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 | |||
Graham Alternative Investment Trading LLC | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Certification | |||
Certification | |||
Certification |
Item 1. | Financial Statements |
March 31, 2023 (Unaudited) | December 31, 2022 (Audited) | June 30, 2023 (Unaudited) | December 31, 2022 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,158,121 | $ | 28,825,841 | $ | 29,114,521 | $ | 28,825,841 | ||||||||
Cash and cash equivalents | 230,000 | – | ||||||||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 75,000 | 519,852 | 40,000 | 519,852 | ||||||||||||
Total assets | $ | 28,233,121 | $ | 29,345,693 | $ | 29,384,521 | $ | 29,345,693 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Subscription received in advance | $ | 230,000 | $ | – | ||||||||||||
Redemptions payable | $ | 75,000 | $ | 519,852 | 40,000 | 519,852 | ||||||||||
Total liabilities | 75,000 | 519,852 | 270,000 | 519,852 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (69,724.514 and 70,066.654 units issued and outstanding at $219.21 and $224.59, respectively) | 15,284,180 | 15,735,969 | ||||||||||||||
Class 2 Units (82,995.282 and 82,214.218 units issued and outstanding at $155.12 and $159.22, respectively) | 12,873,941 | 13,089,872 | ||||||||||||||
Class 0 Units (71,391.814 and 70,066.654 units issued and outstanding at $223.94 and $224.59, respectively) | 15,987,381 | 15,735,969 | ||||||||||||||
Class 2 Units (82,995.282 and 82,214.218 units issued and outstanding at $158.17 and $159.22, respectively) | 13,127,140 | 13,089,872 | ||||||||||||||
Total members’ capital | 28,158,121 | 28,825,841 | 29,114,521 | 28,825,841 | ||||||||||||
Total liabilities and members’ capital | $ | 28,233,121 | $ | 29,345,693 | $ | 29,384,521 | $ | 29,345,693 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net realized gain on investments | $ | 281,524 | $ | 3,653,943 | ||||||||||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (974,497 | ) | 653,944 | |||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net realized (loss) gain on investment | $ | (109,412 | ) | $ | 4,320,243 | $ | 172,112 | $ | 7,974,186 | |||||||||||||||
Net increase (decrease) in unrealized appreciation on investment | 725,655 | (1,109,404 | ) | (248,842 | ) | (455,460 | ) | |||||||||||||||||
Brokerage commissions and fees | (24,704 | ) | (22,817 | ) | (15,955 | ) | (29,839 | ) | (40,659 | ) | (52,656 | ) | ||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC | (717,677 | ) | 4,285,070 | |||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 600,288 | 3,181,000 | (117,389 | ) | 7,466,070 | |||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest income | 191,178 | 9,666 | 239,342 | 37,514 | 430,520 | 47,180 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Advisory fees | 107,666 | 103,018 | 106,766 | 112,856 | 214,432 | 215,874 | ||||||||||||||||||
Sponsor fees | 60,409 | 56,223 | 59,848 | 62,109 | 120,257 | 118,332 | ||||||||||||||||||
Professional fees | 6,987 | 32,128 | 66,398 | 49,325 | 73,385 | 81,453 | ||||||||||||||||||
Administrator’s fee | 9,103 | 8,741 | 9,137 | 9,362 | 18,240 | 18,103 | ||||||||||||||||||
Operating expenses | 4,842 | – | 4,431 | 1,538 | 9,273 | 1,538 | ||||||||||||||||||
Interest expense | 1,652 | 1,603 | 1,650 | 1,581 | 3,302 | 3,184 | ||||||||||||||||||
Incentive allocation | 562 | 602,005 | – | 596,349 | 562 | 1,198,354 | ||||||||||||||||||
Total expenses | 191,221 | 803,718 | 248,230 | 833,120 | 439,451 | 1,636,838 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (43 | ) | (794,052 | ) | (8,888 | ) | (795,606 | ) | (8,931 | ) | (1,589,658 | ) | ||||||||||||
Net (loss) income | $ | (717,720 | ) | $ | 3,491,018 | |||||||||||||||||||
Net income (loss) | $ | 591,400 | $ | 2,385,394 | $ | (126,320 | ) | $ | 5,876,412 |
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 |
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, 2022 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 | ||||||||||||||||||||||||
Subscriptions | – | – | 781.064 | 125,000 | 125,000 | – | – | 781.064 | 125,000 | 125,000 | ||||||||||||||||||||||||||||||
Redemptions | (342.140 | ) | (75,000 | ) | – | – | (75,000 | ) | (342.140 | ) | (75,000 | ) | – | – | (75,000 | ) | ||||||||||||||||||||||||
Net loss | – | (376,789 | ) | – | (340,931 | ) | (717,720 | ) | – | (376,789 | ) | – | (340,931 | ) | (717,720 | ) | ||||||||||||||||||||||||
Members’ capital, March 31, 2023 | 69,724.514 | $ | 15,284,180 | 82,995.282 | $ | 12,873,941 | $ | 28,158,121 | 69,724.514 | 15,284,180 | 82,995.282 | 12,873,941 | 28,158,121 | |||||||||||||||||||||||||||
Subscriptions | 1,845.920 | 405,000 | – | – | 405,000 | |||||||||||||||||||||||||||||||||||
Redemptions | (178.620 | ) | (40,000 | ) | – | – | (40,000 | ) | ||||||||||||||||||||||||||||||||
Net income | – | 338,201 | – | 253,199 | 591,400 | |||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2023 | 71,391.814 | $ | 15,987,381 | 82,995.282 | $ | 13,127,140 | $ | 29,114,521 |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Cash flows provided by operating activities | ||||||||
Net (loss) income | $ | (717,720 | ) | $ | 3,491,018 | |||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 717,720 | (3,491,018 | ) | |||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 519,852 | 946,159 | ||||||
Investment in Graham Alternative Investment Trading LLC | (125,000 | ) | – | |||||
Net cash provided by operating activities | 394,852 | 946,159 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | 125,000 | – | ||||||
Redemptions (net of redemptions payable) | (519,852 | ) | (946,159 | ) | ||||
Net cash used in financing activities | (394,852 | ) | (946,159 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 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 |
Six Months Ended June 30, | ||||||||
2023 | 2022 | |||||||
Cash flows provided by operating activities | ||||||||
Net (loss) income | $ | (126,320 | ) | $ | 5,876,412 | |||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 126,320 | (5,876,412 | ) | |||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 594,852 | 1,845,423 | ||||||
Investment in Graham Alternative Investment Trading LLC | (530,000 | ) | – | |||||
Net cash provided by operating activities | 64,852 | 1,845,423 | ||||||
Cash flows provided by (used in) financing activities | ||||||||
Subscriptions (net of subscription received in advance) | 760,000 | – | ||||||
Redemptions (net of redemptions payable) | (594,852 | ) | (1,845,423 | ) | ||||
Net cash provided by (used in) financing activities | 165,148 | (1,845,423 | ) | |||||
Net change in cash and cash equivalents | 230,000 | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | 230,000 | $ | – |
• | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
• | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. |
• | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (5.51 | ) | (4.03 | ) | (5.66 | ) | (4.19 | ) | ||||||||
Net gain on investments | 29.99 | 21.37 | 22.87 | 16.22 | ||||||||||||
Net income | 24.48 | 17.34 | 17.21 | 12.03 | ||||||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||||||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | ||||||||||||
Net loss: | ||||||||||||||||
Net asset value per Unit, March 31, 2023 | $ | 219.21 | $ | 155.12 | ||||||||||||
Net income: | ||||||||||||||||
Net investment income (loss) | 0.19 | (0.16 | ) | 0.12 | (0.21 | ) | ||||||||||
Net loss on investments | (5.57 | ) | (3.94 | ) | ||||||||||||
Net loss | (5.38 | ) | (4.10 | ) | ||||||||||||
Net asset value per Unit, March 31, 2023 | $ | 219.21 | $ | 155.12 | ||||||||||||
Net gain on investments | 4.61 | 3.26 | ||||||||||||||
Net income | 4.73 | 3.05 | ||||||||||||||
Net asset value per Unit, June 30, 2023 | $ | 223.94 | $ | 158.17 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||
Total return before Incentive Allocation | (2.39 | )% | 16.37 | % | (2.58 | )% | 16.14 | % | 2.16 | % | 10.81 | % | 1.97 | % | 10.52 | % | ||||||||||||||||||
Incentive Allocation | (0.01 | ) | (2.49 | ) | 0.00 | (2.34 | ) | 0.00 | (2.24 | ) | 0.00 | (2.11 | ) | |||||||||||||||||||||
Total return after Incentive Allocation | (2.40 | )% | 13.88 | % | (2.58 | )% | 13.80 | % | 2.16 | % | 8.57 | % | 1.97 | % | 8.41 | % | ||||||||||||||||||
Net investment income (loss) before Incentive Allocation | 0.09 | % | (0.64 | )% | (0.10 | )% | (0.83 | )% | 0.05 | % | (0.60 | )% | (0.13 | )% | (0.79 | )% | ||||||||||||||||||
Incentive Allocation | (0.00 | ) | (2.29 | ) | 0.00 | (2.18 | ) | 0.00 | | (2.09 | ) | 0.00 | (2.01 | ) | ||||||||||||||||||||
Net investment income (loss) after Incentive Allocation | 0.09 | % | (2.93 | )% | (0.10 | )% | (3.01 | )% | 0.05 | % | (2.69 | )% | (0.13 | )% | (2.80 | )% | ||||||||||||||||||
Total expenses before Incentive Allocation | 0.57 | % | 0.67 | % | 0.76 | % | 0.86 | % | 0.79 | % | 0.73 | % | 0.97 | % | 0.92 | % | ||||||||||||||||||
Incentive Allocation | 0.00 | 2.29 | 0.00 | 2.18 | 0.00 | 2.09 | 0.00 | 2.01 | ||||||||||||||||||||||||||
Total expenses after Incentive Allocation | 0.57 | % | 2.96 | % | 0.76 | % | 3.04 | % | 0.79 | % | 2.82 | % | 0.97 | % | 2.93 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (11.19 | ) | (8.22 | ) | ||||
Net gain on investments | 52.88 | 37.59 | ||||||
Net income | 41.69 | 29.37 | ||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | ||||
Net loss: | ||||||||
Net investment income (loss) | 0.31 | (0.37 | ) | |||||
Net loss on investments | (0.96 | ) | (0.68 | ) | ||||
Net loss | (0.65 | ) | (1.05 | ) | ||||
Net asset value per Unit, June 30, 2023 | $ | 223.94 | $ | 158.17 |
Class 0 | Class 2 | ||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||
Total return before Incentive Allocation | (0.28 | )% | 28.83 | % | (0.66 | )% | 28.10 | % | |||||||||
Incentive Allocation | (0.01 | ) | (5.18 | ) | 0.00 | (4.73 | ) | ||||||||||
Total return after Incentive Allocation | (0.29 | )% | 23.65 | % | (0.66 | )% | 23.37 | % | |||||||||
Net investment income (loss) before Incentive Allocation | 0.14 | % | (1.24 | )% | (0.23 | )% | (1.62 | )% | |||||||||
Incentive Allocation | (0.00 | ) | (4.39 | ) | 0.00 | (4.18 | ) | ||||||||||
Net investment income (loss) after Incentive Allocation | 0.14 | % | (5.63 | )% | (0.23 | )% | (5.80 | )% | |||||||||
Total expenses before Incentive Allocation | 1.36 | % | 1.41 | % | 1.73 | % | 1.78 | % | |||||||||
Incentive Allocation | 0.00 | 4.39 | 0.00 | 4.18 | |||||||||||||
Total expenses after Incentive Allocation | 1.36 | % | 5.80 | % | 1.73 | % | 5.96 | % |
March 31, 2023 (Unaudited) | December 31, 2022 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 4,936,323 | $ | 6,078,610 | ||||
Investment in Graham Cash Assets LLC, at fair value | 57,470,028 | 58,599,019 | ||||||
Receivable from Master Funds | 69 | 181 | ||||||
Total assets | $ | 62,406,420 | $ | 64,677,810 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 152,247 | $ | 1,169,444 | ||||
Accrued professional fees | 92,106 | 132,957 | ||||||
Accrued advisory fees | 76,559 | 79,343 | ||||||
Accrued sponsor fees | 41,004 | 42,803 | ||||||
Accrued administrator’s fees | 6,655 | 7,030 | ||||||
Accrued operating expenses | 3,122 | 3,223 | ||||||
Payable to Master Funds | ‑ | 102 | ||||||
Total liabilities | 371,693 | 1,434,902 | ||||||
Members’ capital: | ||||||||
Class 0 Units (162,280.380 and 161,081.937 units issued and outstanding at $219.21 and $224.59 per unit, respectively) | 35,573,195 | 36,176,761 | ||||||
Class 2 Units (156,345.463 and 155,844.459 units issued and outstanding at $155.12 and $159.22 per unit, respectively) | 24,251,739 | 24,813,000 | ||||||
Class M Units (4,671.470 units issued and outstanding at $473.04 and $482.32 per unit, respectively) | 2,209,793 | 2,253,147 | ||||||
Total members’ capital | 62,034,727 | 63,242,908 | ||||||
Total liabilities and members’ capital | $ | 62,406,420 | $ | 64,677,810 |
March 31, 2023 (Unaudited) | December 31, 2022 (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 | $ | 1,700,768 | 2.74 | % | $ | 2,190,592 | 3.46 | % | ||||||||||
Graham Derivatives Strategies LLC | 1,334,220 | 2.15 | % | 794,631 | 1.26 | % | ||||||||||||
Graham K4D Trading Ltd. | 1,901,335 | 3.07 | % | 3,093,387 | 4.89 | % | ||||||||||||
Total investments in Master Funds | $ | 4,936,323 | 7.96 | % | $ | 6,078,610 | 9.61 | % |
June 30, 2023 (Unaudited) | December 31, 2022 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 5,766,414 | $ | 6,078,610 | ||||
Investment in Graham Cash Assets LLC, at fair value | 60,766,554 | 58,599,019 | ||||||
Receivable from Master Funds | 58 | 181 | ||||||
Total assets | $ | 66,533,026 | $ | 64,677,810 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 202,158 | $ | 1,169,444 | ||||
Accrued professional fees | 4,105 | 132,957 | ||||||
Accrued advisory fees | 79,212 | 79,343 | ||||||
