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 Core Macro Portfolio | ||||
1 | ||||
2 | ||||
3 | ||||
5 | ||||
6 | ||||
Graham Alternative Investment Trading LLC | ||||
14 | ||||
15 | ||||
16 | ||||
17 | ||||
19 | ||||
20 | ||||
Item 2. | ||||
Item 3. | ||||
Item 4. |
74 | |||
Certification | |||
Certification | |||
Certification |
Item 1. | Financial Statements |
March 31, 2022 (Unaudited) | December 31, 2021 (Audited) | September 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,307,131 | $ | 25,597,490 | $ | 30,835,947 | $ | 25,597,490 | ||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 89,018 | 253,800 | 192,542 | 253,800 | ||||||||||||
Total assets | $ | 28,396,149 | $ | 25,851,290 | $ | 31,028,489 | $ | 25,851,290 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Redemptions payable | $ | 89,018 | $ | 253,800 | $ | 192,542 | $ | 253,800 | ||||||||
Total liabilities | 89,018 | 253,800 | 192,542 | 253,800 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (80,772.984 and 83,586.118 units issued and outstanding at $200.75 and $176.27, respectively) | 16,214,908 | 14,734,016 | ||||||||||||||
Class 2 Units (84,548.290 and 86,438.110 units issued and outstanding at $143.02 and $125.68, respectively) | 12,092,223 | 10,863,474 | ||||||||||||||
Class 0 Units (74,302.875 and 83,586.118 units issued and outstanding at $230.05 and $176.27, respectively) | 17,093,292 | 14,734,016 | ||||||||||||||
Class 2 Units (84,104.636 and 86,438.110 units issued and outstanding at $163.40 and $125.68, respectively) | 13,742,655 | 10,863,474 | ||||||||||||||
Total members’ capital | 28,307,131 | 25,597,490 | 30,835,947 | 25,597,490 | ||||||||||||
Total liabilities and members’ capital | $ | 28,396,149 | $ | 25,851,290 | $ | 31,028,489 | $ | 25,851,290 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net realized gain on investment | $ | 3,653,943 | $ | 2,483,792 | ||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net realized gain (loss) on investment | $ | 1,688,287 | $ | (392,273 | ) | $ | 9,662,473 | $ | 2,829,475 | |||||||||||||||
Net increase (decrease) in unrealized appreciation on investment | 653,944 | (552,722 | ) | 514,066 | 19,448 | 58,606 | (594,966 | ) | ||||||||||||||||
Brokerage commissions and fees | (22,817 | ) | (18,330 | ) | (23,577 | ) | (21,069 | ) | (76,233 | ) | (61,931 | ) | ||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 4,285,070 | 1,912,740 | ||||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 2,178,776 | (393,894 | ) | 9,644,846 | 2,172,578 | |||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest income | 9,666 | 10,862 | 79,089 | 3,628 | 126,269 | 19,097 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Incentive allocation | 602,005 | 345,626 | 403,269 | - | 1,601,623 | 429,807 | ||||||||||||||||||
Advisory fees | 103,018 | 109,921 | 114,120 | 103,921 | 329,994 | 327,523 | ||||||||||||||||||
Sponsor fees | 56,223 | 58,823 | 63,264 | 55,505 | 181,596 | 174,936 | ||||||||||||||||||
Professional fees | 32,128 | 17,789 | 49,243 | 64,075 | 130,696 | 133,698 | ||||||||||||||||||
Administrator’s fee | 8,741 | 9,312 | 9,558 | 8,847 | 27,661 | 27,795 | ||||||||||||||||||
Interest expense | 1,603 | 1,694 | 1,587 | 1,666 | 4,771 | 5,041 | ||||||||||||||||||
Operating expenses | 5,351 | – | 6,889 | – | ||||||||||||||||||||
Total expenses | 803,718 | 543,165 | 646,392 | 234,014 | 2,283,230 | 1,098,800 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (794,052 | ) | (532,303 | ) | (567,303 | ) | (230,386 | ) | (2,156,961 | ) | (1,079,703 | ) | ||||||||||||
Net income | $ | 3,491,018 | $ | 1,380,437 | ||||||||||||||||||||
Net income (loss) | $ | 1,611,473 | $ | (624,280 | ) | $ | 7,487,885 | $ | 1,092,875 |
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 |
Class 0 Units | Class 2 Units | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | Units | Capital | Units | Capital | Total Members’ Capital | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | 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 | ) | (2,813.134 | ) | (531,377 | ) | (1,889.820 | ) | (250,000 | ) | (781,377 | ) | ||||||||||||||||||||
Net income | – | 2,012,269 | – | 1,478,749 | 3,491,018 | – | 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 | 80,772.984 | 16,214,908 | 84,548.290 | 12,092,223 | 28,307,131 | |||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||
Redemptions | (4,603.065 | ) | (981,222 | ) | – | – | (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 | |||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||
Redemptions | (1,867.044 | ) | (417,324 | ) | (443.654 | ) | (69,505 | ) | (486,829 | ) | ||||||||||||||||||||||||||||||
Net income | – | 908,525 | – | 702,948 | 1,611,473 | |||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2022 | 74,302.875 | $ | 17,093,292 | 84,104.636 | $ | 13,742,655 | $ | 30,835,947 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | �� | Total Members’ Capital | |||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (2,263.401 | ) | (397,412 | ) | (1,333.018 | ) | (171,605 | ) | (569,017 | ) | ||||||||||
Net income | – | 832,203 | – | 548,234 | 1,380,437 | |||||||||||||||
Members’ capital, March 31, 2021 | 98,617.932 | 17,893,287 | 93,140.816 | 12,112,949 | 30,006,236 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
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 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (3,450.331 | ) | (615,063 | ) | – | – | (615,063 | ) | ||||||||||||
Net loss | – | (364,817 | ) | – | (259,463 | ) | (624,280 | ) | ||||||||||||
Members’ capital, September 30, 2021 | 90,019.092 | $ | 16,165,772 | 86,438.110 | $ | 11,088,331 | $ | 27,254,103 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income | $ | 3,491,018 | $ | 1,380,437 | $ | 7,487,885 | $ | 1,092,875 | ||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (3,491,018 | ) | (1,380,437 | ) | (7,487,885 | ) | (1,092,875 | ) | ||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 946,159 | 713,381 | 2,310,686 | 3,266,677 | ||||||||||||
Net cash provided by operating activities | 946,159 | 713,381 | 2,310,686 | 3,266,677 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 0 | 0 | – | – | ||||||||||||
Redemptions (net of redemptions payable) | (946,159 | ) | (713,381 | ) | (2,310,686 | ) | (3,266,677 | ) | ||||||||
Net cash used in financing activities | (946,159 | ) | (713,381 | ) | (2,310,686 | ) | (3,266,677 | ) | ||||||||
Net change in cash and cash equivalents | 0 | 0 | – | – | ||||||||||||
Cash and cash equivalents, beginning of period | 0 | 0 | – | – | ||||||||||||
Cash and cash equivalents, end of period | $ | 0 | $ | 0 | $ | – | $ | – |
• | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
• | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. |
• | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class 0 | Class 2 |
0.50% | 1.25% |
September 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||
Assets | ||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 30,835,947 | $ | 25,597,490 | ||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 192,542 | 253,800 | ||||||
Total assets | $ | 31,028,489 | $ | 25,851,290 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 192,542 | $ | 253,800 | ||||
Total liabilities | 192,542 | 253,800 | ||||||
Members’ capital: | ||||||||
Class 0 Units (74,302.875 and 83,586.118 units issued and outstanding at $230.05 and $176.27, respectively) | 17,093,292 | 14,734,016 | ||||||
Class 2 Units (84,104.636 and 86,438.110 units issued and outstanding at $163.40 and $125.68, respectively) | 13,742,655 | 10,863,474 | ||||||
Total members’ capital | 30,835,947 | 25,597,490 | ||||||
Total liabilities and members’ capital | $ | 31,028,489 | $ | 25,851,290 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain (loss) on investment | $ | 1,688,287 | $ | (392,273 | ) | $ | 9,662,473 | $ | 2,829,475 | |||||||
Net increase (decrease) in unrealized appreciation on investment | 514,066 | 19,448 | 58,606 | (594,966 | ) | |||||||||||
Brokerage commissions and fees | (23,577 | ) | (21,069 | ) | (76,233 | ) | (61,931 | ) | ||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 2,178,776 | (393,894 | ) | 9,644,846 | 2,172,578 | |||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 79,089 | 3,628 | 126,269 | 19,097 | ||||||||||||
Expenses: | ||||||||||||||||
Incentive allocation | 403,269 | - | 1,601,623 | 429,807 | ||||||||||||
Advisory fees | 114,120 | 103,921 | 329,994 | 327,523 | ||||||||||||
Sponsor fees | 63,264 | 55,505 | 181,596 | 174,936 | ||||||||||||
Professional fees | 49,243 | 64,075 | 130,696 | 133,698 | ||||||||||||
Administrator’s fee | 9,558 | 8,847 | 27,661 | 27,795 | ||||||||||||
Interest expense | 1,587 | 1,666 | 4,771 | 5,041 | ||||||||||||
Operating expenses | 5,351 | – | 6,889 | – | ||||||||||||
Total expenses | 646,392 | 234,014 | 2,283,230 | 1,098,800 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (567,303 | ) | (230,386 | ) | (2,156,961 | ) | (1,079,703 | ) | ||||||||
Net income (loss) | $ | 1,611,473 | $ | (624,280 | ) | $ | 7,487,885 | $ | 1,092,875 |
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 | – | – | – | – | – | |||||||||||||||
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 | – | – | – | – | – | |||||||||||||||
Redemptions | (4,603.065 | ) | (981,222 | ) | – | – | (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 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (1,867.044 | ) | (417,324 | ) | (443.654 | ) | (69,505 | ) | (486,829 | ) | ||||||||||
Net income | – | 908,525 | – | 702,948 | 1,611,473 | |||||||||||||||
Members’ capital, September 30, 2022 | 74,302.875 | $ | 17,093,292 | 84,104.636 | $ | 13,742,655 | $ | 30,835,947 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | �� | Total Members’ Capital | |||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (2,263.401 | ) | (397,412 | ) | (1,333.018 | ) | (171,605 | ) | (569,017 | ) | ||||||||||
Net income | – | 832,203 | – | 548,234 | 1,380,437 | |||||||||||||||
Members’ capital, March 31, 2021 | 98,617.932 | 17,893,287 | 93,140.816 | 12,112,949 | 30,006,236 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
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 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (3,450.331 | ) | (615,063 | ) | – | – | (615,063 | ) | ||||||||||||
Net loss | – | (364,817 | ) | – | (259,463 | ) | (624,280 | ) | ||||||||||||
Members’ capital, September 30, 2021 | 90,019.092 | $ | 16,165,772 | 86,438.110 | $ | 11,088,331 | $ | 27,254,103 |
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 7,487,885 | $ | 1,092,875 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (7,487,885 | ) | (1,092,875 | ) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,310,686 | 3,266,677 | ||||||
Net cash provided by operating activities | 2,310,686 | 3,266,677 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (2,310,686 | ) | (3,266,677 | ) | ||||
Net cash used in financing activities | (2,310,686 | ) | (3,266,677 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
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 | (3.08 | ) | (2.40 | ) | ||||
Net gain on investments | 11.46 | 8.22 | ||||||
Net income | 8.38 | 5.82 | ||||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 | ||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (5.51 | ) | (4.03 | ) | ||||
Net gain on investments | 29.99 | 21.37 | ||||||
