive Allocation | 1.10 | % | 0.14 | % | 0.95 | % | (0.01 | )% | 8.57 | % | 1.10 | % | 8.41 | % | 0.95 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (0.71 | )% | (0.30 | )% | (0.90 | )% | (0.49 | )% | (0.60 | )% | (0.71 | )% | (0.79 | )% | (0.90 | )% | |||||||||||||||||
Incentive Allocation | (0.28 | ) | (0.04 | ) | (0.28 | ) | 0.00 | (2.09 | ) | (0.28 | ) | (2.01 | ) | (0.28 | ) | ||||||||||||||||||
Net investment loss after Incentive Allocation | (0.99 | )% | (0.34 | )% | (1.18 | )% | (0.49 | )% | (2.69 | )% | (0.99 | )% | (2.80 | )% | (1.18 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.64 | % | 0.92 | % | 0.83 | % | 0.73 | % | 0.72 | % | 0.92 | % | 0.92 | % | |||||||||||||||||
Incentive Allocation | 0.28 | 0.04 | 0.28 | 0.00 | 2.09 | 0.28 | 2.01 | 0.28 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.00 | % | 0.68 | % | 1.20 | % | 0.83 | % | 2.82 | % | 1.00 | % | 2.93 | % | 1.20 | % |
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 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 | $ | 173.06 | $ | 124.23 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (4.92 | ) | (3.99 | ) | (4.92 | ) | (3.99 | ) | ||||||||
Net gain on investments | 15.30 | 11.04 | 15.30 | 11.04 | ||||||||||||
Net income | 10.38 | 7.05 | 10.38 | 7.05 | ||||||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 | $ | 183.44 | $ | 131.28 | ||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (11.19 | ) | (8.22 | ) | ||||||||||||
Net gain on investments | 52.88 | 37.59 | ||||||||||||||
Net income | 41.69 | 29.37 | ||||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 |
Index Graham Alternative Investment Fund I LLC Core Macro Portfolio (formerly known as Blended Strategies Portfolio) Notes to Unaudited Financial Statements (continued) 7. Financial Highlights (continued) |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 7.60 | % | 5.39 | % | 7.27 | % | 5.01 | % | 28.83 | % | 7.60 | % | 28.10 | % | 7.27 | % | |||||||||||||||||
Incentive Allocation | (1.60 | ) | (0.46 | ) | (1.60 | ) | 0.00 | (5.18 | ) | (1.60 | ) | (4.73 | ) | (1.60 | ) | ||||||||||||||||||
Total return after Incentive Allocation | 6.00 | % | 4.93 | % | 5.67 | % | 5.01 | % | 23.65 | % | 6.00 | % | 23.37 | % | 5.67 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (1.27 | )% | (0.55 | )% | (1.66 | )% | (0.93 | )% | (1.24 | )% | (1.27 | )% | (1.62 | )% | (1.66 | )% | |||||||||||||||||
Incentive Allocation | (1.47 | ) | (0.46 | ) | (1.45 | ) | 0.00 | (4.39 | ) | (1.47 | ) | (4.18 | ) | (1.45 | ) | ||||||||||||||||||
Net investment loss after Incentive Allocation | (2.74 | )% | (1.01 | )% | (3.11 | )% | (0.93 | )% | (5.63 | )% | (2.74 | )% | (5.80 | )% | (3.11 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 1.32 | % | 1.28 | % | 1.71 | % | 1.66 | % | 1.41 | % | 1.32 | % | 1.78 | % | 1.71 | % | |||||||||||||||||
Incentive Allocation | 1.47 | 0.46 | 1.45 | 0.00 | 4.39 | 1.47 | 4.18 | 1.45 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 2.79 | % | 1.74 | % | 3.16 | % | 1.66 | % | 5.80 | % | 2.79 | % | 5.96 | % | 3.16 | % |
June 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 4,188,818 | $ | 4,769,945 | ||||
Investment in Graham Cash Assets LLC, at fair value | 62,896,150 | 51,121,197 | ||||||
Receivable from Master Funds | 40 | 44 | ||||||
Total assets | $ | 67,085,008 | $ | 55,891,186 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 2,016,186 | $ | 263,800 | ||||
Accrued professional fees | 109,479 | 114,472 | ||||||
Accrued advisory fees | 79,894 | 68,959 | ||||||
Accrued sponsor fees | 42,780 | 36,436 | ||||||
Accrued administrator’s fee | 6,968 | 6,154 | ||||||
Accrued operating expenses | 3,371 | – | ||||||
Payable to Master Funds | 23 | 825 | ||||||
Total liabilities | 2,258,701 | 490,646 | ||||||
Members’ capital: | ||||||||
Class 0 Units (169,982.846 and 185,533.074 units issued and outstanding at $217.96 and $176.27 per unit, respectively) | 37,049,688 | 32,704,572 | ||||||
Class 2 Units (165,367.572 and 167,534.772 units issued and outstanding at $155.05 and $125.68 per unit, respectively) | 25,640,210 | 21,055,621 | ||||||
Class M Units (4,671.470 units issued and outstanding at $457.33 and $351.14 per unit, respectively) | 2,136,409 | 1,640,347 | ||||||
Total members’ capital | 64,826,307 | 55,400,540 | ||||||
Total liabilities and members’ capital | $ | 67,085,008 | $ | 55,891,186 |
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 |
June 30, 2021 (Unaudited) | December 31, 2020 (Audited) | June 30, 2022 (Unaudited) | December 31, 2021 (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 | $ | 3,964,962 | 6.60 | % | $ | 2,103,213 | 3.52 | % | $ | 1,957,811 | 3.01% | $ | 1,849,637 | 3.34% | ||||||||||||||||||
Graham Derivatives Strategies LLC | 470,490 | 0.73% | – | 0.00% | ||||||||||||||||||||||||||||
Graham K4D Trading Ltd. | 4,124,021 | 6.87 | % | 4,342,854 | 7.27 | % | 1,760,517 | 2.72% | 2,920,308 | 5.27% | ||||||||||||||||||||||
Total investments in Master Funds | $ | 8,088,983 | 13.47 | % | $ | 6,446,067 | 10.79 | % | $ | 4,188,818 | 6.46% | $ | 4,769,945 | 8.61% |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||||||||||||||||||
Net realized gain on investments | $ | 1,516,330 | $ | 1,633,430 | $ | 6,611,797 | $ | 2,824,816 | $ | 9,492,282 | $ | 1,516,330 | $ | 17,473,733 | $ | 6,611,797 | ||||||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (152,855 | ) | (1,310,212 | ) | (1,275,465 | ) | 569,656 | |||||||||||||||||||||||||
Net decrease in unrealized appreciation on investments | (2,438,962 | ) | (152,855 | ) | (1,016,446 | ) | (1,275,465 | ) | ||||||||||||||||||||||||
Brokerage commissions and fees | (46,615 | ) | (52,775 | ) | (84,261 | ) | (154,523 | ) | (65,652 | ) | (46,615 | ) | (115,508 | ) | (84,261 | ) | ||||||||||||||||
Net gain allocated from investments in Master Funds | 1,316,860 | 270,443 | 5,252,071 | 3,239,949 | 6,987,668 | 1,316,860 | 16,341,779 | 5,252,071 | ||||||||||||||||||||||||
Net investment (loss) income allocated from investments in Master Funds | (764 | ) | 12,836 | (1,001 | ) | 30,569 | ||||||||||||||||||||||||||
Net investment income (loss) allocated from investments in Master Funds | 232 | (764 | ) | (3,574 | ) | (1,001 | ) | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest income | 10,276 | 175,321 | 32,634 | 374,155 | 82,257 | 10,276 | 107,069 | 32,634 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Advisory fees | 228,390 | 205,807 | 448,220 | 407,100 | 240,555 | 228,390 | 458,706 | 448,220 | ||||||||||||||||||||||||
Sponsor fees | 120,584 | 109,817 | 237,224 | 217,414 | 128,084 | 120,584 | 243,490 | 237,224 | ||||||||||||||||||||||||
Professional fees | 106,696 | 55,919 | 143,047 | 111,098 | 108,449 | 106,696 | 177,834 | 143,047 | ||||||||||||||||||||||||
Administrator’s fee | 19,904 | 18,529 | 39,028 | 35,989 | 20,606 | 19,904 | 39,689 | 39,028 | ||||||||||||||||||||||||
Interest expense | 3,472 | 3,448 | 6,951 | 6,792 | 3,479 | 3,472 | 6,979 | 6,951 | ||||||||||||||||||||||||
Operating expenses | 3,371 | – | 3,371 | – | ||||||||||||||||||||||||||||
Total expenses | 479,046 | 393,520 | 874,470 | 778,393 | 504,544 | 479,046 | 930,069 | 874,470 | ||||||||||||||||||||||||
Net investment loss of GAIT | (468,770 | ) | (218,199 | ) | (841,836 | ) | (404,238 | ) | ||||||||||||||||||||||||
Net investment loss of the Fund | (422,287 | ) | (468,770 | ) | (823,000 | ) | (841,836 | ) | ||||||||||||||||||||||||
Net income | 847,326 | 65,080 | 4,409,234 | 2,866,280 | 6,565,613 | 847,326 | 15,515,205 | 4,409,234 | ||||||||||||||||||||||||
Incentive allocation | (163,263 | ) | (11,712 | ) | (855,525 | ) | (150,781 | ) | (1,269,671 | ) | (163,263 | ) | (2,550,314 | ) | (855,525 | ) | ||||||||||||||||
Net income available for pro-rata allocation to all members | $ | 684,063 | $ | 53,368 | $ | 3,553,709 | $ | 2,715,499 | $ | 5,295,942 | $ | 684,063 | $ | 12,964,891 | $ | 3,553,709 |
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, 2021 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (2,813.134 | ) | (531,377 | ) | (2,167.200 | ) | (287,440 | ) | – | (1,280,643 | ) | (2,099,460 | ) | |||||||||||||||
Incentive allocation | – | (794,593 | ) | – | (486,050 | ) | – | 1,280,643 | – | |||||||||||||||||||
Net income | – | 5,301,831 | – | 3,368,961 | – | 278,800 | 8,949,592 | |||||||||||||||||||||
Members’ capital, March 31, 2022 | 182,719.940 | 36,680,433 | 165,367.572 | $ | 23,651,092 | 4,671.470 | $ | 1,919,147 | $ | 62,250,672 | ||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (12,737.094 | ) | (2,720,307 | ) | – | – | – | (1,269,671 | ) | (3,989,978 | ) | |||||||||||||||||
Incentive allocation | – | (772,392 | ) | – | (497,279 | ) | – | 1,269,671 | – | |||||||||||||||||||
Net income | – | 3,861,954 | – | 2,486,397 | – | 217,262 | 6,565,613 | |||||||||||||||||||||
Members’ capital, June 30, 2022 | 169,982.846 | $ | 37,049,688 | 165,367.572 | $ | 25,640,210 | 4,671.470 | $ | 2,136,409 | $ | 64,826,307 |
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 213,162.414 | $ | 32,409,897 | 201,355.180 | $ | 21,816,766 | 4,671.470 | $ | 1,307,992 | $ | 55,534,655 | |||||||||||||||||||||||||||||||||||||||||||||
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 | (5,366.145 | ) | (816,202 | ) | (6,097.039 | ) | (673,152 | ) | – | (139,069 | ) | (1,628,423 | ) | (3,043.519 | ) | (538,957 | ) | (3,178.647 | ) | (411,629 | ) | – | (692,262 | ) | (1,642,848 | ) | ||||||||||||||||||||||||||||||
