Graham Alternative Investment Fund I 10Q 2011 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of theSECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2011

OR o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

(Exact name of registrant as specified in its charter)

Delaware		20-4897069
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT 06853

(Address of principal executive offices) (Zip Code)

Paul Sedlack

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT 06853

(203) 899-3400

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes o No o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer or a smaller reporting company. See the definitions of “large accelerated filer”, “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o

Accelerated filer o

Non-accelerated filer o

Smaller reporting company x

Indicate by check mark whether the registrant is a shell company (as defined in rule 12b-2 of the Exchange Act).

Yes o No x

As of October 1, 2011, 614,718.119 Units of the Systematic Strategies Portfolio were outstanding.

As of October 1, 2011, 2,318,429.747 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

FORM 10-Q

INDEX

		Page
		Number

PART I - Financial Information:

Item 1.	Financial Statements:

	Graham Alternative Investment Fund I LLC

	Statements of Financial Condition at September 30, 2011 (unaudited) and December 31, 2010 (audited)	1

	Statements of Operations for the three months and nine months ended September 30, 2011 and 2010 (unaudited)	2

	Statements of Changes in Members’ Capital for the nine months ended September 30, 2011 and 2010 (unaudited)	3

	Statements of Cash Flows for the nine months ended September 30, 2011 and 2010 (unaudited)	5

	Notes to Unaudited Financial Statements	6


	Graham Alternative Investment Trading LLC

	Statements of Financial Condition at September 30, 2011 (unaudited) and December 31, 2010 (audited)	15

	Condensed Schedules of Investments at September 30, 2011 (unaudited) and December 31, 2010 (audited)	16

	Statements of Operations and Managing Member Allocation for the three months and nine months ended September 30, 2011 and 2010 (unaudited)	17

	Statements of Changes in Members’ Capital for the nine months ended September 30, 2011 and 2010 (unaudited)	18

	Statements of Cash Flows for the nine months ended September 30, 2011 and 2010 (unaudited)	19

	Notes to Unaudited Financial Statements	20


	Graham Alternative Investment Trading II LLC

	Statements of Financial Condition at September 30, 2011 (unaudited) and December 31, 2010 (audited)	69

	Statements of Operations and Managing Member Allocation for the three months and nine months ended September 30, 2011 and 2010 (unaudited)	70

	Statements of Changes in Members’ Capital for the nine months ended September 30, 2011 and 2010 (unaudited)	71

	Statements of Cash Flows for the nine months ended September 30, 2011 and 2010 (unaudited)	72

	Notes to Unaudited Financial Statements	73

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	97

Item 3.	Quantitative and Qualitative Disclosures about Market Risk	110

Item 4.	Controls and Procedures	111

PART II - Other Information		112

Exhibits

EX - 31.1

Certification

EX - 31.2

Certification

EX - 32.1

Certification

Index

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Statements of Financial Condition

	September 30, 2011 (Unaudited)		December 31, 2010 (Audited)

Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	292,240,139	$	290,023,320
Investment in Graham Alternative Investment Trading II LLC, at fair value		53,193,470		48,442,149
Redemption receivable from Graham Alternative Investment Trading LLC		39,543,301		1,296,065
Redemption receivable from Graham Alternative Investment Trading II LLC		4,122,958		125,284
Total assets	$	389,099,868	$	339,886,818

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	43,666,259	$	1,421,349
Total liabilities		43,666,259		1,421,349

Members’ capital:
Blended Strategies Portfolio:
Class 0 Units (1,871,651.406 and 1,752,436.237 units issued and outstanding at $131.58 and $138.96, respectively)		246,272,164		243,511,752
Class 2 Units (433,429.994 and 409,129.824 units issued and outstanding at $106.06 and $113.68, respectively)		45,967,975		46,511,568
Total Blended Strategies Portfolio		292,240,139		290,023,320

Systematic Strategies Portfolio:
Class 0 Units (340,824.472 and 274,960.438 units issued and outstanding at $89.38 and $102.92, respectively)		30,463,149		28,297,652
Class 2 Units (266,487.443 and 202,003.861 units issued and outstanding at $85.30 and $99.72, respectively)		22,730,321		20,144,497
Total Systematic Strategies Portfolio		53,193,470		48,442,149
Total members’ capital		345,433,609		338,465,469
Total liabilities and members’ capital	$	389,099,868	$	339,886,818

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Operations

	Three Months Ended September 30,						Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net (loss) gain allocated from investments in other funds:
Net realized (loss) gain on investments	$	(506,903	)	$	(2,209,180	)	$	(2,945,410	)	$	674,394
Net (decrease) increase in unrealized appreciation on investments		(1,522,238	)		11,411,613			(10,345,755	)		10,819,412
Net (loss) gain allocated from investments in other funds		(2,029,141	)		9,202,433			(13,291,165	)		11,493,806

Net investment loss allocated from investment in other funds:
Investment income:
Interest income		339,914			735,716			1,124,247			2,032,862

Expenses:
Brokerage fees		2,369,990			1,737,922			6,943,514			4,650,241
Advisory fees		2,008,742			1,446,548			5,870,238			3,852,692
Sponsor fees		1,004,372			723,275			2,935,120			1,926,346
Incentive allocation		-			762,334			42,993			761,792
Interest and other		48,654			15,016			107,044			50,481
Total expenses		5,431,758			4,685,095			15,898,909			11,241,552
Net investment loss allocated from investments in other funds		(5,091,844	)		(3,949,379	)		(14,774,662	)		(9,208,690	)
Net (loss) income	$	(7,120,985	)	$	5,253,054		$	(28,065,827	)	$	2,285,116

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital

For the nine months ended September 30, 2011 (unaudited) and 2010 (unaudited)

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2009		1,134,943.426		$	153,850,323			300,723.739		$	33,900,271		$	187,750,594
Subscriptions		518,631.500			69,924,258			103,536.819			11,490,457			81,414,715
Redemptions		(100,431.416	)		(13,534,505	)		(40,323.514	)		(4,469,018	)		(18,003,523	)
Net income		–			2,843,427			–			94,185			2,937,612
Members’ capital, September 30, 2010		1,553,143.510		$	213,083,503			363,937.044		$	41,015,895		$	254,099,398