Accrued sponsor fees | 41,658 | 42,803 | ||||||
Accrued administrator’s fees | 6,964 | 7,030 | ||||||
Accrued operating expenses | 3,368 | 3,223 | ||||||
Payable to Master Funds | ‑ | 102 | ||||||
Total liabilities | 337,465 | 1,434,902 | ||||||
Members’ capital: | ||||||||
Class 0 Units (175,385.898 and 161,081.937 units issued and outstanding at $223.94 and $224.59 per unit, respectively) | 39,275,689 | 36,176,761 | ||||||
Class 2 Units (155,854.783 and 155,844.459 units issued and outstanding at $158.17 and $159.22 per unit, respectively) | 24,651,098 | 24,813,000 | ||||||
Class M Units (4,671.470 units issued and outstanding at $485.66 and $482.32 per unit, respectively) | 2,268,774 | 2,253,147 | ||||||
Total members’ capital | 66,195,561 | 63,242,908 | ||||||
Total liabilities and members’ capital | $ | 66,533,026 | $ | 64,677,810 |
June 30, 2023 (Unaudited) | December 31, 2022 (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 | $ | 1,407,163 | 2.13 | % | $ | 2,190,592 | 3.46 | % | ||||||||||
Graham Derivatives Strategies LLC | 1,139,312 | 1.72 | % | 794,631 | 1.26 | % | ||||||||||||
Graham K4D Trading Ltd. | 3,219,939 | 4.86 | % | 3,093,387 | 4.89 | % | ||||||||||||
Total investments in Master Funds | $ | 5,766,414 | 8.71 | % | $ | 6,078,610 | 9.61 | % |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Net (loss) gain allocated from investments in Master Funds: | ||||||||||||||||
Net realized (loss) gain on investments | $ | (233,069 | ) | $ | 9,492,282 | $ | 377,282 | $ | 17,473,733 | |||||||
Net increase (decrease) in unrealized appreciation on investments | 1,637,920 | (2,438,962 | ) | (514,279 | ) | (1,016,446 | ) | |||||||||
Brokerage commissions and fees | (35,964 | ) | (65,652 | ) | (90,177 | ) | (115,508 | ) | ||||||||
Net gain (loss) allocated from investments in Master Funds | 1,368,887 | 6,987,668 | (227,174 | ) | 16,341,779 | |||||||||||
Net investment income (loss) allocated from investments in Master Funds | 39,877 | 232 | 95,642 | (3,574 | ) | |||||||||||
Investment income: | ||||||||||||||||
Interest income | 499,316 | 82,257 | 863,185 | 107,069 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 232,229 | 240,555 | 460,118 | 458,706 | ||||||||||||
Sponsor fees | 123,061 | 128,084 | 245,314 | 243,490 | ||||||||||||
Professional fees | 149,466 | 108,449 | 164,780 | 177,834 | ||||||||||||
Administrator’s fee | 20,588 | 20,606 | 40,566 | 39,689 | ||||||||||||
Operating expenses | 9,985 | 3,371 | 20,612 | 3,371 | ||||||||||||
Interest expense | 3,717 | 3,479 | 7,343 | 6,979 | ||||||||||||
Total expenses | 539,046 | 504,544 | 938,733 | 930,069 | ||||||||||||
Net investment loss of the Fund | (39,730 | ) | (422,287 | ) | (75,548 | ) | (823,000 | ) | ||||||||
Net income (loss) | 1,369,034 | 6,565,613 | (207,080 | ) | 15,515,205 | |||||||||||
Incentive allocation | ‑ | (1,269,671 | ) | (132 | ) | (2,550,314 | ) | |||||||||
Net income (loss) available for pro-rata allocation to all members | $ | 1,369,034 | $ | 5,295,942 | $ | (207,212 | ) | $ | 12,964,891 |
Three Months Ended March 31, | ||||||||
2023 | 2022 | |||||||
Net (loss) gain allocated from investments in Master Funds: | ||||||||
Net realized gain on investments | $ | 610,351 | $ | 7,981,451 | ||||
Net (decrease) increase in unrealized appreciation on investments | (2,152,199 | ) | 1,422,516 | |||||
Brokerage commissions and fees | (54,213 | ) | (49,856 | ) | ||||
Net (loss) gain allocated from investments in Master Funds | (1,596,061 | ) | 9,354,111 | |||||
Net investment income (loss) allocated from investments in Master Funds | 55,765 | (3,806 | ) | |||||
Investment income: | ||||||||
Interest income | 363,869 | 24,812 | ||||||
Total investment income | 363,869 | 24,812 | ||||||
Expenses: | ||||||||
Advisory fees | 227,889 | 218,151 | ||||||
Sponsor fees | 122,253 | 115,406 | ||||||
Professional fees | 15,314 | 69,385 | ||||||
Administrator’s fee | 19,978 | 19,083 | ||||||
Operating expenses | 10,627 | ‑ | ||||||
Interest expense | 3,626 | 3,500 | ||||||
Total expenses | 399,687 | 425,525 | ||||||
Net investment loss of the Fund | (35,818 | ) | (400,713 | ) | ||||
Net (loss) income | (1,576,114 | ) | 8,949,592 | |||||
Incentive allocation | (132 | ) | (1,280,643 | ) | ||||
Net (loss) income available for pro-rata allocation to all members | $ | (1,576,246 | ) | $ | 7,668,949 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2022 | 161,081.937 | $ | 36,176,761 | 155,844.459 | $ | 24,813,000 | 4,671.470 | $ | 2,253,147 | $ | 63,242,908 | |||||||||||||||||
Subscriptions | 2,107.202 | 490,000 | 781.064 | 125,000 | – | – | 615,000 | |||||||||||||||||||||
Redemptions | (908.759 | ) | (202,115 | ) | (280.060 | ) | (44,820 | ) | – | (132 | ) | (247,067 | ) | |||||||||||||||
Incentive allocation | – | (132 | ) | – | – | – | 132 | – | ||||||||||||||||||||
Net loss | – | (891,319 | ) | – | (641,441 | ) | – | (43,354 | ) | (1,576,114 | ) | |||||||||||||||||
Members’ capital, March 31, 2023 | 162,280.380 | 35,573,195 | 156,345.463 | 24,251,739 | 4,671.470 | 2,209,793 | 62,034,727 | |||||||||||||||||||||
Subscriptions | 14,208.945 | 3,114,000 | – | – | – | – | 3,114,000 | |||||||||||||||||||||
Redemptions | (1,103.427 | ) | (245,476 | ) | (490.680 | ) | (76,724 | ) | – | – | (322,200 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 833,970 | – | 476,083 | – | 58,981 | 1,369,034 | |||||||||||||||||||||
Members’ capital, June 30, 2023 | 175,385.898 | $ | 39,275,689 | 155,854.783 | $ | 24,651,098 | 4,671.470 | $ | 2,268,774 | $ | 66,195,561 |
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 | 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 | ) | (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 | – | – | (794,593 | ) | – | (486,050 | ) | – | 1,280,643 | – | ||||||||||||||||||||||||||||||||||||||
Net income | – | 5,301,831 | – | 3,368,961 | – | 278,800 | 8,949,592 | – | 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 | 182,719.940 | 36,680,433 | 165,367.572 | 23,651,092 | 4,671.470 | 1,919,147 | 62,250,672 | ||||||||||||||||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (12,737.094 | ) | (2,720,307 | ) | – | – | – | (1,269,671 | ) | (3,989,978 | ) | |||||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (772,392 | ) | – | (497,279 | ) | – | 1,269,671 | – | |||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 3,861,954 | – | 2,486,397 | – | 217,262 | 6,565,613 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2022 | 169,982.846 | $ | 37,049,688 | 165,367.572 | $ | 25,640,210 | 4,671.470 | $ | 2,136,409 | $ | 64,826,307 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2022 | 161,081.937 | $ | 36,176,761 | 155,844.459 | $ | 24,813,000 | 4,671.470 | $ | 2,253,147 | $ | 63,242,908 | |||||||||||||||||
Subscriptions | 2,107.202 | 490,000 | 781.064 | 125,000 | – | – | 615,000 | |||||||||||||||||||||
Redemptions | (908.759 | ) | (202,115 | ) | (280.060 | ) | (44,820 | ) | – | (132 | ) | (247,067 | ) | |||||||||||||||
Incentive allocation | – | (132 | ) | – | – | – | 132 | – | ||||||||||||||||||||
Net loss | – | (891,319 | ) | – | (641,441 | ) | – | (43,354 | ) | (1,576,114 | ) | |||||||||||||||||
Members’ capital, March 31, 2023 | 162,280.380 | $ | 35,573,195 | 156,345.463 | $ | 24,251,739 | 4,671.470 | $ | 2,209,793 | $ | 62,034,727 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Cash flows (used in) provided by operating activities | ||||||||||||||||
Net (loss) income | $ | (1,576,114 | ) | $ | 8,949,592 | $ | (207,080 | ) | $ | 15,515,205 | ||||||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||||||||||
Adjustments to reconcile net (loss) income to net cash (used in) provided by operating activities: | ||||||||||||||||
Net loss (income) allocated from investments in Master Funds | 1,540,296 | (9,350,305 | ) | 131,532 | (16,338,205 | ) | ||||||||||
Net (income) allocated from investment in Graham Cash Assets LLC | (363,869 | ) | (24,812 | ) | (863,185 | ) | (107,069 | ) | ||||||||
Proceeds from sale of investments in Master Funds | 19,692,648 | 21,067,184 | 34,373,956 | 39,890,240 | ||||||||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 14,816,838 | 6,508,136 | 24,009,710 | 18,117,424 | ||||||||||||
Purchases of investments in Master Funds | (20,090,647 | ) | (11,150,718 | ) | (34,193,271 | ) | (22,971,706 | ) | ||||||||
Purchases of investment in Graham Cash Assets LLC | (13,323,978 | ) | (15,022,066 | ) | (25,314,060 | ) | (29,785,308 | ) | ||||||||
Changes in assets and liabilities: | ||||||||||||||||
(Decrease) increase in accrued professional fees | (40,851 | ) | 909 | |||||||||||||
(Decrease) in accrued professional fees | (128,852 | ) | (4,993 | ) | ||||||||||||
(Decrease) increase in accrued advisory fees | (2,784 | ) | 9,797 | (131 | ) | 10,935 | ||||||||||
(Decrease) increase in accrued sponsor fees | (1,799 | ) | 5,226 | (1,145 | ) | 6,344 | ||||||||||
(Decrease) increase in accrued administrator’s fee | (375 | ) | 656 | (66 | ) | 814 | ||||||||||
(Decrease) in accrued operating expenses | (101 | ) | – | |||||||||||||
Net cash provided by operating activities | 649,264 | 993,599 | ||||||||||||||
Increase in accrued operating expenses | 145 | 3,371 | ||||||||||||||
Net cash (used in) provided by operating activities | (2,192,447 | ) | 4,337,052 | |||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Cash flows provided by (used in) financing activities | ||||||||||||||||
Subscriptions | 615,000 | – | 3,729,000 | – | ||||||||||||
Redemptions (net of redemptions payable) | (1,264,264 | ) | (993,599 | ) | (1,536,553 | ) | (4,337,052 | ) | ||||||||
Net cash used in financing activities | (649,264 | ) | (993,599 | ) | ||||||||||||
Net cash provided by (used in) financing activities | 2,192,447 | (4,337,052 | ) | |||||||||||||
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 | $ | 3,626 | $ | 3,500 | $ | 7,343 | $ | 6,979 |
March 31, 2023 | ||||||||||||||||||||||||
June 30, 2023 | June 30, 2023 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (three months ended March 2023) | Percent of Members’ Capital | Fair Value | Net Income (Loss) (six months ended June 2023) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 2.74 | % | $ | 1,700,768 | $ | (121,521 | ) | 2.13 | % | $ | 1,407,163 | $ | (43,296 | ) | ||||||||||
Graham Derivatives Strategies LLC | 2.15 | % | 1,334,220 | (719,679 | ) | 1.72 | % | 1,139,312 | (730,949 | ) | ||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 3.07 | % | 1,901,335 | (699,096 | ) | 4.86 | % | 3,219,939 | 642,713 | |||||||||||||||
7.96 | % | $ | 4,936,323 | $ | (1,540,296 | ) | 8.71 | % | $ | 5,766,414 | $ | (131,532 | ) |
December 31, 2022 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 2022) | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 3.46 | % | $ | 2,190,592 | $ | 3,888,721 | ||||||
Graham Derivatives Strategies LLC | 1.26 | % | 794,631 | 972,140 | ||||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 4.89 | % | 3,093,387 | 4,489,444 | ||||||||
9.61 | % | $ | 6,078,610 | $ | 9,350,305 |
December 31, 2022 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (six months ended June 2022) | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 3.46 | % | $ | 2,190,592 | $ | 7,005,331 | ||||||
Graham Derivatives Strategies LLC | 1.26 | % | 794,631 | 2,155,661 | ||||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 4.89 | % | 3,093,387 | 7,177,213 | ||||||||
9.61 | % | $ | 6,078,610 | $ | 16,338,205 |
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 | $ | 63,642,551 | $ | 32,900,312 | $ | 30,219,610 | $ | 53,577,124 | $ | 26,163,313 | $ | 32,618,613 | ||||||||||||
Derivative financial instruments, at fair value | 5,269,489 | 21,295,807 | – | 3,028,648 | 20,814,767 | 13,493,848 | ||||||||||||||||||
Exchange memberships, at fair value | 7,702,635 | 322,250 | 1,795,009 | 7,451,489 | 314,000 | 1,746,391 | ||||||||||||||||||
Interest receivable | 513,544 | 129,131 | 117,741 | 255,098 | 25,616 | 140,051 | ||||||||||||||||||
Total assets | 77,128,219 | 54,647,500 | 32,132,360 | 64,312,359 | 47,317,696 | 47,998,903 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative financial instruments, at fair value | 4,613,163 | – | 6,625,685 | 3,241,795 | – | – | ||||||||||||||||||
Interest payable | 161,628 | 39,122 | 73,197 | 23,575 | 5,984 | 91,499 | ||||||||||||||||||
Total liabilities | 4,774,791 | 39,122 | 6,698,882 | 3,265,370 | 5,984 | 91,499 | ||||||||||||||||||
Members’ Capital / Net Assets | $ | 72,353,428 | $ | 54,608,378 | $ | 25,433,478 | $ | 61,046,989 | $ | 47,311,712 | $ | 47,907,404 | ||||||||||||
Percentage of Master Fund held by GAIT | 2.35 | % | 2.44 | % | 7.48 | % | 2.31 | % | 2.41 | % | 6.72 | % |
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) | $ | 7,702,635 | 10.65 | % | $ | 7,451,489 | 12.21 | % | ||||||||||||||||