Incentive allocation | – | (139,069 | ) | – | – | – | 139,069 | – | – | (424,238 | ) | – | (268,024 | ) | – | 692,262 | – | |||||||||||||||||||||||||||||||||||||||
Net income | – | 1,650,675 | – | 1,075,378 | – | 75,147 | 2,801,200 | – | 2,119,121 | – | 1,340,122 | – | 102,665 | 3,561,908 | ||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1,773.039 | ) | (282,562 | ) | (2,988.460 | ) | (339,451 | ) | – | (11,712 | ) | (633,725 | ) | (5,148.509 | ) | (949,508 | ) | (10,229.362 | ) | (1,366,841 | ) | – | (163,263 | ) | (2,479,612 | ) | ||||||||||||||||||||||||||||||
Incentive allocation | – | (11,712 | ) | – | – | – | 11,712 | – | – | (101,431 | ) | – | (61,832 | ) | – | 163,263 | – | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||
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 |
Six Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income | $ | 4,409,234 | $ | 2,866,280 | $ | 15,515,205 | $ | 4,409,234 | ||||||||
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 | ) | (16,338,205 | ) | (5,251,070 | ) | ||||||||
Net (income) allocated from investment in Graham Cash Assets LLC | (32,634 | ) | (374,155 | ) | (107,069 | ) | (32,634 | ) | ||||||||
Proceeds from sale of investments in Master Funds | 35,557,695 | 32,747,567 | 39,890,240 | 35,557,695 | ||||||||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 28,466,809 | 22,911,926 | 18,117,424 | 28,466,809 | ||||||||||||
Purchases of investments in Master Funds | (31,949,856 | ) | (28,650,545 | ) | (22,971,706 | ) | (31,949,856 | ) | ||||||||
Purchases of investment in Graham Cash Assets LLC | (27,262,735 | ) | (23,689,846 | ) | (29,785,308 | ) | (27,262,735 | ) | ||||||||
Changes in assets and liabilities: | ||||||||||||||||
Decrease in accrued professional fees | (46,864 | ) | (101,107 | ) | (4,993 | ) | (46,864 | ) | ||||||||
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 | ) | ||||||||||||
Increase (decrease) in accrued advisory fees | 10,935 | (1,760 | ) | |||||||||||||
Increase (decrease) in accrued sponsor fees | 6,344 | (1,462 | ) | |||||||||||||
Increase (decrease) in accrued administrator’s fee | 814 | (262 | ) | |||||||||||||
Increase in accrued operating expenses | 3,371 | – | ||||||||||||||
Net cash provided by operating activities | 3,887,095 | 2,436,380 | 4,337,052 | 3,887,095 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | – | – | – | – | ||||||||||||
Redemptions (net of redemptions payable) | (3,887,095 | ) | (2,436,380 | ) | (4,337,052 | ) | (3,887,095 | ) | ||||||||
Net cash used in financing activities | (3,887,095 | ) | (2,436,380 | ) | (4,337,052 | ) | (3,887,095 | ) | ||||||||
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 |
Supplemental cash flow information | ||||||||
Interest paid | $ | 6,979 | $ | 6,951 |
June 30, 2021 | ||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (six months ended June 2021) | Percent of Members’ Capital | Fair Value | Net Income (six months ended June 2022) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 6.60 | % | $ | 3,964,962 | $ | 3,854,656 | 3.01% | $ | 1,957,811 | $ | 7,005,331 | |||||||||||||
Graham Derivatives Strategies LLC | 0.73% | 470,490 | 2,155,661 | |||||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 6.87 | % | 4,124,021 | 1,396,414 | 2.72% | 1,760,517 | 7,177,213 | |||||||||||||||||
13.47 | % | $ | 8,088,983 | $ | 5,251,070 | 6.46% | $ | 4,188,818 | $ | 16,338,205 |
December 31, 2020 | ||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) (six months ended June 2020) | Percent of Members’ Capital | Fair Value | Net Income (six months ended June 2021) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.52 | % | $ | 2,103,213 | $ | 5,339,793 | 3.34% | $ | 1,849,637 | $ | 3,854,656 | |||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 7.27 | % | 4,342,854 | (2,090,848 | ) | 5.27% | 2,920,308 | 1,396,414 | ||||||||||||||||
10.79 | % | $ | 6,446,067 | $ | 3,248,945 | 8.61% | $ | 4,769,945 | $ | 5,251,070 |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||||||||
Assets: | ||||||||||||||||||||
Fixed income securities, at fair value (cost $27,500,000) | $ | – | $ | 27,499,806 | ||||||||||||||||
Due from brokers | 118,378,764 | 23,540,984 | $ | 71,053,716 | $ | 3,290,536 | $ | 27,042,207 | ||||||||||||
Derivative financial instruments, at fair value | 12,354,726 | 1,539,203 | 6,311,153 | 16,014,901 | 1,466,427 | |||||||||||||||
Exchange memberships, at fair value | 8,466,752 | 1,578,347 | 8,268,486 | – | 1,822,009 | |||||||||||||||
Interest receivable | 4,087 | 1,521 | 17,720 | 3,194 | 10,164 | |||||||||||||||
Total assets | 139,204,329 | 54,159,861 | 85,651,075 | 19,308,631 | 30,340,807 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Derivative financial instruments, at fair value | 3,033,856 | – | 3,606,289 | – | 6,911,736 | |||||||||||||||
Interest payable | 19,112 | 3,202 | 12,056 | 3,044 | 11,161 | |||||||||||||||
Total liabilities | 3,052,968 | 3,202 | 3,618,345 | 3,044 | 6,922,897 | |||||||||||||||
Members’ Capital / Net Assets | $ | 136,151,361 | $ | 54,156,659 | $ | 82,032,730 | $ | 19,305,587 | $ | 23,417,910 | ||||||||||
Percentage of Master Fund held by GAIT | 2.91 | % | 7.61 | % | 2.39 | % | 2.44 | % | 7.52 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts / National Amounts | 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) | $ | 8,466,752 | 6.22 | % | $ | 8,268,486 | 10.08 | % | |||||||||||||
Total exchange memberships | $ | 8,466,752 | 6.22 | % | $ | 8,268,486 | 10.08 | % | |||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | 2,377,996 | 1.75 | % | $ | (6,302,267 | ) | (7.68 | )% | ||||||||||||
Foreign bond | 189,408 | 0.14 | % | ||||||||||||||||||
Euro-Bund September 2022 | 229 | 628,722 | 0.77 | % | |||||||||||||||||
Other foreign bond | 324,452 | 0.40 | % | ||||||||||||||||||
Foreign index | (568,473 | ) | (0.42 | )% | 13,171 | 0.02 | % | ||||||||||||||
Interest rate | 159,963 | 0.12 | % | 360,396 | 0.44 | % | |||||||||||||||
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. 10yr Note September 2022 | 3,539 | 4,873,514 | 5.94 | % | |||||||||||||||||
U.S. 5yr Note September 2022 | 4,110 | 3,815,595 | 4.65 | % | |||||||||||||||||
U.S. long bond CBT September 2022 | 17 | 11,625 | 0.01 | % | |||||||||||||||||
U.S. index | 5,210,203 | 3.83 | % | 1,135,540 | 1.38 | % | |||||||||||||||
Total futures | 7,728,581 | 5.68 | % | 4,860,748 | 5.93 | % | |||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | (3,224,103 | ) | (2.37 | )% | |||||||||||||||||
Korean won / U.S. dollar 07/08/2022 - 09/21/2022 | KRW 134,385,588,416 | 308,108 | 0.38 | % | |||||||||||||||||
Other foreign currency | (7,946,803 | ) | (9.69 | )% | |||||||||||||||||
Total forwards | (3,224,103 | ) | (2.37 | )% | (7,638,695 | ) | (9.31 | )% | |||||||||||||
Options (cost $33,266,987) | |||||||||||||||||||||
Options (cost $5,250,147) | |||||||||||||||||||||
Commodity futures | 3,126,301 | 2.30 | % | 146,500 | 0.18 | % | |||||||||||||||
Currency futures | 9,414,502 | 6.91 | % | 305,512 | 0.37 | % | |||||||||||||||
Interest rate futures | 6,562,881 | 4.82 | % | (1,970,938 | ) | (2.40 | )% | ||||||||||||||
U.S. bond futures | |||||||||||||||||||||
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 | 5,282,980 | 3.88 | % | 4,038,280 | 4.92 | % | |||||||||||||||
Total options | 27,040,968 | 19.86 | % | 2,519,354 | 3.07 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (214,095 | ) | (0.26 | )% | |||||||
Foreign bond | ||||||||||||
Euro-Bobl September 2022 | (3,900 | ) | (6,852,621 | ) | (8.35 | )% | ||||||
Euro-Bund September 2022 | (1,840 | ) | (4,596,987 | ) | (5.60 | )% | ||||||
Euro-Schatz September 2022 | (2,597 | ) | (60,718 | ) | (0.07 | )% | ||||||
Other foreign bond | (576,682 | ) | (0.71 | )% | ||||||||
Foreign index | 647,197 | 0.79 | % | |||||||||
Interest rate | (61,782 | ) | (0.08 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 10yr Ultra bond September 2022 | (453 | ) | 149,125 | 0.18 | % | |||||||
U.S. index | 3,930,150 | 4.79 | % | |||||||||
Total futures | (7,636,413 | ) | (9.31 | )% | ||||||||
Forwards | ||||||||||||
U.S. dollar / Korean won 7/08/2022 - 9/21/2022 | KRW (269,531,843,646) | 5,250,177 | 6.40 | % | ||||||||
Other foreign currency | 5,570,085 | 6.79 | % | |||||||||
Total forwards | 10,820,262 | 13.19 | % | |||||||||
Options (proceeds $470,301) | ||||||||||||
Commodity futures | (32,500 | ) | (0.04 | )% | ||||||||
Interest rate futures | 995,988 | 1.21 | % | |||||||||
U.S. index futures | (1,183,880 | ) | (1.44 | )% | ||||||||
Total options | (220,392 | ) | (0.27 | )% | ||||||||
Total derivative financial instruments | $ | 2,704,864 | 3.30 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (429,900 | ) | (0.32 | )% | |||||||
Foreign bond | (1,528,550 | ) | (1.12 | )% | ||||||||
Foreign index | 111,196 | 0.08 | % | |||||||||
Interest rate | 665,740 | 0.49 | % | |||||||||
U.S. bond | ||||||||||||
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 | (1,690,848 | ) | (1.24 | )% | ||||||||
Total futures | (11,476,159 | ) | (8.44 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 1,847,187 | 1.36 | % | |||||||||
Total forwards | 1,847,187 | 1.36 | % | |||||||||
Options (proceeds $17,561,248) | ||||||||||||
Commodity futures | (1,653,338 | ) | (1.21 | )% | ||||||||