	Blended Strategies Portfolio
	Class 0 Units						Class 2 Units						Total
	Units			Capital			Units			Capital			Blended Strategies Portfolio

Members’ capital, December 31, 2010		1,752,436.237		$	243,511,752			409,129.824		$	46,511,568		$	290,023,320
Subscriptions		520,007.272			72,113,602			80,016.088			8,938,865			81,052,467
Redemptions		(400,792.103	)		(53,393,928	)		(55,715.918	)		(6,177,414	)		(59,571,342	)
Net loss		–			(15,959,262	)		–			(3,305,044	)		(19,264,306	)
Members’ capital, September 30, 2011		1,871,651.406		$	246,272,164			433,429.994		$	45,967,975		$	292,240,139

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital (continued)

For the nine months ended September 30, 2011 (unaudited) and 2010 (unaudited)

	Systematic Strategies Portfolio
	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Systematic Strategies Portfolio			Total Members’ Capital

Members’ capital, December 31, 2009		180,564.957		$	18,162,877			119,035.753		$	11,790,850		$	29,953,727		$	217,704,321
Subscriptions		81,504.222			7,825,003			81,121.636			7,669,792			15,494,795			96,909,510
Redemptions		(8,427.480	)		(813,311	)		(14,726.901	)		(1,385,685	)		(2,198,996	)		(20,202,519	)
Net (loss ) income		–			(251,869	)		–			(400,627	)		(652,496	)		2,285,116
Members’ capital, September 30, 2010		253,641.699		$	24,922,700			185,430.488		$	17,674,330		$	42,597,030		$	296,696,428

	Systematic Strategies Portfolio
	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Systematic Strategies Portfolio			Total Members’ Capital

Members’ capital, December 31, 2010		274,960.438		$	28,297,652			202,003.861		$	20,144,497		$	48,442,149		$	338,465,469
Subscriptions		139,972.911			14,166,260			90,038.065			8,714,658			22,880,918			103,933,385
Redemptions		(74,108.877	)		(6,909,240	)		(25,554.483	)		(2,418,836	)		(9,328,076	)		(68,899,418	)
Net loss		–			(5,091,523	)		–			(3,709,998	)		(8,801,521	)		(28,065,827	)
Members’ capital, September 30, 2011		340,824.472		$	30,463,149			266,487.443		$	22,730,321		$	53,193,470		$	345,433,609

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Cash Flows

	Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)
Cash flows used in operating activities
Net (loss) income	$	(28,065,827	)	$	2,285,116
Adjustments to reconcile net (loss) income to net cash used in operating activities:
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC		19,264,306			(2,937,612	)
Net loss allocated from investment in Graham Alternative Investment Trading II LLC		8,801,521			652,496
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		21,324,106			17,449,101
Proceeds from sale of investments in Graham Alternative Investment Trading II LLC		5,330,402			1,878,477
Investments in Graham Alternative Investment Trading LLC		(81,052,467	)		(81,414,715	)
Investments in Graham Alternative Investment Trading II LLC		(22,880,918	)		(15,494,795	)
Net cash used in operating activities		(77,278,877	)		(77,581,932	)

Cash flows provided by financing activities
Subscriptions		103,933,385			96,909,510
Redemptions		(26,654,508	)		(19,327,578	)
Net cash provided by financing activities		77,278,877			77,581,932

Net change in cash and cash equivalents		–			–

Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements

September 30, 2011

1. Organization and Business

Graham Alternative Investment Fund I LLC (the “Fund”) was formed on May 16, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company (“LLC”). The Fund offers investors Class 0 and Class 2 shares of a Blended Strategies Portfolio, and Class 0 and Class 2 shares of a Systematic Strategies Portfolio. The Fund invests all of its Blended Strategies Portfolio assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware LLC formed on May 16, 2006 and commenced operations on August 1, 2006. The Fund invests all of its Systematic Strategies Portfolio assets dedicated to trading in Graham Alternative Investment Trading II LLC (“GAIT II”), a Delaware LLC which was formed on July 16, 2008 and commenced operations on January 4, 2009. GAIT and GAIT II (collectively “the GAIT Funds”) invest in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of the GAIT Funds and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association. The Fund is registered as a reporting company under the Securities Exchange Act of 1934.

The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets, primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments such as options and swaps through its investments in the GAIT Funds which in turn invest in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

In addition to trading in the Interbank market for foreign exchange, the Manager currently executes orders on all the major U.S. futures exchanges and may also trade on, but is not limited to, the Bolsa de Mercadorias and Futuros (“BMF”), Borsa Italiana Idem (“IML”), the Eurex Deutschland (“EUREX”), Euronext (“EURONEXT”), the Hong Kong Exchanges and Clearing Ltd. (“HKEX”), the Intercontinental Exchange (“ICE”), the London International Financial Futures and Options Exchange Ltd. (“LIFFE”), the London Metal Exchange (“LME”), the Montreal Exchange (“ME”), the Mercado de Futuros Financieros (“MEFF”), the Osaka Securities Exchange (“OSE”), the Sydney Futures Exchange Ltd. (“SFE”), the Singapore Exchange (“SGX”), the South African Exchange (“SAFEX”), the Tokyo Financial Exchange (“TFX”), the Tokyo Commodity Exchange (“TOCOM”) and the Tokyo Stock Exchange (“TSE”).

SEI Global Services, Inc. (“SEI”) is the Fund’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of the Fund.

The Fund will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).

The performance of the Fund is directly affected by the performance of the GAIT Funds; therefore these financial statements should be read in conjunction with the attached financial statements of the GAIT Funds.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and the GAIT Funds.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Amounts included in the financial statements and accompanying notes related to September 30, 2011 and 2010 and the three and nine month periods then ended are unaudited. Amounts included herein as of December 31, 2010 have been taken from the December 31, 2010 audited financial statements and accompanying notes of the Fund.