Total exchange memberships | $ | 7,702,635 | 10.65 | % | $ | 7,451,489 | 12.21 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 1,407,493 | 1.95 | % | $ | (160,020 | ) | (0.26 | )% | |||||||||||||||
Foreign bond | (455,866 | ) | (0.63 | )% | ||||||||||||||||||||
Foreign index | 497,429 | 0.69 | % | 271,181 | 0.44 | % | ||||||||||||||||||
Interest rate | (194,093 | ) | (0.32 | )% | ||||||||||||||||||||
U.S. bond | (315,978 | ) | (0.44 | )% | ||||||||||||||||||||
U.S. 2 yr Note (CBT) September 2023 | 9,986 | (5,806,602 | ) | (9.51 | )% | |||||||||||||||||||
U.S. index | 290,142 | 0.48 | % | |||||||||||||||||||||
Nasdaq 100 E-mini June 2023 | 578 | 11,251,821 | 15.55 | % | ||||||||||||||||||||
Total futures | 12,384,899 | 17.12 | % | (5,599,392 | ) | (9.17 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 3,408,208 | 4.71 | % | (525,806 | ) | (0.86 | )% | |||||||||||||||||
Total forwards | 3,408,208 | 4.71 | % | (525,806 | ) | (0.86 | )% | |||||||||||||||||
Options (cost $11,382,247) | ||||||||||||||||||||||||
Options (cost $1,853,992) | ||||||||||||||||||||||||
Currency futures | 3,535,367 | 4.89 | % | 955,590 | 1.57 | % | ||||||||||||||||||
Interest rate futures | 883,394 | 1.45 | % | |||||||||||||||||||||
3 month SOFR, June 2024, $95.00 Put | 1 | 5,046,400 | 6.97 | % | ||||||||||||||||||||
3 month SOFR, March 2024, $94.50 Put | 1 | 3,005,438 | 4.15 | % | ||||||||||||||||||||
U.S. index futures | 45,000 | 0.07 | % | |||||||||||||||||||||
S&P 500 E-mini, June 2023, $3,700.00 - $3,900.00 Put | 3 | 160,875 | 0.22 | % | ||||||||||||||||||||
Total options | 11,748,080 | 16.23 | % | 1,883,984 | 3.09 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (545,695 | ) | (0.75 | )% | |||||||||||||||||||
Foreign bond | $ | (268,875 | ) | (0.44 | )% | |||||||||||||||||||
Japan 10 yr bond June 2023 | (1,150 | ) | (10,433,881 | ) | (14.42 | )% | ||||||||||||||||||
Other foreign bond | (564,729 | ) | (0.78 | )% | ||||||||||||||||||||
Foreign index | (102,747 | ) | (0.14 | )% | ||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
3 month SOFR, March 2024 | (46 | ) | (33,950 | ) | (0.05 | )% | ||||||||||||||||||
Other interest rate | 71,466 | 0.10 | % | |||||||||||||||||||||
U.S. bond | (642,539 | ) | (0.89 | )% | ||||||||||||||||||||
U.S. 5 yr - 10 yr Note (CBT) September 2023 | (10,760 | ) | 2,786,844 | 4.57 | % | |||||||||||||||||||
U.S. Ultra Bond CBT September 2023 | (208 | ) | 78,938 | 0.13 | % | |||||||||||||||||||
U.S. index | (548,385 | ) | (0.90 | )% | ||||||||||||||||||||
S&P 500 E-mini June 2023 | (785 | ) | (6,210,525 | ) | (8.58 | )% | ||||||||||||||||||
Nasdaq 100 E-mini June 2023 | (24 | ) | (181,132 | ) | (0.25 | )% | ||||||||||||||||||
Other U.S. index | (445,455 | ) | (0.62 | )% | ||||||||||||||||||||
Total futures | (19,089,187 | ) | (26.38 | )% | 2,048,522 | 3.36 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (1,674,086 | ) | (2.31 | )% | 2,598,864 | 4.24 | % | |||||||||||||||||
Total forwards | (1,674,086 | ) | (2.31 | )% | 2,598,864 | 4.24 | % | |||||||||||||||||
Options (proceeds $4,042,450) | ||||||||||||||||||||||||
Options (proceeds $213,775) | ||||||||||||||||||||||||
Interest rate futures | (619,319 | ) | (1.01 | )% | ||||||||||||||||||||
3 month SOFR, June 2024, $94.75 Put | (1 | ) | (3,917,600 | ) | (5.41 | )% | ||||||||||||||||||
3 month SOFR, March 2024, $94.25 Put | (1 | ) | (2,203,988 | ) | (3.05 | )% | ||||||||||||||||||
Total options | (6,121,588 | ) | (8.46 | )% | (619,319 | ) | (1.01 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 656,326 | 0.91 | % | $ | (213,147 | ) | (0.35 | )% |
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 Derivatives Strategies LLC | ||||||||||||||||||||||||
Exchange memberships (cost $305,000) | ||||||||||||||||||||||||
United States (cost $305,000) | ||||||||||||||||||||||||
Financial services (cost $305,000) | $ | 322,250 | 0.59 | % | $ | 314,000 | 0.66 | % | ||||||||||||||||
Total exchange memberships | $ | 322,250 | 0.59 | % | $ | 314,000 | 0.66 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 16,160 | 0.03 | % | ||||||||||||||||||||
Gold 100 Oz June 2023 | 19 | $ | (21,590 | ) | (0.04 | )% | ||||||||||||||||||
WTI Crude May 2023 | 28 | 32,710 | 0.06 | % | ||||||||||||||||||||
Foreign index | 148,874 | 0.27 | % | 178,523 | 0.38 | % | ||||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 10 yr June 2023 | 1 | 484 | 0.00 | % | ||||||||||||||||||||
U.S. 5 yr Note (CBT) June 2023 | 40 | (25,313 | ) | (0.05 | )% | |||||||||||||||||||
U.S. 10 yr Ultra September 2023 | 152 | (93,844 | ) | (0.20 | )% | |||||||||||||||||||
U.S. 2 yr Note (CBT) September 2023 | 334 | (590,992 | ) | (1.25 | )% | |||||||||||||||||||
U.S. index | 205,700 | 0.38 | % | |||||||||||||||||||||
S&P E-mini September 2023 | 176 | 404,200 | 0.85 | % | ||||||||||||||||||||
Other U.S. index | 509,456 | 1.09 | % | |||||||||||||||||||||
Total futures | 340,865 | 0.62 | % | 423,503 | 0.90 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (14,456 | ) | (0.03 | )% | ||||||||||||||||||||
Total forwards | (14,456 | ) | (0.03 | )% | ||||||||||||||||||||
Options (cost $55,451,645) | ||||||||||||||||||||||||
Options (cost $51,082,341) | ||||||||||||||||||||||||
Commodity futures | ||||||||||||||||||||||||
Gold Future (CMX) September 2023, $2,025.00 Call | 1 | 8,998,080 | 16.48 | % | ||||||||||||||||||||
Gold Future (CMX) May 2023, $2,010.00 - $2,050.00 Call | 2 | 2,438,060 | 4.46 | % | ||||||||||||||||||||
Crude Oil December 2023, $85.50 Call | 1 | 2,708,160 | 4.96 | % | ||||||||||||||||||||
Gold Future (CMX) February 2024, $2,200.00 - $2,500.00 Call | 2 | 2,479,050 | 5.24 | % | ||||||||||||||||||||
Currency futures | 9,774,385 | 17.90 | % | |||||||||||||||||||||
U.S. dollar / Chinese yuan September 2023, $7.30 Call | 2 | 3,201,276 | 6.77 | % | ||||||||||||||||||||
U.S. dollar / Chinese yuan July 2023 - August 2023, $7.18 - $7.25 Call | 3 | 4,623,457 | 9.77 | % | ||||||||||||||||||||
U.S. dollar / Chinese yuan (erko $7.45) September 2023, $7.30 Call | 1 | 278,075 | 0.59 | % | ||||||||||||||||||||
U.S. dollar / Mexican peso September 2023 - November 2023, $16.25 - $17.05 Put | 4 | 4,151,288 | 8.77 | % | ||||||||||||||||||||
U.S. dollar / Mexican peso (eko $16.75) August 2023, $17.40 Put | 1 | 801,047 | 1.69 | % | ||||||||||||||||||||
Other currency futures | 3,272,683 | 6.93 | % | |||||||||||||||||||||
Interest rate futures | ||||||||||||||||||||||||
3 month SOFR, June 2023, $95.19 Call | 1 | 4,591,000 | 8.41 | % | ||||||||||||||||||||
3 month SOFR, June 2023, $95.44 Call | 1 | 3,328,475 | 6.10 | % | ||||||||||||||||||||
3 month SOFR, September 2023, $97.50 Call | 1 | 1,683,638 | 3.08 | % | ||||||||||||||||||||
3-Month SOFR, September 2023, $95.44 - $96.19 Call | 2 | 1,238,238 | 2.62 | % | ||||||||||||||||||||
SOFR 1 yr Midcurve September 2023, $96.00 Put | 1 | 11,294,550 | 23.87 | % | ||||||||||||||||||||
SOFR 1 yr Midcurve September 2023, $96.63 Put | 1 | 21,053,438 | 44.50 | % | ||||||||||||||||||||
U.S. bond futures | ||||||||||||||||||||||||
U.S. 10 yr June 2023, $117.50 Call | 1 | 4,695,781 | 8.60 | % | ||||||||||||||||||||
U.S. 5 yr June 2023, $113.25 Call | 1 | 3,250,719 | 5.95 | % | ||||||||||||||||||||
U.S. 10 yr August 2023, $114.00 Call | 1 | 352,172 | 0.74 | % | ||||||||||||||||||||
U.S. 10 yr August 2023, $111.50 Put | 1 | 2,001,172 | 4.23 | % | ||||||||||||||||||||
U.S. index futures | 2,538,378 | 4.65 | % | |||||||||||||||||||||
S&P 500 E-mini July 2023, $4,450.00 Call | 1 | 5,928,938 | 12.53 | % | ||||||||||||||||||||
S&P 500 E-mini August 2023, $4,550.00 Call | 1 | 3,331,250 | 7.04 | % | ||||||||||||||||||||
Total options | 44,006,676 | 80.59 | % | 64,006,634 | 135.29 | % |
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 Derivatives Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | ||||||||||||||||||||||||
Gold 100 Oz June 2023 | (79 | ) | $ | 121,280 | 0.22 | % | ||||||||||||||||||
Foreign bond | 53,058 | 0.10 | % | $ | (72,054 | ) | (0.15 | )% | ||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 10 yr Note (CBT) June 2023 | (69 | ) | 9,234 | 0.02 | % | |||||||||||||||||||
U.S. 2 yr Note (CBT) June 2023 | (82 | ) | 3,875 | 0.01 | % | |||||||||||||||||||
U.S. 5 yr Note (CBT) June 2023 | (9 | ) | 1,109 | 0.00 | % | |||||||||||||||||||
U.S. Long Bond (CBT) June 2023 | (5 | ) | 1,375 | 0.00 | % | |||||||||||||||||||
U.S. Ultra Bond (CBT) June 2023 | (8 | ) | (8,125 | ) | (0.01 | )% | ||||||||||||||||||
U.S. index | (91,935 | ) | (0.17 | )% | ||||||||||||||||||||
U.S. Long Bond (CBT) September 2023 | (106 | ) | (78,469 | ) | (0.17 | )% | ||||||||||||||||||
U.S. Ultra Bond (CBT) September 2023 | (84 | ) | (106,313 | ) | (0.22 | )% | ||||||||||||||||||
U.S. 2 yr – 10 yr Note (CBT) September 2023 | (1,282 | ) | 198,305 | 0.42 | % | |||||||||||||||||||
Total futures | 89,871 | 0.17 | % | (58,531 | ) | (0.12 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 22,194 | 0.04 | % | (44,070 | ) | (0.09 | )% | |||||||||||||||||
Total forwards | 22,194 | 0.04 | % | (44,070 | ) | (0.09 | )% | |||||||||||||||||
Options (proceeds $25,308,967) | ||||||||||||||||||||||||
Options (proceeds $28,277,816) | ||||||||||||||||||||||||
Commodity futures | ||||||||||||||||||||||||
Gold future (CMX) September 2023, $2,125.00 Call | (1 | ) | (5,427,240 | ) | (9.94 | )% | ||||||||||||||||||
Gold future (CMX) May 2023, $2,110.00 Call | (1 | ) | (421,200 | ) | (0.77 | )% | ||||||||||||||||||
Crude Oil December 2023, $90.50 Call | (1 | ) | (1,946,880 | ) | (3.57 | )% | ||||||||||||||||||
Gold Future (CMX) February 2024, $2,300.00 - $2,400.00 Call | (2 | ) | (1,993,900 | ) | (4.21 | )% | ||||||||||||||||||
Currency futures | (525,442 | ) | (0.96 | )% | ||||||||||||||||||||
U.S. dollar / Chinese yuan July 2023 - September 2023, $7.26 - $7.45 Call | (4 | ) | (1,820,017 | ) | (3.85 | )% | ||||||||||||||||||
U.S. dollar / Mexican peso September 2023, $16.45 Put | (1 | ) | (210,283 | ) | (0.44 | )% | ||||||||||||||||||
Other currency futures | (1,510,459 | ) | (3.20 | )% | ||||||||||||||||||||
Interest rate futures | ||||||||||||||||||||||||
3 month SOFR, June 2023, $95.31 Call | (1 | ) | (7,689,506 | ) | (14.08 | )% | ||||||||||||||||||
3 month SOFR, September 2023, $98.50 Call | (1 | ) | (742,781 | ) | (1.36 | )% | ||||||||||||||||||
SOFR 1 yr Midcurve September 2023, $96.19 Put | (1 | ) | (13,969,575 | ) | (29.53 | )% | ||||||||||||||||||
SOFR 1 yr Midcurve September 2023, $96.44 Put | (1 | ) | (17,833,500 | ) | (37.69 | )% | ||||||||||||||||||
Other interest rate futures | (1,188,900 | ) | (2.53 | )% | ||||||||||||||||||||
U.S. bond futures | ||||||||||||||||||||||||
U.S. 10 yr June 2023, $119.50 Call | (1 | ) | (2,405,156 | ) | (4.40 | )% | ||||||||||||||||||
U.S. 5 yr June 2023, $115.25 Call | (1 | ) | (1,457,219 | ) | (2.67 | )% | ||||||||||||||||||
U.S. 10 yr August 2023, $115.00 Call | (1 | ) | (160,078 | ) | (0.34 | )% | ||||||||||||||||||
U.S. 10 yr August 2023, $110.50 Put | (1 | ) | (800,469 | ) | (1.69 | )% | ||||||||||||||||||
Index futures | (2,533,919 | ) | (4.64 | )% | ||||||||||||||||||||
S&P 500 E-mini July 2023 – August 2023, $4,550.00 - $4,600.00 Call | (2 | ) | (4,025,588 | ) | (8.51 | )% | ||||||||||||||||||
Total options | (23,149,343 | ) | (42.39 | )% | (43,512,769 | ) | (91.99 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 21,295,807 | 39.00 | % | $ | 20,814,767 | 43.99 | % |
Description | Number of Contracts / Notional Amount | Fair Value | Percentage of Net Assets of Master Fund | Notional Amount | 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) | $ | 1,795,009 | 7.06 | % | $ | 1,746,391 | 3.65 | % | |||||||||||||
Total exchange memberships | $ | 1,795,009 | 7.06 | % | $ | 1,746,391 | 3.65 | % | |||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | 1,592,792 | 6.26 | % | $ | (1,955,693 | ) | (4.08 | )% | ||||||||||||
Currency | (131,063 | ) | (0.52 | )% | (7,796 | ) | (0.02 | )% | |||||||||||||
Foreign bond | (47,581 | ) | (0.19 | )% | (228,187 | ) | (0.48 | )% | |||||||||||||
Foreign index | 2,154,310 | 8.48 | % | 3,051,164 | 6.38 | % | |||||||||||||||
U.S. bond | |||||||||||||||||||||
U.S. Long Bond (CBT) June 2023 | 22 | 15 | 0.00 | % | |||||||||||||||||
U.S. Ultra Bond CBT June 2023 | 14 | 46,154 | 0.18 | % | |||||||||||||||||
Interest rate | (6,925 | ) | (0.01 | )% | |||||||||||||||||
U.S. index | 513,760 | 2.02 | % | 969,535 | 2.02 | % | |||||||||||||||
Total futures | 4,128,387 | 16.23 | % | 1,822,098 | 3.81 | % | |||||||||||||||
Forwards | |||||||||||||||||||||
British pound / U.S. dollar 06/21/2023 | £ 32,378,000 | 625,879 | 2.46 | % | |||||||||||||||||
Other foreign currency | 1,570,583 | 6.18 | % | ||||||||||||||||||
Foreign currency | (122,477 | ) | (0.26 | )% | |||||||||||||||||
Total forwards | 2,196,462 | 8.64 | % | (122,477 | ) | (0.26 | )% | ||||||||||||||
Swaps (cost $228,394) | |||||||||||||||||||||
USD SOFR Rec 3.25% - 4.00%, 06/21/2023 - 06/21/2043 | $ 1,590,000 | 17,898 | 0.07 | % | |||||||||||||||||