Currency futures | (1,366,933 | ) | (1.00 | )% | ||||||||
Interest rate futures | (5,102,388 | ) | (3.75 | )% | ||||||||
U.S. bond futures | ||||||||||||
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 | (2,155,695 | ) | (1.58 | )% | ||||||||
Total options | (12,595,604 | ) | (9.24 | )% | ||||||||
Total derivative financial instruments | $ | 9,320,870 | 6.85 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
U.S. bond | ||||||||||||
U.S 10yr Note September 2022 | 64 | $ | 18,812 | 0.10 | % | |||||||
U.S. index | (16,450 | ) | (0.09 | )% | ||||||||
Total futures | 2,362 | 0.01 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (654,145 | ) | (3.39 | )% | ||||||||
Total forwards | (654,145 | ) | (3.39 | )% | ||||||||
Options (cost $52,491,672) | ||||||||||||
Commodity futures | ||||||||||||
Crude oil December 2022, $57.50 Put | 1 | 1,793,220 | 9.29 | % | ||||||||
Crude oil December 2022, $70.50 Put | 1 | 3,579,600 | 18.54 | % | ||||||||
Crude oil December 2022, $85.50 Put | 1 | 8,162,400 | 42.28 | % | ||||||||
Currency futures | ||||||||||||
Euro / U.S. dollar November 2022, $0.97 Put | 1 | 1,190,045 | 6.16 | % | ||||||||
Euro / U.S. dollar April 2023, $0.95 Put | 1 | 1,260,261 | 6.53 | % | ||||||||
Euro / U.S. dollar July 2022 - November 2022, $0.97 - $1.04 Put | 3 | 1,208,378 | 6.26 | % | ||||||||
Euro / U.S. dollar July 2022, $1.22 Call | 1 | – | 0.00 | % | ||||||||
U.S. dollar / Japanese yen July 2022, $125.25 Call | 1 | 14,377,005 | 74.47 | % | ||||||||
U.S. dollar / Japanese yen July 2022, $128.25 Call | 1 | 10,370,089 | 53.72 | % | ||||||||
U.S. dollar / Japanese yen July 2022 - April 2023, $136.25 - $140.50 Call | 4 | 2,447,349 | 12.68 | % | ||||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call | 1 | 2,155,698 | 11.17 | % | ||||||||
U.S. dollar / Japanese yen October 2022, $127.00 Put | 1 | 1,111,221 | 5.76 | % | ||||||||
U.S. dollar / Japanese yen November 2022, $131.50 Put | 1 | 653,999 | 3.39 | % | ||||||||
U.S. dollar / Mexican peso April 2023, $18.75 Put | 1 | 759,400 | 3.93 | % | ||||||||
U.S. dollar / Mexican peso November 2022, $19.40 Put | 1 | 1,659,339 | 8.60 | % | ||||||||
Other currency futures | 2,108,053 | 10.91 | % | |||||||||
Interest rate futures | ||||||||||||
IMM Euro December 2022, $98.75 Call | 1 | 875,219 | 4.53 | % | ||||||||
U.S. bond futures | ||||||||||||
U.S. 10yr future August 2022, $118.50 Call | 1 | 3,621,875 | 18.76 | % | ||||||||
U.S. index futures | ||||||||||||
S&P E-mini July 2022, $3,600.00 Put | 1 | 2,062,925 | 10.69 | % | ||||||||
S&P E-mini September 2022, $3,600.00 Put | 1 | 4,151,500 | 21.50 | % | ||||||||
S&P E-mini September 2022, $4,300.00 Call | 1 | 560,500 | 2.90 | % | ||||||||
S&P E-mini July 2022, $3,605.00 Put | 1 | 553,613 | 2.87 | % | ||||||||
Total options | 64,661,689 | 334.94 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
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 | $ | 27,499,806 | 50.78 | % | ||||||
Total United States | 27,499,806 | 50.78 | % | |||||||||
Total government bonds | 27,499,806 | 50.78 | % | |||||||||
Total fixed income securities owned | $ | 27,499,806 | 50.78 | % | ||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,578,347 | 2.91 | % | ||||||||
Total exchange memberships | $ | 1,578,347 | 2.91 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
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 | (44,028 | ) | (0.08 | )% | ||||||||
Foreign bond | 48,538 | 0.09 | % | |||||||||
Foreign index | (500,347 | ) | (0.92 | )% | ||||||||
Interest rate | (426,872 | ) | (0.79 | )% | ||||||||
U.S. bond | (490,763 | ) | (0.91 | )% | ||||||||
U.S. index | 2,067,009 | 3.82 | % | |||||||||
Total futures | 1,855,887 | 3.43 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (4,941,330 | ) | (9.12 | )% | ||||||||
Total forwards | (4,941,330 | ) | (9.12 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
S&P 500 E-mini September 2022 | (38 | ) | $ | 43,500 | 0.23 | % | ||||||
Total futures | 43,500 | 0.23 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 180,366 | 0.93 | % | |||||||||
Total forwards | 180,366 | 0.93 | % | |||||||||
Options (proceeds $37,329,502) | ||||||||||||
Commodity futures | ||||||||||||
Crude oil December 2022, $50.50 Put | (1 | ) | (1,128,600 | ) | (5.85 | )% | ||||||
Crude oil December 2022, $75.50 Put | (1 | ) | (6,988,960 | ) | (36.20 | )% | ||||||
Crude oil December 2022, $80.50 Put | (1 | ) | (3,350,080 | ) | (17.35 | )% | ||||||
Currency futures | ||||||||||||
Euro / U.S. dollar August 2022, $1.00 Put | (1 | ) | (129,276 | ) | (0.67 | )% | ||||||
U.S. dollar / Japanese yen July 2022, $125.25 Call | (1 | ) | (14,377,005 | ) | (74.47 | )% | ||||||
U.S. dollar / Japanese yen July 2022, $128.25 Call | (1 | ) | (10,370,089 | ) | (53.72 | )% | ||||||
U.S. dollar / Japanese yen July 2022 - August 2022, $136.25 - $143.25 Call | (3 | ) | (1,383,048 | ) | (7.16 | )% | ||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call | (1 | ) | (2,155,698 | ) | (11.17 | )% | ||||||
U.S. dollar / Japanese yen November 2022, $128.50 Put | (1 | ) | (341,396 | ) | (1.77 | )% | ||||||
U.S. dollar / Mexican peso November 2022, $18.95 Put | (1 | ) | (868,502 | ) | (4.50 | )% | ||||||
Other currency futures | (870,397 | ) | (4.50 | )% | ||||||||
Interest rate futures | ||||||||||||
IMM Euro December 2022, $98.50 Call | (1 | ) | (1,003,950 | ) | (5.20 | )% | ||||||
U.S. bond futures | ||||||||||||
U.S. 10yr August 2022, $120.50 Call | (1 | ) | (1,068,750 | ) | (5.54 | )% | ||||||
U.S. index futures | ||||||||||||
S&P E-mini September 2022, $3,400.00 Put | (1 | ) | (2,394,000 | ) | (12.40 | )% | ||||||
S&P E-mini September 2022, $4,200.00 Call | (1 | ) | (997,500 | ) | (5.17 | )% | ||||||
S&P E-mini July 2022, $3,450.00 Put | (1 | ) | (735,300 | ) | (3.81 | )% | ||||||
S&P E-mini July 2022, $3,505.00 Put | (1 | ) | (56,320 | ) | (0.29 | )% | ||||||
Total options | (48,218,871 | ) | (249.77 | )% | ||||||||
Total derivative financial instruments | $ | 16,014,901 | 82.95 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
LME Copper September 2021 | (160 | ) | $ | 1,304,320 | 2.41 | % | ||||||
Other commodity | (1,220,840 | ) | (2.26 | )% | ||||||||
Currency | (14,900 | ) | (0.03 | )% | ||||||||
Foreign bond | (756,327 | ) | (1.40 | )% | ||||||||
Foreign index | (50,924 | ) | (0.09 | )% | ||||||||
Interest rate | (18,679 | ) | (0.04 | )% | ||||||||
U.S. bond | (1,527,414 | ) | (2.82 | )% | ||||||||
Total futures | (2,284,764 | ) | (4.23 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 6,909,410 | 12.76 | % | |||||||||
Total forwards | 6,909,410 | 12.76 | % | |||||||||
Total derivative financial instruments | $ | 1,539,203 | 2.84 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,822,009 | 7.78 | % | ||||||||
Total exchange memberships | $ | 1,822,009 | 7.78 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Brent Crude September 2022 | 109 | $ | (673,417 | ) | (2.88 | )% | ||||||
Gasoline Rbob August 2022 | 102 | (1,074,003 | ) | (4.59 | )% | |||||||
Low Sulphur Gasoil August 2022 | 101 | (1,267,250 | ) | (5.41 | )% | |||||||
Natural Gas August 2022 | 102 | (1,763,486 | ) | (7.53 | )% | |||||||
NY Harbor ULSD August 2022 | 69 | (1,272,503 | ) | (5.43 | )% | |||||||
WTI Crude August 2022 | 100 | (860,160 | ) | (3.67 | )% | |||||||
Other commodity | (6,066,616 | ) | (25.91 | )% | ||||||||
Currency | 123,823 | 0.53 | % | |||||||||
Foreign bond | 199,071 | 0.85 | % | |||||||||
Foreign index | (756,171 | ) | (3.23 | )% | ||||||||
Interest rate | 388,861 | 1.66 | % | |||||||||
U.S. bond | 1,385,832 | 5.92 | % | |||||||||
U.S. index | (162,973 | ) | (0.70 | )% | ||||||||
Total futures | (11,798,992 | ) | (50.39 | )% | ||||||||
Forwards | ||||||||||||
British pound / U.S. dollar 9/21/2022 | GBP 7,383,000 | 93,742 | 0.40 | % | ||||||||
Euro dollar / U.S. dollar 9/21/2022 | EUR 7,838,000 | 27,597 | 0.12 | % | ||||||||
Other foreign currency | (1,173,920 | ) | (5.01 | )% | ||||||||
Total forwards | (1,052,581 | ) | (4.49 | )% |
Description | Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Derivative financial instruments (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
Commodity | $ | 1,198,368 | 5.12 | % | |||||
Currency | 69,841 | 0.30 | % | ||||||
Foreign bond | 1,470,616 | 6.28 | % | ||||||
Foreign index | 1,161,828 | 4.96 | % | ||||||
Interest rate | (489,752 | ) | (2.09 | )% | |||||
U.S. bond | (4,258 | ) | (0.02 | )% | |||||
U.S. index | 187,887 | 0.80 | % | ||||||
Total futures | 3,594,530 | 15.35 | % | ||||||
Forwards | |||||||||
U.S. dollar / British pound 9/21/2022 | GBP (49,429,000) | 1,569,824 | 6.70 | % | |||||
U.S. dollar / Euro dollar 9/21/2022 | EUR (59,187,000) | 1,386,325 | 5.92 | % | |||||
Other foreign currency | 855,585 | 3.66 | % | ||||||
Total forwards | 3,811,734 | 16.28 | % | ||||||
Total derivative financial instruments | $ | (5,445,309 | ) | (23.25 | )% |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||||||||
Assets | ||||||||||||||||||||
Level 1: | ||||||||||||||||||||
Commodity futures | $ | 2,931,566 | $ | 5,858,258 | $ | 604,348 | $ | – | $ | 1,341,708 | ||||||||||
Commodity futures options | 3,126,301 | – | 146,500 | 13,535,220 | – | |||||||||||||||
Currency futures | – | 63,288 | – | – | 222,249 | |||||||||||||||
Exchange memberships | 8,466,752 | 1,578,347 | ||||||||||||||||||
Exchange memberships* | 8,268,486 | – | 1,822,009 | |||||||||||||||||