Investment in Graham Alternative Investment Trading LLC and Graham Alternative Investment Trading II LLC

The Fund records its investments in the GAIT Funds at fair value in accordance with U.S. GAAP. In determining its net asset value, the GAIT Funds record their investments in Master Funds at fair value based upon the GAIT Funds’ proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of the GAIT Funds’ investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis and includes them in the statements of operations. Purchases and sales of units in the GAIT Funds are recorded on a trade date basis. The accounting policies of the GAIT Funds are described in their attached respective financial statements.

Each of the GAIT Funds charges its investors, including the Fund, an advisory fee, brokerage fee, sponsor fee and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears their portion of the advisory fee, brokerage fee, sponsor fee and incentive allocation charged by the GAIT Funds.

At September 30, 2011 and December 31, 2010, the Fund owned 62.18% and 64.92%, respectively of GAIT, and 68.00% and 69.42%, respectively of GAIT II.

Fair Value

The fair value of the assets and liabilities of the Fund, GAIT and GAIT II, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.

The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

Level 1 inputs are unadjusted closing or settle 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. With respect to the Fund’s investments in the GAIT Funds, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

The Fund reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. In accordance with this hierarchy, the Fund’s investments in the GAIT Funds have been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2011 or the twelve months ended December 31, 2010 by the GAIT Funds, the Master Funds, or Graham Cash Assets LLC, and there were no transfers between Level 1 and Level 2 during those periods. Transfers between levels are recognized on the actual date of the event or change in circumstances that cause the transfer.

Cash and Cash Equivalents

The Fund considers cash and cash equivalents to include all highly liquid investments with a maturity of three months or less when acquired.

Indemnifications

In the normal course of business, the Master Funds, the GAIT Funds and the Fund enter into contracts that contain a variety of indemnifications. Such contracts include those with the Master Funds’ brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Capital Accounts

The Fund offers Class 0 Units and Class 2 Units (collectively, the “Units”) in both Blended and Systematic Strategies Portfolios. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.

A separate Capital Account is maintained for each Member with respect to each member’s Class of Units. The initial balance of each member’s Capital Account is equal to the initial contribution to the Fund by such Member with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of the Fund are allocated among the members’ Capital Accounts in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

Addition of Members and Managing Members

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $50,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. Redemption fees of $3,919 and $11,686 were paid to the Manager for the nine months ended September 30, 2011 and 2010, respectively, and are included as redemptions in the statements of changes in members’ capital.

4. Fees

Advisory Fees

Each Class of the GAIT Funds other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 2% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

Each Class of the GAIT Funds other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of 1% of its Net Asset Value, payable monthly in arrears, determined in the same manner as the Advisory Fee.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

4. Fees (continued)

Incentive Allocation

At the end of each calendar quarter, the Manager of the GAIT Funds will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of the GAIT Funds, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter.

Brokerage Fees

Each Class of the GAIT Funds other than Class M pays the Manager a brokerage fee (the “Brokerage Fee”) at the annual rate specified in the table below. This Brokerage Fee is payable monthly in arrears and calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager bears all of the GAIT Funds’ trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of the GAIT Funds and the Fund and the continuous offering of Units. To the extent the GAIT Funds are allocated any of these expenses from the Master Funds in which it invests, the Manager will reimburse the GAIT Funds for those amounts. These reimbursements are included in commission reimbursements in the GAIT Funds’ statements of operations and managing member allocation.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

5. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

6. Related Party Transactions

The Manager, due to its relationship with its affiliates, may enter into certain related party transactions.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended September 30, 2011 and 2010:

	Blended Strategies Portfolio						Systematic Strategies Portfolio
	Class 0			Class 2			Class 0			Class 2
Per share operating performance
Net asset value per unit, June 30, 2010	$	134.80		$	111.00		$	95.72		$	93.33
Net income:
Net investment loss		(1.33	)		(1.98	)		(1.24	)		(1.71	)
Net gain on investments		3.72			3.68			3.78			3.70
Net income		2.39			1.70			2.54			1.99
Net asset value per unit, September 30, 2010	$	137.19		$	112.70		$	98.26		$	95.32


Net asset value per unit, June 30, 2011	$	132.67		$	107.48		$	95.59		$	91.69
Net loss:
Net investment loss		(2.50	)		(2.54	)		(1.12	)		(1.49	)
Net gain (loss) on investments		1.41			1.12			(5.09	)		(4.90	)
Net loss		(1.09	)		(1.42	)		(6.21	)		(6.39	)
Net asset value per unit, September 30, 2011	$	131.58		$	106.06		$	89.38		$	85.30

The following represents ratios to average members’ capital and total return for the three month periods ended September 30, 2011 and 2010 for the Blended Strategies Portfolio:

	Blended Strategies Portfolio
	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(0.82	)%		2.17	%		(1.32	)%		1.59	%
Incentive Allocation		0.00			(0.41	)		0.00			(0.09	)
Total return after Incentive Allocation		(0.82	)%		1.76	%		(1.32	)%		1.50	%

Net investment loss before Incentive Allocation		(1.88	)%		(1.04	)%		(2.36	)%		(1.55	)%
Incentive Allocation		0.00			(0.41	)		0.00			(0.09	)
Net investment loss after Incentive Allocation		(1.88	)%		(1.45	)%		(2.36	)%		(1.64	)%

Total expenses before Incentive Allocation		1.32	%		1.30	%		1.80	%		1.80	%
Incentive Allocation		0.00			0.41			0.00			0.09
Total expenses after Incentive Allocation		1.32	%		1.71	%		1.80	%		1.89	%

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following represents ratios to average members’ capital and total return for the three month periods ended September 30, 2011 and 2010 for the Systematic Strategies Portfolio:

	Systematic Strategies Portfolio
	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(6.50	)%		2.52	%		(6.97	)%		2.01	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.50	)%		2.52	%		(6.97	)%		2.01	%

Net investment loss before Incentive Allocation		(1.17	)%		(1.03	)%		(1.63	)%		(1.56	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(1.17	)%		(1.03	)%		(1.63	)%		(1.56	)%