Net income | 24.48 | 17.34 | ||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 |
Class 0 | Class 2 | ||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||
Total return before Incentive Allocation | 16.37 | % | 6.07 | % | 16.14 | % | 5.87 | % | |||||||||
Incentive Allocation | (2.49 | ) | (1.23 | ) | (2.34 | ) | (1.18 | ) | |||||||||
Total return after Incentive Allocation | 13.88 | % | 4.84 | % | 13.80 | % | 4.69 | % | |||||||||
Net investment loss before Incentive Allocation | (0.64 | )% | (0.56 | )% | (0.83 | )% | (0.75 | )% | |||||||||
Incentive Allocation | (2.29 | ) | (1.19 | ) | (2.18 | ) | (1.16 | ) | |||||||||
Net investment loss after Incentive Allocation | (2.93 | )% | (1.75 | )% | (3.01 | )% | (1.91 | )% | |||||||||
Total expenses before Incentive Allocation | 0.67 | % | 0.60 | % | 0.86 | % | 0.79 | % | |||||||||
Incentive Allocation | 2.29 | 1.19 | 2.18 | 1.16 | |||||||||||||
Total expenses after Incentive Allocation | 2.96 | % | 1.79 | % | 3.04 | % | 1.95 | % |
• | 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. |
March 31, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 4,202,960 | $ | 4,769,945 | ||||
Investment in Graham Cash Assets LLC, at fair value | 59,659,939 | 51,121,197 | ||||||
Receivable from Master Funds | 130 | 44 | ||||||
Total assets | $ | 63,863,029 | $ | 55,891,186 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 1,369,661 | $ | 263,800 | ||||
Accrued professional fees | 115,381 | 114,472 | ||||||
Accrued advisory fees | 78,756 | 68,959 | ||||||
Accrued sponsor fees | 41,662 | 36,436 | ||||||
Accrued administrator’s fee | 6,810 | 6,154 | ||||||
Payable to Master Funds | 87 | 825 | ||||||
Total liabilities | 1,612,357 | 490,646 | ||||||
Members’ capital: | ||||||||
Class 0 Units (182,719.940 and 185,533.074 units issued and outstanding at $200.75 and $176.27 per unit, respectively) | 36,680,433 | 32,704,572 | ||||||
Class 2 Units (165,367.572 and 167,534.772 units issued and outstanding at $143.02 and $125.68 per unit, respectively) | 23,651,092 | 21,055,621 | ||||||
Class M Units (4,671.470 units issued and outstanding at $410.82 and $351.14 per unit, respectively) | 1,919,147 | 1,640,347 | ||||||
Total members’ capital | 62,250,672 | 55,400,540 | ||||||
Total liabilities and members’ capital | $ | 63,863,029 | $ | 55,891,186 |
September 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||
Assets | ||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 30,835,947 | $ | 25,597,490 | ||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 192,542 | 253,800 | ||||||
Total assets | $ | 31,028,489 | $ | 25,851,290 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 192,542 | $ | 253,800 | ||||
Total liabilities | 192,542 | 253,800 | ||||||
Members’ capital: | ||||||||
Class 0 Units (74,302.875 and 83,586.118 units issued and outstanding at $230.05 and $176.27, respectively) | 17,093,292 | 14,734,016 | ||||||
Class 2 Units (84,104.636 and 86,438.110 units issued and outstanding at $163.40 and $125.68, respectively) | 13,742,655 | 10,863,474 | ||||||
Total members’ capital | 30,835,947 | 25,597,490 | ||||||
Total liabilities and members’ capital | $ | 31,028,489 | $ | 25,851,290 |
March 31, 2022 (Unaudited) | December 31, 2021 (Audited) | ||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | |||||||||||||
Investments in Master Funds, at fair value | |||||||||||||||||
Graham Commodity Strategies LLC | $ | 1,884,352 | 3.03 | % | $ | 1,849,637 | 3.34 | % | |||||||||
Graham Derivatives Strategies LLC | 489,851 | 0.79 | % | – | 0.00 | % | |||||||||||
Graham K4D Trading Ltd. | 1,828,757 | 2.93 | % | 2,920,308 | 5.27 | % | |||||||||||
Total investments in Master Funds | $ | 4,202,960 | 6.75 | % | $ | 4,769,945 | 8.61 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain (loss) on investment | $ | 1,688,287 | $ | (392,273 | ) | $ | 9,662,473 | $ | 2,829,475 | |||||||
Net increase (decrease) in unrealized appreciation on investment | 514,066 | 19,448 | 58,606 | (594,966 | ) | |||||||||||
Brokerage commissions and fees | (23,577 | ) | (21,069 | ) | (76,233 | ) | (61,931 | ) | ||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 2,178,776 | (393,894 | ) | 9,644,846 | 2,172,578 | |||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 79,089 | 3,628 | 126,269 | 19,097 | ||||||||||||
Expenses: | ||||||||||||||||
Incentive allocation | 403,269 | - | 1,601,623 | 429,807 | ||||||||||||
Advisory fees | 114,120 | 103,921 | 329,994 | 327,523 | ||||||||||||
Sponsor fees | 63,264 | 55,505 | 181,596 | 174,936 | ||||||||||||
Professional fees | 49,243 | 64,075 | 130,696 | 133,698 | ||||||||||||
Administrator’s fee | 9,558 | 8,847 | 27,661 | 27,795 | ||||||||||||
Interest expense | 1,587 | 1,666 | 4,771 | 5,041 | ||||||||||||
Operating expenses | 5,351 | – | 6,889 | – | ||||||||||||
Total expenses | 646,392 | 234,014 | 2,283,230 | 1,098,800 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (567,303 | ) | (230,386 | ) | (2,156,961 | ) | (1,079,703 | ) | ||||||||
Net income (loss) | $ | 1,611,473 | $ | (624,280 | ) | $ | 7,487,885 | $ | 1,092,875 |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Net gain allocated from investments in Master Funds: | ||||||||
Net realized gain on investments | $ | 7,981,451 | $ | 5,095,467 | ||||
Net increase (decrease) in unrealized appreciation on investments | 1,422,516 | (1,122,610 | ) | |||||
Brokerage commissions and fees | (49,856 | ) | (37,646 | ) | ||||
Net gain allocated from investments in Master Funds | 9,354,111 | 3,935,211 | ||||||
Net investment (loss) allocated from investments in Master Funds | (3,806 | ) | (237 | ) | ||||
Investment income: | ||||||||
Interest income | 24,812 | 22,358 | ||||||
Total investment income | 24,812 | 22,358 | ||||||
Expenses: | ||||||||
Advisory fees | 218,151 | 219,830 | ||||||
Sponsor fees | 115,406 | 116,640 | ||||||
Professional fees | 69,385 | 36,351 | ||||||
Administrator’s fee | 19,083 | 19,124 | ||||||
Interest expense | 3,500 | 3,479 | ||||||
Total expenses | 425,525 | 395,424 | ||||||
Net investment loss of the Fund | (400,713 | ) | (373,066 | ) | ||||
Net income | 8,949,592 | 3,561,908 | ||||||
Incentive allocation | (1,280,643 | ) | (692,262 | ) | ||||
Net income available for pro-rata allocation to all members | $ | 7,668,949 | $ | 2,869,646 |
Class 0 | Class 2 | Class M | Total | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Total Members’ 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 | |||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||
Redemptions | (3,043.519 | ) | (538,957 | ) | (3,178.647 | ) | (411,629 | ) | – | (692,262 | ) | (1,642,848 | ) | (2,813.134 | ) | (531,377 | ) | (1,889.820 | ) | (250,000 | ) | (781,377 | ) | |||||||||||||||||||||||||
Incentive allocation | – | (424,238 | ) | – | (268,024 | ) | – | 692,262 | – | |||||||||||||||||||||||||||||||||||||||
Net income | – | 2,119,121 | – | 1,340,122 | – | 102,665 | 3,561,908 | – | 2,012,269 | – | 1,478,749 | 3,491,018 | ||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2022 | 80,772.984 | 16,214,908 | 84,548.290 | 12,092,223 | 28,307,131 | |||||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||
Redemptions | (4,603.065 | ) | (981,222 | ) | – | – | (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 | |||||||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||
Redemptions | (1,867.044 | ) | (417,324 | ) | (443.654 | ) | (69,505 | ) | (486,829 | ) | ||||||||||||||||||||||||||||||||||||||
Net income | – | 908,525 | – | 702,948 | 1,611,473 | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2022 | 74,302.875 | $ | 17,093,292 | 84,104.636 | $ | 13,742,655 | $ | 30,835,947 |
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 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | �� | Total Members’ Capital | |||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (2,263.401 | ) | (397,412 | ) | (1,333.018 | ) | (171,605 | ) | (569,017 | ) | ||||||||||
Net income | – | 832,203 | – | 548,234 | 1,380,437 | |||||||||||||||
Members’ capital, March 31, 2021 | 98,617.932 | 17,893,287 | 93,140.816 | 12,112,949 | 30,006,236 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
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 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (3,450.331 | ) | (615,063 | ) | – | – | (615,063 | ) | ||||||||||||
Net loss | – | (364,817 | ) | – | (259,463 | ) | (624,280 | ) | ||||||||||||
Members’ capital, September 30, 2021 | 90,019.092 | $ | 16,165,772 | 86,438.110 | $ | 11,088,331 | $ | 27,254,103 |
Three Months Ended March 31, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 8,949,592 | $ | 3,561,908 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (9,350,305 | ) | (3,934,974 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (24,812 | ) | (22,358 | ) | ||||
Proceeds from sale of investments in Master Funds | 21,067,184 | 20,606,296 | ||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 6,508,136 | 11,764,515 | ||||||
Purchases of investments in Master Funds | (11,150,718 | ) | (16,059,612 | ) | ||||
Purchases of investment in Graham Cash Assets LLC | (15,022,066 | ) | (14,691,025 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase in accrued professional fees | 909 | 7,918 | ||||||
Increase in accrued advisory fees | 9,797 | 3,039 | ||||||
Increase in accrued sponsor fees | 5,226 | 1,548 | ||||||
Increase in accrued administrator’s fee | 656 | 108 | ||||||
Net cash provided by operating activities | 993,599 | 1,237,363 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (993,599 | ) | (1,237,363 | ) | ||||
Net cash used in financing activities | (993,599 | ) | (1,237,363 | ) | ||||
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 | $ | 3,500 | $ | 3,479 |
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 7,487,885 | $ | 1,092,875 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (7,487,885 | ) | (1,092,875 | ) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 2,310,686 | 3,266,677 | ||||||
Net cash provided by operating activities | 2,310,686 | 3,266,677 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (2,310,686 | ) | (3,266,677 | ) | ||||
Net cash used in financing activities | (2,310,686 | ) | (3,266,677 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
• | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
• | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. |
• | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 | ||||
Net loss: | ||||||||
Net investment loss | (1.37 | ) | (1.21 | ) | ||||
Net loss on investments | (2.49 | ) | (1.79 | ) | ||||
Net loss | (3.86 | ) | (3.00 | ) | ||||
Net asset value per Unit, September 30, 2021 | $ | 179.58 | $ | 128.28 | ||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||
Net income: | ||||||||
Net investment loss | (4.05 | ) | (3.11 | ) | ||||
Net gain on investments | 16.14 | 11.46 | ||||||
Net income | 12.09 | 8.35 | ||||||
Net asset value per Unit, September 30, 2022 | $ | 230.05 | $ | 163.40 |
Class 0 | Class 2 | ||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||
Total return before Incentive Allocation | 6.95 | % | (2.10 | )% | 6.73 | % | (2.29 | )% | |||||||||
Incentive Allocation | (1.40 | ) | 0.00 | (1.34 | ) | 0.00 | |||||||||||
Total return after Incentive Allocation | 5.55 | % | (2.10 | )% | 5.39 | % | (2.29 | )% | |||||||||
Net investment loss before Incentive Allocation | (0.47 | )% | (0.76 | )% | (0.66 | )% | (0.95 | )% | |||||||||