Foreign bond futures | 261,383 | 96,055 | 1,395,403 | – | 1,670,195 | |||||||||||||||
Foreign index futures | 111,196 | 44,887 | 731,287 | – | 1,175,070 | |||||||||||||||
Interest rate futures | 1,344,353 | 50,293 | 360,396 | – | 388,861 | |||||||||||||||
Interest rate futures options | 6,562,881 | – | 1,049,025 | 875,219 | – | |||||||||||||||
U.S. bond futures | 447,788 | 23,624 | 8,849,859 | 18,812 | 1,399,590 | |||||||||||||||
U.S. bond futures options | 2,654,304 | – | – | 3,621,875 | – | |||||||||||||||
U.S. index futures | 5,216,303 | 2,151,063 | 5,065,690 | 43,500 | 206,410 | |||||||||||||||
U.S. index futures options | 5,282,980 | – | 4,038,280 | 7,328,538 | – | |||||||||||||||
Total Level 1 | 36,405,807 | 9,865,815 | 30,509,274 | 25,423,164 | 8,226,092 | |||||||||||||||
Level 2: | ||||||||||||||||||||
Foreign currency forwards | 5,594,247 | 7,396,514 | 12,433,627 | 317,189 | 5,556,411 | |||||||||||||||
Foreign currency futures options | 9,414,502 | – | 305,512 | 39,300,838 | – | |||||||||||||||
Government bonds* | – | 27,499,806 | ||||||||||||||||||
Total Level 2 | 15,008,749 | 34,896,320 | 12,739,139 | 39,618,027 | 5,556,411 | |||||||||||||||
Total investment related assets | $ | 51,414,556 | $ | 44,762,135 | $ | 43,248,413 | $ | 65,041,191 | $ | 13,782,503 | ||||||||||
Liabilities | ||||||||||||||||||||
Level 1: | ||||||||||||||||||||
Commodity futures | $ | (983,470 | ) | $ | (4,572,428 | ) | $ | (7,120,710 | ) | $ | – | $ | (13,120,775 | ) | ||||||
Commodity futures options | (1,653,338 | ) | – | (32,500 | ) | (11,467,640 | ) | – | ||||||||||||
Currency futures | – | (122,216 | ) | – | – | (28,585 | ) | |||||||||||||
Foreign bond futures | (1,600,525 | ) | (803,844 | ) | (12,529,237 | ) | – | (508 | ) | |||||||||||
Foreign index futures | (568,473 | ) | (596,158 | ) | (70,919 | ) | – | (769,413 | ) | |||||||||||
Interest rate futures | (518,650 | ) | (495,844 | ) | (61,782 | ) | – | (489,752 | ) | |||||||||||
Interest rate futures options | (5,102,388 | ) | – | (2,023,975 | ) | (1,003,950 | ) | – | ||||||||||||
U.S. bond futures | (8,692,101 | ) | (2,041,801 | ) | – | – | (18,016 | ) | ||||||||||||
U.S. bond futures options | (2,317,250 | ) | – | – | (1,068,750 | ) | – | |||||||||||||
U.S. index futures | (1,696,948 | ) | (84,054 | ) | – | (16,450 | ) | (181,496 | ) | |||||||||||
U.S. index futures options | (2,155,695 | ) | – | (1,183,880 | ) | (4,183,120 | ) | – | ||||||||||||
Total Level 1 | (25,288,838 | ) | (8,716,345 | ) | (23,023,003 | ) | (17,739,910 | ) | (14,608,545 | ) | ||||||||||
Level 2: | ||||||||||||||||||||
Foreign currency forwards | (6,971,163 | ) | (5,428,434 | ) | (9,252,060 | ) | (790,968 | ) | (2,797,258 | ) | ||||||||||
Foreign currency futures options | (1,366,933 | ) | – | – | (30,495,412 | ) | – | |||||||||||||
Total Level 2 | (8,338,096 | ) | (5,428,434 | ) | (9,252,060 | ) | (31,286,380 | ) | (2,797,258 | ) | ||||||||||
Total investment related liabilities | $ | (33,626,934 | ) | $ | (14,144,779 | ) | $ | (32,275,063 | ) | $ | (49,026,290 | ) | $ | (17,405,803 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 199,662,721 | 2,433 | $ | (18,278,186 | ) | (586 | ) | $ | 604,348 | $ | (7,120,710 | ) | |||||||||||
Options (a) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | 146,500 | (32,500 | ) | |||||||||||||||
213,036,547 | 3,505 | (24,040,785 | ) | (1,161 | ) | 750,848 | (7,153,210 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 38,310,404 | 820 | (198,521,617 | ) | (2,503 | ) | 5,796,977 | (70,919 | ) | |||||||||||||||
Options (a) | 1,428,384 | 3,111 | (1,428,384 | ) | (3,111 | ) | 4,038,280 | (1,183,880 | ) | |||||||||||||||
39,738,788 | 3,931 | (199,950,001 | ) | (5,614 | ) | 9,835,257 | (1,254,799 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,053,811,011 | N/A | (1,286,119,454 | ) | N/A | 12,433,627 | (9,252,060 | ) | ||||||||||||||||
Options (a) | 46,546,578 | 8 | (36,330,813 | ) | (7 | ) | 305,512 | – | ||||||||||||||||
1,100,357,589 | 8 | (1,322,450,267 | ) | (7 | ) | 12,739,139 | (9,252,060 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 904,233,652 | 6,704 | (2,574,819,169 | ) | (13,274 | ) | 10,605,658 | (12,591,019 | ) | |||||||||||||||
Options (a) | 1,207,904,723 | 24,268 | (1,371,950,988 | ) | (24,268 | ) | 1,049,025 | (2,023,975 | ) | |||||||||||||||
2,112,138,375 | 30,972 | (3,946,770,157 | ) | (37,542 | ) | 11,654,683 | (14,614,994 | ) | ||||||||||||||||
Total | $ | 3,465,271,299 | 38,416 | $ | (5,493,211,210 | ) | (44,324 | ) | $ | 34,979,927 | $ | (32,275,063 | ) |
(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 | $ | 551,540 | 6 | $ | – | – | $ | – | $ | – | ||||||||||||||
Options (a) | 102,641,829 | 3,416 | (78,353,119 | ) | (3,425 | ) | 13,535,220 | (11,467,640 | ) | |||||||||||||||
103,193,369 | 3,422 | (78,353,119 | ) | (3,425 | ) | 13,535,220 | (11,467,640 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 10,784,847 | 48 | (7,465,900 | ) | (32 | ) | 43,500 | (16,450 | ) | |||||||||||||||
Options (a) | 56,920,496 | 2,924 | (111,685,945 | ) | (2,501 | ) | 7,328,538 | (4,183,120 | ) | |||||||||||||||
67,705,343 | 2,972 | (119,151,845 | ) | (2,533 | ) | 7,372,038 | (4,199,570 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 50,039,680 | N/A | (64,922,109 | ) | N/A | 317,189 | (790,968 | ) | ||||||||||||||||
Options (a) | 592,130,585 | 21 | (637,534,474 | ) | (19 | ) | 39,300,838 | (30,495,412 | ) | |||||||||||||||
642,170,265 | 21 | (702,456,583 | ) | (19 | ) | 39,618,027 | (31,286,380 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 296,348,513 | 810 | (336,830,409 | ) | (1,441 | ) | 18,812 | – | ||||||||||||||||
Options (a) | 389,504,761 | 20,704 | (305,634,839 | ) | (20,779 | ) | 4,497,094 | (2,072,700 | ) | |||||||||||||||
685,853,274 | 21,514 | (642,465,248 | ) | (22,220 | ) | 4,515,906 | (2,072,700 | ) | ||||||||||||||||
Total | $ | 1,498,922,251 | 27,929 | $ | (1,542,426,795 | ) | (28,197 | ) | $ | 65,041,191 | $ | (49,026,290 | ) |
(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 | $ | 172,886,892 | 2,264 | $ | (41,700,362 | ) | (325 | ) | $ | 1,341,708 | $ | (13,120,775 | ) | |||||||||||
172,886,892 | 2,264 | (41,700,362 | ) | (325 | ) | 1,341,708 | (13,120,775 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 70,368,676 | 718 | (55,158,269 | ) | (424 | ) | 1,381,480 | (950,909 | ) | |||||||||||||||
70,368,676 | 718 | (55,158,269 | ) | (424 | ) | 1,381,480 | (950,909 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 209,085,358 | N/A | (405,302,435 | ) | N/A | 5,556,411 | (2,797,258 | ) | ||||||||||||||||
Futures | 9,383,350 | 96 | (3,948,716 | ) | (39 | ) | 222,249 | (28,585 | ) | |||||||||||||||
218,468,708 | 96 | (409,251,151 | ) | (39 | ) | 5,778,660 | (2,825,843 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 212,310,072 | 881 | (510,172,499 | ) | (2,654 | ) | 3,458,646 | (508,276 | ) | |||||||||||||||
212,310,072 | 881 | (510,172,499 | ) | (2,654 | ) | 3,458,646 | (508,276 | ) | ||||||||||||||||
Total | $ | 674,034,348 | 3,959 | $ | (1,016,282,281 | ) | (3,442 | ) | $ | 11,960,494 | $ | (17,405,803 | ) |
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 | $ | 34,979,927 | $ | (28,668,774 | ) | $ | 6,311,153 | $ | – | $ | 6,311,153 | |||||||||
Derivative liabilities | $ | (32,275,063 | ) | $ | 28,668,774 | $ | (3,606,289 | ) | $ | 3,606,289 | $ | – | ||||||||
Graham Derivatives Strategies LLC2 | ||||||||||||||||||||
Derivative assets | $ | 65,041,191 | $ | (49,026,290 | ) | $ | 16,014,901 | $ | – | $ | 16,014,901 | |||||||||
Derivative liabilities | $ | (49,026,290 | ) | $ | 49,026,290 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||
Derivative assets | $ | 11,960,494 | $ | (10,494,067 | ) | $ | 1,466,427 | $ | – | $ | 1,466,427 | |||||||||
Derivative liabilities | $ | (17,405,803 | ) | $ | 10,494,067 | $ | (6,911,736 | ) | $ | 6,911,736 | $ | – |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income (loss) | $ | 40,751 | $ | (1,390 | ) | $ | (9,901 | ) | ||||
Net realized gain on investments | 146,523,902 | 50,617,178 | 61,988,515 | |||||||||
Net decrease in unrealized appreciation on investments | (20,393,341 | ) | (1,937,631 | ) | (24,082,221 | ) | ||||||
Brokerage commissions and fees | (649,267 | ) | (1,839,184 | ) | (47,037 | ) | ||||||
Net gain on investments | 125,481,294 | 46,840,363 | 37,859,257 | |||||||||
Net income | $ | 125,522,045 | $ | 46,838,973 | $ | 37,849,356 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income (loss) | $ | 17,039 | $ | (8,746 | ) | $ | (58,844 | ) | ||||
Net realized gain on investments | 291,180,689 | 89,149,283 | 115,801,414 | |||||||||
Net (decrease) increase in unrealized appreciation on investments | (5,663,335 | ) | 887,075 | (7,646,196 | ) | |||||||
Brokerage commissions and fees | (1,274,638 | ) | (3,115,536 | ) | (103,501 | ) | ||||||
Net gain on investments | 284,242,716 | 86,920,822 | 108,051,717 | |||||||||
Net income | $ | 284,259,755 | $ | 86,912,076 | $ | 107,992,873 |
Graham Commodity Strategies LLC | Graham Derivatives 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) | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 610,152 | $ | (6,064,989 | ) | $ | (887,492 | ) | $ | 34,290 | $ | 20,430,289 | $ | (18,008,110 | ) | |||||||||
Options | 1,090,658 | (490,299 | ) | (592,033 | ) | (3,321,034 | ) | – | – | |||||||||||||||