Total expenses before Incentive Allocation		1.35	%		1.28	%		1.82	%		1.82	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		1.35	%		1.28	%		1.82	%		1.82	%

The following is the per Unit operating performance calculation for the nine month periods ended September 30, 2011 and 2010:

	Blended Strategies Portfolio						Systematic Strategies Portfolio
	Class 0			Class 2			Class 0			Class 2
Per share operating performance
Net asset value per unit, December 31, 2009	$	135.56		$	112.73		$	100.59		$	99.05
Net income (loss):
Net investment loss		(2.86	)		(6.60	)		(3.68	)		(5.07	)
Net gain on investments		4.49			6.57			1.35			1.34
Net income (loss)		1.63			(0.03	)		(2.33	)		(3.73	)
Net asset value per unit, September 30, 2010	$	137.19		$	112.70		$	98.26		$	95.32


Net asset value per unit, December 31, 2010	$	138.96		$	113.68		$	102.92		$	99.72
Net loss:
Net investment loss		(5.32	)		(5.98	)		(3.43	)		(4.73	)
Net loss on investments		(2.06	)		(1.64	)		(10.11	)		(9.69	)
Net loss		(7.38	)		(7.62	)		(13.54	)		(14.42	)
Net asset value per unit, September 30, 2011	$	131.58		$	106.06		$	89.38		$	85.30

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following represents ratios to average members’ capital and total return for the nine month periods ended September 30, 2011 and 2010 for the Blended Strategies Portfolio:

	Blended Strategies Portfolio
	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(5.30	)%		1.61	%		(6.69	)%		0.06	%
Incentive Allocation		(0.01	)		(0.41	)		(0.01	)		(0.09	)
Total return after Incentive Allocation		(5.31	)%		1.20	%		(6.70	)%		(0.03	)%

Net investment loss before Incentive Allocation		(3.82	)%		(3.05	)%		(5.25	)%		(4.60	)%
Incentive Allocation		(0.01	)		(0.41	)		(0.01	)		(0.09	)
Net investment loss after Incentive Allocation		(3.83	)%		(3.46	)%		(5.26	)%		(4.69	)%

Total expenses before Incentive Allocation		3.87	%		3.85	%		5.37	%		5.39	%
Incentive Allocation		0.01			0.41			0.01			0.09
Total expenses after Incentive Allocation		3.88	%		4.26	%		5.38	%		5.48	%

The following represents ratios to average members’ capital and total return for the nine month periods ended September 30, 2011 and 2010 for the Systematic Strategies Portfolio:

	Systematic Strategies Portfolio
	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(13.15	)%		(2.32	)%		(14.45	)%		(3.77	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Total return after Incentive Allocation		(13.16	)%		(2.32	)%		(14.46	)%		(3.77	)%

Net investment loss before Incentive Allocation		(3.32	)%		(3.05	)%		(4.73	)%		(4.64	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Net investment loss after Incentive Allocation		(3.33	)%		(3.05	)%		(4.74	)%		(4.64	)%

Total expenses before Incentive Allocation		3.93	%		3.83	%		5.45	%		5.43	%
Incentive Allocation		0.01			0.00			0.01			0.00
Total expenses after Incentive Allocation		3.94	%		3.83	%		5.46	%		5.43	%

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

Total return is calculated for Class 0 and Class 2 Units taken as a whole and has not been annualized. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include amounts from the Fund and amounts allocated from the GAIT Funds. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. The net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and nine month periods ended September 30, 2011 and 2010.

8. Subsequent Events

The Fund had subscriptions of approximately $6.4 million and redemptions of approximately $5.4 million through November 14, 2011, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	September 30, 2011 (Unaudited)		December 31, 2010 (Audited)
Assets
Investments in Master Funds, at fair value	$	82,135,022	$	43,910,786
Investment in Graham Cash Assets LLC, at fair value		430,762,084		409,389,656
Commission reimbursements receivable		496,296		278,469
Receivable from Master Funds		4		–
Total assets	$	513,393,406	$	453,578,911

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	41,193,066	$	4,817,403
Accrued brokerage fees		969,798		894,187
Accrued advisory fees		842,506		768,947
Accrued sponsor fees		421,253		384,474
Payable to Master Funds		1,591		61
Total liabilities		43,428,214		6,865,072

Members’ capital:
Class 0 Units (2,985,148.707 and 2,685,172.128 units issued and outstanding at $131.58 and $138.96 per unit, respectively)		392,786,296		373,121,130
Class 2 Units (719,537.996 and 639,582.657 units issued and outstanding at $106.06 and $113.68 per unit, respectively)		76,311,534		72,710,381
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $185.67 and $188.88 per unit, respectively)		867,362		882,328
Total members’ capital		469,965,192		446,713,839
Total liabilities and members’ capital	$	513,393,406	$	453,578,911

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	September 30, 2011 (Unaudited)				December 31, 2010 (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	$	18,591,032	3.96	%	$	7,603,525	1.70	%
Graham Discretionary Energy Trading III LLC		981,719	0.21	%		1,690,592	0.38	%
Graham Energy Focus LLC		6,664,685	1.42	%		-	0.00	%
Graham Fed Policy Ltd.		5,726,006	1.22	%		6,709,637	1.50	%
Graham Global Monetary Policy LLC		12,427,431	2.64	%		3,566,013	0.80	%
Graham K4D Trading Ltd.		31,362,992	6.67	%		24,030,670	5.38	%
Graham Macro Directional LLC		6,381,157	1.36	%		268,357	0.06	%
Graham Short Term Global Macro LLC		-	0.00	%		41,992	0.01	%
Total investments in Master Funds	$	82,135,022	17.48	%	$	43,910,786	9.83	%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net gain (loss) allocated from investments in Master Funds:
Net realized gain (loss) on investments	$	5,422,708		$	(2,574,496	)	$	4,257,925		$	2,867,722
Net (decrease) increase in unrealized appreciation on investments		(3,566,381	)		15,073,125			(14,872,899	)		15,373,790
Brokerage commissions and fees		(1,320,014	)		(683,647	)		(3,866,326	)		(1,739,141	)
Net gain (loss) allocated from investments in Master Funds		536,313			11,814,982			(14,481,300	)		16,502,371