Incentive Allocation | (1.37 | ) | 0.00 | (1.33 | ) | 0.00 | |||||||||||
Net investment loss after Incentive Allocation | (1.84 | )% | (0.76 | )% | (1.99 | )% | (0.95 | )% | |||||||||
Total expenses before Incentive Allocation | 0.73 | % | 0.78 | % | 0.92 | % | 0.96 | % | |||||||||
Incentive Allocation | 1.37 | 0.00 | 1.33 | 0.00 | |||||||||||||
Total expenses after Incentive Allocation | 2.10 | % | 0.78 | % | 2.25 | % | 0.96 | % |
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 | (6.34 | ) | (5.23 | ) | ||||
Net gain on investments | 12.86 | 9.28 | ||||||
Net income | 6.52 | 4.05 | ||||||
Net asset value per Unit, September 30, 2021 | $ | 179.58 | $ | 128.28 | ||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (15.28 | ) | (11.34 | ) | ||||
Net gain on investments | 69.06 | 49.06 | ||||||
Net income | 53.78 | 37.72 | ||||||
Net asset value per Unit, September 30, 2022 | $ | 230.05 | $ | 163.40 |
Class 0 | Class 2 | ||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||
Total return before Incentive Allocation | 37.56 | % | 5.43 | % | 36.43 | % | 4.85 | % | |||||||||
Incentive Allocation | (7.05 | ) | (1.66 | ) | (6.42 | ) | (1.59 | ) | |||||||||
Total return after Incentive Allocation | 30.51 | % | 3.77 | % | 30.01 | % | 3.26 | % | |||||||||
Net investment loss before Incentive Allocation | (1.71 | )% | (2.03 | )% | (2.27 | )% | (2.60 | )% | |||||||||
Incentive Allocation | (5.74 | ) | (1.51 | ) | (5.48 | ) | (1.48 | ) | |||||||||
Net investment loss after Incentive Allocation | (7.45 | )% | (3.54 | )% | (7.75 | )% | (4.08 | )% | |||||||||
Total expenses before Incentive Allocation | 2.15 | % | 2.10 | % | 2.71 | % | 2.67 | % | |||||||||
Incentive Allocation | 5.74 | 1.51 | 5.48 | 1.48 | |||||||||||||
Total expenses after Incentive Allocation | 7.89 | % | 3.61 | % | 8.19 | % | 4.15 | % |
September 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 5,472,789 | $ | 4,769,945 | ||||
Investment in Graham Cash Assets LLC, at fair value | 63,587,145 | 51,121,197 | ||||||
Receivable from Master Funds | 150 | 44 | ||||||
Total assets | $ | 69,060,084 | $ | 55,891,186 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 1,330,567 | $ | 263,800 | ||||
Accrued professional fees | 144,063 | 114,472 | ||||||
Accrued advisory fees | 82,119 | 68,959 | ||||||
Accrued sponsor fees | 44,235 | 36,436 | ||||||
Accrued administrator’s fee | 7,043 | 6,154 | ||||||
Accrued operating expenses | 3,994 | – | ||||||
Payable to Master Funds | 136 | 825 | ||||||
Total liabilities | 1,612,157 | 490,646 | ||||||
Members’ capital: | ||||||||
Class 0 Units (166,967.158 and 185,533.074 units issued and outstanding at $230.05 and $176.27 per unit, respectively) | 38,410,620 | 32,704,572 | ||||||
Class 2 Units (163,653.712 and 167,534.772 units issued and outstanding at $163.40 and $125.68 per unit, respectively) | 26,740,899 | 21,055,621 | ||||||
Class M Units (4,671.470 units issued and outstanding at $491.58 and $351.14 per unit, respectively) | 2,296,408 | 1,640,347 | ||||||
Total members’ capital | 67,447,927 | 55,400,540 | ||||||
Total liabilities and members’ capital | $ | 69,060,084 | $ | 55,891,186 |
September 30, 2022 (Unaudited) | December 31, 2021 (Audited) | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 1,792,080 | 2.66% | $ | 1,849,637 | 3.34% | ||||||||||
Graham Derivatives Strategies LLC | 866,863 | 1.29% | – | 0.00% | ||||||||||||
Graham K4D Trading Ltd. | 2,813,846 | 4.16% | 2,920,308 | 5.27% | ||||||||||||
Total investments in Master Funds | $ | 5,472,789 | 8.11% | $ | 4,769,945 | 8.61% |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||
Net gain (loss) allocated from investments in Master Funds: | ||||||||||||||||
Net realized gain (loss) on investments | $ | 3,694,488 | $ | (818,790 | ) | $ | 21,168,221 | $ | 5,793,007 | |||||||
Net increase (decrease) in unrealized appreciation on investments | 1,117,058 | 33,842 | 100,612 | (1,241,623 | ) | |||||||||||
Brokerage commissions and fees | (51,471 | ) | (44,454 | ) | (166,979 | ) | (128,715 | ) | ||||||||
Net gain (loss) allocated from investments in Master Funds | 4,760,075 | (829,402 | ) | 21,101,854 | 4,422,669 | |||||||||||
Net investment income (loss) allocated from investments in Master Funds | 14,435 | (2,675 | ) | 10,861 | (3,676 | ) | ||||||||||
Investment income: | ||||||||||||||||
Interest income | 158,068 | 10,047 | 265,137 | 42,681 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 240,850 | 212,930 | 699,556 | 661,150 | ||||||||||||
Sponsor fees | 129,663 | 111,894 | 373,153 | 349,118 | ||||||||||||
Professional fees | 107,230 | 134,837 | 285,064 | 277,884 | ||||||||||||
Administrator’s fee | 20,863 | 18,656 | 60,552 | 57,684 | ||||||||||||
Operating expenses | 11,683 | – | 15,054 | – | ||||||||||||
Interest expense | 3,465 | 3,513 | 10,444 | 10,464 | ||||||||||||
Total expenses | 513,754 | 481,830 | 1,443,823 | 1,356,300 | ||||||||||||
Net investment loss of the Fund | (355,686 | ) | (471,783 | ) | (1,178,686 | ) | (1,313,619 | ) | ||||||||
Net income (loss) | 4,418,824 | (1,303,860 | ) | 19,934,029 | 3,105,374 | |||||||||||
Incentive allocation | (853,009 | ) | – | (3,403,323 | ) | (855,525 | ) | |||||||||
Net income (loss) available for pro-rata allocation to all members | $ | 3,565,815 | $ | (1,303,860 | ) | $ | 16,530,706 | $ | 2,249,849 |
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 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (3,015.688 | ) | (667,139 | ) | (1,713.860 | ) | (277,056 | ) | – | (853,009 | ) | (1,797,204 | ) | |||||||||||||||
Incentive allocation | – | (508,573 | ) | – | (344,436 | ) | – | 853,009 | – | |||||||||||||||||||
Net income | – | 2,536,644 | – | 1,722,181 | – | 159,999 | 4,418,824 | |||||||||||||||||||||
Members’ capital, September 30, 2022 | 166,967.158 | $ | 38,410,620 | 163,653.712 | $ | 26,740,899 | 4,671.470 | $ | 2,296,408 | $ | 67,447,927 |
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 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (3,658.695 | ) | (652,279 | ) | (2,547.784 | ) | (322,323 | ) | – | – | (974,602 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net loss | – | (758,762 | ) | – | (517,959 | ) | – | (27,139 | ) | (1,303,860 | ) | |||||||||||||||||
Members’ capital, September 30, 2021 | 191,966.048 | $ | 34,473,578 | 168,504.731 | $ | 21,615,865 | 4,671.470 | $ | 1,662,720 | $ | 57,752,163 |
Nine Months Ended September 30, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 19,934,029 | $ | 3,105,374 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (21,112,715 | ) | (4,418,993 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (265,137 | ) | (42,681 | ) | ||||
Proceeds from sale of investments in Master Funds | 58,020,851 | 49,925,428 | ||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 31,066,919 | 39,553,319 | ||||||
Purchases of investments in Master Funds | (37,611,775 | ) | (45,092,154 | ) | ||||
Purchases of investment in Graham Cash Assets LLC | (43,267,730 | ) | (37,141,765 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase (decrease) in accrued professional fees | 29,591 | (24,618 | ) | |||||
Increase (decrease) in accrued advisory fees | 13,160 | (5,753 | ) | |||||
Increase (decrease) in accrued sponsor fees | 7,799 | (3,461 | ) | |||||
Increase (decrease) in accrued administrator’s fee | 889 | (563 | ) | |||||
Increase in accrued operating expenses | 3,994 | – | ||||||
Net cash provided by operating activities | 6,819,875 | 5,854,133 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (6,819,875 | ) | (5,854,133 | ) | ||||
Net cash used in financing activities | (6,819,875 | ) | (5,854,133 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – | ||||
Supplemental cash flow information | ||||||||
Interest paid | $ | 10,444 | $ | 10,464 |
March 31, 2022 | ||||||||||||||||||||||||
September 30, 2022 | September 30, 2022 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 2022) | Percent of Members’ Capital | Fair Value | Net Income (nine months ended September 2022) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.03 | % | $ | 1,884,352 | $ | 3,888,721 | 2.66% | $ | 1,792,080 | $ | 9,289,682 | |||||||||||||
Graham Derivatives Strategies LLC | 0.79 | % | 489,851 | 972,140 | 1.29% | 866,863 | 4,293,147 | |||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 2.93 | % | 1,828,757 | 4,489,444 | 4.16% | 2,813,846 | 7,529,886 | |||||||||||||||||
6.75 | % | $ | 4,202,960 | $ | 9,350,305 | 8.11% | $ | 5,472,789 | $ | 21,112,715 |
December 31, 2021 | December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 2021) | Percent of Members’ Capital | Fair Value | Net Income (nine months ended September 2021) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 3.34 | % | $ | 1,849,637 | $ | 3,765,855 | 3.34% | $ | 1,849,637 | $ | 3,558,238 | |||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 5.27 | % | 2,920,308 | 169,119 | 5.27% | 2,920,308 | 860,755 | |||||||||||||||||
8.61 | % | $ | 4,769,945 | $ | 3,934,974 | 8.61% | $ | 4,769,945 | $ | 4,418,993 |
Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Due from brokers | $ | 52,110,776 | $ | 4,310,957 | $ | 7,505,492 | $ | 49,581,000 | $ | 22,442,243 | $ | 32,091,964 | ||||||||||||
Derivative financial instruments, at fair value | 19,631,499 | 16,025,070 | 18,589,925 | 21,099,729 | 14,389,611 | 6,265,991 | ||||||||||||||||||
Exchange memberships, at fair value | 9,503,316 | – | 1,898,632 | 7,252,834 | – | 1,663,892 | ||||||||||||||||||
Interest receivable | 15,940 | 692 | 671 | 134,381 | 22,159 | – | ||||||||||||||||||
Total assets | 81,261,531 | 20,336,719 | 27,994,720 | 78,067,944 | 36,854,013 | 40,021,847 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Due to brokers | – | – | 438,155 | |||||||||||||||||||||
Derivative financial instruments, at fair value | 1,628,475 | – | – | – | – | 1,247,012 | ||||||||||||||||||
Interest payable | 26,923 | 2,380 | 11,683 | 12,770 | 4,565 | – | ||||||||||||||||||
Total liabilities | 1,655,398 | 2,380 | 449,838 | 12,770 | 4,565 | 1,247,012 | ||||||||||||||||||
Members’ Capital / Net Assets | $ | 79,606,133 | $ | 20,334,339 | $ | 27,544,882 | $ | 78,055,174 | $ | 36,849,448 | $ | 38,774,835 | ||||||||||||
Percentage of Master Fund held by GAIT | 2.37 | % | 2.41 | % | 6.64 | % | 2.30 | % | 2.35 | % | 7.26 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham Commodity Strategies LLC | |||||||||||||||||||||
Exchange memberships (cost $3,649,411) | |||||||||||||||||||||
United States (cost $3,649,411) | |||||||||||||||||||||
Financial services (cost $3,649,411) | $ | 9,503,316 | 11.94 | % | $ | 7,252,834 | 9.29 | % | |||||||||||||
Total exchange memberships | $ | 9,503,316 | 11.94 | % | $ | 7,252,834 | 9.29 | % | |||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | (361,325 | ) | (0.45 | )% | $ | 702,471 | 0.90 | % | ||||||||||||
Foreign bond | (140,339 | ) | (0.18 | )% | 679,942 | 0.87 | % | ||||||||||||||
Foreign index | (18,317 | ) | (0.02 | )% | |||||||||||||||||
U.S. bond | 1,428,484 | 1.80 | % | ||||||||||||||||||
U.S. Ultra bond CBT December 2022 | 681 | (270,563 | ) | (0.35 | )% | ||||||||||||||||
U.S. index | (1,233,708 | ) | (1.55 | )% | 315,285 | 0.40 | % | ||||||||||||||
Total futures | (306,888 | ) | (0.38 | )% | 1,408,818 | 1.80 | % | ||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | 3,362,793 | 4.22 | % | (4,402,592 | ) | (5.64 | )% | ||||||||||||||