1,700,810 | (6,555,288 | ) | (1,479,525 | ) | (3,286,744 | ) | 20,430,289 | (18,008,110 | ) | |||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 23,515,268 | 11,176,731 | 1,478,341 | 52,105 | (1,172,523 | ) | (2,687,237 | ) | ||||||||||||||||
Options | (376,999 | ) | 1,114,519 | 13,224,783 | 1,084,930 | – | – | |||||||||||||||||
23,138,269 | 12,291,250 | 14,703,124 | 1,137,035 | (1,172,523 | ) | (2,687,237 | ) | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 39,211,226 | (9,083,717 | ) | 14,463,033 | (850,179 | ) | 19,220,921 | 236,116 | ||||||||||||||||
Futures | – | – | – | – | 719,511 | 164,190 | ||||||||||||||||||
Options | 840,776 | (2,629,092 | ) | 14,568,451 | (399,567 | ) | – | – | ||||||||||||||||
40,052,002 | (11,712,809 | ) | 29,031,484 | (1,249,746 | ) | 19,940,432 | 400,306 | |||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 79,244,967 | (10,176,569 | ) | 5,421,377 | (385,358 | ) | 22,790,317 | (3,710,556 | ) | |||||||||||||||
Options | 2,387,854 | (3,005,094 | ) | 2,940,718 | 1,847,182 | – | – | |||||||||||||||||
81,632,821 | (13,181,663 | ) | 8,362,095 | 1,461,824 | 22,790,317 | (3,710,556 | ) | |||||||||||||||||
Total | $ | 146,523,902 | $ | (19,158,510 | ) | $ | 50,617,178 | $ | (1,937,631 | ) | $ | 61,988,515 | $ | (24,005,597 | ) |
Graham Commodity Strategies LLC | Graham Derivatives 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) | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 18,712,905 | $ | (7,736,696 | ) | $ | (2,124,210 | ) | $ | – | $ | 83,791,454 | $ | (16,433,863 | ) | |||||||||
Options | 933,353 | 678,687 | (3,120,053 | ) | 228,840 | – | – | |||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | |||||||||||||||||
13,654,774 | (6,777,993 | ) | (5,244,263 | ) | 228,840 | 83,791,454 | (16,433,863 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 61,939,318 | 9,278,326 | 8,005,065 | 27,050 | (3,128,971 | ) | 342,464 | |||||||||||||||||
Options | (1,175,824 | ) | 1,716,474 | 12,939,033 | 940,367 | – | – | |||||||||||||||||
60,763,494 | 10,994,800 | 20,944,098 | 967,417 | (3,128,971 | ) | 342,464 | ||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 47,645,333 | (239,825 | ) | 25,392,433 | (439,434 | ) | 20,568,935 | 5,104,163 | ||||||||||||||||
Futures | – | – | – | – | 997,796 | 270,315 | ||||||||||||||||||
Options | (2,049,906 | ) | 879,404 | 14,913,899 | (2,184,608 | ) | – | – | ||||||||||||||||
45,595,427 | 639,579 | 40,306,332 | (2,624,042 | ) | 21,566,731 | 5,374,478 | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 165,935,704 | (8,521,654 | ) | 20,341,471 | 18,812 | 13,572,200 | 2,976,582 | |||||||||||||||||
Options | 5,231,290 | (1,181,408 | ) | 12,801,645 | 2,296,048 | – | – | |||||||||||||||||
171,166,994 | (9,703,062 | ) | 33,143,116 | 2,314,860 | 13,572,200 | 2,976,582 | ||||||||||||||||||
Total | $ | 291,180,689 | $ | (4,846,676 | ) | $ | 89,149,283 | $ | 887,075 | $ | 115,801,414 | $ | (7,740,339 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 54,219,749 | $ | 46,687,074 | ||||
Derivative financial instruments, at fair value | 10,252,299 | 5,746,495 | ||||||
Exchange memberships, at fair value | 9,085,145 | 1,727,865 | ||||||
Dividends receivable | 80,756 | 11,500 | ||||||
Interest receivable | 1,197 | 293 | ||||||
Total assets | 73,639,146 | 54,173,227 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | 280,016 | 3,448,896 | ||||||
Interest payable | 11,382 | 17,478 | ||||||
Total liabilities | 291,398 | 3,466,374 | ||||||
Members’ Capital / Net Assets | $ | 73,347,748 | $ | 50,706,853 | ||||
Percentage of Master Fund held by GAIT | 2.52 | % | 5.76 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||
United States (cost $3,649,411) | ||||||||||||
Financial services (cost $3,649,411) | $ | 9,085,145 | 12.39 | % | ||||||||
Total exchange memberships | $ | 9,085,145 | 12.39 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 1,237,134 | 1.68 | % | ||||||||
Interest rate | (476,955 | ) | (0.65 | )% | ||||||||
U.S. bond | 130,375 | 0.18 | % | |||||||||
U.S. index | (1,226,851 | ) | (1.67 | )% | ||||||||
Total futures | (336,297 | ) | (0.46 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 1,113,521 | 1.52 | % | |||||||||
Total forwards | 1,113,521 | 1.52 | % | |||||||||
Options (cost $26,424,623) | ||||||||||||
Commodity futures | 1,442,372 | 1.97 | % | |||||||||
Currency futures | 3,844,021 | 5.24 | % | |||||||||
Foreign bond futures | 272,025 | 0.37 | % | |||||||||
Interest rate futures | ||||||||||||
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call | 3 | 1,073,538 | 1.46 | % | ||||||||
IMM Euro December 2022, $98.25 - $98.88 Put | 3 | 5,652,300 | 7.71 | % | ||||||||
Other interest rate futures | (252,463 | ) | (0.35 | )% | ||||||||
U.S. bond futures | 796,750 | 1.09 | % | |||||||||
U.S. index futures | 1,249,360 | 1.70 | % | |||||||||
Total options | 14,077,903 | 19.19 | % | |||||||||
Swaps | ||||||||||||
Commodity | (280,016 | ) | (0.38 | )% | ||||||||
Total swaps | (280,016 | ) | (0.38 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (16,800 | ) | (0.02 | )% | |||||||
Foreign bond | 5,234,595 | 7.13 | % | |||||||||
Foreign index | (2,318,737 | ) | (3.16 | )% | ||||||||
Interest rate | 901,827 | 1.23 | % | |||||||||
U.S. bond | 746,453 | 1.02 | % | |||||||||
U.S. index | (6,680 | ) | (0.01 | )% | ||||||||
Total futures | 4,540,658 | 6.19 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 70,145 | 0.10 | % | |||||||||
Total forwards | 70,145 | 0.10 | % | |||||||||
Options (proceeds $16,986,308) | ||||||||||||
Commodity futures | (708,089 | ) | (0.97 | )% | ||||||||
Currency futures | (722,252 | ) | (0.98 | )% | ||||||||
Foreign bond futures | (28,061 | ) | (0.04 | )% | ||||||||
Interest rate futures | ||||||||||||
IMM Euro September 2022 - December 2022, $99.50 - $99.88 Call | 3 | (1,296,569 | ) | (1.77 | )% | |||||||
IMM Euro December 2022, $98.50 - $98.63 Put | 2 | (4,705,788 | ) | (6.42 | )% | |||||||
Other interest rate futures | (24,356 | ) | (0.03 | )% | ||||||||
U.S. bond futures | (1,344,516 | ) | (1.83 | )% | ||||||||
U.S. index futures | (384,000 | ) | (0.52 | )% | ||||||||
Total options | (9,213,631 | ) | (12.56 | )% | ||||||||
Total derivative financial instruments | $ | 9,972,283 | 13.60 | % |
Description | Fair Value | Percentage of Net Assets | |||||||
Graham K4D Trading Ltd. | |||||||||
Exchange memberships (cost $1,924,208) | |||||||||
United States (cost $1,924,208) | |||||||||
Financial services (cost $1,924,208) | $ | 1,727,865 | 3.41 | % | |||||
Total exchange memberships | $ | 1,727,865 | 3.41 | % | |||||
Derivative financial instruments | |||||||||
Long contracts | |||||||||
Futures | |||||||||
Commodity | $ | 6,111,606 | 12.05 | % | |||||
Currency | (70,744 | ) | (0.14 | )% | |||||
Foreign bond | (1,394,892 | ) | (2.75 | )% | |||||
Foreign index | 516,782 | 1.02 | % | ||||||
Interest rate | (2,126 | ) | (0.00 | )% | |||||
U.S. bond | (444,578 | ) | (0.88 | )% | |||||
U.S. index | 2,296,230 | 4.53 | % | ||||||
Total futures | 7,012,278 | 13.83 | % | ||||||
Forwards | |||||||||
Foreign currency | 1,328,234 | 2.62 | % | ||||||
Total forwards | 1,328,234 | 2.62 | % |
Short contracts | ||||||||
Futures | ||||||||
Commodity | (1,456,810 | ) | (2.87 | )% | ||||
Currency | (5,907 | ) | (0.01 | )% | ||||
Foreign bond | (111 | ) | (0.00 | )% | ||||
Foreign index | (2,140,421 | ) | (4.22 | )% | ||||
Interest rate | 1,816,526 | 3.57 | % | |||||
U.S. bond | (1,031 | ) | (0.00 | )% | ||||
U.S. index | (584,485 | ) | (1.15 | )% | ||||
Total futures | (2,372,239 | ) | (4.68 | )% | ||||
Forwards | ||||||||
Foreign currency | (3,670,674 | ) | (7.24 | )% | ||||
Total forwards | (3,670,674 | ) | (7.24 | )% | ||||
Total derivative financial instruments | $ | 2,297,599 | 4.53 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,113,190 | $ | 7,152,836 | ||||
Commodity futures options | 1,442,372 | – | ||||||
Currency futures | – | 12,605 | ||||||
Exchange memberships* | 9,085,145 | 1,727,865 | ||||||
Foreign bond futures | 5,234,595 | 1,102,214 | ||||||
Foreign bond futures options | 272,025 | – | ||||||
Foreign index futures | – | 516,782 | ||||||
Interest rate futures | 901,826 | 1,821,016 | ||||||
Interest rate futures options | 9,001,768 | – | ||||||
U.S. bond futures | 1,114,625 | 11,938 | ||||||
U.S. bond future options | 796,750 | – | ||||||
U.S. index futures | 1,190,740 | 2,296,230 | ||||||
U.S. index futures options | 1,249,360 | – | ||||||
Total Level 1 | 34,402,396 | 14,641,486 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 3,203,077 | 3,484,404 | ||||||
Foreign currency options | 3,844,020 | – | ||||||
Total Level 2 | 7,047,097 | 3,484,404 | ||||||
Total investment related assets | $ | 41,449,493 | $ | 18,125,890 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (2,892,856 | ) | $ | (2,498,040 | ) | ||
Commodity futures options | (708,089 | ) | – | |||||
Currency futures | – | (89,256 | ) | |||||
Foreign bond futures | – | (2,497,217 | ) | |||||
Foreign bond futures options | (28,061 | ) | – | |||||
Foreign index futures | (2,318,737 | ) | (2,140,421 | ) | ||||
Interest rate futures | (476,954 | ) | (6,616 | ) | ||||
Interest rate futures options | (8,555,106 | ) | – | |||||
U.S. bond futures | (237,797 | ) | (457,547 | ) | ||||
U.S. bond future options | (1,344,516 | ) | – | |||||
U.S. index futures | (2,424,271 | ) | (584,485 | ) | ||||