Net investment loss allocated from investments in Master Funds		(62,904	)		(26,684	)		(119,491	)		(56,160	)

Investment income:
Interest income		439,886			502,343			1,453,597			1,384,191
Total investment income		439,886			502,343			1,453,597			1,384,191

Expenses:
Brokerage fees		3,014,313			2,227,084			8,769,947			6,030,707
Advisory fees		2,616,830			1,922,144			7,598,949			5,172,169
Sponsor fees		1,308,415			961,072			3,799,474			2,586,085
Interest and other		4,970			11,550			23,474			37,822
Commission reimbursements		(1,320,014	)		(683,647	)		(3,866,326	)		(1,739,141	)
Total expenses		5,624,514			4,438,203			16,325,518			12,087,642
Net investment loss of the Fund		(5,184,628	)		(3,935,860	)		(14,871,921	)		(10,703,451	)

Net (loss) income		(4,711,219	)		7,852,438			(29,472,712	)		5,742,760

Incentive allocation		-			(1,189,086	)		(51,877	)		(1,194,778	)

Net (loss) income available for pro-rata allocation to all members	$	(4,711,219	)	$	6,663,352		$	(29,524,589	)	$	4,547,982

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Changes in Members’ Capital

For the nine months ended September 30, 2011 (unaudited) and 2010 (unaudited)

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2009		1,851,259.271		$	250,952,480			462,314.824		$	52,116,241			4,671.470	$	813,191		$	303,881,912
Subscriptions		727,135.959			97,996,571			127,071.006			14,095,881			–		–			112,092,452
Redemptions		(145,564.726	)		(19,555,651	)		(44,923.571	)		(4,975,824	)		–		(1,194,778	)		(25,726,253	)
Incentive allocation		–			(1,143,893	)		–			(50,885	)		–		1,194,778			–
Net income		–			5,522,655			–			175,763			–		44,342			5,742,760
Members’ capital, September 30, 2010		2,432,830.504		$	333,772,162			544,462.259		$	61,361,176			4,671.470	$	857,533		$	395,990,871

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2010		2,685,172.128		$	373,121,130			639,582.657		$	72,710,381			4,671.470	$	882,328		$	446,713,839
Subscriptions		763,027.691			105,586,997			159,240.404			17,823,871			–		–			123,410,868
Redemptions		(463,051.112	)		(61,843,890	)		(79,285.065	)		(8,791,036	)		–		(51,877	)		(70,686,803	)
Incentive allocation		–			(44,314	)		–			(7,563	)		–		51,877			–
Net loss		–			(24,033,627	)		–			(5,424,119	)		–		(14,966	)		(29,472,712	)
Members’ capital, September 30, 2011		2,985,148.707		$	392,786,296			719,537.996		$	76,311,534			4,671.470	$	867,362		$	469,965,192

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Cash Flows

	Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)
Cash flows used in operating activities
Net (loss) income	$	(29,472,712	)	$	5,742,760
Adjustments to reconcile net (loss) income to net cash used in operating activities:
Net loss (income) allocated from investment in Master Funds		14,600,791			(16,446,211	)
Net income allocated from investment in Graham Cash Assets LLC		(1,453,597	)		(1,384,191	)
Proceeds from sale of investments in Master Funds		613,324,164			237,721,282
Proceeds from sale of investments in Graham Cash Assets LLC		477,724,559			187,141,787
Investments in Master Funds		(666,147,665	)		(252,775,703	)
Investments in Graham Cash Assets LLC		(497,643,390	)		(248,425,825	)
Changes in assets and liabilities:
Commission reimbursements receivable		(217,827	)		(135,104	)
Accrued brokerage fees		75,611			150,573
Accrued advisory fees		73,559			138,228
Accrued sponsor fees		36,779			69,114
Accrued incentive allocation		-			847,494
Net cash used in operating activities		(89,099,728	)		(87,355,796	)

Cash flows provided by financing activities
Subscriptions		123,410,868			112,092,452
Redemptions		(34,311,140	)		(24,736,705	)
Net cash provided by financing activities		89,099,728			87,355,747

Net decrease in cash and cash equivalents		-			(49	)

Cash and cash equivalents, beginning of period		-			49
Cash and cash equivalents, end of period	$	-		$	-

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2011

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the Managing Member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

The investment objective of GAIT is to achieve long-term capital appreciation through professionally managed trading through its investment in various master trading vehicles (“Master Funds”). As more fully described in Notes 2 and 3, these Master Funds invest in a broad range of currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and swaps thereon (collectively referred to as “Derivative Positions”) traded on U.S. and foreign exchanges.

SEI Global Services, Inc. (“SEI”) is GAIT’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT.

GAIT will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).

Duties of the Managing Member

Subject to the terms and conditions of the LLC Agreement, the Managing Member has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of these financial statements requires the Managing Member to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Cash and Cash Equivalents

GAIT considers cash and cash equivalents to include all highly liquid investments with a maturity of three months or less when acquired.

Investments in Master Funds

GAIT invests in various Master Funds which are managed by the Managing Member. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset value. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and managing member allocation.

Fair Value

The fair value of GAIT’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and managing member allocation.

GAIT follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

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. With respect to GAIT’s investments in the other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

GAIT reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“GCA”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2011 or the twelve months ended December 31, 2010 by GAIT, the Master Funds, or GCA, and there were no transfers between Level 1 and Level 2 during those periods. Transfers between levels are recognized on the actual date of the event or change in circumstances that cause the transfer.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments

In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, credit, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.

The Master Funds record all their derivative financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Futures Contracts

The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchange’s clearinghouse guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Forward Contracts

The Master Funds enter into foreign currency and commodity forward contracts in an attempt to take advantage of changes in exchange rates and commodity prices. Forward currency and commodities transactions are contracts or agreements for delivery of specific currencies and commodities or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.

Exchange traded forward contracts are valued based upon the settlement prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points.