Total forwards | 3,362,793 | 4.22 | % | (4,402,592 | ) | (5.64 | )% | ||||||||||||||
Options (cost $10,111,207) | |||||||||||||||||||||
Commodity futures | 4,440,414 | 5.58 | % | ||||||||||||||||||
Options (cost $5,254,256) | |||||||||||||||||||||
Currency futures | 4,606,994 | 5.79 | % | 2,616,867 | 3.36 | % | |||||||||||||||
Interest rate futures | 11,181 | 0.01 | % | ||||||||||||||||||
Euro dollar 2 yr midcurve June 2022, $97.38 Put | 1 | 13,764,244 | 17.29 | % | |||||||||||||||||
Other interest rate futures | (1,677,688 | ) | (2.11 | )% | |||||||||||||||||
U.S. index futures | 989,220 | 1.24 | % | 2,009,460 | 2.57 | % | |||||||||||||||
Total options | 22,123,184 | 27.79 | % | 4,637,508 | 5.94 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (90,047 | ) | (0.11 | )% | $ | 263,358 | 0.34 | % | |||||||||||||||
Foreign bond | 3,425,481 | 4.30 | % | 3,037,541 | 3.89 | % | ||||||||||||||||||
Foreign index | (2,530,411 | ) | (3.18 | )% | 2,739,049 | 3.51 | % | |||||||||||||||||
Interest rate | 1,820,763 | 2.29 | % | |||||||||||||||||||||
U.S. bond | 1,656,820 | 2.08 | % | |||||||||||||||||||||
U.S 2 yr Note (CBT) December 2022 | (2,468 | ) | 777,898 | 1.00 | % | |||||||||||||||||||
U.S 5 yr Note (CBT) December 2022 | (1,004 | ) | 943,859 | 1.21 | % | |||||||||||||||||||
U.S 10 yr Note (CBT) December 2022 | (377 | ) | 694,844 | 0.89 | % | |||||||||||||||||||
U.S. Ultra bond CBT December 2022 | (210 | ) | 1,289,273 | 1.65 | % | |||||||||||||||||||
U.S. 10 yr Ultra bond December 2022 | (1,006 | ) | 466,031 | 0.60 | % | |||||||||||||||||||
U.S. index | (1,686,556 | ) | (2.12 | )% | 3,523,008 | 4.51 | % | |||||||||||||||||
Total futures | 2,596,050 | 3.26 | % | 13,734,861 | 17.60 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / New Taiwan dollar 04/11/2022 - 06/16/2022 | NT$ (9,512,567,193 | ) | 6,104,654 | 7.67 | % | |||||||||||||||||||
Other foreign currency | (3,612,145 | ) | (4.54 | )% | ||||||||||||||||||||
Foreign currency | 7,150,738 | 9.16 | % | |||||||||||||||||||||
Total forwards | 2,492,509 | 3.13 | % | 7,150,738 | 9.16 | % | ||||||||||||||||||
Options (proceeds $2,781,728) | ||||||||||||||||||||||||
Commodity futures | (1,691,250 | ) | (2.12 | )% | ||||||||||||||||||||
Options (proceeds $635,050) | ||||||||||||||||||||||||
Currency futures | (320,147 | ) | (0.40 | )% | (692,963 | ) | (0.89 | )% | ||||||||||||||||
Interest rate futures | (11,181 | ) | (0.01 | )% | ||||||||||||||||||||
Euro dollar 2 yr midcurve June 2022, $97.25 Put | (1 | ) | (10,933,300 | ) | (13.73 | )% | ||||||||||||||||||
Other interest rate futures | 815,613 | 1.02 | % | |||||||||||||||||||||
U.S. index futures | (135,540 | ) | (0.17 | )% | (725,460 | ) | (0.93 | )% | ||||||||||||||||
Total options | (12,264,624 | ) | (15.40 | )% | (1,429,604 | ) | (1.83 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 18,003,024 | 22.62 | % | $ | 21,099,729 | 27.03 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (34,290 | ) | (0.17 | )% | |||||||
Interest rate | (350,379 | ) | (1.72 | )% | ||||||||
U.S. index | ||||||||||||
S&P 500 E-mini June 2022 | 83 | (160,325 | ) | (0.79 | )% | |||||||
Total futures | (544,994 | ) | (2.68 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 507,202 | 2.49 | % | |||||||||
Total forwards | 507,202 | 2.49 | % | |||||||||
Options (cost $41,957,187) | ||||||||||||
Commodity futures | ||||||||||||
Corn December 2022, $750.00 Call | 1 | 2,703,438 | 13.29 | % | ||||||||
Gold June 2022 - September 2022, $2,000.00 - $2,175.00 Call | 3 | 9,099,410 | 44.75 | % | ||||||||
Currency futures | ||||||||||||
Australian dollar / Japanese yen June 2022, $95.00 Call | 1 | 2,116,221 | 10.41 | % | ||||||||
Australian dollar / U.S. dollar June 2022, $0.78 Call | 1 | 1,212,280 | 5.96 | % | ||||||||
Canadian dollar / Japanese yen April 2022 - June 2022, $93.25 - $97.25 Call | 2 | 5,009,673 | 24.63 | % | ||||||||
U.S. dollar / Canadian dollar April 2022 - May 2022, $1.22 - $1.25 Put | 4 | 2,394,995 | 11.78 | % | ||||||||
U.S. dollar / Japanese yen June 2022 - November 2022, $124.25 - $132.25 Call | 4 | 3,142,513 | 15.45 | % | ||||||||
U.S. dollar / Mexican peso May 2022, $20.00 Put | 1 | 1,776,222 | 8.74 | % | ||||||||
Other currency futures | 1,490,099 | 7.33 | % | |||||||||
Interest rate futures | ||||||||||||
IMM Euro December 2022, $98.75 Call | 1 | 1,094,775 | 5.38 | % | ||||||||
Other interest rate futures | 430,215 | 2.12 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr future June 2022, $121.00 Put | 1 | 972,500 | 4.78 | % | ||||||||
U.S. 10 yr future May 2022, $124.00 Call | 1 | 1,927,344 | 9.48 | % | ||||||||
U.S. index futures | ||||||||||||
S&P E-mini June 2022, $4,350.00 Put | 1 | 5,089,013 | 25.03 | % | ||||||||
S&P E-mini September 2022, $5,050.00 Call | 1 | 943,575 | 4.64 | % | ||||||||
Total options | 39,402,273 | 193.77 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Forwards | ||||||||||||
Foreign currency | $ | (2,108 | ) | (0.01 | )% | |||||||
Total forwards | (2,108 | ) | (0.01 | )% | ||||||||
Options (cost $20,902,543) | ||||||||||||
Currency futures | ||||||||||||
Euro / U.S. dollar February 2023, $0.93 Put | 1 | 2,351,635 | 6.38 | % | ||||||||
Euro / U.S. dollar April 2023, $0.90 Put | 1 | 863,929 | 2.34 | % | ||||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call | 1 | 7,423,076 | 20.15 | % | ||||||||
Euro / U.S. dollar double no touch November 2022, $0.95 - $1.00 | 1 | 395,458 | 1.07 | % | ||||||||
British pound / U.S. dollar November 2022 - March 2023, $0.97 - $1.02 Put | 4 | 3,708,703 | 10.07 | % | ||||||||
British pound / U.S. dollar January 2023 (eko 1.0375), $1.11 Put | 1 | 1,033,543 | 2.80 | % | ||||||||
U.S. dollar / Canadian dollar October 2022, $1.35 Call | 1 | 2,077,657 | 5.64 | % | ||||||||
U.S. dollar / Canadian dollar October 2022, $1.35 - $1.38 Call | 3 | 3,711,113 | 10.07 | % | ||||||||
U.S. dollar / Japanese yen November 2022, $130.00 Put | 1 | 193,475 | 0.53 | % | ||||||||
Other currency futures | 3,409,824 | 9.26 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr Note October 2022, $113.00 Call | 1 | 1,977,188 | 5.37 | % | ||||||||
U.S. index futures | ||||||||||||
S&P E-mini October 2022, $3,500.00 Put | 1 | 4,150,125 | 11.26 | % | ||||||||
Total options | 31,295,726 | 84.94 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||||
Graham Derivatives Strategies LLC (continued) | |||||||||||||||||||||||
Derivative financial instruments (continued) | |||||||||||||||||||||||
Short contracts | |||||||||||||||||||||||
Futures | |||||||||||||||||||||||
Foreign bond | $ | (20,149 | ) | (0.10 | )% | $ | 24,235 | 0.07 | % | ||||||||||||||
Interest rate | 362,589 | 1.78 | % | ||||||||||||||||||||
Foreign index | (2,207 | ) | (0.01 | )% | |||||||||||||||||||
U.S. bond | |||||||||||||||||||||||
U.S. 2 yr Note June 2022 | (1 | ) | 860,297 | 4.23 | % | ||||||||||||||||||
U.S. 5 yr Note June 2022 | (2 | ) | (448,187 | ) | (2.20 | )% | |||||||||||||||||
U.S. 10 yr Note (CBT) December 2022 | (10 | ) | 625 | 0.00 | % | ||||||||||||||||||
U.S. Ultra bond (CBT) December 2022 | (5 | ) | 5,313 | 0.01 | % | ||||||||||||||||||
U.S. index | 135,270 | 0.67 | % | ||||||||||||||||||||
S&P 500 E-mini December 2022 | (20 | ) | 75,875 | 0.21 | % | ||||||||||||||||||
Other U.S. index | 45,235 | 0.12 | % | ||||||||||||||||||||
Total futures | 889,820 | 4.38 | % | 149,076 | 0.40 | % | |||||||||||||||||
Forwards | |||||||||||||||||||||||
Other foreign currency | (523,548 | ) | (2.57 | )% | |||||||||||||||||||
Foreign currency | 73,559 | 0.20 | % | ||||||||||||||||||||
Total forwards | (523,548 | ) | (2.57 | )% | 73,559 | 0.20 | % | ||||||||||||||||
Options (proceeds $8,101,904) | |||||||||||||||||||||||
Currency futures | |||||||||||||||||||||||
U.S. dollar / Canadian dollar October 2022, $1.35 Call | (1 | ) | (2,077,657 | ) | (5.64 | )% | |||||||||||||||||
U.S. dollar / Canadian dollar October 2022, $1.35 - $1.38 Call | (3 | ) | (3,711,113 | ) | (10.07 | )% | |||||||||||||||||
U.S. dollar / Japanese yen October 2022, $139.50 Call | (1 | ) | (7,423,076 | ) | (20.14 | )% | |||||||||||||||||
Other currency futures | (157,230 | ) | (0.43 | )% | |||||||||||||||||||
U.S. bond futures | |||||||||||||||||||||||
U.S. 10 yr Note October 2022, $114.00 Call | (1 | ) | (1,043,516 | ) | (2.83 | )% | |||||||||||||||||
U.S. index futures | |||||||||||||||||||||||
S&P E-mini October 2022, $3,400.00 Put | (1 | ) | (2,714,050 | ) | (7.37 | )% | |||||||||||||||||
Total options | (17,126,642 | ) | (46.48 | )% | |||||||||||||||||||
Total derivative financial instruments | $ | 14,389,611 | 39.05 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts (continued) | ||||||||||||
Options (proceeds $28,329,731) | ||||||||||||
Commodity futures | ||||||||||||
Corn December 2022, $830.00 Call | (1 | ) | (1,800,156 | ) | (8.85 | )% | ||||||
Gold June 2022 - September 2022 $2,100.00 - $2,275.00 Call | (3 | ) | (5,752,830 | ) | (28.29 | )% | ||||||
Other commodity | (86,640 | ) | (0.43 | )% | ||||||||
Currency futures | ||||||||||||
Australian dollar / Japanese yen June 2022, $98.00 Call | (1 | ) | (877,448 | ) | (4.32 | )% | ||||||
Australian dollar / U.S. dollar June 2022, $0.81 Call | (1 | ) | (203,047 | ) | (1.00 | )% | ||||||
Canadian dollar / Japanese yen April 2022 - June 2022, $94.75 - $100.25 Call | (2 | ) | (3,722,926 | ) | (18.31 | )% | ||||||
U.S. dollar / Canadian dollar April 2022 - June 2022, $1.20 - $1.24 Put | (3 | ) | (699,247 | ) | (3.44 | )% | ||||||
U.S. dollar / Japanese yen April 2022 - July 2022, $123.75 - $128.25 Call | (3 | ) | (1,082,643 | ) | (5.32 | )% | ||||||
U.S. dollar / Japanese yen April 2022, $118.75 Put | (2 | ) | (294,699 | ) | (1.45 | )% | ||||||
U.S. dollar / Mexican peso May 2022, $19.50 Put | (1 | ) | (663,953 | ) | (3.27 | )% | ||||||
Other currency futures | (153,202 | ) | (0.74 | )% | ||||||||
Interest rate futures | ||||||||||||
IMM Euro December 2022, $98.50 Call | (1 | ) | (1,691,925 | ) | (8.32 | )% | ||||||
Other interest rate futures | (166,804 | ) | (0.82 | )% | ||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr June 2022, 119.00 Put | (1 | ) | (413,313 | ) | (2.03 | )% | ||||||
U.S. 10 yr May 2022, 125.00 Call | (1 | ) | (925,125 | ) | (4.55 | )% | ||||||
U.S. index futures | ||||||||||||
S&P E-mini June 2022, $4,150.00 Put | (1 | ) | (3,226,600 | ) | (15.87 | )% | ||||||
S&P E-mini September 2022, $4,850.00 - $4,950.00 Call | (2 | ) | (1,945,125 | ) | (9.57 | )% | ||||||
Total options | (23,705,683 | ) | (116.58 | )% | ||||||||
Total derivative financial instruments | $ | 16,025,070 | 78.81 | % |
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) | $ | 1,663,892 | 4.29 | % | ||||||||
Total exchange memberships | $ | 1,663,892 | 4.29 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (5,340,065 | ) | (13.77 | )% | |||||||
Currency | 271,880 | 0.70 | % | |||||||||
Foreign bond | (654,214 | ) | (1.69 | )% | ||||||||
Foreign index | (6,626,160 | ) | (17.08 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. Ultra bond CBT December 2022 | 1 | (13,844 | ) | (0.04 | )% | |||||||
U.S. index | (3,818,008 | ) | (9.85 | )% | ||||||||
Total futures | (16,180,411 | ) | (41.73 | )% | ||||||||
Swaps | ||||||||||||
Interest rate | (17,576 | ) | (0.05 | )% | ||||||||
Total swaps | (17,576 | ) | (0.05 | )% | ||||||||
Forwards | ||||||||||||
British pound / U.S. dollar 12/21/2022 | £ 29,178,000 | 880,129 | 2.27 | % | ||||||||