U.S. index futures options | (384,000 | ) | – | |||||
Total Level 1 | (19,370,387 | ) | (8,273,582 | ) | ||||
Level 2: | ||||||||
Commodity swaps | (280,016 | ) | – | |||||
Foreign currency forwards | (2,019,411 | ) | (5,826,844 | ) | ||||
Foreign currency options | (722,251 | ) | – | |||||
Total Level 2 | (3,021,678 | ) | (5,826,844 | ) | ||||
Total investment related liabilities | $ | (22,392,065 | ) | $ | (14,100,426 | ) |
Long exposure | Short exposure | 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 | $ | 136,799,221 | 2,083 | $ | (22,549,868 | ) | (393 | ) | $ | 2,931,566 | $ | (983,470 | ) | $ | 160,157,100 | 2,478 | $ | (17,824,150 | ) | (294 | ) | $ | 4,113,190 | $ | (2,892,856 | ) | ||||||||||||||||||||||
Options (a) | 59,280,796 | 2,033 | (21,014,976 | ) | (2,129 | ) | 3,126,301 | (1,653,338 | ) | 51,917,266 | 2,529 | (25,606,504 | ) | (2,187 | ) | 1,442,372 | (708,089 | ) | ||||||||||||||||||||||||||||||
196,080,017 | 4,116 | (43,564,844 | ) | (2,522 | ) | 6,057,867 | (2,636,808 | ) | ||||||||||||||||||||||||||||||||||||||||
Swaps | 74,719,984 | 400,930 | - | - | - | (280,016 | ) | |||||||||||||||||||||||||||||||||||||||||
286,794,350 | 405,937 | (43,430,654 | ) | (2,481 | ) | 5,555,562 | (3,880,961 | ) | ||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 326,282,526 | 2,614 | (79,767,132 | ) | (1,232 | ) | 5,327,499 | (2,265,421 | ) | 189,776,655 | 1,808 | (142,021,171 | ) | (1,378 | ) | 1,190,740 | (4,743,008 | ) | ||||||||||||||||||||||||||||||
Options (a) | 138,545,364 | 2,913 | (52,604,982 | ) | (2,891 | ) | 5,282,980 | (2,155,695 | ) | 87,618,175 | 2,939 | (28,825,458 | ) | (2,194 | ) | 1,249,360 | (384,000 | ) | ||||||||||||||||||||||||||||||
464,827,890 | 5,527 | (132,372,114 | ) | (4,123 | ) | 10,610,479 | (4,421,116 | ) | 277,394,830 | 4,747 | (170,846,629 | ) | (3,572 | ) | 2,440,100 | (5,127,008 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,180,755,654 | N/A | (1,083,319,784 | ) | N/A | 5,594,247 | (6,971,163 | ) | 1,008,305,622 | N/A | (818,213,619 | ) | N/A | 3,203,077 | (2,019,411 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 850,261,308 | 39 | (714,257,351 | ) | (47 | ) | 9,414,502 | (1,366,933 | ) | 587,964,589 | 27 | (523,304,530 | ) | (37 | ) | 3,844,020 | (722,251 | ) | ||||||||||||||||||||||||||||||
2,031,016,962 | 39 | (1,797,577,135 | ) | (47 | ) | 15,008,749 | (8,338,096 | ) | 1,596,270,211 | 27 | (1,341,518,149 | ) | (37 | ) | 7,047,097 | (2,741,662 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,644,605,021 | 7,237 | (5,413,492,112 | ) | (30,083 | ) | 2,053,524 | (10,811,276 | ) | 2,879,608,916 | 11,873 | (6,021,325,916 | ) | (33,248 | ) | 7,251,046 | (714,751 | ) | ||||||||||||||||||||||||||||||
Options (a) | 1,567,631,108 | 31,415 | (1,797,039,738 | ) | (33,022 | ) | 9,217,185 | (7,419,638 | ) | 1,499,806,595 | 40,301 | (1,722,139,616 | ) | (41,722 | ) | 10,070,543 | (9,927,683 | ) | ||||||||||||||||||||||||||||||
3,212,236,129 | 38,652 | (7,210,531,850 | ) | (63,105 | ) | 11,270,709 | (18,230,914 | ) | 4,379,415,511 | 52,174 | (7,743,465,532 | ) | (74,970 | ) | 17,321,589 | (10,642,434 | ) | |||||||||||||||||||||||||||||||
Total | $ | 5,904,160,998 | 48,334 | $ | (9,184,045,943 | ) | (69,797 | ) | $ | 42,947,804 | $ | (33,626,934 | ) | $ | 6,539,874,902 | 462,885 | $ | (9,299,260,964 | ) | (81,060 | ) | $ | 32,364,348 | $ | (22,392,065 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 238,095,367 | 3,478 | $ | (99,318,379 | ) | (990 | ) | $ | 5,858,258 | $ | (4,572,428 | ) | $ | 229,290,080 | 3,427 | $ | (87,412,380 | ) | (780 | ) | $ | 7,152,836 | $ | (2,498,040 | ) | ||||||||||||||||||||||
238,095,367 | 3,478 | (99,318,379 | ) | (990 | ) | 5,858,258 | (4,572,428 | ) | 229,290,080 | 3,427 | (87,412,380 | ) | (780 | ) | 7,152,836 | (2,498,040 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 236,663,038 | 1,444 | (12,652,513 | ) | (144 | ) | 2,195,950 | (680,212 | ) | 253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | ||||||||||||||||||||||||||||||
253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | ||||||||||||||||||||||||||||||||||||||||
236,663,038 | 1,444 | (12,652,513 | ) | (144 | ) | 2,195,950 | (680,212 | ) | ||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 238,114,128 | N/A | (447,972,174 | ) | N/A | 7,396,514 | (5,428,434 | ) | 197,256,363 | N/A | (550,659,993 | ) | N/A | 3,484,404 | (5,826,844 | ) | ||||||||||||||||||||||||||||||||
Futures | 3,291,669 | 29 | (13,398,498 | ) | (145 | ) | 63,288 | (122,216 | ) | 6,531,283 | 66 | (8,079,620 | ) | (87 | ) | 12,605 | (89,256 | ) | ||||||||||||||||||||||||||||||
241,405,797 | 29 | (461,370,672 | ) | (145 | ) | 7,459,802 | (5,550,650 | ) | 203,787,646 | 66 | (558,739,613 | ) | (87 | ) | 3,497,009 | (5,916,100 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,631,705,573 | 7,131 | (506,139,869 | ) | (3,377 | ) | 169,972 | (3,341,489 | ) | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | ||||||||||||||||||||||||||||||
1,631,705,573 | 7,131 | (506,139,869 | ) | (3,377 | ) | 169,972 | (3,341,489 | ) | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | |||||||||||||||||||||||||||||||
Total | $ | 2,347,869,775 | 12,082 | $ | (1,079,481,433 | ) | (4,656 | ) | $ | 15,683,982 | $ | (14,144,779 | ) | $ | 2,208,277,535 | 12,444 | $ | (1,241,649,701 | ) | (4,283 | ) | $ | 16,398,025 | $ | (14,100,426 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | 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 | $ | 42,947,804 | $ | (30,593,078 | ) | $ | 12,354,726 | $ | – | $ | 12,354,726 | $ | 32,364,348 | $ | (22,112,049 | ) | $ | 10,252,299 | $ | – | $ | 10,252,299 | ||||||||||||||||||
Derivative liabilities | (33,626,934 | ) | 30,593,078 | (3,033,856 | ) | 3,033,856 | – | $ | (22,392,065 | ) | $ | 22,112,049 | $ | (280,016 | ) | $ | 280,016 | $ | – | |||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 15,683,982 | $ | (14,144,779 | ) | $ | 1,539,203 | $ | – | $ | 1,539,203 | $ | 16,398,025 | $ | (10,651,530 | ) | $ | 5,746,495 | $ | – | $ | 5,746,495 | ||||||||||||||||||
Derivative liabilities | (14,144,779 | ) | 14,144,779 | – | – | – | $ | (14,100,426 | ) | $ | 10,651,530 | $ | (3,448,896 | ) | $ | 3,448,896 | $ | – | ||||||||||||||||||||||
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (23,520 | ) | $ | (93 | ) | ||
Net realized gain on investments | 11,119,651 | 14,394,114 | ||||||
Net decrease in unrealized appreciation on investments | (8,703,090 | ) | (1,099,277 | ) | ||||
Brokerage commissions and fees | (1,353,248 | ) | (76,167 | ) | ||||
Net gain on investments | 1,063,313 | 13,218,670 | ||||||
Net income | $ | 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. | 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 | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 24,544,523 | $ | 4,591,827 | $ | 15,201,247 | $ | 2,919,023 | $ | 24,544,523 | $ | 4,591,827 | $ | 15,201,247 | $ | 2,919,023 | ||||||||||||||||
Options | 2,564,635 | 573,766 | – | – | 2,564,635 | 573,766 | – | – | ||||||||||||||||||||||||
27,109,158 | 5,165,593 | 15,201,247 | 2,919,023 | 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 | 16,579,751 | 3,174,872 | 8,639,313 | 623,449 | ||||||||||||||||||||||||
Options | 344,493 | 539,230 | – | – | 344,493 | 539,230 | – | – | ||||||||||||||||||||||||
16,924,244 | 3,714,102 | 8,639,313 | 623,449 | 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 | ) | 4,677,541 | 3,404,408 | (1,319,772 | ) | (2,632,153 | ) | ||||||||||||||||||||
Futures | – | – | (249,772 | ) | 8,936 | – | – | (249,772 | ) | 8,936 | ||||||||||||||||||||||
Options | (10,066,430 | ) | (6,034,713 | ) | – | – | (10,066,430 | ) | (6,034,713 | ) | – | – | ||||||||||||||||||||
(5,388,889 | ) | (2,630,305 | ) | (1,569,544 | ) | (2,623,217 | ) | (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 | ) | (24,630,424 | ) | (13,535,102 | ) | (7,888,024 | ) | (2,110,930 | ) | ||||||||||||||||
Options | (2,894,438 | ) | (1,819,078 | ) | – | – | (2,894,438 | ) | (1,819,078 | ) | – | – | ||||||||||||||||||||
(27,524,862 | ) | (15,354,180 | ) | (7,888,024 | ) | (2,110,930 | ) | (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 | ) | $ | 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) on investments | 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) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 27,047,849 | $ | (1,603,679 | ) | $ | 33,817,504 | $ | (10,585,872 | ) | $ | 27,047,849 | $ | (1,603,679 | ) | $ | 33,817,504 | $ | (10,585,872 | ) | ||||||||||||
Options | 1,262,773 | 1,584,082 | – | – | 1,262,773 | 1,584,082 | – | – | ||||||||||||||||||||||||
28,310,622 | (19,597 | ) | 33,817,504 | (10,585,872 | ) | 28,310,622 | (19,597 | ) | 33,817,504 | (10,585,872 | ) | |||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | 44,359,815 | 2,219,966 | 22,769,046 | (5,015,644 | ) | 44,359,815 | 2,219,966 | 22,769,046 | (5,015,644 | ) | ||||||||||||||||||||||
Options | (1,794,848 | ) | 2,232,548 | – | – | (1,794,848 | ) | 2,232,548 | – | – | ||||||||||||||||||||||
42,564,967 | 4,452,514 | 22,769,046 | (5,015,644 | ) | 42,564,967 | 4,452,514 | 22,769,046 | (5,015,644 | ) | |||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 12,925,684 | 2,022,536 | (5,233,937 | ) | 2,873,842 | 12,925,684 | 2,022,536 | (5,233,937 | ) | 2,873,842 | ||||||||||||||||||||||