Swaps (cost $1,052,014) | |||||||||||||||||||||
Interest rate | |||||||||||||||||||||
USD SOFR Rec 3.00% - 3.75%, 09/20/2023 - 09/20/2033 | $ 5,190,000 | (112,019 | ) | (0.23 | )% | ||||||||||||||||
Other interest rate | (56,180 | ) | (0.22 | )% | (105,432 | ) | (0.22 | )% | |||||||||||||
Total swaps | (38,282 | ) | (0.15 | )% | (217,451 | ) | (0.45 | )% |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (1,689,303 | ) | (6.64 | )% | $ | (762,145 | ) | (1.59 | )% | ||||||||||||||
Currency | (12,053 | ) | (0.05 | )% | 63,836 | 0.13 | % | |||||||||||||||||
Foreign bond | (1,691,463 | ) | (6.65 | )% | 1,230,593 | 2.57 | % | |||||||||||||||||
Foreign index | (137,781 | ) | (0.54 | )% | 251,478 | 0.52 | % | |||||||||||||||||
Interest rate | ||||||||||||||||||||||||
3 month SOFR June 2024 | (572 | ) | (1,339,164 | ) | (5.27 | )% | ||||||||||||||||||
3 Month SOFR June 2024 | (1,673 | ) | 3,727,707 | 7.79 | % | |||||||||||||||||||
Other interest rate | (590,961 | ) | (2.32 | )% | 3,096,484 | 6.46 | % | |||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 2 yr – 10 yr Note (CBT) June 2023 | (592 | ) | (687,326 | ) | (2.70 | )% | ||||||||||||||||||
U.S. 5 yr Note (CBT) June 2023 | (409 | ) | (1,382,426 | ) | (5.44 | )% | ||||||||||||||||||
U.S. 2 yr – 10 yr Note (CBT) September 2023 | (1,474 | ) | 2,558,563 | 5.35 | % | |||||||||||||||||||
U.S. Long Bond (CBT) September 2023 | (93 | ) | 67,055 | 0.14 | % | |||||||||||||||||||
U.S. Ultra Bond (CBT) September 2023 | (13 | ) | (2,578 | ) | (0.01 | )% | ||||||||||||||||||
U.S. index | (576,945 | ) | (2.27 | )% | (782,046 | ) | (1.63 | )% | ||||||||||||||||
Total futures | (8,107,422 | ) | (31.88 | )% | 9,448,947 | 19.73 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / British pound 06/21/2023 | $ (42,956,000 | ) | (1,281,649 | ) | (5.04 | )% | ||||||||||||||||||
Other foreign currency | (3,510,458 | ) | (13.80 | )% | ||||||||||||||||||||
Foreign currency | 2,280,321 | 4.76 | % | |||||||||||||||||||||
Total forwards | (4,792,107 | ) | (18.84 | )% | 2,280,321 | 4.76 | % | |||||||||||||||||
Swaps (proceeds $199,056) | ||||||||||||||||||||||||
USD SOFR Pay 3.25%, 06/21/2023 - 06/21/2033 | $ (820,000 | ) | (6,505 | ) | (0.03 | )% | ||||||||||||||||||
Swaps (proceeds $929,464) | ||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
USD SOFR Pay 3.75% - 4.75%, 09/20/2023 - 09/20/2043 | $ | (2,790,000 | ) | (12,127 | ) | (0.03 | )% | |||||||||||||||||
Other interest rate | (6,218 | ) | (0.02 | )% | 294,537 | 0.61 | % | |||||||||||||||||
Total swaps | (12,723 | ) | (0.05 | )% | 282,410 | 0.58 | % | |||||||||||||||||
Total derivative financial instruments | $ | (6,625,685 | ) | (26.05 | )% | $ | 13,493,848 | 28.17 | % |
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 | $ | 2,074,888 | $ | 153,990 | $ | 3,047,177 | $ | 364,980 | $ | 16,160 | $ | 2,290,773 | ||||||||||||
Commodity futures options | – | 14,144,300 | – | – | 2,479,050 | – | ||||||||||||||||||
Currency futures | – | – | 49,960 | – | – | 84,499 | ||||||||||||||||||
Exchange memberships* | 7,702,635 | 322,250 | 1,795,009 | 7,451,489 | 314,000 | 1,746,391 | ||||||||||||||||||
Foreign bond futures | 461,636 | 53,058 | 248,893 | 1,032,638 | 12,173 | 1,280,548 | ||||||||||||||||||
Foreign index futures | 497,429 | 148,874 | 2,235,359 | 271,181 | 184,223 | 3,697,176 | ||||||||||||||||||
Interest rate futures | 71,466 | – | 41,592 | 221,882 | – | 6,824,191 | ||||||||||||||||||
Interest rate futures options | 8,051,838 | 9,603,114 | – | 883,394 | 33,586,226 | – | ||||||||||||||||||
U.S. bond futures | 321,296 | 16,077 | 46,169 | 2,865,782 | 201,414 | 2,625,618 | ||||||||||||||||||
U.S. bond futures options | – | 7,946,500 | – | – | 2,353,344 | – | ||||||||||||||||||
U.S. index futures | 11,251,821 | 205,700 | 561,595 | 486,492 | 913,656 | 969,535 | ||||||||||||||||||
U.S. index futures options | 160,875 | 2,538,379 | – | 45,000 | 9,260,188 | – | ||||||||||||||||||
Total Level 1 | 30,593,884 | 35,132,242 | 8,025,754 | 13,622,838 | 49,320,434 | 19,518,731 | ||||||||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | 6,042,324 | 22,194 | 2,472,058 | 8,826,712 | – | 4,930,330 | ||||||||||||||||||
Foreign currency futures options | 3,535,367 | 9,774,385 | – | 955,590 | 16,327,827 | – | ||||||||||||||||||
Interest rate swap | – | – | 152,410 | – | – | 739,361 | ||||||||||||||||||
Total Level 2 | 9,577,691 | 9,796,579 | 2,624,468 | 9,782,302 | 16,327,827 | 5,669,691 | ||||||||||||||||||
Total investment related assets | $ | 40,171,575 | $ | 44,928,821 | $ | 10,650,222 | $ | 23,405,140 | $ | 65,648,261 | $ | 25,188,422 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||
Commodity futures | $ | (1,213,090 | ) | $ | (21,590 | ) | $ | (3,143,688 | ) | $ | (525,000 | ) | $ | – | $ | (5,008,611 | ) | |||||||
Commodity futures options | – | (7,795,320 | ) | – | – | (1,993,900 | ) | – | ||||||||||||||||
Currency futures | – | – | (193,076 | ) | – | – | (28,459 | ) | ||||||||||||||||
Foreign bond futures | (11,916,112 | ) | – | (1,987,937 | ) | (1,301,513 | ) | (84,227 | ) | (278,142 | ) | |||||||||||||
Foreign index futures | (102,747 | ) | – | (218,830 | ) | – | (5,700 | ) | (394,534 | ) | ||||||||||||||
Interest rate futures | (33,950 | ) | – | (1,971,717 | ) | (415,975 | ) | – | (6,925 | ) | ||||||||||||||
Interest rate futures options | (6,121,588 | ) | (8,432,288 | ) | – | (619,319 | ) | (32,991,975 | ) | – | ||||||||||||||
U.S. bond futures | (1,279,813 | ) | (33,438 | ) | (2,069,752 | ) | (5,806,602 | ) | (872,727 | ) | (2,578 | ) | ||||||||||||
U.S. bond futures options | – | (3,862,375 | ) | – | – | (960,547 | ) | – | ||||||||||||||||
U.S. index futures | (6,837,112 | ) | (91,935 | ) | (624,780 | ) | (744,735 | ) | – | (782,046 | ) | |||||||||||||
U.S. index futures options | – | (2,533,920 | ) | – | – | (4,025,588 | ) | – | ||||||||||||||||
Total Level 1 | (27,504,412 | ) | (22,770,866 | ) | (10,209,780 | ) | (9,413,144 | ) | (40,934,664 | ) | (6,501,295 | ) | ||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | (4,308,202 | ) | (14,456 | ) | (5,067,703 | ) | (6,753,654 | ) | (44,070 | ) | (2,772,486 | ) | ||||||||||||
Foreign currency futures options | – | (525,442 | ) | – | – | (3,540,760 | ) | – | ||||||||||||||||
Interest rate swap | – | – | (203,415 | ) | – | – | (674,402 | ) | ||||||||||||||||
Total Level 2 | (4,308,202 | ) | (539,898 | ) | (5,271,118 | ) | (6,753,654 | ) | (3,584,830 | ) | (3,446,888 | ) | ||||||||||||
Total investment related liabilities | $ | (31,812,614 | ) | $ | (23,310,764 | ) | $ | (15,480,898 | ) | $ | (16,166,798 | ) | $ | (44,519,494 | ) | $ | (9,948,183 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 206,445,150 | 1,487 | $ | (5,670,143 | ) | (94 | ) | $ | 2,074,888 | $ | (1,213,090 | ) | |||||||||||
206,445,150 | 1,487 | (5,670,143 | ) | (94 | ) | 2,074,888 | (1,213,090 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 167,474,110 | 813 | (179,184,238 | ) | (934 | ) | 11,749,250 | (6,939,859 | ) | |||||||||||||||
Options (a) | – | 66 | (2,656,270 | ) | – | 160,875 | – | |||||||||||||||||
167,474,110 | 879 | (181,840,508 | ) | (934 | ) | 11,910,125 | (6,939,859 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 866,174,862 | N/A | (1,238,615,818 | ) | N/A | 6,042,324 | (4,308,202 | ) | ||||||||||||||||
Options (a) | 54,445,163 | 14 | (68,476,475 | ) | (21 | ) | 3,535,367 | – | ||||||||||||||||
920,620,025 | 14 | (1,307,092,293 | ) | (21 | ) | 9,577,691 | (4,308,202 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 240,545,971 | 2,329 | (1,621,964,984 | ) | (3,645 | ) | 854,398 | (13,229,875 | ) | |||||||||||||||
Options (a) | 683,228,699 | 21,310 | (857,586,855 | ) | (21,310 | ) | 8,051,838 | (6,121,588 | ) | |||||||||||||||
923,774,670 | 23,639 | (2,479,551,839 | ) | (24,955 | ) | 8,906,236 | (19,351,463 | ) | ||||||||||||||||
Total | $ | 2,218,313,955 | 26,019 | $ | (3,974,154,783 | ) | (26,004 | ) | $ | 32,468,940 | $ | (31,812,614 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 122,032,519 | 966 | $ | (5,670,143 | ) | (94 | ) | $ | 364,980 | $ | (525,000 | ) | |||||||||||
122,032,519 | 966 | (5,670,143 | ) | (94 | ) | 364,980 | (525,000 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 176,703,865 | 854 | (148,503,889 | ) | (1,081 | ) | 757,673 | (744,735 | ) | |||||||||||||||
Options (a) | – | 43 | (1,879,741 | ) | – | 45,000 | – | |||||||||||||||||
176,703,865 | 897 | (150,383,630 | ) | (1,081 | ) | 802,673 | (744,735 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 4,074,560,693 | N/A | (990,903,831 | ) | N/A | 8,826,712 | (6,753,654 | ) | ||||||||||||||||
Options (a) | 44,638,573 | 9 | (36,374,401 | ) | (14 | ) | 955,590 | – | ||||||||||||||||
4,119,199,266 | 9 | (1,027,278,232 | ) | (14 | ) | 9,782,302 | (6,753,654 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,683,146,636 | 8,088 | (1,790,748,469 | ) | (8,385 | ) | 4,120,302 | (7,524,090 | ) | |||||||||||||||
Options (a) | 382,560,086 | 11,158 | (480,273,218 | ) | (11,158 | ) | 883,394 | (619,319 | ) | |||||||||||||||
2,065,706,722 | 19,246 | (2,271,021,687 | ) | (19,543 | ) | 5,003,696 | (8,143,409 | ) | ||||||||||||||||
Total | $ | 6,483,642,372 | 21,118 | $ | (3,454,353,692 | ) | (20,732 | ) | $ | 15,953,651 | $ | (16,166,798 | ) |
(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 | $ | 5,892,540 | 47 | $ | (15,690,980 | ) | (79 | ) | $ | 153,990 | $ | (21,590 | ) | $ | 3,100,160 | 29 | $ | (15,690,980 | ) | (79 | ) | $ | 16,160 | $ | – | |||||||||||||||||||||||
Options (a) | 217,680,281 | 3,014 | (107,868,439 | ) | (2,652 | ) | 14,144,300 | (7,795,320 | ) | 129,185,145 | 2,294 | (70,810,194 | ) | (2,111 | ) | 2,479,050 | (1,993,900 | ) | ||||||||||||||||||||||||||||||
223,572,821 | 3,061 | (123,559,419 | ) | (2,731 | ) | 14,298,290 | (7,816,910 | ) | 132,285,305 | 2,323 | (86,501,174 | ) | (2,190 | ) | 2,495,210 | (1,993,900 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 70,825,862 | 1,045 | (7,891,943 | ) | (33 | ) | 354,574 | (91,935 | ) | 84,442,167 | 856 | (7,891,943 | ) | (33 | ) | 1,097,879 | (5,700 | ) | ||||||||||||||||||||||||||||||
Options (a) | 44,260,250 | 3,370 | (44,933,255 | ) | (3,369 | ) | 2,538,379 | (2,533,920 | ) | 183,158,605 | 3,103 | (116,197,984 | ) | (3,059 | ) | 9,260,188 | (4,025,588 | ) | ||||||||||||||||||||||||||||||
115,086,112 | 4,415 | (52,825,198 | ) | (3,402 | ) | 2,892,953 | (2,625,855 | ) | 267,600,772 | 3,959 | (124,089,927 | ) | (3,092 | ) | 10,358,067 | (4,031,288 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 21,819,417 | N/A | (18,692,554 | ) | N/A | 22,194 | (14,456 | ) | 21,819,417 | N/A | (38,645,021 | ) | N/A | – | (44,070 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 99,642,790 | 11 | (121,610,628 | ) | (10 | ) | 9,774,385 | (525,442 | ) | 343,150,769 | 11 | (257,008,901 | ) | (12 | ) | 16,327,827 | (3,540,760 | ) | ||||||||||||||||||||||||||||||
121,462,207 | 11 | (140,303,182 | ) | (10 | ) | 9,796,579 | (539,898 | ) | 364,970,186 | 11 | (295,653,922 | ) | (12 | ) | 16,327,827 | (3,584,830 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 4,501,453 | 41 | (102,422,539 | ) | (240 | ) | 69,135 | (33,438 | ) | 45,210,383 | 264 | (178,761,620 | ) | (1,025 | ) | 213,587 | (956,954 | ) | ||||||||||||||||||||||||||||||
Options (a) | 2,320,832,488 | 47,965 | (1,967,245,397 | ) | (47,964 | ) | 17,549,614 | (12,294,663 | ) | 2,853,546,728 | 43,420 | (2,675,915,374 | ) | (43,420 | ) | 35,939,570 | (33,952,522 | ) | ||||||||||||||||||||||||||||||
2,325,333,941 | 48,006 | (2,069,667,936 | ) | (48,204 | ) | 17,618,749 | (12,328,101 | ) | 2,898,757,111 | 43,684 | (2,854,676,994 | ) | (44,445 | ) | 36,153,157 | (34,909,476 | ) | |||||||||||||||||||||||||||||||
Total | $ | 2,785,455,081 | 55,493 | $ | (2,386,355,735 | ) | (54,347 | ) | $ | 44,606,571 | $ | (23,310,764 | ) | $ | 3,663,613,374 | 49,977 | $ | (3,360,922,017 | ) | (49,739 | ) | $ | 65,334,261 | $ | (44,519,494 | ) |
(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 | $ | 82,345,644 | 1,174 | $ | (68,691,378 | ) | (1,243 | ) | $ | 3,047,177 | $ | (3,143,688 | ) | $ | 87,641,029 | 1,318 | $ | (68,469,913 | ) | (1,269 | ) | $ | 2,290,773 | $ | (5,008,611 | ) | ||||||||||||||||||||||
82,345,644 | 1,174 | (68,691,378 | ) | (1,243 | ) | 3,047,177 | (3,143,688 | ) | 87,641,029 | 1,318 | (68,469,913 | ) | (1,269 | ) | 2,290,773 | (5,008,611 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 116,513,220 | 1,132 | (26,061,532 | ) | (257 | ) | 2,796,954 | (843,610 | ) | 201,251,607 | 1,880 | (56,480,296 | ) | (511 | ) | 4,666,711 | (1,176,580 | ) | ||||||||||||||||||||||||||||||
116,513,220 | 1,132 | (26,061,532 | ) | (257 | ) | 2,796,954 | (843,610 | ) | 201,251,607 | 1,880 | (56,480,296 | ) | (511 | ) | 4,666,711 | (1,176,580 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 222,914,885 | N/A | (353,277,093 | ) | N/A | 2,472,058 | (5,067,703 | ) | 240,421,608 | N/A | (355,841,070 | ) | N/A | 4,930,330 | (2,772,486 | ) | ||||||||||||||||||||||||||||||||