Other foreign currency | (2,401,944 | ) | (6.19 | )% | ||||||||
Total forwards | (1,521,815 | ) | (3.92 | )% |
Description | Principal Amount / Number of Contracts | 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) | $ | 1,898,632 | 6.89 | % | ||||||||
Total exchange memberships | $ | 1,898,632 | 6.89 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Corn May 2022 | 482 | $ | 2,107,198 | 7.65 | % | |||||||
LME Aluminum June 2022 | 232 | 2,141,283 | 7.77 | % | ||||||||
LME Copper June 2022 | 118 | 1,411,333 | 5.12 | % | ||||||||
Other commodity | 1,851,684 | 6.73 | % | |||||||||
Currency | (7,148 | ) | (0.03 | )% | ||||||||
Foreign bond | (97,110 | ) | (0.35 | )% | ||||||||
Foreign index | ||||||||||||
Nikkei 225 (OSE) June 2022 | 57 | 1,616,840 | 5.87 | % | ||||||||
Other foreign index | 1,527,723 | 5.55 | % | |||||||||
Interest rate | (92,357 | ) | (0.34 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 2yr - 10yr Notes June 2022 | 581 | (1,206,461 | ) | (4.38 | )% | |||||||
Other U.S. bond | 7,156 | 0.03 | % | |||||||||
U.S. index | 1,179,811 | 4.28 | % | |||||||||
Total futures | 10,439,952 | 37.90 | % | |||||||||
Forwards | ||||||||||||
Other foreign currency | 2,880,505 | 10.46 | % | |||||||||
Total forwards | 2,880,505 | 10.46 | % |
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 | $ | 1,739,377 | 4.49 | % | ||||||||
Currency | 97,233 | 0.25 | % | |||||||||
Foreign bond | 1,846,142 | 4.76 | % | |||||||||
Foreign index | 1,020,924 | 2.63 | % | |||||||||
Interest rate | 2,678,189 | 6.91 | % | |||||||||
U.S. bond | ||||||||||||
U.S. 2 yr Note (CBT) December 2022 | (732 | ) | 1,268,374 | 3.27 | % | |||||||
U.S. 5 yr Note (CBT) December 2022 | (373 | ) | 1,046,135 | 2.70 | % | |||||||
U.S. 10 yr Note (CBT) December 2022 | (102 | ) | 259,930 | 0.67 | % | |||||||
U.S. Long bond (CBT) December 2022 | (191 | ) | 1,636,031 | 4.22 | % | |||||||
Total futures | 11,592,335 | 29.90 | % | |||||||||
Swaps | ||||||||||||
Interest rate | 152,449 | 0.39 | % | |||||||||
Total swaps | 152,449 | 0.39 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar / Australian dollar 12/21/2022 | $ (69,616,000 | ) | 2,187,942 | 5.64 | % | |||||||
U.S. dollar / British pound 12/21/2022 | $ (66,357,000 | ) | 2,688,763 | 6.93 | % | |||||||
Other foreign currency | 6,117,292 | 15.78 | % | |||||||||
Total forwards | 10,993,997 | 28.35 | % | |||||||||
Total derivative financial instruments | $ | 5,018,979 | 12.94 | % |
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 Aluminum June 2022 | (232 | ) | $ | (411,770 | ) | (1.49 | )% | |||||
LME Copper June 2022 | (118 | ) | (478,683 | ) | (1.74 | )% | ||||||
Copper May 2022 | (1 | ) | (1,588 | ) | (0.01 | )% | ||||||
Other commodity | (390,416 | ) | (1.41 | )% | ||||||||
Currency | 36,624 | 0.13 | % | |||||||||
Foreign bond | (286,433 | ) | (1.04 | )% | ||||||||
Foreign index | (764,705 | ) | (2.78 | )% | ||||||||
Interest rate | ||||||||||||
90 day Euro June 2023 | (1,347 | ) | 3,153,750 | 11.45 | % | |||||||
Other interest rate | 1,286,912 | 4.67 | % | |||||||||
U.S. bond | ||||||||||||
U.S. 5yr Note June 2022 | (884 | ) | 3,164,289 | 11.49 | % | |||||||
Other U.S. bond | 731,180 | 2.65 | % | |||||||||
U.S. index | (441,863 | ) | (1.60 | )% | ||||||||
Total futures | 5,597,297 | 20.32 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar/ Australian dollar 6/15/2022 | AUD (110,197,000 | ) | (1,579,318 | ) | (5.73 | )% | ||||||
U.S. dollar/ Japanese yen 6/15/2022 | JPY (11,677,563,000) | 3,751,207 | 13.62 | % | ||||||||
U.S. dollar/ Canadian dollar 6/15/2022 | CAD (89,023,000 | ) | (1,878,310 | ) | (6.82 | )% | ||||||
Other foreign currency | (621,408 | ) | (2.26 | )% | ||||||||
Total forwards | (327,829 | ) | (1.19 | )% | ||||||||
Total derivative financial instruments | $ | 18,589,925 | 67.49 | % |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||
Commodity futures | $ | 2,856,322 | $ | – | $ | 9,384,316 | $ | 2,602,535 | $ | – | $ | 3,488,297 | ||||||||||||
Commodity futures options | 4,440,414 | 11,802,848 | – | |||||||||||||||||||||
Currency futures | – | – | 60,542 | – | – | 383,126 | ||||||||||||||||||
Exchange memberships | 9,503,316 | – | 1,898,632 | |||||||||||||||||||||
Exchange memberships* | 7,252,834 | – | 1,663,892 | |||||||||||||||||||||
Foreign bond futures | 3,425,481 | – | 1,200,132 | 4,354,336 | 29,630 | 1,849,533 | ||||||||||||||||||
Foreign index futures | – | – | 3,707,507 | 2,753,836 | – | 1,028,414 | ||||||||||||||||||
Interest rate futures | 1,836,513 | 370,121 | 4,440,662 | – | – | 2,678,189 | ||||||||||||||||||
Interest rate futures options | 14,734,813 | 1,524,990 | – | 11,181 | – | – | ||||||||||||||||||
U.S. bond futures | 5,139,898 | 860,297 | 3,902,625 | 4,171,905 | 5,938 | 4,210,470 | ||||||||||||||||||
U.S. bond futures options | – | 2,899,844 | – | – | 1,977,188 | – | ||||||||||||||||||
U.S. index futures | – | 135,270 | 1,179,811 | 6,993,928 | 121,110 | – | ||||||||||||||||||
U.S. index futures options | 989,220 | 6,032,588 | – | 2,009,460 | 4,150,125 | – | ||||||||||||||||||
Total Level 1 | 42,925,977 | 23,625,958 | 25,774,227 | 30,150,015 | 6,283,991 | 15,301,921 | ||||||||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | 14,783,719 | 590,242 | 7,726,545 | 8,356,684 | 266,144 | 12,186,035 | ||||||||||||||||||
Foreign currency futures options | 4,606,993 | 17,142,004 | – | 2,616,867 | 25,168,414 | – | ||||||||||||||||||
Interest rate swap | – | – | 160,806 | |||||||||||||||||||||
Total Level 2 | 19,390,712 | 17,732,246 | 7,726,545 | 10,973,551 | 25,434,558 | 12,346,841 | ||||||||||||||||||
Total investment related assets | $ | 62,316,689 | $ | 41,358,204 | $ | 33,500,772 | $ | 41,123,566 | $ | 31,718,549 | $ | 27,648,762 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||
Commodity futures | $ | (3,307,694 | ) | $ | (34,290 | ) | $ | (3,155,275 | ) | $ | (1,636,706 | ) | $ | – | $ | (7,088,985 | ) | |||||||
Commodity futures options | (1,691,250 | ) | (7,639,626 | ) | – | |||||||||||||||||||
Currency futures | – | – | (31,066 | ) | – | – | (14,013 | ) | ||||||||||||||||
Foreign bond futures | (140,339 | ) | (20,149 | ) | (1,583,675 | ) | (636,853 | ) | (5,395 | ) | (657,605 | ) | ||||||||||||
Foreign index futures | (2,530,411 | ) | – | (1,327,649 | ) | (33,104 | ) | (2,207 | ) | (6,633,650 | ) | |||||||||||||
Interest rate futures | (15,750 | ) | (357,911 | ) | (92,357 | ) | ||||||||||||||||||
Interest rate futures options | (12,765,944 | ) | (1,858,729 | ) | – | (11,181 | ) | – | – | |||||||||||||||
U.S. bond futures | (2,054,594 | ) | (448,187 | ) | (1,206,461 | ) | (270,563 | ) | – | (13,844 | ) | |||||||||||||
U.S. bond futures options | – | (1,338,438 | ) | – | – | (1,043,516 | ) | – | ||||||||||||||||
U.S. index futures | (2,920,264 | ) | (160,325 | ) | (441,863 | ) | (3,155,635 | ) | – | (3,818,008 | ) | |||||||||||||
U.S. index futures options | (135,540 | ) | (5,171,725 | ) | – | (725,460 | ) | (2,714,050 | ) | – | ||||||||||||||
Total Level 1 | (25,561,786 | ) | (17,029,380 | ) | (7,838,346 | ) | (6,469,502 | ) | (3,765,168 | ) | (18,226,105 | ) | ||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | (8,928,417 | ) | (606,588 | ) | (5,173,869 | ) | (5,608,538 | ) | (194,693 | ) | (2,713,853 | ) | ||||||||||||
Foreign currency futures options | (320,146 | ) | (7,697,166 | ) | – | (692,963 | ) | (13,369,077 | ) | – | ||||||||||||||
Interest rate swap | – | – | (25,933 | ) | ||||||||||||||||||||
Total Level 2 | (9,248,563 | ) | (8,303,754 | ) | (5,173,869 | ) | (6,301,501 | ) | (13,563,770 | ) | (2,739,786 | ) | ||||||||||||
Total investment related liabilities | $ | (34,810,349 | ) | $ | (25,333,134 | ) | $ | (13,012,215 | ) | $ | (12,771,003 | ) | $ | (17,328,938 | ) | $ | (20,965,891 | ) |
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 | $ | 231,098,658 | 2,806 | $ | (13,837,107 | ) | (635 | ) | $ | 2,856,322 | $ | (3,307,694 | ) | $ | 169,444,661 | 2,143 | $ | (19,299,891 | ) | (598 | ) | $ | 2,602,535 | $ | (1,636,706 | ) | ||||||||||||||||||||||
Options (a) | 24,883,307 | 1,557 | (11,090,967 | ) | (825 | ) | 4,440,414 | (1,691,250 | ) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | – | – | |||||||||||||||||||||||||||||||
255,981,965 | 4,363 | (24,928,074 | ) | (1,460 | ) | 7,296,736 | (4,998,944 | ) | 182,818,487 | 3,215 | (25,062,490 | ) | (1,173 | ) | 2,602,535 | (1,636,706 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 59,758,538 | 990 | (196,756,915 | ) | (1,861 | ) | - | (5,450,675 | ) | 40,223,755 | 721 | (212,895,434 | ) | (2,562 | ) | 9,747,764 | (3,188,739 | ) | ||||||||||||||||||||||||||||||
Options (a) | – | 971 | (2,856,768 | ) | (1,296 | ) | 989,220 | (135,540 | ) | 952,256 | 2,181 | (952,256 | ) | (2,181 | ) | 2,009,460 | (725,460 | ) | ||||||||||||||||||||||||||||||
59,758,538 | 1,961 | (199,613,683 | ) | (3,157 | ) | 989,220 | (5,586,215 | ) | 41,176,011 | 2,902 | (213,847,690 | ) | (4,743 | ) | 11,757,224 | (3,914,199 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,215,843,547 | N/A | (1,293,660,908 | ) | N/A | 14,783,719 | (8,928,417 | ) | 1,621,351,072 | N/A | (1,244,516,697 | ) | N/A | 8,356,684 | (5,608,538 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 84,100,527 | 11 | (67,397,400 | ) | (10 | ) | 4,606,993 | (320,146 | ) | 41,255,349 | 6 | (44,948,147 | ) | (17 | ) | 2,616,867 | (692,963 | ) | ||||||||||||||||||||||||||||||
1,299,944,074 | 11 | (1,361,058,308 | ) | (10 | ) | 19,390,712 | (9,248,563 | ) | 1,662,606,421 | 6 | (1,289,464,844 | ) | (17 | ) | 10,973,551 | (6,301,501 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 607,719,755 | 3,761 | (3,095,829,124 | ) | (16,286 | ) | 10,401,892 | (2,210,683 | ) | 651,861,939 | 4,974 | (2,399,544,152 | ) | (11,252 | ) | 8,526,241 | (907,416 | ) | ||||||||||||||||||||||||||||||
Options (a) | 2,406,354,851 | 32,077 | (2,736,225,393 | ) | (32,077 | ) | 14,734,813 | (12,765,944 | ) | 805,426,116 | 16,775 | (914,747,665 | ) | (16,775 | ) | 11,181 | (11,181 | ) | ||||||||||||||||||||||||||||||
3,014,074,606 | 35,838 | (5,832,054,517 | ) | (48,363 | ) | 25,136,705 | (14,976,627 | ) | 1,457,288,055 | 21,749 | (3,314,291,817 | ) | (28,027 | ) | 8,537,422 | (918,597 | ) | |||||||||||||||||||||||||||||||
Total | $ | 4,629,759,183 | 42,173 | $ | (7,417,654,582 | ) | (52,990 | ) | $ | 52,813,373 | $ | (34,810,349 | ) | $ | 3,343,888,974 | 27,872 | $ | (4,842,666,841 | ) | (33,960 | ) | $ | 33,870,732 | $ | (12,771,003 | ) |
(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 | $ | 1,103,080 | 11 | $ | – | – | $ | – | $ | (34,290 | ) | $ | 1,290,053 | 8 | $ | (2,400,017 | ) | (13 | ) | $ | – | $ | – | |||||||||||||||||||||||||
Options (a) | 154,874,954 | 3,297 | (98,950,365 | ) | (3,316 | ) | 11,802,848 | (7,639,626 | ) | 68,427,886 | 2,277 | (52,235,412 | ) | (2,283 | ) | – | – | |||||||||||||||||||||||||||||||
155,978,034 | 3,308 | (98,950,365 | ) | (3,316 | ) | 11,802,848 | (7,673,916 | ) | 69,717,939 | 2,285 | (54,635,429 | ) | (2,296 | ) | – | – | ||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 18,802,613 | 83 | (7,731,750 | ) | (26 | ) | 135,270 | (160,325 | ) | 8,796,204 | 49 | (4,985,091 | ) | (25 | ) | 121,110 | (2,207 | ) | ||||||||||||||||||||||||||||||
Options (a) | 45,318,646 | 1,496 | (70,428,787 | ) | (1,495 | ) | 6,032,588 | (5,171,725 | ) | 53,712,971 | 2,300 | (96,828,278 | ) | (2,018 | ) | 4,150,125 | (2,714,050 | ) | ||||||||||||||||||||||||||||||