Futures | – | – | (329,180 | ) | (162,772 | ) | – | – | (329,180 | ) | (162,772 | ) | ||||||||||||||||||||
Options | (5,502,775 | ) | (8,298,226 | ) | – | – | (5,502,775 | ) | (8,298,226 | ) | – | – | ||||||||||||||||||||
7,422,909 | (6,275,690 | ) | (5,563,117 | ) | 2,711,070 | 7,422,909 | (6,275,690 | ) | (5,563,117 | ) | 2,711,070 | |||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | 71,741,178 | (5,848,672 | ) | (18,906,279 | ) | (3,961,811 | ) | 71,741,178 | (5,848,672 | ) | (18,906,279 | ) | (3,961,811 | ) | ||||||||||||||||||
Options | 6,384,997 | 1,133,668 | – | – | 6,384,997 | 1,133,668 | – | – | ||||||||||||||||||||||||
78,126,175 | (4,715,004 | ) | (18,906,279 | ) | (3,961,811 | ) | 78,126,175 | (4,715,004 | ) | (18,906,279 | ) | (3,961,811 | ) | |||||||||||||||||||
Total | $ | 156,424,673 | $ | (6,557,777 | ) | $ | 32,117,154 | $ | (16,852,257 | ) | $ | 156,424,673 | $ | (6,557,777 | ) | $ | 32,117,154 | $ | (16,852,257 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Fixed income securities, at fair value (cost $15,290,650) | $ | – | $ | 15,299,973 | ||||
Due from brokers | 53,351,844 | 13,045,449 | ||||||
Derivative financial instruments, at fair value | 19,688,505 | 19,267,599 | ||||||
Exchange memberships, at fair value | 7,217,279 | 1,376,513 | ||||||
Dividends receivable | 62,120 | 8,846 | ||||||
Interest receivable | 1,123 | 379 | ||||||
Total assets | 80,320,871 | 48,998,759 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | – | 901,032 | ||||||
Interest payable | 26,417 | 2,940 | ||||||
Total liabilities | 26,417 | 903,972 | ||||||
Members’ Capital / Net Assets | $ | 80,294,454 | $ | 48,094,787 | ||||
Percentage of Master Fund held by GAIT | 2.62 | % | 9.03 | % |
Description | 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 | % | ||||||||
Total exchange memberships | $ | 7,217,279 | 8.99 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,605,184 | 4.49 | % | ||||||||
Foreign index | 86,848 | 0.11 | % | |||||||||
Interest rate | (1,593,877 | ) | (1.99 | )% | ||||||||
U.S. index | 945,270 | 1.18 | % | |||||||||
Total futures | 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 | )% | ||||||
Other foreign currency | 8,418,948 | 10.49 | % | |||||||||
Total forwards | 2,205,571 | 2.75 | % | |||||||||
Options (cost $34,126,355) | ||||||||||||
Commodity futures | 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 | % | ||||||||
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call | 22 | 7,930,615 | 9.88 | % | ||||||||
Other currency futures | 15,258,361 | 19.01 | % | |||||||||
Foreign bond futures | (474,329 | ) | (0.59 | )% | ||||||||
Interest rate futures | (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. bond February 2021 - March 2021, $168.00 - $173.00 Put | 3 | 4,750,609 | 5.92 | % | ||||||||
U.S. index futures | 156,243 | 0.19 | % | |||||||||
Total options | 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. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,747,408 | $ | 12,876,497 | ||||
Commodity futures options | 2,853,904 | – | ||||||
Currency futures | – | 98,453 | ||||||
Exchange memberships | 7,217,279 | 1,376,513 | ||||||
Foreign bond futures | – | 1,002,520 | ||||||
Foreign index futures | 784,870 | 4,009,649 | ||||||
Interest rate futures | – | 268,741 | ||||||
Interest rate futures options | 88,338 | – | ||||||
U.S. bond futures | – | 179,111 | ||||||
U.S. bond futures options | 5,364,390 | – | ||||||
U.S. index futures | 1,654,860 | 2,684,392 | ||||||
U.S. index futures options | 156,243 | – | ||||||
Total Level 1 | 22,867,292 | 22,495,876 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 16,048,079 | 2,161,662 | ||||||
Foreign currency options | 23,390,952 | – | ||||||
Government bonds* | – | 15,299,973 | ||||||
Total Level 2 | 39,439,031 | 17,461,635 | ||||||
Total investment related assets | $ | 62,306,323 | $ | 39,957,511 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (1,254,945 | ) | $ | (1,043,635 | ) | ||
Commodity futures options | (1,158,990 | ) | – | |||||
Currency futures | – | (8,646 | ) | |||||
Foreign bond futures | (231,767 | ) | (53,793 | ) | ||||
Foreign bond futures options | (474,329 | ) | – | |||||
Foreign index futures | (888,030 | ) | (122,228 | ) | ||||
Interest rate futures | (2,367,889 | ) | (94,443 | ) | ||||
Interest rate futures options | (353,350 | ) | – | |||||
U.S. bond futures | (421,000 | ) | (528,563 | ) | ||||
U.S. bond futures options | (3,740,625 | ) | – | |||||
U.S. index futures | (709,590 | ) | – | |||||
Total Level 1 | (11,600,515 | ) | (1,851,308 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (18,098,481 | ) | (3,063,150 | ) | ||||
Foreign currency options | (5,701,543 | ) | – | |||||
Total Level 2 | (23,800,024 | ) | (3,063,150 | ) | ||||
Total investment related liabilities | $ | (35,400,539 | ) | $ | (4,914,458 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
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 | ) | |||||||||||
Options (a) | 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 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 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 | – | ||||||||||||||||
284,494,769 | 7,602 | (225,071,169 | ) | (6,155 | ) | 2,595,973 | (1,597,620 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 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 | (821,185,710 | ) | (55 | ) | 23,390,952 | (5,701,543 | ) | |||||||||||||||
2,798,634,659 | 68 | (2,263,871,198 | ) | (55 | ) | 39,439,031 | (23,800,024 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 4,702,409,114 | 16,250 | (1,399,855,375 | ) | (5,972 | ) | – | (3,020,656 | ) | |||||||||||||||
Options (a) | 1,626,301,542 | 125,103 | (2,314,949,508 | ) | (28,892 | ) | 5,452,728 | (4,568,304 | ) | |||||||||||||||
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 | ) |
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 | $ | 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. | |||||||||||||||
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 | $ | 19,435,758 | $ | 15,878,062 | $ | 5,501,252 | $ | (5,799,274 | ) | |||||||
Options | (3,934,105 | ) | 2,667,719 | – | – | |||||||||||
15,501,653 | 18,545,781 | 5,501,252 | (5,799,274 | ) | ||||||||||||
Equity price | ||||||||||||||||
Futures | (23,815,601 | ) | 5,570,264 | 13,955,994 | (450,058 | ) | ||||||||||
Options | (5,489,525 | ) | 735,232 | – | – | |||||||||||
(29,305,126 | ) | 6,305,496 | 13,955,994 | (450,058 | ) | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 5,950,015 | (10,812,288 | ) | (6,358,072 | ) | (97,914 | ) | |||||||||
Futures | – | – | (263,013 | ) | (78,742 | ) | ||||||||||
Options | (14,547,330 | ) | 3,120,835 | – | – | |||||||||||
(8,597,315 | ) | (7,691,453 | ) | (6,621,085 | ) | (176,656 | ) | |||||||||
Interest rate | ||||||||||||||||
Futures | 33,545,862 | (30,711,693 | ) | 4,786,258 | (2,931,487 | ) | ||||||||||
Options | (4,349,139 | ) | (4,851,633 | ) | – | – | ||||||||||
29,196,723 | (35,563,326 | ) | 4,786,258 | (2,931,487 | ) | |||||||||||
Total | $ | 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 |
June 30, 2021 | December 31, 2020 | June 30, 2022 | December 31, 2021 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 498,221,086 | $ | 597,659,902 | $ | 480,639,815 | $ | 782,211,779 | ||||||||
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 | ||||||||||||||
Investments in fixed income securities (amortized cost $6,286,250,514 and $5,216,759,460, respectively) | 6,286,250,514 | 5,216,759,460 | ||||||||||||||
Interest receivable | 20,477,813 | 14,546,327 | 9,420,562 | 14,020,531 | ||||||||||||
Total assets | 6,050,288,256 | 5,584,299,699 | 6,776,310,891 | 6,012,991,770 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to broker | 12,833 | 13,258 | ||||||||||||||
Total liabilities | 12,833 | 13,258 | ||||||||||||||
Members’ capital | $ | 6,050,288,256 | $ | 5,584,299,699 | $ | 6,776,298,058 | $ | 6,012,978,512 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||
Net gain on investment | ||||||||||||||||||||||||||||||||
Net realized gain on investments | $ | - | $ | - | $ | - | $ | 2,283,203 | ||||||||||||||||||||||||
Net gain on investments | - | - | - | 2,283,203 | ||||||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||||||||||
Interest income | 1,127,838 | 17,917,443 | 3,574,995 | 41,184,069 | 9,277,846 | 1,127,838 | 12,187,141 | 3,574,995 | ||||||||||||||||||||||||
Total investment income | 1,127,838 | 17,917,443 | 3,574,995 | 41,184,069 | 9,277,846 | 1,127,838 | 12,187,141 | 3,574,995 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Bank fee expense | 50,692 | 67,449 | 103,106 | 133,750 | 73,884 | 50,692 | 168,443 | 103,106 | ||||||||||||||||||||||||
Total expenses | 50,692 | 67,449 | 103,106 | 133,750 | 73,884 | 50,692 | 168,443 | 103,106 | ||||||||||||||||||||||||
Net investment income | 1,077,146 | 17,849,994 | 3,471,889 | 41,050,319 | 9,203,962 | 1,077,146 | 12,018,698 | 3,471,889 | ||||||||||||||||||||||||
Net income | $ | 1,077,146 | $ | 17,849,994 | $ | 3,471,889 | $ | 43,333,522 | $ | 9,203,962 | $ | 1,077,146 | $ | 12,018,698 | $ | 3,471,889 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $5,531,589,357) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $5,531,589,357) | ||||||||||||
U.S. Treasury bonds 1.13% due 7/31/2021 | $ | 350,000,000 | $ | 350,309,070 | 5.79 | % | ||||||