Futures | 8,005,302 | 73 | (1,244,309 | ) | (18 | ) | 49,960 | (193,076 | ) | 12,859,994 | 123 | (2,873,042 | ) | (40 | ) | 84,499 | (28,459 | ) | ||||||||||||||||||||||||||||||
230,920,187 | 73 | (354,521,402 | ) | (18 | ) | 2,522,018 | (5,260,779 | ) | 253,281,602 | 123 | (358,714,112 | ) | (40 | ) | 5,014,829 | (2,800,945 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 22,023,346 | 186 | (684,386,638 | ) | (3,358 | ) | 336,654 | (6,029,406 | ) | 21,885,555 | 173 | (1,028,785,916 | ) | (5,295 | ) | 10,730,357 | (287,645 | ) | ||||||||||||||||||||||||||||||
Swaps | 15,689,406 | 48 | (11,976,873 | ) | (42 | ) | 152,410 | (203,415 | ) | 49,506,575 | 42 | (33,156,783 | ) | (51 | ) | 739,361 | (674,402 | ) | ||||||||||||||||||||||||||||||
37,712,752 | 234 | (696,363,511 | ) | (3,400 | ) | 489,064 | (6,232,821 | ) | 71,392,130 | 215 | (1,061,942,699 | ) | (5,346 | ) | 11,469,718 | (962,047 | ) | |||||||||||||||||||||||||||||||
Total | $ | 467,491,803 | 2,613 | $ | (1,145,637,823 | ) | (4,918 | ) | $ | 8,855,213 | $ | (15,480,898 | ) | $ | 613,566,368 | 3,536 | $ | (1,545,607,020 | ) | (7,166 | ) | $ | 23,442,031 | $ | (9,948,183 | ) |
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 | $ | 32,468,940 | $ | (27,199,451 | ) | $ | 5,269,489 | $ | – | $ | 5,269,489 | $ | 15,953,651 | $ | (12,925,003 | ) | $ | 3,028,648 | $ | – | $ | 3,028,648 | ||||||||||||||||||
Derivative liabilities | $ | (31,812,614 | ) | $ | 27,199,451 | $ | (4,613,163 | ) | $ | 4,613,163 | $ | – | $ | (16,166,798 | ) | $ | 12,925,003 | $ | (3,241,795 | ) | $ | 3,241,795 | $ | – | ||||||||||||||||
Graham Derivatives Strategies LLC2 | Graham Derivatives Strategies LLC2 | Graham Derivatives Strategies LLC2 | ||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 44,606,571 | $ | (23,310,764 | ) | $ | 21,295,807 | $ | – | $ | 21,295,807 | $ | 65,334,261 | $ | (44,519,494 | ) | $ | 20,814,767 | $ | – | $ | 20,814,767 | ||||||||||||||||||
Derivative liabilities | $ | (23,310,764 | ) | $ | 23,310,764 | $ | – | $ | – | $ | – | $ | (44,519,494 | ) | $ | 44,519,494 | $ | – | $ | – | $ | – | ||||||||||||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 8,855,213 | $ | (8,855,213 | ) | $ | – | $ | – | $ | – | $ | 23,442,031 | $ | (9,948,183 | ) | $ | 13,493,848 | $ | – | $ | 13,493,848 | ||||||||||||||||||
Derivative liabilities | $ | (15,480,898 | ) | $ | 8,855,213 | $ | (6,625,685 | ) | $ | 5,283,373 | $ | (1,342,312 | ) | $ | (9,948,183 | ) | $ | 9,948,183 | $ | – | $ | – | $ | – |
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 income | $ | 1,133,816 | $ | 192,123 | $ | 307,533 | $ | 864,174 | $ | 308,982 | $ | 148,479 | ||||||||||||
Net realized gain (loss) on investments | 33,353,429 | (5,212,467 | ) | (1,599,156 | ) | 1,692,849 | (6,047,658 | ) | (770,849 | ) | ||||||||||||||
Net decrease in unrealized appreciation on investments | (41,831,166 | ) | (22,189,131 | ) | (7,854,053 | ) | ||||||||||||||||||
Net increase in unrealized appreciation on investments | 4,004,289 | 6,020,706 | 19,974,612 | |||||||||||||||||||||
Brokerage commissions and fees | (421,231 | ) | (1,520,610 | ) | (64,539 | ) | (401,509 | ) | (845,413 | ) | (62,744 | ) | ||||||||||||
Net loss on investments | (8,898,968 | ) | (28,922,208 | ) | (9,517,748 | ) | ||||||||||||||||||
Net loss | $ | (7,765,152 | ) | $ | (28,730,085 | ) | $ | (9,210,215 | ) | |||||||||||||||
Net gain (loss) on investments | 5,295,629 | (872,365 | ) | 19,141,019 | ||||||||||||||||||||
Net income (loss) | $ | 6,159,803 | $ | (563,383 | ) | $ | 19,289,498 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income | $ | 1,997,990 | $ | 501,105 | $ | 456,012 | ||||||
Net realized gain (loss) on investments | 35,046,278 | (11,260,125 | ) | (2,370,005 | ) | |||||||
Net (decrease) increase in unrealized appreciation on investments | (37,826,877 | ) | (16,168,425 | ) | 12,120,559 | |||||||
Brokerage commissions and fees | (822,740 | ) | (2,366,023 | ) | (127,283 | ) | ||||||
Net (loss) gain on investments | (3,603,339 | ) | (29,794,573 | ) | 9,623,271 | |||||||
Net (loss) income | $ | (1,605,349 | ) | $ | (29,293,468 | ) | $ | 10,079,283 |
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 | Net decrease in unrealized appreciation on investments | Net realized loss | Net decrease in unrealized appreciation on investments | Net realized loss | Net decrease in unrealized appreciation on investments | Net realized loss | Net increase in unrealized appreciation on investments | Net realized loss | Net increase in unrealized appreciation on investments | Net realized loss | Net increase in unrealized appreciation on investments | |||||||||||||||||||||||||||||||||||||
Commodity price | Commodity price | Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 5,682,543 | $ | (1,602,173 | ) | $ | 400,350 | $ | 76,950 | $ | (7,252,570 | ) | $ | (4,233,476 | ) | $ | (12,438,378 | ) | $ | (1,021,817 | ) | $ | 1,067,485 | $ | (116,240 | ) | $ | (5,907,137 | ) | $ | (2,621,327 | ) | ||||||||||||||||
Options | – | – | (969,870 | ) | 94,360 | – | – | – | – | 4,871,300 | (5,938,060 | ) | – | – | ||||||||||||||||||||||||||||||||||
5,682,543 | (1,602,173 | ) | (569,520 | ) | 171,310 | (7,252,570 | ) | (4,233,476 | ) | (12,438,378 | ) | (1,021,817 | ) | 5,938,785 | (6,054,300 | ) | (5,907,137 | ) | (2,621,327 | ) | ||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 10,241,344 | (1,271,375 | ) | (2,079,642 | ) | 283,691 | (3,529,516 | ) | 11,775,990 | 9,433,846 | (4,796,453 | ) | 5,161,752 | 829,540 | 10,045,883 | 1,536,788 | ||||||||||||||||||||||||||||||||
Options | 90,575 | (44,412 | ) | 385,237 | (2,101,545 | ) | – | – | (194,150 | ) | 16,012 | (1,916,836 | ) | 1,696,180 | – | – | ||||||||||||||||||||||||||||||||
10,331,919 | (1,315,787 | ) | (1,694,405 | ) | (1,817,854 | ) | (3,529,516 | ) | 11,775,990 | 9,239,696 | (4,780,441 | ) | 3,244,916 | 2,525,720 | 10,045,883 | 1,536,788 | ||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | (6,298,336 | ) | 1,917,095 | (330,620 | ) | 42,550 | 4,521,274 | (4,234,389 | ) | 4,458,580 | 338,936 | (772,425 | ) | (51,808 | ) | (271,368 | ) | 4,753,489 | ||||||||||||||||||||||||||||||
Futures | – | – | – | – | 105,358 | (95,076 | ) | – | – | – | – | (86,040 | ) | 199,155 | ||||||||||||||||||||||||||||||||||
Options | 2,315,977 | (4,572,080 | ) | (137,521 | ) | (12,794,002 | ) | – | – | 5,339,201 | 1,631,902 | (2,927,292 | ) | 6,997,700 | – | – | ||||||||||||||||||||||||||||||||
(3,982,359 | ) | (2,654,985 | ) | (468,141 | ) | (12,751,452 | ) | 4,626,632 | (4,329,465 | ) | 9,797,781 | 1,970,838 | (3,699,717 | ) | 6,945,892 | (357,408 | ) | 4,952,644 | ||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 29,718,604 | (30,683,437 | ) | (1,525,487 | ) | (1,018,246 | ) | 4,189,029 | (11,054,144 | ) | (34,246,223 | ) | 8,971,688 | (2,917,716 | ) | (779,064 | ) | (4,367,408 | ) | 16,135,464 | ||||||||||||||||||||||||||||
Options | – | 486,214 | (4,146,899 | ) | (5,853,847 | ) | – | – | 2,850,991 | (310,161 | ) | (5,956,181 | ) | 4,218,865 | – | – | ||||||||||||||||||||||||||||||||
Swaps | – | – | – | – | (21,709 | ) | (111,189 | ) | – | – | – | – | (118,459 | ) | 22,752 | |||||||||||||||||||||||||||||||||
29,718,604 | (30,197,223 | ) | (5,672,386 | ) | (6,872,093 | ) | 4,167,320 | (11,165,333 | ) | (31,395,232 | ) | 8,661,527 | (8,873,897 | ) | 3,439,801 | (4,485,867 | ) | 16,158,216 | ||||||||||||||||||||||||||||||
Total | $ | 41,750,707 | $ | (35,770,168 | ) | $ | (8,404,452 | ) | $ | (21,270,089 | ) | $ | (1,988,134 | ) | $ | (7,952,284 | ) | $ | (24,796,133 | ) | $ | 4,830,107 | $ | (3,389,913 | ) | $ | 6,857,113 | $ | (704,529 | ) | $ | 20,026,321 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||||||||||||||
Net realized gain | Net decrease in unrealized appreciation on investments | Net realized loss | Net decrease in unrealized appreciation on investments | Net realized loss | Net increase in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | (6,755,835 | ) | $ | (2,623,990 | ) | $ | 1,467,835 | $ | (39,290 | ) | $ | (13,159,707 | ) | $ | (6,854,803 | ) | |||||||
Options | – | – | 3,901,430 | (5,843,700 | ) | – | – | |||||||||||||||||
(6,755,835 | ) | (2,623,990 | ) | 5,369,265 | (5,882,990 | ) | (13,159,707 | ) | (6,854,803 | ) | ||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 19,675,190 | (6,067,828 | ) | 3,082,110 | 1,113,231 | 6,516,367 | 13,312,778 | |||||||||||||||||
Options | (103,575 | ) | (28,400 | ) | (1,531,599 | ) | (405,365 | ) | – | – | ||||||||||||||
19,571,615 | (6,096,228 | ) | 1,550,511 | 707,866 | 6,516,367 | 13,312,778 | ||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | (1,839,756 | ) | 2,256,031 | (1,103,045 | ) | (9,258 | ) | 4,249,906 | 519,100 | |||||||||||||||
Futures | – | – | – | – | 19,318 | 104,079 | ||||||||||||||||||
Options | 7,655,178 | (2,940,178 | ) | (3,064,813 | ) | (5,796,302 | ) | – | – | |||||||||||||||
5,815,422 | (684,147 | ) | (4,167,858 | ) | (5,805,560 | ) | 4,269,224 | 623,179 | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | (4,527,619 | ) | (21,711,749 | ) | (4,443,203 | ) | (1,797,310 | ) | (178,379 | ) | 5,081,320 | |||||||||||||
Options | 2,850,991 | 176,053 | (10,103,080 | ) | (1,634,982 | ) | – | – | ||||||||||||||||
Swaps | – | – | – | – | (140,168 | ) | (88,437 | ) | ||||||||||||||||
(1,676,628 | ) | (21,535,696 | ) | (14,546,283 | ) | (3,432,292 | ) | (318,547 | ) | 4,992,883 | ||||||||||||||
Total | $ | 16,954,574 | $ | (30,940,061 | ) | $ | (11,794,365 | ) | $ | (14,412,976 | ) | $ | (2,692,663 | ) | $ | 12,074,037 |
Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 51,314,793 | $ | 4,022,847 | $ | 41,554,615 | ||||||
Derivative financial instruments, at fair value | 32,942,978 | 28,122,323 | 3,702,198 | |||||||||
Exchange memberships, at fair value | 6,902,176 | – | 1,647,049 | |||||||||
Interest receivable | 225,389 | 35,580 | 30,745 | |||||||||
Dividend receivable | 111,816 | – | 15,923 | |||||||||
Total assets | 91,497,152 | 32,180,750 | 46,950,530 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | – | – | 2,319,737 | |||||||||
Interest payable | 9,630 | 3,587 | – | |||||||||
Total liabilities | 9,630 | 3,587 | 2,319,737 | |||||||||
Members’ Capital / Net Assets | $ | 91,487,522 | $ | 32,177,163 | $ | 44,630,793 | ||||||
Percentage of Master Fund held by GAIT | 2.39 | % | 2.47 | % | 6.93 | % |
Description | Number of Contracts | 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) | $ | 6,902,176 | 7.54 | % | $ | 6,902,176 | 7.54 | % | ||||||||||||||||
Total exchange memberships | $ | 6,902,176 | 7.54 | % | $ | 6,902,176 | 7.54 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 2,497,000 | 2.73 | % | $ | 2,497,000 | 2.73 | % | ||||||||||||||||
Foreign bond | (118 | ) | (0.00 | )% | (118 | ) | (0.00 | )% | ||||||||||||||||
Foreign index | 23,027 | 0.03 | % | 23,027 | 0.03 | % | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
3 month SOFR March 2023 | 712 | 61,213 | 0.07 | % | 712 | 61,213 | 0.07 | % | ||||||||||||||||
3 month SOFR June 2023 | 5,342 | (1,321,100 | ) | (1.44 | )% | 5,342 | (1,321,100 | ) | (1.44 | )% | ||||||||||||||
Other interest rate | (20,892 | ) | (0.03 | )% | (20,892 | ) | (0.03 | )% | ||||||||||||||||
U.S. bond | ||||||||||||||||||||||||
U.S. 2 yr Note (CBT) March 2023 | 7,403 | (4,826,937 | ) | (5.28 | )% | 7,403 | (4,826,937 | ) | (5.28 | )% | ||||||||||||||
U.S. index | 312,773 | 0.34 | % | 312,773 | 0.34 | % | ||||||||||||||||||
Total futures | (3,275,034 | ) | (3.58 | )% | (3,275,034 | ) | (3.58 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 372,322 | 0.41 | % | 372,322 | 0.41 | % | ||||||||||||||||||
Total forwards | 372,322 | 0.41 | % | 372,322 | 0.41 | % | ||||||||||||||||||
Options (cost $4,818,694) | ||||||||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
U.S. dollar / Japanese Yen January 2023 - May 2023, $125.05 - $130.10 Put | 8 | 6,156,445 | 6.73 | % | 8 | 6,156,445 | 6.73 | % | ||||||||||||||||
Other currency futures | 3,477,917 | 3.80 | % | 3,477,917 | 3.80 | % | ||||||||||||||||||
U.S. index futures | 70,125 | 0.08 | % | 70,125 | 0.08 | % | ||||||||||||||||||
Total options | 9,704,487 | 10.61 | % | 9,704,487 | 10.61 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (33,030 | ) | (0.04 | )% | |||||||
Foreign bond | ||||||||||||
Japan 10 yr Bond March 2023 | (977 | ) | 16,185,652 | 17.69 | % | |||||||
Other foreign bond | 1,543,377 | 1.69 | % | |||||||||
Foreign index | 5,158,227 | 5.64 | % | |||||||||
Interest rate | ||||||||||||
3 month SOFR March 2024 | (1,780 | ) | 467,988 | 0.51 | % | |||||||
3 month SOFR June 2024 | (2,848 | ) | 1,023,225 | 1.12 | % | |||||||
3 month SOFR December 2023 | (6,787 | ) | 3,559,411 | 3.89 | % | |||||||