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions and force the Master Fund to cover its resale commitments, if any, at the current market price. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Fund may not be able to enter into an offsetting contract in order to cover its risk. Swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that a Master Fund maintain a predetermined level of net assets, and provide limits with respect to a decline in the Master Fund’s net asset value over 1-month,

3-month and 12-month periods. If a Master Fund were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices or rates for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settlement price of the underlying. During the term of the swaps, changes in value are recognized as unrealized gains or losses by marking the contracts to fair value. Additionally, the Master Funds record a realized gain (loss) when a swap contract is terminated and when periodic payments are received or made at the end of each measurement period, but prior to termination. The Master Funds determine the estimated fair value of all swaps in accordance with U.S. GAAP.

Options

The Master Funds may buy and sell covered and uncovered exchange traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Options (continued)

The Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the fair value of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange traded options provide reduced counterparty risk to the Master Funds since the exchanges’ clearinghouse guarantees the option against default.

Exchange traded options are valued based upon the settlement prices published as of the valuation date by the principal exchange upon which they are traded. In the absence of an exchange published settlement price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange traded options with no reported sales price on the valuation date will generally be valued at the average of last reported bid and offer quotes from independent brokers or from the exchange, respectively.

Indemnifications

In the normal course of business, the Master Funds, GCA, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts include those with GCA and the Master Funds’ brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

Reclassifications

Certain prior year amounts have been reclassified to conform with the current year presentation.

3. Investments in Master Funds

As of September 30, 2011 and December 31, 2010, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Master Funds.” The number of Master Funds included in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

September 30, 2011
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months then ended)			Net Loss (nine months then ended)

Graham K4D Trading Ltd. – (a)		6.67	%	$	31,362,992	$	(16,837,697	)	$	(33,582,747	)
Other Master Funds (8) – (b) (c) (d) (e)		10.81	%		50,772,030		17,311,106			18,981,956
		17.48	%	$	82,135,022	$	473,409		$	(14,600,791	)

December 31, 2010						September 30, 2010
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months then ended)		Net Income (nine months then ended)

Graham K4D Trading Ltd. – (a)		5.38	%	$	24,030,670	$	6,996,103	$	2,886,254
Other Master Funds (7) – (b) (c) (d) (e)		4.45	%		19,880,116		4,792,195		13,559,957
		9.83	%	$	43,910,786	$	11,788,298	$	16,446,211

(a) – Systematic Macro

(b) – Fixed Income

(d) – Energy Related

(e) – Commodities

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of September 30, 2011:

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)
Assets:
Due from brokers	$	116,476,259		$	6,009,491		$	41,922,589		$	33,135,133		$	89,608,118		$	240,973,205		$	29,353,370
Options, at fair value		-			-			8,310,050			7,133,628			41,384			-			-
Derivative financial instruments, at fair value		10,561,774			-			-			3,761,409			4,911,016			14,800,706			3,635,065
Subscriptions receivable		-			-			-			-			120			-			-
Total assets		127,038,033			6,009,491			50,232,639			44,030,170			94,560,638			255,773,911			32,988,435

Liabilities:
Options, at fair value		-			-			7,277,950			9,194,301			946,482			-			-
Derivative financial instruments, at fair value		13,077,369			-			13,351,540			-			211,184			8,525,381			-
Due to brokers		-			-			-			-			-			2,377,906			-
Redemptions payable		-			-			-			142			-			409,154			-
Total liabilities		13,077,369			-			20,629,490			9,194,443			1,157,666			11,312,441			-
Net assets	$	113,960,664		$	6,009,491		$	29,603,149		$	34,835,727		$	93,402,972		$	244,461,470		$	32,988,435

Percentage of Master Fund held by the Fund		16.31	%		16.34	%		22.51	%		16.44	%		13.31	%		12.83	%		19.34	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Long contracts
Futures
Brent Crude November 2011		2,358	$	(13,078,020	)		(11.47	)%
Other Brent Crude December 2011 - 2014		4,014		(9,282,820	)		(8.14	)%
Gasoline RBOB December 2011		750		(11,790,450	)		(10.35	)%
Other Gasoline RBOB March 2012		750		(1,835,400	)		(1.61	)%
Gas Oil October 2011		3,521		(8,844,800	)		(7.76	)%
Other Gas Oil December 2011 – June 2012		1,526		(5,566,700	)		(4.88	)%
Heating Oil January 2012		6,182		(9,636,493	)		(8.46	)%
LME Aluminum December 2011		4,090		(15,315,665	)		(13.44	)%
LME Copper December 2011		382		(7,408,787	)		(6.50	)%
LME Nickel December 2011		514		(6,323,118	)		(5.55	)%
LME Zinc December 2011		4,462		(17,646,302	)		(15.48	)%
Soybean November 2012		1,727		(12,206,650	)		(10.71	)%
Other Soybean November 2011		352		(3,341,413	)		(2.93	)%
Coffee May 2012		1,206		(22,731,150	)		(19.95	)%
Other Coffee March 2012		25		(69,281	)		(0.06	)%
Wheat December 2012		1,996		(21,386,438	)		(18.77	)%
Wheat December 2011		355		(6,801,725	)		(5.97	)%
Wheat July 2012		1,535		(6,533,738	)		(5.73	)%
Wheat March 2012		1,418		(7,676,488	)		(6.74	)%
Other Wheat May 2012 – December 2012		33		(13,450	)		(0.01	)%
WTI Crude December 2012		1,177		(8,352,770	)		(7.33	)%
WTI Crude December 2013		2,345		(8,235,250	)		(7.23	)%
WTI Crude September 2013		1,000		(14,520,000	)		(12.74	)%
Other WTI Crude January 2012 – January 2014		1,338		(12,327,610	)		(10.82	)%
Other commodity				(15,601,389	)		(13.69	)%
Total futures				(246,525,907	)		(216.32	)%