64,121,259 | 1,579 | (78,160,537 | ) | (1,521 | ) | 6,167,858 | (5,332,050 | ) | 62,509,175 | 2,349 | (101,813,369 | ) | (2,043 | ) | 4,271,235 | (2,716,257 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 77,200,748 | N/A | (57,954,345 | ) | N/A | 590,242 | (606,588 | ) | 46,288,995 | N/A | (52,786,832 | ) | N/A | 266,144 | (194,693 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 506,985,599 | 21 | (470,290,291 | ) | (16 | ) | 17,142,004 | (7,697,166 | ) | 489,261,160 | 16 | (576,956,081 | ) | (19 | ) | 25,168,414 | (13,369,077 | ) | ||||||||||||||||||||||||||||||
584,186,347 | 21 | (528,244,636 | ) | (16 | ) | 17,732,246 | (8,303,754 | ) | 535,550,155 | 16 | (629,742,913 | ) | (19 | ) | 25,434,558 | (13,563,770 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 585,111,025 | 1,555 | (673,660,818 | ) | (2,882 | ) | 1,230,418 | (826,247 | ) | 195,037,008 | 518 | (244,501,519 | ) | (986 | ) | 35,568 | (5,395 | ) | ||||||||||||||||||||||||||||||
Options (a) | 465,814,395 | 17,602 | (406,196,414 | ) | (17,678 | ) | 4,424,834 | (3,197,167 | ) | 305,848,014 | 14,974 | (232,182,987 | ) | (15,024 | ) | 1,977,188 | (1,043,516 | ) | ||||||||||||||||||||||||||||||
1,050,925,420 | 19,157 | (1,079,857,232 | ) | (20,560 | ) | 5,655,252 | (4,023,414 | ) | 500,885,022 | 15,492 | (476,684,506 | ) | (16,010 | ) | 2,012,756 | (1,048,911 | ) | |||||||||||||||||||||||||||||||
Total | $ | 1,855,211,060 | 24,065 | $ | (1,785,212,770 | ) | (25,413 | ) | $ | 41,358,204 | $ | (25,333,134 | ) | $ | 1,168,662,291 | 20,142 | $ | (1,262,876,217 | ) | (20,368 | ) | $ | 31,718,549 | $ | (17,328,938 | ) |
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 | $ | 199,393,774 | 2,646 | $ | (57,119,483 | ) | (405 | ) | $ | 9,384,316 | $ | (3,155,275 | ) | $ | 150,470,902 | 2,085 | $ | (57,951,326 | ) | (504 | ) | $ | 3,488,297 | $ | (7,088,985 | ) | ||||||||||||||||||||||
199,393,774 | 2,646 | (57,119,483 | ) | (405 | ) | 9,384,316 | (3,155,275 | ) | 150,470,902 | 2,085 | (57,951,326 | ) | (504 | ) | 3,488,297 | (7,088,985 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 99,925,212 | 991 | (42,664,006 | ) | (299 | ) | 4,887,318 | (1,769,512 | ) | 93,564,679 | 978 | (45,231,119 | ) | (380 | ) | 1,028,414 | (10,451,658 | ) | ||||||||||||||||||||||||||||||
99,925,212 | 991 | (42,664,006 | ) | (299 | ) | 4,887,318 | (1,769,512 | ) | 93,564,679 | 978 | (45,231,119 | ) | (380 | ) | 1,028,414 | (10,451,658 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 287,794,207 | N/A | (483,743,500 | ) | N/A | 7,726,545 | (5,173,869 | ) | 202,013,109 | N/A | (403,391,611 | ) | N/A | 12,186,035 | (2,713,853 | ) | ||||||||||||||||||||||||||||||||
Futures | 6,521,318 | 70 | (4,235,225 | ) | (40 | ) | 60,542 | (31,066 | ) | 10,755,237 | 105 | (4,383,927 | ) | (45 | ) | 383,126 | (14,013 | ) | ||||||||||||||||||||||||||||||
294,315,525 | 70 | (487,978,725 | ) | (40 | ) | 7,787,087 | (5,204,935 | ) | 212,768,346 | 105 | (407,775,538 | ) | (45 | ) | 12,569,161 | (2,727,866 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 234,077,802 | 847 | (778,208,880 | ) | (3,939 | ) | 9,543,419 | (2,882,493 | ) | 158,307,970 | 642 | (578,755,907 | ) | (3,111 | ) | 8,738,192 | (671,449 | ) | ||||||||||||||||||||||||||||||
Swaps | 5,193,969 | 88 | (5,193,969 | ) | (88 | ) | 160,806 | (25,933 | ) | |||||||||||||||||||||||||||||||||||||||
234,077,802 | 847 | (778,208,880 | ) | (3,939 | ) | 9,543,419 | (2,882,493 | ) | 163,501,939 | 730 | (583,949,876 | ) | (3,199 | ) | 8,898,998 | (697,382 | ) | |||||||||||||||||||||||||||||||
Total | $ | 827,712,313 | 4,554 | $ | (1,365,971,094 | ) | (4,683 | ) | $ | 31,602,140 | $ | (13,012,215 | ) | $ | 620,305,866 | 3,898 | $ | (1,094,907,859 | ) | (4,128 | ) | $ | 25,984,870 | $ | (20,965,891 | ) |
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 | $ | 52,813,373 | $ | (33,181,874 | ) | $ | 19,631,499 | $ | – | $ | 19,631,499 | $ | 33,870,732 | $ | (12,771,003 | ) | $ | 21,099,729 | $ | – | $ | 21,099,729 | ||||||||||||||||||
Derivative liabilities | $ | (34,810,349 | ) | $ | 33,181,874 | $ | (1,628,475 | ) | $ | 1,628,475 | $ | – | $ | (12,771,003 | ) | $ | 12,771,003 | $ | – | $ | – | $ | – | |||||||||||||||||
Graham Derivatives Strategies LLC2 | Graham Derivatives Strategies LLC2 | Graham Derivatives Strategies LLC2 | ||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 41,358,204 | $ | (25,333,134 | ) | $ | 16,025,070 | $ | – | $ | 16,025,070 | $ | 31,718,549 | $ | (17,328,938 | ) | $ | 14,389,611 | $ | – | $ | 14,389,611 | ||||||||||||||||||
Derivative liabilities | $ | (25,333,134 | ) | $ | 25,333,134 | $ | – | $ | – | $ | – | $ | (17,328,938 | ) | $ | 17,328,938 | $ | – | $ | – | $ | – | ||||||||||||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 31,602,140 | $ | (13,012,215 | ) | $ | 18,589,925 | $ | – | $ | 18,589,925 | $ | 25,984,870 | $ | (19,718,879 | ) | $ | 6,265,991 | $ | – | $ | 6,265,991 | ||||||||||||||||||
Derivative liabilities | $ | (13,012,215 | ) | $ | 13,012,215 | $ | – | $ | – | $ | – | $ | (20,965,891 | ) | $ | 19,718,879 | $ | (1,247,012 | ) | $ | 1,247,012 | $ | – |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||
Net investment (loss) | $ | (23,712 | ) | $ | (7,356 | ) | $ | (48,943 | ) | |||||||||||||||
Net investment income | $ | 386,684 | $ | 46,939 | $ | 63,196 | ||||||||||||||||||
Net realized gain on investments | 144,656,787 | 38,532,105 | 53,812,899 | |||||||||||||||||||||
Net realized gain (loss) on investments | 85,953,212 | 88,931,098 | (5,560,879 | ) | ||||||||||||||||||||
Net increase in unrealized appreciation on investments | 14,730,006 | 2,824,706 | 16,436,025 | 13,667,092 | 3,203,539 | 10,147,569 | ||||||||||||||||||
Brokerage commissions and fees | (625,371 | ) | (1,276,352 | ) | (56,464 | ) | (639,335 | ) | (1,367,211 | ) | (64,727 | ) | ||||||||||||
Net gain on investments | 158,761,422 | 40,080,459 | 70,192,460 | 98,980,969 | 90,767,426 | 4,521,963 | ||||||||||||||||||
Net income | $ | 158,737,710 | $ | 40,073,103 | $ | 70,143,517 | $ | 99,367,653 | $ | 90,814,365 | $ | 4,585,159 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income | $ | 403,723 | $ | 38,193 | $ | 4,352 | ||||||
Net realized gain on investments | 377,133,901 | 178,080,381 | 110,240,535 | |||||||||
Net increase in unrealized appreciation on investments | 8,003,757 | 4,090,614 | 2,501,373 | |||||||||
Brokerage commissions and fees | (1,913,973 | ) | (4,482,747 | ) | (168,228 | ) | ||||||
Net gain on investments | 383,223,685 | 177,688,248 | 112,573,680 | |||||||||
Net income | $ | 383,627,408 | $ | 177,726,441 | $ | 112,578,032 |
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 | $ | (14,028,838 | ) | $ | 7,482,191 | $ | 2,384,515 | $ | – | $ | (22,296,627 | ) | $ | 8,178,379 | ||||||||||
Options | (1,407,078 | ) | 641,750 | 2,143,923 | (228,840 | ) | – | – | ||||||||||||||||
(15,435,916 | ) | 8,123,941 | 4,528,438 | (228,840 | ) | (22,296,627 | ) | 8,178,379 | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 4,938,130 | 832,967 | 5,730,577 | 91,853 | (1,672,116 | ) | (9,853,816 | ) | ||||||||||||||||
Options | (1,550,038 | ) | 147,801 | 9,411,568 | (574,105 | ) | – | – | ||||||||||||||||
3,388,092 | 980,768 | 15,142,145 | (482,252 | ) | (1,672,116 | ) | (9,853,816 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 21,937,341 | (4,306,183 | ) | 17,770,872 | 3,012,527 | 15,089,510 | 6,668,195 | |||||||||||||||||
Futures | – | – | – | – | 906,404 | 175,449 | ||||||||||||||||||
Options | (2,498,871 | ) | (955,656 | ) | 39,231,629 | 3,094,807 | – | – | ||||||||||||||||
19,438,470 | (5,261,839 | ) | 57,002,501 | 6,107,334 | 15,995,914 | 6,843,644 | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 79,798,254 | 9,604,186 | 5,454,146 | 11,361 | 2,417,721 | 5,116,374 | ||||||||||||||||||
Options | (1,235,688 | ) | 1,235,688 | 6,803,868 | (2,204,064 | ) | – | – | ||||||||||||||||
Swaps | – | – | – | – | (5,771 | ) | 21,104 | |||||||||||||||||
78,562,566 | 10,839,874 | 12,258,014 | (2,192,703 | ) | 2,411,950 | 5,137,478 | ||||||||||||||||||
Total | $ | 85,953,212 | $ | 14,682,744 | $ | 88,931,098 | $ | 3,203,539 | $ | (5,560,879 | ) | $ | 10,305,685 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | 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 | 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 | $ | 18,102,753 | $ | (1,671,707 | ) | $ | (1,236,718 | ) | $ | (34,290 | ) | $ | 63,361,165 | $ | 1,574,247 | $ | 4,684,067 | $ | (254,505 | ) | $ | 260,305 | $ | – | $ | 61,494,827 | $ | (8,255,484 | ) | |||||||||||||||||||
Options | (157,305 | ) | 1,168,986 | (2,528,020 | ) | 3,549,874 | – | – | (473,725 | ) | 1,320,437 | (976,130 | ) | – | – | – | ||||||||||||||||||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | (5,991,484 | ) | 280,016 | – | – | – | – | ||||||||||||||||||||||||||||||||||
(1,781,142 | ) | 1,345,948 | (715,825 | ) | – | 61,494,827 | (8,255,484 | ) | ||||||||||||||||||||||||||||||||||||||||
11,953,964 | (222,705 | ) | (3,764,738 | ) | 3,515,584 | 63,361,165 | 1,574,247 | |||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 38,424,050 | (2,223,405 | ) | 6,526,724 | (25,055 | ) | (1,956,448 | ) | 3,029,701 | 66,877,448 | 10,111,293 | 13,735,642 | 118,903 | (4,801,087 | ) | (9,511,352 | ) | |||||||||||||||||||||||||||||||
Options | (798,825 | ) | 926,955 | (285,750 | ) | (144,563 | ) | – | – | (2,725,862 | ) | 1,864,275 | 22,350,601 | 366,262 | – | – | ||||||||||||||||||||||||||||||||
37,625,225 | (1,296,450 | ) | 6,240,974 | (169,618 | ) | (1,956,448 | ) | 3,029,701 | 64,151,586 | 11,975,568 | 36,086,243 | 485,165 | (4,801,087 | ) | (9,511,352 | ) | ||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 8,434,107 | 8,843,892 | 10,929,400 | 410,745 | 1,348,014 | 4,868,047 | 69,582,674 | (4,546,008 | ) | 43,163,305 | 2,573,093 | 35,658,445 | 11,772,358 | |||||||||||||||||||||||||||||||||||
Futures | – | – | – | – | 278,285 | 106,125 | – | – | – | – | 1,904,200 | 445,764 | ||||||||||||||||||||||||||||||||||||
Options | (2,890,682 | ) | 3,508,496 | 345,448 | (1,785,041 | ) | – | – | (4,548,777 | ) | (76,252 | ) | 54,145,528 | 910,199 | – | – | ||||||||||||||||||||||||||||||||
5,543,425 | 12,352,388 | 11,274,848 | (1,374,296 | ) | 1,626,299 | 4,974,172 | 65,033,897 | (4,622,260 | ) | 97,308,833 | 3,483,292 | 37,562,645 | 12,218,122 | |||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 86,690,737 | 1,654,915 | 14,920,094 | 404,170 | (9,218,117 | ) | 6,687,138 | 245,733,958 | 1,082,532 | 25,795,617 | 30,173 | 15,989,921 | 8,092,956 | |||||||||||||||||||||||||||||||||||
Options | 2,843,436 | 1,823,686 | 9,860,927 | 448,866 | – | – | 3,995,602 | 54,280 | 19,605,513 | 91,984 | – | – | ||||||||||||||||||||||||||||||||||||
Swaps | – | – | – | – | (5,771 | ) | 21,104 | |||||||||||||||||||||||||||||||||||||||||
89,534,173 | 3,478,601 | 24,781,021 | 853,036 | (9,218,117 | ) | 6,687,138 | 249,729,560 | 1,136,812 | 45,401,130 | 122,157 | 15,984,150 | 8,114,060 | ||||||||||||||||||||||||||||||||||||
Total | $ | 144,656,787 | $ | 14,311,834 | $ | 38,532,105 | $ | 2,824,706 | $ | 53,812,899 | $ | 16,265,258 | $ | 377,133,901 | $ | 9,836,068 | $ | 178,080,381 | $ | 4,090,614 | $ | 110,240,535 | $ | 2,565,346 |
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 / Notional Amounts | Fair Value | Percentage of Members’ Capital | 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 | % | $ | 9,085,145 | 12.39 | % | ||||||||||||||||