U.S. bond | ||||||||||||
U.S. 5 yr Note (CBT) March 2023 | (949 | ) | 396,727 | 0.43 | % | |||||||
U.S. 10 yr Note (CBT) March 2023 | (2,019 | ) | 1,473,414 | 1.61 | % | |||||||
U.S. Long bond (CBT) March 2023 | (29 | ) | 7,500 | 0.01 | % | |||||||
U.S. Ultra bond (CBT) March 2023 | (215 | ) | (241,500 | ) | (0.26 | )% | ||||||
U.S. index | 586,740 | 0.64 | % | |||||||||
Total futures | 30,127,731 | 32.93 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (555,295 | ) | (0.61 | )% | ||||||||
Total forwards | (555,295 | ) | (0.61 | )% | ||||||||
Options (proceeds $962,413) | ||||||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese Yen January 2023 - February 2023, $125.05 - $130.10 Put | (6 | ) | (3,345,095 | ) | (3.66 | )% | ||||||
Other currency futures | (86,138 | ) | (0.09 | )% | ||||||||
Total options | (3,431,233 | ) | (3.75 | )% | ||||||||
Total derivative financial instruments | $ | 32,942,978 | 36.01 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | Number of Contracts | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Derivatives Strategies LLC | ||||||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 55,450 | 0.17 | % | $ | 55,450 | 0.17 | % | ||||||||||||||||
Foreign bond | (70,256 | ) | (0.22 | )% | (70,256 | ) | (0.22 | )% | ||||||||||||||||
U.S. bond | (69,031 | ) | (0.21 | )% | (69,031 | ) | (0.21 | )% | ||||||||||||||||
Total futures | (83,837 | ) | (0.26 | )% | (83,837 | ) | (0.26 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (34,812 | ) | (0.11 | )% | (34,812 | ) | (0.11 | )% | ||||||||||||||||
Total forwards | (34,812 | ) | (0.11 | )% | (34,812 | ) | (0.11 | )% | ||||||||||||||||
Options (cost $38,031,263) | ||||||||||||||||||||||||
Commodity futures | 1,294,020 | 4.02 | % | 1,294,020 | 4.02 | % | ||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
Euro dollar / British pound March 2023, $0.90 Call | 2 | 2,786,554 | 8.66 | % | 2 | 2,786,554 | 8.66 | % | ||||||||||||||||
Euro dollar / British pound February 2023, $0.89 Call | 1 | 1,918,757 | 5.96 | % | 1 | 1,918,757 | 5.96 | % | ||||||||||||||||
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call | 2 | 2,102,023 | 6.53 | % | 2 | 2,102,023 | 6.53 | % | ||||||||||||||||
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call | 2 | 459,528 | 1.43 | % | 2 | 459,528 | 1.43 | % | ||||||||||||||||
U.S. dollar / Japanese yen June 2023, $124.00 Put | 1 | 6,554,699 | 20.37 | % | 1 | 6,554,699 | 20.37 | % | ||||||||||||||||
U.S. dollar / Japanese yen February 2023, $127.50 Put | 1 | 1,787,137 | 5.55 | % | 1 | 1,787,137 | 5.55 | % | ||||||||||||||||
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put | 4 | 4,763,727 | 14.80 | % | 4 | 4,763,727 | 14.80 | % | ||||||||||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 -$129.00), $131.50 - $134.00 Put | 4 | 2,834,864 | 8.81 | % | ||||||||||||||||||||
Other currency | 1,877,623 | 5.84 | % | |||||||||||||||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 - $129.00), $131.50 - $134.00 Put | 4 | 2,834,864 | 8.81 | % | ||||||||||||||||||||
Other currency futures | 1,877,623 | 5.84 | % | |||||||||||||||||||||
Foreign bond futures | 630,334 | 1.96 | % | 630,334 | 1.96 | % | ||||||||||||||||||
Interest rate futures | ||||||||||||||||||||||||
3 month SOFR February 2023, $95.00 Call | 1 | 2,734,050 | 8.50 | % | 1 | 2,734,050 | 8.50 | % | ||||||||||||||||
3 month SOFR February 2023, $95.19 Call | 1 | 1,685,450 | 5.24 | % | 1 | 1,685,450 | 5.24 | % | ||||||||||||||||
3 month SOFR January 2023, $95.00 Call | 1 | 2,836,500 | 8.82 | % | 1 | 2,836,500 | 8.82 | % | ||||||||||||||||
3 month SOFR March 2023, $95.31 Call | 1 | 1,897,250 | 5.90 | % | 1 | 1,897,250 | 5.90 | % | ||||||||||||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call | 2 | 2,097,938 | 6.52 | % | 2 | 2,097,938 | 6.52 | % | ||||||||||||||||
U.S. bond futures | 1,159,813 | 3.60 | % | 1,159,813 | 3.60 | % | ||||||||||||||||||
U.S. index futures | ||||||||||||||||||||||||
S&P 500 E-mini September 2023, $4,800.00 Call | 1 | 590,425 | 1.83 | % | 1 | 590,425 | 1.83 | % | ||||||||||||||||
S&P 500 E-mini January 2023, $3,700.00 Put | 1 | 2,991,175 | 9.30 | % | 1 | 2,991,175 | 9.30 | % | ||||||||||||||||
S&P 500 E-mini January 2023, $3,400.00 Put | 1 | 210,788 | 0.66 | % | 1 | 210,788 | 0.66 | % | ||||||||||||||||
Total options | 43,212,655 | 134.30 | % | 43,212,655 | 134.30 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Foreign bond | $ | 1,194,016 | 3.71 | % | ||||||||
Interest rate | ||||||||||||
3 month SOFR December 2023 | (38 | ) | (3,325 | ) | (0.01 | )% | ||||||
U.S. bond | 2,539 | 0.01 | % | |||||||||
U.S. index | ||||||||||||
E-mini Russ 2000 March 2023 | (9 | ) | (1,890 | ) | (0.01 | )% | ||||||
S&P 500 E-mini March 2023 | (32 | ) | (19,162 | ) | (0.06 | )% | ||||||
Total futures | 1,172,178 | 3.64 | % | |||||||||
Options (proceeds $22,332,158) | ||||||||||||
Commodity futures | (462,150 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put | (2 | ) | (1,855,231 | ) | (5.77 | )% | ||||||
Other currency futures | (1,512,474 | ) | (4.70 | )% | ||||||||
Foreign bond futures | (201,630 | ) | (0.63 | )% | ||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.06 Call | (1 | ) | (2,071,250 | ) | (6.44 | )% | ||||||
3 month SOFR January 2023, $95.06 Call | (1 | ) | (1,891,000 | ) | (5.88 | )% | ||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call | (5 | ) | (5,215,713 | ) | (16.20 | )% | ||||||
U.S. bond futures | (888,688 | ) | (2.76 | )% | ||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,700.00 Call | (1 | ) | (841,225 | ) | (2.61 | )% | ||||||
S&P 500 E-mini January 2023, $3,500.00 Put | (1 | ) | (1,204,500 | ) | (3.74 | )% | ||||||
Total options | (16,143,861 | ) | (50.17 | )% | ||||||||
Total derivative financial instruments | $ | 28,122,323 | 87.40 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | Number of Contracts | 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) | $ | 1,647,049 | 3.69 | % | $ | 1,647,049 | 3.69 | % | ||||||||||||||||
Total exchange memberships | $ | 1,647,049 | 3.69 | % | $ | 1,647,049 | 3.69 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 3,736,084 | 8.37 | % | $ | 3,736,084 | 8.37 | % | ||||||||||||||||
Currency | ||||||||||||||||||||||||
Euro FX currency March 2023 | 15 | 7,505 | 0.02 | % | 15 | 7,505 | 0.02 | % | ||||||||||||||||
Other currency | (25,432 | ) | (0.06 | )% | (25,432 | ) | (0.06 | )% | ||||||||||||||||
Foreign bond | ||||||||||||||||||||||||
Euro-Buxl 30 yr March 2023 | 13 | (218,664 | ) | (0.49 | )% | 13 | (218,664 | ) | (0.49 | )% | ||||||||||||||
Euro-Oat March 2023 | 8 | (72,824 | ) | (0.16 | )% | 8 | (72,824 | ) | (0.16 | )% | ||||||||||||||
Euro-Schatz March 2023 | 491 | 28,435 | 0.06 | % | 491 | 28,435 | 0.06 | % | ||||||||||||||||
Other foreign bond futures | (1,506,373 | ) | (3.38 | )% | ||||||||||||||||||||
Other foreign bond | (1,506,373 | ) | (3.38 | )% | ||||||||||||||||||||
Foreign index | ||||||||||||||||||||||||
CAC 40 10 Euro January 2023 | 279 | (831,148 | ) | (1.86 | )% | 279 | (831,148 | ) | (1.86 | )% | ||||||||||||||
Euro Stoxx 50 March 2023 | 1,396 | (2,927,143 | ) | (6.56 | )% | 1,396 | (2,927,143 | ) | (6.56 | )% | ||||||||||||||
Nikkei 225 (OSE) March 2023 | 196 | (2,812,569 | ) | (6.30 | )% | 196 | (2,812,569 | ) | (6.30 | )% | ||||||||||||||
Other foreign index | (2,936,199 | ) | (6.58 | )% | (2,936,199 | ) | (6.58 | )% | ||||||||||||||||
U.S. bond | (971,258 | ) | (2.18 | )% | (971,258 | ) | (2.18 | )% | ||||||||||||||||
U.S. index | (988,125 | ) | (2.21 | )% | (988,125 | ) | (2.21 | )% | ||||||||||||||||
Total futures | (9,517,711 | ) | (21.33 | )% | (9,517,711 | ) | (21.33 | )% | ||||||||||||||||
Swaps (cost $149,945) | ||||||||||||||||||||||||
Interest rate | 7,998 | 0.02 | % | 7,998 | 0.02 | % | ||||||||||||||||||
Total swaps | 7,998 | 0.02 | % | 7,998 | 0.02 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 926,650 | 2.08 | % | 926,650 | 2.08 | % | ||||||||||||||||||
Total forwards | 926,650 | 2.08 | % | 926,650 | 2.08 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 400,881 | 0.90 | % | ||||||||
Currency | (30,113 | ) | (0.07 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Bobl March 2023 | (248 | ) | 1,336,006 | 2.99 | % | |||||||
Euro-Btp March 2023 | (6 | ) | (20,715 | ) | (0.05 | )% | ||||||
Euro-Bund March 2023 | (104 | ) | 970,271 | 2.17 | % | |||||||
Other foreign bond | 1,420,235 | 3.19 | % | |||||||||
Foreign index | (77,544 | ) | (0.17 | )% | ||||||||
Interest rate | ||||||||||||
3 month Euro Euribor December 2023 | (1,254 | ) | 2,334,823 | 5.23 | % | |||||||
Other interest rate | 1,291,770 | 2.90 | % | |||||||||
U.S. bond | 769,686 | 1.72 | % | |||||||||
U.S. index | 750,082 | 1.68 | % | |||||||||
Total futures | 9,145,382 | 20.49 | % | |||||||||
Swaps (proceeds $64,745) | ||||||||||||
Interest rate | 108,048 | 0.24 | % | |||||||||
Total swaps | 108,048 | 0.24 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 712,094 | 1.60 | % | |||||||||
Total forwards | 712,094 | 1.60 | % | |||||||||
Total derivative financial instruments | $ | 1,382,461 | 3.10 | % |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Assets | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | 4,725,880 | $ | 76,970 | $ | 5,591,646 | ||||||
Commodity futures options | – | 1,294,020 | – | |||||||||
Currency futures | – | – | 9,067 | |||||||||
Exchange memberships* | 6,902,176 | – | 1,647,049 | |||||||||
Foreign bond futures | 17,729,029 | 1,194,016 | 3,754,947 | |||||||||
Foreign bond futures options | – | 630,334 | – | |||||||||
Foreign index futures | 5,220,331 | – | 11,627 | |||||||||
Interest rate futures | 5,111,837 | – | 3,626,593 | |||||||||
Interest rate futures options | – | 11,251,188 | – | |||||||||
U.S. bond futures | 2,018,336 | 111,297 | 769,686 | |||||||||
U.S. bond futures options | – | 1,159,813 | – | |||||||||
U.S. index futures | 1,910,878 | – | 815,657 | |||||||||
U.S. index futures options | 70,125 | 3,792,388 | – | |||||||||
Total Level 1 | 43,688,592 | 19,510,026 | 16,226,272 | |||||||||
Level 2: | ||||||||||||
Foreign currency forwards | 2,067,521 | 25,084,912 | 2,851,140 | |||||||||
Foreign currency futures options | 9,634,362 | – | – | |||||||||
Interest rate swap | – | – | 150,127 | |||||||||
Total Level 2 | 11,701,883 | 25,084,912 | 3,001,267 | |||||||||
Total investment related assets | $ | 55,390,475 | $ | 44,594,938 | $ | 19,227,539 | ||||||
Liabilities | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | (2,261,910 | ) | $ | (21,520 | ) | $ | (1,454,681 | ) | |||
Commodity futures options | – | (462,150 | ) | – | ||||||||
Currency futures | – | – | (57,107 | ) | ||||||||
Foreign bond futures | (118 | ) | (70,256 | ) | (1,818,576 | ) | ||||||
Foreign index futures | (39,077 | ) | – | (9,596,230 | ) | |||||||
Foreign bond futures options | – | (201,630 | ) | – | ||||||||
Interest rate futures | (1,341,992 | ) | (3,325 | ) | – | |||||||
Interest rate futures options | – | (9,177,963 | ) | – | ||||||||
U.S. bond futures | (5,209,132 | ) | (177,789 | ) | (971,258 | ) | ||||||
U.S. bond futures options | – | (888,688 | ) | – | ||||||||
U.S. index futures | (1,011,365 | ) | (21,052 | ) | (1,053,700 | ) | ||||||
U.S. index futures options | – | (2,045,725 | ) | – | ||||||||
Total Level 1 | (9,863,594 | ) | (13,070,098 | ) | (14,951,552 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (2,250,494 | ) | (34,812 | ) | (1,212,396 | ) | ||||||
Foreign currency futures options | (3,431,233 | ) | (3,367,705 | ) | – | |||||||
Interest rate swap | – | – | (34,081 | ) | ||||||||
Total Level 2 | (5,681,727 | ) | (3,402,517 | ) | (1,246,477 | ) | ||||||
Total investment related liabilities | $ | (15,545,321 | ) | $ | (16,472,615 | ) | $ | (16,198,029 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 186,625,658 | 2,101 | $ | (15,498,641 | ) | (467 | ) | $ | 4,725,880 | $ | (2,261,910 | ) | |||||||||||
Options (a) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | – | – | ||||||||||||||||
199,999,484 | 3,173 | (21,261,240 | ) | (1,042 | ) | 4,725,880 | (2,261,910 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 105,393,870 | 997 | (223,123,315 | ) | (2,820 | ) | 7,131,209 | (1,050,442 | ) | |||||||||||||||
Options (a) | 714,207 | 1,639 | (934,457 | ) | (1,636 | ) | 70,125 | – | ||||||||||||||||
106,108,077 | 2,636 | (224,057,772 | ) | (4,456 | ) | 7,201,334 | (1,050,442 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,316,655,676 | N/A | (1,208,969,411 | ) | N/A | 2,067,521 | (2,250,494 | ) | ||||||||||||||||
Options (a) | 60,751,845 | 7 | (96,796,503 | ) | (20 | ) | 9,634,362 | (3,431,233 | ) | |||||||||||||||
1,377,407,521 | 7 | (1,305,765,914 | ) | (20 | ) | 11,701,883 | (5,681,727 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,238,790,866 | 7,141 | (2,850,846,022 | ) | (12,398 | ) | 24,859,202 | (6,551,242 | ) | |||||||||||||||