Swaps
Other Gas Oil December 2011		27		4,698,000			4.12	%
Other Brent Crude December 2011 – June 2012		1,097		4,112,960			3.61	%
Other Wheat March 2012		768		(5,523,950	)		(4.85	)%
Other commodity				(1,595,810	)		(1.40	)%
Total swaps				1,691,200			1.48	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Short contracts
Futures
Brent Crude January 2012		(4,257	)	$	24,304,470			21.33	%
Brent Crude December 2012		(575	)		7,463,500			6.55	%
Other Brent Crude February 2012 – December 2013		(2,825	)		8,104,850			7.11	%
Heating Oil December 2011		(4,120	)		6,570,173			5.76	%
Other Heating Oil November 2011		(1,768	)		1,545,281			1.36	%
LME Aluminum December 2011		(4,708	)		16,610,061			14.58	%
LME Copper December 2011		(499	)		10,881,100			9.55	%
Other Copper December 2011		(323	)		3,359,575			2.95	%
LME Nickel December 2011		(654	)		7,109,568			6.24	%
LME Zinc December 2011		(4,711	)		18,305,924			16.06	%
Coffee December 2011		(1,419	)		10,108,463			8.87	%
Corn December 2012		(3,375	)		9,884,325			8.67	%
Other Corn December 2011		(1,003	)		3,955,587			3.47	%
Gas Oil November 2011		(5,212	)		17,577,775			15.42	%
Other Gas Oil December 2012		(50	)		726,600			0.64	%
Natural Gas December 2011 – October 2012		(2,414	)		6,125,390			5.38	%
Wheat December 2012		(449	)		5,892,913			5.17	%
Wheat March 2012		(1,214	)		8,984,775			7.88	%
Wheat July 2012		(3,537	)		29,605,887			25.98	%
WTI Crude June 2013		(2,424	)		19,512,270			17.12	%
Other WTI Crude November 2011 – December 2014		(3,239	)		9,049,360			7.94	%
Other commodity					3,957,121			3.47	%
Total futures					229,634,968			201.50	%

Swaps
Wheat December 2011		(2,479	)		15,526,464			13.62	%
Other Gas Oil June 2012		(27	)		(3,476,250	)		(3.05	)%
Other Brent Crude December 2012		(1,097	)		(1,521,140	)		(1.33	)%
Other commodity					2,155,070			1.89	%
Total swaps					12,684,144			11.13	%

Total				$	(2,515,595	)		(2.21	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Energy Focus LLC
Long contracts
Futures
Natural Gas October 2012		2,813	$	(8,639,150	)		(29.18	)%
Other Natural Gas December 2011 – April 2013		1,240		(857,220	)		(2.90	)%
Other commodity				(1,186,290	)		(4.01	)%
Total futures				(10,682,660	)		(36.09	)%

Options
Natural Gas November 2011 – October 2012, $4.50 - $4.90 Put		1,050		8,009,250			27.05	%
Other Natural Gas December 2011 – March 2012, $4.70 - $4.90 Call		600		300,800			1.02	%
Total options				8,310,050			28.07	%

Swaps
Natural Gas November 2011		1,800		(3,281,475	)		(11.07	)%
Natural Gas December 2011		1,393		(2,940,060	)		(9.93	)%
Natural Gas January 2012		8,539		(17,227,582	)		(58.20	)%
Natural Gas February 2012		1,682		(2,828,805	)		(9.56	)%
Natural Gas March 2012		5,240		(2,457,203	)		(8.30	)%
Natural Gas October 2011 – December 2014		8,257		(4,826,745	)		(16.31	)%
Total swaps				(33,561,870	)		(113.37	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Energy Focus LLC (continued)
Short contracts
Futures
Natural Gas January 2012		(2,737	)	$	4,835,660			16.33	%
Natural Gas February 2012		(1,523	)		3,749,320			12.67	%
Natural Gas April 2012		(4,062	)		10,163,190			34.33	%
Other Natural Gas November 2011		(811	)		650,940			2.20	%
Other commodity					629,790			2.13	%
Total futures					20,028,900			67.66	%

Options
Natural Gas November 2011, $4.00 Put		(650	)		(2,369,250	)		(8.00	)%
Natural Gas November 2011 – October 2012, $5.50 - $6.50 Call		(1,650	)		(183,950	)		(0.62	)%
Natural Gas November 2011 – October 2012, $4.00 - $4.05 Put		(1,050	)		(2,722,250	)		(9.20	)%
Crude Oil December 2011, $82.00 - $95.00 Call		(300	)		(655,000	)		(2.21	)%
Crude Oil December 2011, $70.00 Put		(550	)		(1,347,500	)		(4.56	)%
Total options					(7,277,950	)		(24.59	)%

Swaps
Natural Gas December 2011		(2,431	)		6,101,545			20.61	%
Natural Gas November 2011 – December 2013		(8,733	)		4,762,545			16.09	%
Total swaps					10,864,090			36.70	%

Total				$	(12,319,440	)		(41.62	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Fed Policy Ltd.
Long contracts
Futures
30 Day Fed Fund June 2012		4,579		$	1,925,800			5.53	%
Other 30 Day Fed Fund October 2011 – March 2012		21,640			1,835,609			5.27	%
Total futures					3,761,409			10.80	%

Options
Fed Fund Futures December 2011, $99.81 Call		4,500			2,015,786			5.78	%
Fed Fund Futures October 2011 – November 2011, $99.81 Call		6,075			2,643,180			7.59	%
Fed Fund Futures October 2011 – June 2012, $99.81 - $99.94 Put		27,756			2,155,912			6.19	%
Other futures					318,750			0.92	%
Total options					7,133,628			20.48	%

Short contracts
Options
Fed Fund Futures December 2011, $99.88 Call		(9,700	)		(2,223,095	)		(6.38	)%
Fed Fund Futures October 2011 – June 2012, $99.88 - $100.00 Call		(37,475	)		(3,959,171	)		(11.37	)%
Fed Fund Futures October 2011 – June 2012, $99.25 - $99.88 Put		(73,037	)		(2,787,035	)		(8.00	)%
Other futures					(225,000	)		(0.65	)%
Total options					(9,194,301	)		(26.40	)%

Total				$	1,700,736			4.88	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
Commodity		$	26,060			0.02	%
Foreign bond			(403,065	)		(0.43	)%
U.S. bond			678,031			0.73	%
Total futures			301,026			0.32	%