Total exchange memberships | $ | 9,085,145 | 12.39 | % | $ | 9,085,145 | 12.39 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 1,237,134 | 1.68 | % | $ | 1,237,134 | 1.68 | % | ||||||||||||||||
Interest rate | (476,955 | ) | (0.65 | )% | (476,955 | ) | (0.65 | )% | ||||||||||||||||
U.S. bond | 130,375 | 0.18 | % | 130,375 | 0.18 | % | ||||||||||||||||||
U.S. index | (1,226,851 | ) | (1.67 | )% | (1,226,851 | ) | (1.67 | )% | ||||||||||||||||
Total futures | (336,297 | ) | (0.46 | )% | (336,297 | ) | (0.46 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 1,113,521 | 1.52 | % | 1,113,521 | 1.52 | % | ||||||||||||||||||
Total forwards | 1,113,521 | 1.52 | % | 1,113,521 | 1.52 | % | ||||||||||||||||||
Options (cost $26,424,623) | ||||||||||||||||||||||||
Commodity futures | 1,442,372 | 1.97 | % | 1,442,372 | 1.97 | % | ||||||||||||||||||
Currency futures | 3,844,021 | 5.24 | % | 3,844,021 | 5.24 | % | ||||||||||||||||||
Foreign bond futures | 272,025 | 0.37 | % | 272,025 | 0.37 | % | ||||||||||||||||||
Interest rate futures | ||||||||||||||||||||||||
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call | 3 | 1,073,538 | 1.46 | % | 3 | 1,073,538 | 1.46 | % | ||||||||||||||||
IMM Euro December 2022, $98.25 - $98.88 Put | 3 | 5,652,300 | 7.71 | % | 3 | 5,652,300 | 7.71 | % | ||||||||||||||||
Other interest rate futures | (252,463 | ) | (0.35 | )% | (252,463 | ) | (0.35 | )% | ||||||||||||||||
U.S. bond futures | 796,750 | 1.09 | % | 796,750 | 1.09 | % | ||||||||||||||||||
U.S. index futures | 1,249,360 | 1.70 | % | 1,249,360 | 1.70 | % | ||||||||||||||||||
Total options | 14,077,903 | 19.19 | % | 14,077,903 | 19.19 | % | ||||||||||||||||||
Swaps | ||||||||||||||||||||||||
Commodity | (280,016 | ) | (0.38 | )% | (280,016 | ) | (0.38 | )% | ||||||||||||||||
Total swaps | (280,016 | ) | (0.38 | )% | (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 | Number of Contracts / Notional Amounts | 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 | % |
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 | $ | 160,157,100 | 2,478 | $ | (17,824,150 | ) | (294 | ) | $ | 4,113,190 | $ | (2,892,856 | ) | $ | 160,157,100 | 2,478 | $ | (17,824,150 | ) | (294 | ) | $ | 4,113,190 | $ | (2,892,856 | ) | ||||||||||||||||||||||
Options (a) | 51,917,266 | 2,529 | (25,606,504 | ) | (2,187 | ) | 1,442,372 | (708,089 | ) | 51,917,266 | 2,529 | (25,606,504 | ) | (2,187 | ) | 1,442,372 | (708,089 | ) | ||||||||||||||||||||||||||||||
Swaps | 74,719,984 | 400,930 | - | - | - | (280,016 | ) | 74,719,984 | 400,930 | - | - | - | (280,016 | ) | ||||||||||||||||||||||||||||||||||
286,794,350 | 405,937 | (43,430,654 | ) | (2,481 | ) | 5,555,562 | (3,880,961 | ) | 286,794,350 | 405,937 | (43,430,654 | ) | (2,481 | ) | 5,555,562 | (3,880,961 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 189,776,655 | 1,808 | (142,021,171 | ) | (1,378 | ) | 1,190,740 | (4,743,008 | ) | 189,776,655 | 1,808 | (142,021,171 | ) | (1,378 | ) | 1,190,740 | (4,743,008 | ) | ||||||||||||||||||||||||||||||
Options (a) | 87,618,175 | 2,939 | (28,825,458 | ) | (2,194 | ) | 1,249,360 | (384,000 | ) | 87,618,175 | 2,939 | (28,825,458 | ) | (2,194 | ) | 1,249,360 | (384,000 | ) | ||||||||||||||||||||||||||||||
277,394,830 | 4,747 | (170,846,629 | ) | (3,572 | ) | 2,440,100 | (5,127,008 | ) | 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 | 1,008,305,622 | N/A | (818,213,619 | ) | N/A | 3,203,077 | (2,019,411 | ) | 1,008,305,622 | N/A | (818,213,619 | ) | N/A | 3,203,077 | (2,019,411 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 587,964,589 | 27 | (523,304,530 | ) | (37 | ) | 3,844,020 | (722,251 | ) | 587,964,589 | 27 | (523,304,530 | ) | (37 | ) | 3,844,020 | (722,251 | ) | ||||||||||||||||||||||||||||||
1,596,270,211 | 27 | (1,341,518,149 | ) | (37 | ) | 7,047,097 | (2,741,662 | ) | 1,596,270,211 | 27 | (1,341,518,149 | ) | (37 | ) | 7,047,097 | (2,741,662 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 2,879,608,916 | 11,873 | (6,021,325,916 | ) | (33,248 | ) | 7,251,046 | (714,751 | ) | 2,879,608,916 | 11,873 | (6,021,325,916 | ) | (33,248 | ) | 7,251,046 | (714,751 | ) | ||||||||||||||||||||||||||||||
Options (a) | 1,499,806,595 | 40,301 | (1,722,139,616 | ) | (41,722 | ) | 10,070,543 | (9,927,683 | ) | 1,499,806,595 | 40,301 | (1,722,139,616 | ) | (41,722 | ) | 10,070,543 | (9,927,683 | ) | ||||||||||||||||||||||||||||||
4,379,415,511 | 52,174 | (7,743,465,532 | ) | (74,970 | ) | 17,321,589 | (10,642,434 | ) | 4,379,415,511 | 52,174 | (7,743,465,532 | ) | (74,970 | ) | 17,321,589 | (10,642,434 | ) | |||||||||||||||||||||||||||||||
Total | $ | 6,539,874,902 | 462,885 | $ | (9,299,260,964 | ) | (81,060 | ) | $ | 32,364,348 | $ | (22,392,065 | ) | $ | 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 | $ | 229,290,080 | 3,427 | $ | (87,412,380 | ) | (780 | ) | $ | 7,152,836 | $ | (2,498,040 | ) | $ | 229,290,080 | 3,427 | $ | (87,412,380 | ) | (780 | ) | $ | 7,152,836 | $ | (2,498,040 | ) | ||||||||||||||||||||||
229,290,080 | 3,427 | (87,412,380 | ) | (780 | ) | 7,152,836 | (2,498,040 | ) | 229,290,080 | 3,427 | (87,412,380 | ) | (780 | ) | 7,152,836 | (2,498,040 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 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 | ) | ||||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | |||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 197,256,363 | N/A | (550,659,993 | ) | N/A | 3,484,404 | (5,826,844 | ) | 197,256,363 | N/A | (550,659,993 | ) | N/A | 3,484,404 | (5,826,844 | ) | ||||||||||||||||||||||||||||||||
Futures | 6,531,283 | 66 | (8,079,620 | ) | (87 | ) | 12,605 | (89,256 | ) | 6,531,283 | 66 | (8,079,620 | ) | (87 | ) | 12,605 | (89,256 | ) | ||||||||||||||||||||||||||||||
203,787,646 | 66 | (558,739,613 | ) | (87 | ) | 3,497,009 | (5,916,100 | ) | 203,787,646 | 66 | (558,739,613 | ) | (87 | ) | 3,497,009 | (5,916,100 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | ||||||||||||||||||||||||||||||
1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | |||||||||||||||||||||||||||||||
Total | $ | 2,208,277,535 | 12,444 | $ | (1,241,649,701 | ) | (4,283 | ) | $ | 16,398,025 | $ | (14,100,426 | ) | $ | 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 | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 32,364,348 | $ | (22,112,049 | ) | $ | 10,252,299 | $ | – | $ | 10,252,299 | |||||||||
Derivative liabilities | $ | (22,392,065 | ) | $ | 22,112,049 | $ | (280,016 | ) | $ | 280,016 | $ | – | ||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 16,398,025 | $ | (10,651,530 | ) | $ | 5,746,495 | $ | – | $ | 5,746,495 | |||||||||
Derivative liabilities | $ | (14,100,426 | ) | $ | 10,651,530 | $ | (3,448,896 | ) | $ | 3,448,896 | $ | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment (loss) | $ | (2,215 | ) | $ | (1,894 | ) | ||
Net realized gain on investments | 138,893,184 | 17,766,111 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 9,806,624 | (15,583,260 | ) | |||||
Brokerage commissions and fees | (1,174,935 | ) | (69,436 | ) | ||||
Net gain on investments | 147,524,873 | 2,113,415 | ||||||
Net income | $ | 147,522,658 | $ | 2,111,521 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (8,180 | ) | $ | (36,279 | ) | ||
Net realized loss on investments | (17,162,790 | ) | (2,960,753 | ) | ||||
Net increase (decrease) in unrealized appreciation on investments | 11,134,791 | (4,663,160 | ) | |||||
Brokerage commissions and fees | (1,407,894 | ) | (96,449 | ) | ||||
Net loss on investments | (7,435,893 | ) | (7,720,362 | ) | ||||
Net loss | $ | (7,444,073 | ) | $ | (7,756,641 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (33,915 | ) | $ | (38,266 | ) | ||
Net realized gain on investments | 132,850,045 | 29,199,472 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 12,238,325 | (21,345,697 | ) | |||||
Brokerage commissions and fees | (3,936,077 | ) | (242,052 | ) | ||||
Net gain on investments | 141,152,293 | 7,611,723 | ||||||
Net income | $ | 141,118,378 | $ | 7,573,457 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||
Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 2,503,326 | $ | (6,195,506 | ) | $ | 18,616,257 | $ | (13,504,895 | ) | $ | (2,605,574 | ) | $ | 574,119 | $ | 4,240,436 | $ | 5,735,283 | |||||||||||||
Options | (1,301,862 | ) | 1,010,316 | – | – | (2,610,623 | ) | 843,838 | – | – | ||||||||||||||||||||||
1,201,464 | (5,185,190 | ) | 18,616,257 | (13,504,895 | ) | (5,216,197 | ) | 1,417,957 | 4,240,436 | 5,735,283 | ||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | 27,780,064 | (954,906 | ) | 14,129,733 | (5,639,093 | ) | 24,034,981 | (604,229 | ) | (1,217,779 | ) | (7,785,755 | ) | |||||||||||||||||||
Options | (2,139,341 | ) | 1,693,318 | – | – | 2,601,118 | (3,116,666 | ) | – | – | ||||||||||||||||||||||
25,640,723 | 738,412 | 14,129,733 | (5,639,093 | ) | 26,636,099 | (3,720,895 | ) | (1,217,779 | ) | (7,785,755 | ) | |||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 8,248,143 | (1,381,872 | ) | (3,914,165 | ) | 5,505,995 | 19,135,238 | (1,071,665 | ) | 1,619,350 | 4,375,767 | |||||||||||||||||||||
Futures | – | – | (79,408 | ) | (171,708 | ) | – | – | (114,799 | ) | 201,388 | |||||||||||||||||||||
Options | 4,563,655 | (2,263,513 | ) | – | – | (12,877,402 | ) | 3,035,847 | – | – | ||||||||||||||||||||||
12,811,798 | (3,645,385 | ) | (3,993,573 | ) | 5,334,287 | 6,257,836 | 1,964,182 | 1,504,551 | 4,577,155 | |||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | 96,371,602 | 7,686,430 | (11,018,255 | ) | (1,850,881 | ) | (46,329,837 | ) | 12,639,325 | (7,487,961 | ) | (7,057,475 | ) | |||||||||||||||||||
Options | 9,279,435 | 2,952,746 | – | – | 1,489,313 | (557,440 | ) | – | – | |||||||||||||||||||||||
105,651,037 | 10,639,176 | (11,018,255 | ) | (1,850,881 | ) | (44,840,524 | ) | 12,081,885 | (7,487,961 | ) | (7,057,475 | ) | ||||||||||||||||||||
Total | $ | 145,305,022 | $ | 2,547,013 | $ | 17,734,162 | $ | (15,660,582 | ) | $ | (17,162,786 | ) | $ | 11,743,129 | $ | (2,960,753 | ) | $ | (4,530,792 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) on investments | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 24,442,275 | $ | (1,029,560 | ) | $ | 38,057,940 | $ | (4,850,589 | ) | ||||||
Options | (1,347,850 | ) | 2,427,920 | – | – | |||||||||||
23,094,425 | 1,398,360 | 38,057,940 | (4,850,589 | ) | ||||||||||||
Equity price | ||||||||||||||||
Futures | 68,394,796 | 1,615,737 | 21,551,267 | (12,801,399 | ) | |||||||||||
Options | 806,270 | (884,118 | ) | – | – | |||||||||||
69,201,066 | 731,619 | 21,551,267 | (12,801,399 | ) | ||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 32,060,922 | 950,871 | (3,614,587 | ) | 7,249,609 | |||||||||||
Futures | – | – | (443,979 | ) | 38,616 | |||||||||||
Options | (18,380,177 | ) | (5,262,379 | ) | – | – | ||||||||||
13,680,745 | (4,311,508 | ) | (4,058,566 | ) | 7,288,225 | |||||||||||
Interest rate | ||||||||||||||||
Futures | 25,411,341 | 6,790,653 | (26,394,240 | ) | (11,019,286 | ) | ||||||||||
Options | 7,874,310 | 576,228 | – | – | ||||||||||||
33,285,651 | 7,366,881 | (26,394,240 | ) | (11,019,286 | ) | |||||||||||
Total | $ | 139,261,887 | $ | 5,185,352 | $ | 29,156,401 | $ | (21,383,049 | ) |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 547,165,522 | $ | 782,211,779 | $ | 404,572,657 | $ | 782,211,779 | ||||||||
Investments in fixed income securities (amortized cost $6,249,649,378 and $5,216,759,460, respectively) | 6,249,649,378 | 5,216,759,460 | ||||||||||||||