Options (a) | 805,426,116 | 16,775 | (914,747,665 | ) | (16,775 | ) | – | – | ||||||||||||||||
2,044,216,982 | 23,916 | (3,765,593,687 | ) | (29,173 | ) | 24,859,202 | (6,551,242 | ) | ||||||||||||||||
Total | $ | 3,727,732,064 | 29,732 | $ | (5,316,678,613 | ) | (34,691 | ) | $ | 48,488,299 | $ | (15,545,321 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 186,625,658 | 2,101 | $ | (15,498,641 | ) | (467 | ) | $ | 4,725,880 | $ | (2,261,910 | ) | |||||||||||
Options (a) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | – | – | ||||||||||||||||
199,999,484 | 3,173 | (21,261,240 | ) | (1,042 | ) | 4,725,880 | (2,261,910 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 105,393,870 | 997 | (223,123,315 | ) | (2,820 | ) | 7,131,209 | (1,050,442 | ) | |||||||||||||||
Options (a) | 714,207 | 1,639 | (934,457 | ) | (1,636 | ) | 70,125 | – | ||||||||||||||||
106,108,077 | 2,636 | (224,057,772 | ) | (4,456 | ) | 7,201,334 | (1,050,442 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,316,655,676 | N/A | (1,208,969,411 | ) | N/A | 2,067,521 | (2,250,494 | ) | ||||||||||||||||
Options (a) | 60,751,845 | 7 | (96,796,503 | ) | (20 | ) | 9,634,362 | (3,431,233 | ) | |||||||||||||||
1,377,407,521 | 7 | (1,305,765,914 | ) | (20 | ) | 11,701,883 | (5,681,727 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,238,790,866 | 7,141 | (2,850,846,022 | ) | (12,398 | ) | 24,859,202 | (6,551,242 | ) | |||||||||||||||
Options (a) | 805,426,116 | 16,775 | (914,747,665 | ) | (16,775 | ) | – | – | ||||||||||||||||
2,044,216,982 | 23,916 | (3,765,593,687 | ) | (29,173 | ) | 24,859,202 | (6,551,242 | ) | ||||||||||||||||
Total | $ | 3,727,732,064 | 29,732 | $ | (5,316,678,613 | ) | (34,691 | ) | $ | 48,488,299 | $ | (15,545,321 | ) |
(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 | $ | 11,546,990 | 78 | $ | – | – | $ | 76,970 | $ | (21,520 | ) | $ | 11,546,990 | 78 | $ | – | – | $ | 76,970 | $ | (21,520 | ) | ||||||||||||||||||||||||||
Options (a) | 84,705,847 | 2,514 | (59,510,938 | ) | (2,520 | ) | 1,294,020 | (462,150 | ) | 84,705,847 | 2,514 | (59,510,938 | ) | (2,520 | ) | 1,294,020 | (462,150 | ) | ||||||||||||||||||||||||||||||
96,252,837 | 2,592 | (59,510,938 | ) | (2,520 | ) | 1,370,990 | (483,670 | ) | 96,252,837 | 2,592 | (59,510,938 | ) | (2,520 | ) | 1,370,990 | (483,670 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 5,392,423 | 24 | (7,282,457 | ) | (39 | ) | – | (21,052 | ) | 5,392,423 | 24 | (7,282,457 | ) | (39 | ) | – | (21,052 | ) | ||||||||||||||||||||||||||||||
Options (a) | 51,591,974 | 2,432 | (96,065,054 | ) | (2,221 | ) | 3,792,388 | (2,045,725 | ) | 51,591,974 | 2,432 | (96,065,054 | ) | (2,221 | ) | 3,792,388 | (2,045,725 | ) | ||||||||||||||||||||||||||||||
56,984,397 | 2,456 | (103,347,511 | ) | (2,260 | ) | 3,792,388 | (2,066,777 | ) | 56,984,397 | 2,456 | (103,347,511 | ) | (2,260 | ) | 3,792,388 | (2,066,777 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 43,567,730 | N/A | (39,590,124 | ) | N/A | – | (34,812 | ) | 43,567,730 | N/A | (39,590,124 | ) | N/A | – | (34,812 | ) | ||||||||||||||||||||||||||||||||
Options (a) | 475,407,964 | 15 | (523,109,593 | ) | (18 | ) | 25,084,912 | (3,367,705 | ) | 475,407,964 | 15 | (523,109,593 | ) | (18 | ) | 25,084,912 | (3,367,705 | ) | ||||||||||||||||||||||||||||||
518,975,694 | 15 | (562,699,717 | ) | (18 | ) | 25,084,912 | (3,402,517 | ) | 518,975,694 | 15 | (562,699,717 | ) | (18 | ) | 25,084,912 | (3,402,517 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 155,838,281 | 448 | (244,880,268 | ) | (1,134 | ) | 1,305,313 | (251,370 | ) | 155,838,281 | 448 | (244,880,268 | ) | (1,134 | ) | 1,305,313 | (251,370 | ) | ||||||||||||||||||||||||||||||
Options (a) | 1,586,360,072 | 26,015 | (1,403,160,971 | ) | (26,024 | ) | 13,041,335 | (10,268,281 | ) | 1,586,360,072 | 26,015 | (1,403,160,971 | ) | (26,024 | ) | 13,041,335 | (10,268,281 | ) | ||||||||||||||||||||||||||||||
1,742,198,353 | 26,463 | (1,648,041,239 | ) | (27,158 | ) | 14,346,648 | (10,519,651 | ) | 1,742,198,353 | 26,463 | (1,648,041,239 | ) | (27,158 | ) | 14,346,648 | (10,519,651 | ) | |||||||||||||||||||||||||||||||
Total | $ | 2,414,411,281 | 31,526 | $ | (2,373,599,405 | ) | (31,956 | ) | $ | 44,594,938 | $ | (16,472,615 | ) | $ | 2,414,411,281 | 31,526 | $ | (2,373,599,405 | ) | (31,956 | ) | $ | 44,594,938 | $ | (16,472,615 | ) |
(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 | $ | 141,871,998 | 1,982 | $ | (56,120,835 | ) | (614 | ) | $ | 5,591,646 | $ | (1,454,681 | ) | $ | 141,871,998 | 1,982 | $ | (56,120,835 | ) | (614 | ) | $ | 5,591,646 | $ | (1,454,681 | ) | ||||||||||||||||||||||
141,871,998 | 1,982 | (56,120,835 | ) | (614 | ) | 5,591,646 | (1,454,681 | ) | 141,871,998 | 1,982 | (56,120,835 | ) | (614 | ) | 5,591,646 | (1,454,681 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | ||||||||||||||||||||||||||||||
142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 179,977,788 | N/A | (386,554,059 | ) | N/A | 2,851,140 | (1,212,396 | ) | 179,977,788 | N/A | (386,554,059 | ) | N/A | 2,851,140 | (1,212,396 | ) | ||||||||||||||||||||||||||||||||
Futures | 11,720,226 | 113 | (4,111,082 | ) | (45 | ) | 9,067 | (57,107 | ) | 11,720,226 | 113 | (4,111,082 | ) | (45 | ) | 9,067 | (57,107 | ) | ||||||||||||||||||||||||||||||
191,698,014 | 113 | (390,665,141 | ) | (45 | ) | 2,860,207 | (1,269,503 | ) | 191,698,014 | 113 | (390,665,141 | ) | (45 | ) | 2,860,207 | (1,269,503 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 160,551,408 | 874 | (770,715,266 | ) | (3,914 | ) | 8,151,226 | (2,789,834 | ) | 160,551,408 | 874 | (770,715,266 | ) | (3,914 | ) | 8,151,226 | (2,789,834 | ) | ||||||||||||||||||||||||||||||
Swaps | 9,556,692 | 82 | (9,556,692 | ) | (82 | ) | 150,127 | (34,081 | ) | 9,556,692 | 82 | (9,556,692 | ) | (82 | ) | 150,127 | (34,081 | ) | ||||||||||||||||||||||||||||||
170,108,100 | 956 | (780,271,958 | ) | (3,996 | ) | 8,301,353 | (2,823,915 | ) | 170,108,100 | 956 | (780,271,958 | ) | (3,996 | ) | 8,301,353 | (2,823,915 | ) | |||||||||||||||||||||||||||||||
Total | $ | 645,893,860 | 4,564 | $ | (1,270,000,215 | ) | (5,007 | ) | $ | 17,580,490 | $ | (16,198,029 | ) | $ | 645,893,860 | 4,564 | $ | (1,270,000,215 | ) | (5,007 | ) | $ | 17,580,490 | $ | (16,198,029 | ) |
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 | $ | 48,488,299 | $ | (15,545,321 | ) | $ | 32,942,978 | $ | – | $ | 32,942,978 | |||||||||
Derivative liabilities | $ | (15,545,321 | ) | $ | 15,545,321 | $ | – | $ | – | $ | – | |||||||||
Graham Derivatives Strategies LLC2 | ||||||||||||||||||||
Derivative assets | $ | 44,594,938 | $ | (16,472,615 | ) | $ | 28,122,323 | $ | – | $ | 28,122,323 | |||||||||
Derivative liabilities | $ | (16,472,615 | ) | $ | 16,472,615 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||
Derivative assets | $ | 17,580,490 | $ | (13,878,292 | ) | $ | 3,702,198 | $ | – | $ | 3,702,198 | |||||||||
Derivative liabilities | $ | (16,198,029 | ) | $ | 13,878,292 | $ | (2,319,737 | ) | $ | 2,319,737 | $ | – |
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 (loss) | $ | 40,751 | $ | (1,390 | ) | $ | (9,901 | ) | ||||||||||||||||
Net realized gain on investments | 144,656,787 | 38,532,105 | 53,812,899 | 146,523,902 | 50,617,178 | 61,988,515 | ||||||||||||||||||
Net increase in unrealized appreciation on investments | 14,730,006 | 2,824,706 | 16,436,025 | |||||||||||||||||||||
Net decrease in unrealized appreciation on investments | (20,393,341 | ) | (1,937,631 | ) | (24,082,221 | ) | ||||||||||||||||||
Brokerage commissions and fees | (625,371 | ) | (1,276,352 | ) | (56,464 | ) | (649,267 | ) | (1,839,184 | ) | (47,037 | ) | ||||||||||||
Net gain on investments | 158,761,422 | 40,080,459 | 70,192,460 | 125,481,294 | 46,840,363 | 37,859,257 | ||||||||||||||||||
Net income | $ | 158,737,710 | $ | 40,073,103 | $ | 70,143,517 | $ | 125,522,045 | $ | 46,838,973 | $ | 37,849,356 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income (loss) | $ | 17,039 | $ | (8,746 | ) | $ | (58,844 | ) | ||||
Net realized gain on investments | 291,180,689 | 89,149,283 | 115,801,414 | |||||||||
Net (decrease) increase in unrealized appreciation on investments | (5,663,335 | ) | 887,075 | (7,646,196 | ) | |||||||
Brokerage commissions and fees | (1,274,638 | ) | (3,115,536 | ) | (103,501 | ) | ||||||
Net gain on investments | 284,242,716 | 86,920,822 | 108,051,717 | |||||||||
Net income | $ | 284,259,755 | $ | 86,912,076 | $ | 107,992,873 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||
Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net increase 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 | $ | 610,152 | $ | (6,064,989 | ) | $ | (887,492 | ) | $ | 34,290 | $ | 20,430,289 | $ | (18,008,110 | ) | ||||||||||||||||||
Options | (157,305 | ) | 1,168,986 | (2,528,020 | ) | 3,549,874 | – | – | 1,090,658 | (490,299 | ) | (592,033 | ) | (3,321,034 | ) | – | – | |||||||||||||||||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||
11,953,964 | (222,705 | ) | (3,764,738 | ) | 3,515,584 | 63,361,165 | 1,574,247 | 1,700,810 | (6,555,288 | ) | (1,479,525 | ) | (3,286,744 | ) | 20,430,289 | (18,008,110 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 38,424,050 | (2,223,405 | ) | 6,526,724 | (25,055 | ) | (1,956,448 | ) | 3,029,701 | 23,515,268 | 11,176,731 | 1,478,341 | 52,105 | (1,172,523 | ) | (2,687,237 | ) | |||||||||||||||||||||||||||||||
Options | (798,825 | ) | 926,955 | (285,750 | ) | (144,563 | ) | – | – | (376,999 | ) | 1,114,519 | 13,224,783 | 1,084,930 | – | – | ||||||||||||||||||||||||||||||||
37,625,225 | (1,296,450 | ) | 6,240,974 | (169,618 | ) | (1,956,448 | ) | 3,029,701 | 23,138,269 | 12,291,250 | 14,703,124 | 1,137,035 | (1,172,523 | ) | (2,687,237 | ) | ||||||||||||||||||||||||||||||||
Foreign currency exchange rate | 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 | 39,211,226 | (9,083,717 | ) | 14,463,033 | (850,179 | ) | 19,220,921 | 236,116 | ||||||||||||||||||||||||||||||||||
Futures | – | – | – | – | 278,285 | 106,125 | – | – | – | – | 719,511 | 164,190 | ||||||||||||||||||||||||||||||||||||
Options | (2,890,682 | ) | 3,508,496 | 345,448 | (1,785,041 | ) | – | – | 840,776 | (2,629,092 | ) | 14,568,451 | (399,567 | ) | – | – | ||||||||||||||||||||||||||||||||
5,543,425 | 12,352,388 | 11,274,848 | (1,374,296 | ) | 1,626,299 | 4,974,172 | 40,052,002 | (11,712,809 | ) | 29,031,484 | (1,249,746 | ) | 19,940,432 | 400,306 | ||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 86,690,737 | 1,654,915 | 14,920,094 | 404,170 | (9,218,117 | ) | 6,687,138 | 79,244,967 | (10,176,569 | ) | 5,421,377 | (385,358 | ) | 22,790,317 | (3,710,556 | ) | ||||||||||||||||||||||||||||||||
Options | 2,843,436 | 1,823,686 | 9,860,927 | 448,866 | – | – | 2,387,854 | (3,005,094 | ) | 2,940,718 | 1,847,182 | – | – | |||||||||||||||||||||||||||||||||||
89,534,173 | 3,478,601 | 24,781,021 | 853,036 | (9,218,117 | ) | 6,687,138 | 81,632,821 | (13,181,663 | ) | 8,362,095 | 1,461,824 | 22,790,317 | (3,710,556 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 144,656,787 | $ | 14,311,834 | $ | 38,532,105 | $ | 2,824,706 | $ | 53,812,899 | $ | 16,265,258 | $ | 146,523,902 | $ | (19,158,510 | ) | $ | 50,617,178 | $ | (1,937,631 | ) | $ | 61,988,515 | $ | (24,005,597 | ) |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||||||||||||||
Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | Net realized gain (loss) | Net increase (decrease) in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 18,712,905 | $ | (7,736,696 | ) | $ | (2,124,210 | ) | $ | – | $ | 83,791,454 | $ | (16,433,863 | ) | |||||||||
Options | 933,353 | 678,687 | (3,120,053 | ) | 228,840 | – | – | |||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | |||||||||||||||||
13,654,774 | (6,777,993 | ) | (5,244,263 | ) | 228,840 | 83,791,454 | (16,433,863 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 61,939,318 | 9,278,326 | 8,005,065 | 27,050 | (3,128,971 | ) | 342,464 | |||||||||||||||||
Options | (1,175,824 | ) | 1,716,474 | 12,939,033 | 940,367 | – | – | |||||||||||||||||
60,763,494 | 10,994,800 | 20,944,098 | 967,417 | (3,128,971 | ) | 342,464 | ||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 47,645,333 | (239,825 | ) | 25,392,433 | (439,434 | ) | 20,568,935 | 5,104,163 | ||||||||||||||||
Futures | – | – | – | – | 997,796 | 270,315 | ||||||||||||||||||
Options | (2,049,906 | ) | 879,404 | 14,913,899 | (2,184,608 | ) | – | – | ||||||||||||||||
45,595,427 | 639,579 | 40,306,332 | (2,624,042 | ) | 21,566,731 | 5,374,478 | ||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 165,935,704 | (8,521,654 | ) | 20,341,471 | 18,812 | 13,572,200 | 2,976,582 | |||||||||||||||||
Options | 5,231,290 | (1,181,408 | ) | 12,801,645 | 2,296,048 | – | – | |||||||||||||||||
171,166,994 | (9,703,062 | ) | 33,143,116 | 2,314,860 | 13,572,200 | 2,976,582 | ||||||||||||||||||