U.S. Treasury bonds 1.50% due 8/31/2021 | 350,000,000 | 350,838,457 | 5.80 | % | ||||||||
U.S. Treasury bonds 1.50% due 9/30/2021 | 350,000,000 | 351,247,400 | 5.81 | % | ||||||||
U.S. Treasury bonds 1.50% due 11/30/2021 | 400,000,000 | 402,405,630 | 6.65 | % | ||||||||
U.S. Treasury bonds 2.00% due 12/31/2021 | 400,000,000 | 403,871,280 | 6.68 | % | ||||||||
U.S. Treasury bonds 2.88% due 10/15/2021 | 300,000,000 | 302,437,183 | 5.00 | % | ||||||||
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 | 5,531,589,357 | 91.43 | % | |||||||||
Total United States | 5,531,589,357 | 91.43 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 5,531,589,357 | 91.43 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $6,286,250,514) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $5,911,478,293) | ||||||||||||
U.S. Treasury bonds 0.13% - 1.88% due 7/15/2022 – 12/31/2023 | $ | 5,950,000,000 | $ | 5,911,478,293 | 87.24% | |||||||
Total Government Bonds | 5,911,478,293 | 87.24% | ||||||||||
Treasury Bills (amortized cost $374,772,221) | ||||||||||||
U.S. Treasury bill 0.00% due 7/07/2022 – 8/25/2022 | 375,000,000 | 374,772,221 | 5.53% | |||||||||
Total Treasury Bills | 374,772,221 | 5.53% | ||||||||||
Total United States | 6,286,250,514 | 92.77% | ||||||||||
Total Investments in Fixed Income Securities | $ | 6,286,250,514 | 92.77% |
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 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $5,216,759,460) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $4,816,763,885) | ||||||||||||
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023 | $ | 4,800,000,000 | $ | 4,816,763,885 | 80.11% | |||||||
Total Government Bonds | 4,816,763,885 | 80.11% | ||||||||||
Treasury Bills (amortized cost $399,995,575) | ||||||||||||
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022 | 400,000,000 | 399,995,575 | 6.65% | |||||||||
Total Treasury Bills | 399,995,575 | 6.65% | ||||||||||
Total United States | 5,216,759,460 | 86.76% | ||||||||||
Total Investments in Fixed Income Securities | $ | 5,216,759,460 | 86.76% |
June 30, 2021 | December 31, 2020 | June 30, 2022 | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 5,531,589,357 | $ | 3,372,351,436 | $ | 5,911,478,293 | $ | 4,816,763,885 | ||||||||
Treasury bills | - | 1,599,742,034 | 374,772,221 | 399,995,575 | ||||||||||||
Total fixed income securities | 5,531,589,357 | 4,972,093,470 | 6,286,250,514 | 5,216,759,460 | ||||||||||||
Total Level 2 | 5,531,589,357 | 4,972,093,470 | 6,286,250,514 | 5,216,759,460 | ||||||||||||
Total assets | $ | 5,531,589,357 | $ | 4,972,093,470 | $ | 6,286,250,514 | $ | 5,216,759,460 |
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, 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 | $ | 181.44 | $ | 130.05 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.80 | ) | (1.54 | ) | (1.80 | ) | (1.54 | ) | ||||||||
Net gain on investments | 3.80 | 2.77 | 3.80 | 2.77 | ||||||||||||
Net income | 2.00 | 1.23 | 2.00 | 1.23 | ||||||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 | $ | 183.44 | $ | 131.28 | ||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (5.66 | ) | (4.19 | ) | ||||||||||||
Net gain on investments | 22.87 | 16.22 | ||||||||||||||
Net income | 17.21 | 12.03 | ||||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 1.38 | % | 0.18 | % | 1.22 | % | (0.01 | )% | 10.84 | % | 1.38 | % | 10.52 | % | 1.22 | % | |||||||||||||||||
Incentive Allocation | (0.28 | ) | (0.04 | ) | (0.27 | ) | 0.00 | (2.28 | ) | (0.28 | ) | (2.11 | ) | (0.27 | ) | ||||||||||||||||||
Total return after Incentive Allocation | 1.10 | % | 0.14 | % | 0.95 | % | (0.01 | )% | 8.56 | % | 1.10 | % | 8.41 | % | 0.95 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (0.70 | )% | (0.30 | )% | (0.90 | )% | (0.49 | )% | (0.61 | )% | (0.70 | )% | (0.79 | )% | (0.90 | )% | |||||||||||||||||
Incentive Allocation | (0.28 | ) | (0.04 | ) | (0.27 | ) | 0.00 | (2.09 | ) | (0.28 | ) | (2.01 | ) | (0.27 | ) | ||||||||||||||||||
Net investment loss after Incentive Allocation | (0.98 | )% | (0.34 | )% | (1.17 | )% | (0.49 | )% | (2.70 | )% | (0.98 | )% | (2.80 | )% | (1.17 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.64 | % | 0.91 | % | 0.83 | % | 0.74 | % | 0.72 | % | 0.92 | % | 0.91 | % | |||||||||||||||||
Incentive Allocation | 0.28 | 0.04 | 0.27 | 0.00 | 2.09 | 0.28 | 2.01 | 0.27 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.00 | % | 0.68 | % | 1.18 | % | 0.83 | % | 2.83 | % | 1.00 | % | 2.93 | % | 1.18 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||
Net income: | ||||||||
Net investment loss | (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 | ||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (11.20 | ) | (8.23 | ) | ||||
Net gain on investments | 52.89 | 37.60 | ||||||
Net income | 41.69 | 29.37 | ||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 |
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 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 7.55 | % | 5.40 | % | 7.23 | % | 5.01 | % | 28.88 | % | 7.55 | % | 28.10 | % | 7.23 | % | |||||||||||||||||
Incentive Allocation | (1.55 | ) | (0.47 | ) | (1.56 | ) | 0.00 | (5.23 | ) | (1.55 | ) | (4.73 | ) | (1.56 | ) | ||||||||||||||||||
Total return after Incentive Allocation | 6.00 | % | 4.93 | % | 5.67 | % | 5.01 | % | 23.65 | % | 6.00 | % | 23.37 | % | 5.67 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (1.27 | )% | (0.55 | )% | (1.65 | )% | (0.93 | )% | (1.24 | )% | (1.27 | )% | (1.61 | )% | (1.65 | )% | |||||||||||||||||
Incentive Allocation | (1.46 | ) | (0.47 | ) | (1.43 | ) | 0.00 | (4.39 | ) | (1.46 | ) | (4.18 | ) | (1.43 | ) | ||||||||||||||||||
Net investment loss after Incentive Allocation | (2.73 | )% | (1.02 | )% | (3.08 | )% | (0.93 | )% | (5.63 | )% | (2.73 | )% | (5.79 | )% | (3.08 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 1.32 | % | 1.28 | % | 1.71 | % | 1.66 | % | 1.41 | % | 1.32 | % | 1.78 | % | 1.71 | % | |||||||||||||||||
Incentive Allocation | 1.46 | 0.47 | 1.43 | 0.00 | 4.39 | 1.46 | 4.18 | 1.43 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 2.78 | % | 1.75 | % | 3.14 | % | 1.66 | % | 5.80 | % | 2.78 | % | 5.96 | % | 3.14 | % |
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(a) |
(i) | Results of Operations |
Agriculture / Softs | $ | (184,332 | ) | |
Base Metals | (8,417 | ) | ||
Energy | 396,493 | |||
Equities | 405,363 | |||
Foreign Exchange | 1,316,555 | |||
Long Term / Intermediate Rates | 1,367,628 | |||
Precious Metals | (215,596 | ) | ||
Short Term Rates | 133,145 | |||
$ | 3,210,839 |
Agriculture / Softs | $ | 72,223 | ||
Base Metals | 112,908 | |||
Commodity Mix | (63,403 | ) | ||
Energy | 2,020,102 | |||
Equities | 947,271 | |||
Foreign Exchange | 1,811,472 | |||
Long Term / Intermediate Rates | 2,202,447 | |||
Precious Metals | (159,098 | ) | ||
Short Term Rates | 574,804 | |||
$ | 7,518,726 |
Agriculture / Softs | 11.6 | % | ||
Base Metals | 3.7 | % | ||
Energy | 71.8 | % | ||
Equities | 59.9 | % | ||
Foreign Exchange | 43.4 | % | ||
Long Term / Intermediate Rates | 136.1 | % | ||
Precious Metals | (17.4 | )% | ||
Short Term Rates | (209.1 | )% | ||
100.0 | % |
Agriculture / Softs | $ | 467,878 | ||
Base Metals | 197,499 | |||
Energy | 651,314 | |||
Equities | 758,761 | |||
Foreign Exchange | (319,032 | ) | ||
Long Term / Intermediate Rates | (1,165,956 | ) | ||
Precious Metals | 15,608 | |||
Short Term Rates | 87,859 | |||
Weather | (17,667 | ) | ||
$ | 676,264 |
Agriculture / Softs | $ | 580,375 | ||
Base Metals | 364,732 | |||
Energy | 671,131 | |||
Equities | 1,476,560 | |||
Foreign Exchange | (144,004 | ) | ||
Long Term / Intermediate Rates | (289,391 | ) | ||
Precious Metals | (166,653 | ) | ||
Short Term Rates | 143,514 | |||
Weather | (28,930 | ) | ||
$ | 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 |
Portfolio | |||||
June 30, 2022 | % | ||||
December 31, 2021 | % | ||||
June 30, 2021 | % |
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
Item 4. | Controls and Procedures |
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 | ||
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 |
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, 2022 | 2,911. | 409 | $ 212. | 41 | N/A | N/A | |||||||||||||
May 1 – May 31, 2022 | 907. | 226 | $ 211. | 44 | N/A | N/A | |||||||||||||
June 1 – June 30, 2022 | 784. | 430 | $ 217. | 96 | N/A | N/A | |||||||||||||
TOTAL | 4,603. | 065 | $ 213. | 17 | 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 dated March 28, 2013 | |
*** 3.2 (b) | Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022 |
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) | |
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) | |
Inline XBRL Taxonomy Extension Schema Document | |
Inline XBRL Taxonomy Extension Calculation Linkbase Document | |
Inline XBRL Taxonomy Extension Definition Linkbase Document | |
Inline XBRL Taxonomy Extension Label Linkbase Document | |
XBRL Taxonomy Extension Presentation Linkbase Document | |
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 |
*** | Incorporated by reference to the Fund’s Form 8-K previously filed on May 10, 2022 |
† | Filed herewith |
Dated: August | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager |
By: /s/ Brian Douglas |
Brian Douglas, Principal Executive Officer | ||
By: /s/ George Schrade |
George Schrade, Principal Financial Officer |