Investments in fixed income securities (amortized cost $6,490,048,477 and $5,216,759,460, respectively) | 6,490,048,477 | 5,216,759,460 | ||||||||||||||
Interest receivable | 12,322,340 | 14,020,531 | 6,874,814 | 14,020,531 | ||||||||||||
Total assets | 6,809,137,240 | 6,012,991,770 | 6,901,495,948 | 6,012,991,770 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to broker | 13,260 | 13,258 | 23,969 | 13,258 | ||||||||||||
Total liabilities | 13,260 | 13,258 | 23,969 | 13,258 | ||||||||||||
Members’ capital | $ | 6,809,123,980 | $ | 6,012,978,512 | $ | 6,901,471,979 | $ | 6,012,978,512 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||
2022 | 2021 | |||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 2,909,295 | $ | 2,447,157 | $ | 17,640,492 | $ | 1,221,129 | $ | 29,827,633 | $ | 4,796,124 | ||||||||||||
Total investment income | 17,640,492 | 1,221,129 | 29,827,633 | 4,796,124 | ||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 94,559 | 52,414 | 97,935 | 53,084 | 266,378 | 156,190 | ||||||||||||||||||
Total expenses | 94,559 | 52,414 | 97,935 | 53,084 | 266,378 | 156,190 | ||||||||||||||||||
Net investment income | 2,814,736 | 2,394,743 | 17,542,557 | 1,168,045 | 29,561,255 | 4,639,934 | ||||||||||||||||||
Net income | $ | 2,814,736 | $ | 2,394,743 | $ | 17,542,557 | $ | 1,168,045 | $ | 29,561,255 | $ | 4,639,934 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||
Investments in Fixed Income Securities (amortized cost $6,249,649,378) | |||||||||||||
United States | |||||||||||||
Government Bonds (amortized cost $5,799,970,552) | |||||||||||||
U.S. Treasury bonds 0.13% - 2.25% due 4/15/2022 – 7/31/2023 | $ | 5,800,000,000 | $ | 5,799,970,552 | 85.18 | % | |||||||
Total Government Bonds | 5,799,970,552 | 85.18 | % | ||||||||||
Treasury Bills (amortized cost $449,678,826) | |||||||||||||
U.S. Treasury bill 0.00% due 4/07/2022 – 8/25/2022 | 450,000,000 | 449,678,826 | 6.60 | % | |||||||||
Total Treasury Bills | 449,678,826 | 6.60 | % | ||||||||||
Total United States | 6,249,649,378 | 91.78 | % | ||||||||||
Total Investments in Fixed Income Securities | $ | 6,249,649,378 | 91.78 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $6,490,048,476) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $5,690,581,488) | ||||||||||||
U.S. Treasury bond 0.13% due 1/31/2023 | $ | 350,000,000 | $ | 348,277,550 | 5.05 | % | ||||||
U.S. Treasury bonds 0.13% - 1.63% due 10/15/2022 – 12/31/2023 | 5,400,000,000 | 5,342,303,938 | 77.41 | % | ||||||||
Total Government Bonds | 5,690,581,488 | 82.46 | % | |||||||||
Treasury Bills (amortized cost $799,466,989) | ||||||||||||
U.S. Treasury bill 0.00% 10/11/2022 | 350,000,000 | 349,773,684 | 5.07 | % | ||||||||
U.S. Treasury bill 0.00% due 10/04/2022 – 10/25/2022 | 450,000,000 | 449,693,305 | 6.51 | % | ||||||||
Total Treasury Bills | 799,466,989 | 11.58 | % | |||||||||
Total United States | 6,490,048,477 | 94.04 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 6,490,048,477 | 94.04 | % |
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 | % |
March 31, 2022 | December 31, 2021 | September 30, 2022 | December 31, 2021 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 5,799,970,552 | $ | 4,816,763,885 | $ | 5,690,581,488 | $ | 4,816,763,885 | ||||||||
Treasury bills | 449,678,826 | 399,995,575 | 799,466,989 | 399,995,575 | ||||||||||||
Total fixed income securities | 6,249,649,378 | 5,216,759,460 | 6,490,048,477 | 5,216,759,460 | ||||||||||||
Total Level 2 | 6,249,649,378 | 5,216,759,460 | 6,490,048,477 | 5,216,759,460 | ||||||||||||
Total assets | $ | 6,249,649,378 | $ | 5,216,759,460 | $ | 6,490,048,477 | $ | 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, December 31, 2020 | $ | 173.06 | $ | 124.23 | ||||||||||||
Net asset value per Unit, June 30, 2021 | $ | 183.44 | $ | 131.28 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.36 | ) | (1.22 | ) | ||||||||||||
Net loss on investments | (2.50 | ) | (1.78 | ) | ||||||||||||
Net loss | (3.86 | ) | (3.00 | ) | ||||||||||||
Net asset value per Unit, September 30, 2021 | $ | 179.58 | $ | 128.28 | ||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (3.08 | ) | (2.40 | ) | (4.04 | ) | (3.12 | ) | ||||||||
Net gain on investments | 11.46 | 8.22 | 16.13 | 11.47 | ||||||||||||
Net income | 8.38 | 5.82 | 12.09 | 8.35 | ||||||||||||
Net asset value per Unit, March 31, 2021 | $ | 181.44 | $ | 130.05 | ||||||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (5.52 | ) | (4.04 | ) | ||||||||||||
Net gain on investments | 30.00 | 21.38 | ||||||||||||||
Net income | 24.48 | 17.34 | ||||||||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net asset value per Unit, September 30, 2022 | $ | 230.05 | $ | 163.40 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||
Total return before Incentive Allocation | 16.36 | % | 6.06 | % | 16.14 | % | 5.88 | % | 6.94 | % | (2.10 | )% | 6.74 | % | (2.29 | )% | ||||||||||||||||||
Incentive Allocation | (2.48 | ) | (1.22 | ) | (2.34 | ) | (1.19 | ) | (1.39 | ) | 0.00 | (1.35 | ) | 0.00 | ||||||||||||||||||||
Total return after Incentive Allocation | 13.88 | % | 4.84 | % | 13.80 | % | 4.69 | % | 5.55 | % | (2.10 | )% | 5.39 | % | (2.29 | )% | ||||||||||||||||||
Net investment loss before Incentive Allocation | (0.63 | )% | (0.56 | )% | (0.82 | )% | (0.75 | )% | (0.47 | )% | (0.76 | )% | (0.66 | )% | (0.95 | )% | ||||||||||||||||||
Incentive Allocation | (2.30 | ) | (1.20 | ) | (2.18 | ) | (1.16 | ) | (1.37 | ) | 0.00 | (1.34 | ) | 0.00 | ||||||||||||||||||||
Net investment loss after Incentive Allocation | (2.93 | )% | (1.76 | )% | (3.00 | )% | (1.91 | )% | (1.84 | )% | (0.76 | )% | (2.00 | )% | (0.95 | )% | ||||||||||||||||||
Total expenses before Incentive Allocation | 0.67 | % | 0.60 | % | 0.86 | % | 0.79 | % | 0.73 | % | 0.77 | % | 0.92 | % | 0.96 | % | ||||||||||||||||||
Incentive Allocation | 2.30 | 1.20 | 2.18 | 1.16 | 1.37 | 0.00 | 1.34 | 0.00 | ||||||||||||||||||||||||||
Total expenses after Incentive Allocation | 2.97 | % | 1.80 | % | 3.04 | % | 1.95 | % | 2.10 | % | 0.77 | % | 2.26 | % | 0.96 | % |
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 | (6.29 | ) | (5.20 | ) | ||||
Net gain on investments | 12.81 | 9.25 | ||||||
Net income | 6.52 | 4.05 | ||||||
Net asset value per Unit, September 30, 2021 | $ | 179.58 | $ | 128.28 | ||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (15.29 | ) | (11.35 | ) | ||||
Net gain on investments | 69.07 | 49.07 | ||||||
Net income | 53.78 | 37.72 | ||||||
Net asset value per Unit, September 30, 2022 | $ | 230.05 | $ | 163.40 |
Class 0 | Class 2 | ||||||||||||||||
2022 | 2021 | 2022 | 2021 | ||||||||||||||
Total return before Incentive Allocation | 37.56 | % | 5.35 | % | 36.47 | % | 4.84 | % | |||||||||
Incentive Allocation | (7.05 | ) | (1.58 | ) | (6.46 | ) | (1.58 | ) | |||||||||
Total return after Incentive Allocation | 30.51 | % | 3.77 | % | 30.01 | % | 3.26 | % | |||||||||
Net investment loss before Incentive Allocation | (1.71 | )% | (2.03 | )% | (2.27 | )% | (2.60 | )% | |||||||||
Incentive Allocation | (5.75 | ) | (1.48 | ) | (5.48 | ) | (1.46 | ) | |||||||||
Net investment loss after Incentive Allocation | (7.46 | )% | (3.51 | )% | (7.75 | )% | (4.06 | )% | |||||||||
Total expenses before Incentive Allocation | 2.15 | % | 2.09 | % | 2.72 | % | 2.66 | % | |||||||||
Incentive Allocation | 5.75 | 1.48 | 5.48 | 1.46 | |||||||||||||
Total expenses after Incentive Allocation | 7.90 | % | 3.57 | % | 8.20 | % | 4.12 | % |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
Agriculture / Softs | $ | 257,184 | $ | (218,021 | ) | |||
Base Metals | 121,490 | 12,699 | ||||||
Commodity Mix | (63,403 | ) | ||||||
Energy | 1,624,971 | (390,370 | ) | |||||
Equities | 541,905 | (135,976 | ) | |||||
Foreign Exchange | 493,252 | 1,599,141 | ||||||
Long Term / Intermediate Rates | 833,571 | 950,889 | ||||||
Precious Metals | 56,930 | 30,340 | ||||||
Short Term Rates | 441,987 | 353,651 | ||||||
$ | 4,307,887 | $ | 2,202,353 |
Agriculture / Softs | $ | (145,219 | ) | |
Base Metals | 125,655 | |||
Commodity Mix | (63,403 | ) | ||
Energy | 1,632,107 | |||
Equities | 812,295 | |||
Foreign Exchange | 3,407,985 | |||
Long Term / Intermediate Rates | 3,152,596 | |||
Precious Metals | (128,944 | ) | ||
Short Term Rates | 928,007 | |||
$ | 9,721,079 |
Agriculture / Softs | )% | |||
Base Metals | % | |||
Energy | )% | |||
Equities | ( | )% | ||
Foreign Exchange | % | |||
Long Term / Intermediate Rates | % | |||
Precious Metals | % | |||
Short Term Rates | 27.4 | % | ||
100.0 | % |
Agriculture / Softs | $ | 126,681 | $ | (38,379 | ) | |||
Base Metals | 171,832 | (12,654 | ) | |||||
Energy | 29,429 | 415,024 | ||||||
Equities | 734,594 | (19,966 | ) | |||||
Foreign Exchange | 162,439 | 260,414 | ||||||
Long Term / Intermediate Rates | 827,808 | (913,480 | ) | |||||
Precious Metals | (179,631 | ) | (113,466 | ) | ||||
Short Term Rates | 57,918 | 49,682 | ||||||
$ | 1,931,070 | $ | (372,825 | ) |
Agriculture / Softs | $ | 547,749 | ||
Base Metals | 357,171 | |||
Energy | 1,122,586 | |||
Equities | 1,481,247 | |||
Foreign Exchange | 147,337 | |||
Long Term / Intermediate Rates | (1,326,006 | ) | ||
Precious Metals | (297,824 | ) | ||
Short Term Rates | 202,249 | |||
$ | 2,234,509 |
Agriculture / Softs | ( | )% | ||
Base Metals | )% | |||
Energy | ( | )% | ||
Equities | % | |||
Foreign Exchange | )% | |||
Long Term / Intermediate Rates | % | |||
Precious Metals | ( | )% | ||
Short Term Rates | % | |||
100.0 | % |
(ii) Liquidity |
Core Macro Portfolio | |||||
% | |||||
December 31, 2021 | 8.63 | % | |||
% |
(iii) Capital Resources |
(iv) Critical Accounting Estimates |
Date | (a) Total Number of Units Purchased1 | (b) Average Price Paid per Unit | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs | ||||||||||||||
January 1 – January 31, 2022 | 3,740.984 | $ | 158.62 | N/A | N/A | |||||||||||||
February 1 – February 28, 2022 | 518.534 | $ | 190.87 | N/A | N/A | |||||||||||||
March 1 – March 31, 2022 | 443.436 | $ | 200.75 | N/A | N/A | |||||||||||||
TOTAL | 4,702.954 | $ | 166.15 | N/A | N/A |
Date | (a) Total Number of Units Purchased1 | (b) Average Price Paid per Unit | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs | |||
July 1 – July 31, 2022 | 282.137 | $ | 212.28 | N/A | N/A | ||
August 1 – August 31, 2022 | 1,191.601 | $ | 196.71 | N/A | N/A | ||
September 1 – September 30, 2022 | 836.960 | $ | 230.05 | N/A | N/A | ||
TOTAL | 2,310.698 | $ | 210.68 | N/A | N/A |
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 | |
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) | |
† 101.INS | Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document) |
† 101.SCH | Inline XBRL Taxonomy Extension Schema Document |
† 101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document |
† 101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document |
† 101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document |
† 101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document |
† 104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
* | Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010 |
** | Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013 |
*** | Incorporated by reference to the Fund’s Form 8-K previously filed on May 10, 2022 |
† | Filed herewith |
Dated: | 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 |