Total | $ | 291,180,689 | $ | (4,846,676 | ) | $ | 89,149,283 | $ | 887,075 | $ | 115,801,414 | $ | (7,740,339 | ) |
March 31, 2023 | December 31, 2022 | June 30, 2023 | December 31, 2022 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 445,841,435 | $ | 634,147,957 | $ | 363,466,629 | $ | 634,147,957 | ||||||||
Investments in fixed income securities (amortized cost $5,412,582,091 and $5,669,408,769, respectively) | 5,412,582,091 | 5,669,408,769 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,646,023,749 and $5,669,408,769, respectively) | 5,646,023,749 | 5,669,408,769 | ||||||||||||||
Interest receivable | 3,819,181 | 5,501,621 | 6,325,219 | 5,501,621 | ||||||||||||
Total assets | 5,862,242,707 | 6,309,058,347 | 6,015,815,597 | 6,309,058,347 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to broker | 6,104 | 7,815 | 15,324 | 7,815 | ||||||||||||
Total liabilities | 6,104 | 7,815 | 15,324 | 7,815 | ||||||||||||
Members’ capital | $ | 5,862,236,603 | $ | 6,309,050,532 | $ | 6,015,800,273 | $ | 6,309,050,532 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||
2023 | 2022 | |||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 38,777,148 | $ | 2,909,295 | $ | 50,542,070 | $ | 9,277,846 | $ | 89,319,218 | $ | 12,187,141 | ||||||||||||
Total investment income | 50,542,070 | 9,277,846 | 89,319,218 | 12,187,141 | ||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 153,013 | 94,559 | 143,575 | 73,884 | 296,588 | 168,443 | ||||||||||||||||||
Total expenses | 153,013 | 94,559 | 143,575 | 73,884 | 296,588 | 168,443 | ||||||||||||||||||
Net investment income | 38,624,135 | 2,814,736 | 50,398,495 | 9,203,962 | 89,022,630 | 12,018,698 | ||||||||||||||||||
Net income | $ | 38,624,135 | $ | 2,814,736 | $ | 50,398,495 | $ | 9,203,962 | $ | 89,022,630 | $ | 12,018,698 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,412,582,091) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,646,023,749) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (amortized cost $5,013,243,588) | ||||||||||||||||||||||||
U.S. Treasury bond 0.13% due 04/30/2023 | $ | 300,000,000 | $ | 299,977,647 | 5.12% | |||||||||||||||||||
U.S. Treasury bond 0.13% due 06/30/2023 | 300,000,000 | 298,095,585 | 5.09% | |||||||||||||||||||||
Government Bonds (amortized cost $4,235,353,654) | ||||||||||||||||||||||||
U.S. Treasury bond 0.25% due 09/30/2023 | 350,000,000 | 343,550,666 | 5.86% | $ | 350,000,000 | $ | 346,757,712 | 5.76 | % | |||||||||||||||
U.S. Treasury bonds 0.13% – 1.50% due 04/15/2023 – 03/15/2024 | 4,150,000,000 | 4,071,619,690 | 69.45% | |||||||||||||||||||||
U.S. Treasury bonds 0.13% – 2.13% due 07/15/2023 – 03/31/2024 | 3,950,000,000 | 3,888,595,942 | 64.64 | % | ||||||||||||||||||||
Total Government Bonds | 5,013,243,588 | 85.52% | 4,235,353,654 | 70.40 | % | |||||||||||||||||||
Treasury Bills (amortized cost $399,338,503) | ||||||||||||||||||||||||
U.S. Treasury bill 0.00% due 04/04/2023 – 04/25/2023 | 400,000,000 | 399,338,503 | 6.81% | |||||||||||||||||||||
Treasury Bills (amortized cost $1,410,670,095) | ||||||||||||||||||||||||
U.S. Treasury bill 0.00% due 07/06/2023 – 12/28/2023 | 1,425,000,000 | 1,410,670,095 | 23.45 | % | ||||||||||||||||||||
Total Treasury Bills | 399,338,503 | 6.81% | 1,410,670,095 | 23.45 | % | |||||||||||||||||||
Total United States | 5,412,582,091 | 92.33% | 5,646,023,749 | 93.85 | % | |||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 5,412,582,091 | 92.33% | $ | 5,646,023,749 | 93.85 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,669,408,769) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (amortized cost $5,470,052,935) | ||||||||||||||||||||||||
U.S. Treasury bond 0.13% due 01/31/2023 | $ | 350,000,000 | $ | 349,565,886 | 5.54% | $ | 350,000,000 | $ | 349,565,886 | 5.54 | % | |||||||||||||
U.S. Treasury bond 0.25% due 09/30/2023 | 350,000,000 | 340,378,862 | 5.40% | 350,000,000 | 340,378,862 | 5.40 | % | |||||||||||||||||
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024 | 4,850,000,000 | 4,780,108,187 | 75.76% | 4,850,000,000 | 4,780,108,187 | 75.76 | % | |||||||||||||||||
Total Government Bonds | 5,470,052,935 | 86.70% | 5,470,052,935 | 86.70 | % | |||||||||||||||||||
Treasury Bills (amortized cost $199,355,834) | ||||||||||||||||||||||||
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023 | 200,000,000 | 199,355,834 | 3.16% | 200,000,000 | 199,355,834 | 3.16 | % | |||||||||||||||||
Total Treasury Bills | 199,355,834 | 3.16% | 199,355,834 | 3.16 | % | |||||||||||||||||||
Total United States | 5,669,408,769 | 89.86% | 5,669,408,769 | 89.86 | % | |||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 5,669,408,769 | 89.86% | $ | 5,669,408,769 | 89.86 | % |
March 31, 2023 | December 31, 2022 | June 30, 2023 | December 31, 2022 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 5,013,243,588 | $ | 5,470,052,935 | $ | 4,235,353,654 | $ | 5,470,052,935 | ||||||||
Treasury bills | 399,338,503 | 199,355,834 | 1,410,670,095 | 199,355,834 | ||||||||||||
Total fixed income securities | 5,412,582,091 | 5,669,408,769 | 5,646,023,749 | 5,669,408,769 | ||||||||||||
Total Level 2 | 5,412,582,091 | 5,669,408,769 | 5,646,023,749 | 5,669,408,769 | ||||||||||||
Total assets | $ | 5,412,582,091 | $ | 5,669,408,769 | $ | 5,646,023,749 | $ | 5,669,408,769 |
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, 2021 | $ | 176.27 | $ | 125.68 | ||||||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (5.52 | ) | (4.04 | ) | (5.66 | ) | (4.19 | ) | ||||||||
Net gain on investments | 30.00 | 21.38 | 22.87 | 16.22 | ||||||||||||
Net income | 24.48 | 17.34 | 17.21 | 12.03 | ||||||||||||
Net asset value per Unit, March 31, 2022 | $ | 200.75 | $ | 143.02 | ||||||||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||||||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | ||||||||||||
Net loss: | ||||||||||||||||
Net asset value per Unit, March 31, 2023 | $ | 219.21 | $ | 155.12 | ||||||||||||
Net income: | ||||||||||||||||
Net investment income (loss) | 0.19 | (0.16 | ) | 0.12 | (0.21 | ) | ||||||||||
Net loss on investments | (5.57 | ) | (3.94 | ) | ||||||||||||
Net loss | (5.38 | ) | (4.10 | ) | ||||||||||||
Net asset value per Unit, March 31, 2023 | $ | 219.21 | $ | 155.12 | ||||||||||||
Net gain on investments | 4.61 | 3.26 | ||||||||||||||
Net income | 4.73 | 3.05 | ||||||||||||||
Net asset value per Unit, June 30, 2023 | $ | 223.94 | $ | 158.17 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||||||||||
Total return before Incentive Allocation | (2.40 | )% | 16.36 | % | (2.58 | )% | 16.14 | % | 2.16 | % | 10.84 | % | 1.97 | % | 10.52 | % | |||||||||||||||||||
Incentive Allocation | (0.00 | ) | (2.48 | ) | 0.00 | (2.34 | ) | 0.00 | (2.28 | ) | 0.00 | (2.11 | ) | ||||||||||||||||||||||
Total return after Incentive Allocation | (2.40 | )% | 13.88 | % | (2.58 | )% | 13.80 | % | 2.16 | % | 8.56 | % | 1.97 | % | 8.41 | % | |||||||||||||||||||
Net investment income (loss) before Incentive Allocation | 0.09 | % | (0.63 | )% | (0.10 | )% | (0.82 | )% | 0.05 | % | (0.61 | )% | (0.13 | )% | (0.79 | )% | |||||||||||||||||||
Incentive Allocation | (0.00 | ) | (2.30 | ) | 0.00 | (2.18 | ) | 0.00 | (2.09 | ) | 0.00 | (2.01 | ) | ||||||||||||||||||||||
Net investment income (loss) after Incentive Allocation | 0.09 | % | (2.93 | )% | (0.10 | )% | (3.00 | )% | 0.05 | % | (2.70 | )% | (0.13 | )% | (2.80 | )% | |||||||||||||||||||
Total expenses before Incentive Allocation | 0.57 | % | 0.67 | % | 0.76 | % | 0.86 | % | 0.80 | % | 0.74 | % | 0.97 | % | 0.92 | % | |||||||||||||||||||
Incentive Allocation | 0.00 | 2.30 | 0.00 | 2.18 | 0.00 | 2.09 | 0.00 | 2.01 | |||||||||||||||||||||||||||
Total expenses after Incentive Allocation | 0.57 | % | 2.97 | % | 0.76 | % | 3.04 | % | 0.80 | % | 2.83 | % | 0.97 | % | 2.93 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | ||||
Net income: | ||||||||
Net investment loss | (11.20 | ) | (8.23 | ) | ||||
Net gain on investments | 52.89 | 37.60 | ||||||
Net income | 41.69 | 29.37 | ||||||
Net asset value per Unit, June 30, 2022 | $ | 217.96 | $ | 155.05 | ||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 | ||||
Net loss: | ||||||||
Net investment income (loss) | 0.31 | (0.37 | ) | |||||
Net loss on investments | (0.96 | ) | (0.68 | ) | ||||
Net loss | (0.65 | ) | (1.05 | ) | ||||
Net asset value per Unit, June 30, 2023 | $ | 223.94 | $ | 158.17 |
Class 0 | Class 2 | ||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||
Total return before Incentive Allocation | (0.29 | )% | 28.88 | % | (0.66 | )% | 28.10 | % | |||||||||
Incentive Allocation | (0.00 | ) | (5.23 | ) | 0.00 | (4.73 | ) | ||||||||||
Total return after Incentive Allocation | (0.29 | )% | 23.65 | % | (0.66 | )% | 23.37 | % | |||||||||
Net investment income (loss) before Incentive Allocation | 0.14 | % | (1.24 | )% | (0.23 | )% | (1.61 | )% | |||||||||
Incentive Allocation | (0.00 | ) | (4.39 | ) | 0.00 | (4.18 | ) | ||||||||||
Net investment income (loss) after Incentive Allocation | 0.14 | % | (5.63 | )% | (0.23 | )% | (5.79 | )% | |||||||||
Total expenses before Incentive Allocation | 1.37 | % | 1.41 | % | 1.73 | % | 1.78 | % | |||||||||
Incentive Allocation | 0.00 | 4.39 | 0.00 | 4.18 | |||||||||||||
Total expenses after Incentive Allocation | 1.37 | % | 5.80 | % | 1.73 | % | 5.96 | % |
Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
Agriculture / Softs | $ | (560 | ) | $ | (34,600 | ) | ||
Base Metals | (8,898 | ) | (9,160 | ) | ||||
Energy | (304,502 | ) | (106,446 | ) | ||||
Equities | 344,244 | 455,303 | ||||||
Foreign Exchange | (306,662 | ) | 548,145 | |||||
Long Term / Intermediate Rates | (384,639 | ) | (188,344 | ) | ||||
Precious Metals | (39,684 | ) | (251,457 | ) | ||||
Short Term Rates | 7,728 | 202,802 | ||||||
$ | (692,973 | ) | $ | 616,243 |
Agriculture / Softs | $ | (35,160 | ) | |
Base Metals | (18,058 | ) | ||
Energy | (410,948 | ) | ||
Equities | 799,547 | |||
Foreign Exchange | 241,483 | |||
Long Term / Intermediate Rates | (572,983 | ) | ||
Precious Metals | (291,141 | ) | ||
Short Term Rates | 210,530 | |||
$ | (76,730 | ) |
Agriculture / Softs | 35.2 | % | ||
Base Metals | 19.3 | % | ||
Energy | ( | )% | ||
% | ||||
( | )% | |||
% | ||||
( | )% | |||
% | ||||
100.0 | % |
Agriculture / Softs | $ | 257,184 | $ | (184,332 | ) | |||
Base Metals | 121,490 | (8,417 | ) | |||||
Commodity Mix | (63,403 | ) | ||||||
Energy | 1,624,971 | 396,493 | ||||||
Equities | 541,905 | 405,363 | ||||||
Foreign Exchange | 493,252 | 1,316,555 | ||||||
Long Term / Intermediate Rates | 833,571 | 1,367,628 | ||||||
Precious Metals | 56,930 | (215,596 | ) | |||||
Short Term Rates | 441,987 | 133,145 | ||||||
$ | 4,307,887 | $ | 3,210,839 |
Agriculture / Softs | $ | 72,223 | ||
Base Metals | 112,908 | |||
Commodity Mix | (63,403 | ) | ||
Energy | 2,020,102 | |||
Equities | 947,271 | |||
Foreign Exchange | 1,811,472 | |||
Long Term / Intermediate Rates | 2,202,447 | |||
Precious Metals | (159,098 | ) | ||
Short Term Rates | 574,804 | |||
$ | 7,518,726 |
Agriculture / Softs | % | |||
Base Metals | % | |||
Energy | % | |||
Equities | % | |||
Foreign Exchange | 43.4 | % | ||
Long Term / Intermediate Rates | 136.1 | % | ||
Precious Metals | ( | )% | ||
)% | ||||
100.0 | % |
Core Macro Portfolio | |||
December 31, 2022 | 9.33% | ||
Item 3. | Quantitative and Qualitative Disclosures about Market Risk |
Item 4. | Controls and Procedures |
Item 1. | Legal Proceedings |
Item 1A. | Risk Factors |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
Date | Total Number of Units Issued | |
April 1 – April 30, 2023 | – | |
343.165 | ||
1,502.756 | ||
TOTAL | 1,845.920 |
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, 2023 | ‑ | $ | ‑ | N/A | N/A | |||||||||||
February 1 – February 28, 2023 | ‑ | $ | ‑ | N/A | N/A | |||||||||||
March 1 – March 31, 2023 | 342.140 | $ | 219.21 | N/A | N/A | |||||||||||
TOTAL | 342.140 | $ | 219.21 | N/A | N/A |
Date | (a) Total Number of Units Purchased1 | (b) Average Price Paid per Unit | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs | |||
April 1 – April 30, 2023 | – | $ | – | N/A | N/A | ||
May 1 – May 31, 2023 | – | $ | – | N/A | N/A | ||
June 1 – June 30, 2023 | 178.620 | $ | 223.94 | N/A | N/A | ||
TOTAL | 178.620 | $ | 223.94 | N/A | N/A |
Item 3. | Defaults Upon Senior Securities – None |
Item 4. | Mine Safety Disclosures – None |
Item 5. | Other Information – |
Item 6. | Exhibits |
Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated March 28, 2013 | |
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 | |||
CORE MACRO PORTFOLIO | ||||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | |||
its Manager |
By: | /s/ Brian Douglas | ||||
Brian Douglas, Principal Executive Officer | |||||
By: | /s/ | George Schrade | |||
George Schrade, Principal Financial Officer |