Options
Foreign currency			41,384			0.04	%
Total options			41,384			0.04	%

Forwards
Australian dollar / U.S. dollar 10/04/11	AUD 696,767,414		(7,518,013	)		(8.05	)%
Other Australian dollar / U.S. dollar 10/05/11	AUD 470,187,888		(2,181,909	)		(2.33	)%
Brazilian Real / U.S. dollar 10/04/11	BRL 123,780,000		(5,040,902	)		(5.40	)%
Other Brazilian Real / U.S. dollar 11/03/11	BRL 18,690,000		(167,175	)		(0.18	)%
Korean Won / U.S. dollar 10/19/11	KRW 116,823,100,000		(6,802,928	)		(7.28	)%
Other Korean Won / U.S. dollar 10/06/11 – 11/04/11	KRW 216,524,757,500		(7,079,816	)		(7.58	)%
Other foreign currency			(3,529,526	)		(3.78	)%
Total forwards			(32,320,269	)		(34.60	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Notional Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC (continued)
Short contracts
Futures
Commodity				447,318			0.48	%
Foreign bond				(110,692	)		(0.12	)%
Foreign index				293,907			0.31	%
Interest rate				(52,304	)		(0.06	)%
U.S. index				303,693			0.33	%
Total futures				881,922			0.94	%

Options
Foreign currency				(946,482	)		(1.01	)%
Total options				(946,482	)		(1.01	)%

Forwards
Australian dollar / U.S. dollar 10/04/11	AUD (746,000,000	)		8,425,346			9.02	%
Other Australian dollar / U.S. dollar 10/05/11	AUD (540,000,000	)		2,471,900			2.65	%
Brazilian Real / U.S. dollar 10/04/11 - 11/03/11	BRL (179,065,000	)		5,090,794			5.45	%
Korean Won / U.S. dollar 10/19/11	KRW (116,823,100,000	)		5,904,927			6.32	%
Other Korean Won / U.S. dollar 10/06/11 – 11/04/11	KRW (216,604,942,500	)		7,978,561			8.54	%
Other foreign currency				5,965,625			6.39	%
Total forwards				35,837,153			38.37	%

Total			$	3,794,734			4.06	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts / Notional Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond			$	(3,113,222	)		(1.27	)%
Foreign bond				(4,802,162	)		(1.96	)%
U.S. index				(10,286,975	)		(4.21	)%
Foreign index				345,239			0.14	%
Soybean November 2011		1,389		(13,188,220	)		(5.40	)%
Other Soybean March 2012		1		(316	)		(0.00	)%
Other commodity				(65,379,418	)		(26.74	)%
Interest rate				(4,000,731	)		(1.64	)%
Currency				(1,578,712	)		(0.65	)%
Total futures				(102,004,517	)		(41.73	)%

Swaps
Soybean November 2011		56		(555,901	)		(0.23	)%
Other commodity				(1,310	)		(0.00	)%
Total swaps				(557,211	)		(0.23	)%

Forwards
Australian dollar / U.S. dollar 10/19/11	AUD 739,945,082			(29,884,516	)		(12.22	)%
Other Australian dollar / U.S. dollar 10/04/11 – 10/05/11	AUD 209,551,333			(833,817	)		(0.34	)%
Brazilian Real / U.S. dollar 10/04/11	BRL 840,781,555			(66,064,753	)		(27.02	)%
Other Brazilian Real / U.S. dollar 11/03/11	BRL 32,424,127			(188,743	)		(0.08	)%
Canadian dollar / U.S. dollar 10/19/11	CAD 1,380,588,086			(51,748,332	)		(21.17	)%
Euro / U.S. dollar 10/19/11	EUR 690,395,122			(13,381,484	)		(5.47	)%
Japanese Yen / U.S. dollar 10/19/11	JPY 230,430,610,022			(20,135,020	)		(8.24	)%
New Zealand dollar / U.S. dollar 10/19/11	NZD 385,115,861			(14,950,625	)		(6.12	)%
Other foreign currency				(75,275,971	)		(30.79	)%
Total forwards				(272,463,261	)		(111.45	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Number of Contracts / Notional Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Short contracts
Futures
U.S. bond				$	(1,563,681	)		(0.64	)%
Foreign bond					(1,116,469	)		(0.46	)%
U.S. index					9,639,394			3.94	%
Foreign index					(2,872,584	)		(1.17	)%
LME Copper December 2011		(675	)		21,600,866			8.84	%
Other Copper December 2011 – March 2012		(522	)		5,336,696			2.18	%
Crude Oil November 2011		(2,293	)		14,219,715			5.82	%
Other Crude Oil December 2011		(1	)		543			0.00	%
Other commodity					61,634,892			25.21	%
Interest rate					1,412,266			0.58	%
Currency					4,703,191			1.92	%
Total futures					112,994,829			46.22	%

Swaps
Commodity					4,367,607			1.79	%
Total swaps					4,367,607			1.79	%

Forwards
Australian dollar / U.S. dollar 10/19/11	AUD (843,989,06		)		22,541,833			9.22	%
Other Australian dollar / U.S. dollar 10/04/11 – 10/05/11	AUD (204,384,28		)		821,742			0.34	%
Brazilian Real / U.S. dollar 10/04/11	BRL (840,781,555		)		59,414,523			24.30	%
Other Brazilian Real / U.S. dollar 11/03/11	BRL (47,520,411		)		457,669			0.19	%
Canadian dollar / U.S. dollar 10/19/11	CAD (1,586,777,537		)		48,314,863			19.76	%
Euro / U.S. dollar 10/19/11	EUR (960,417,966		)		22,934,898			9.38	%
Japanese Yen / U.S. dollar 10/19/11	JPY (222,034,528,765		)		20,011,367			8.19	%
Other foreign currency					89,440,983			36.59	%
Total forwards					263,937,878			107.97	%

Total				$	6,275,325			2.57	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2011.

Description	Notional Amount		Fair Value			Percentage of Net Assets of Master Fund
Graham Macro Directional LLC
Long contracts
Forwards
Foreign currency			$	(575,072	)		(1.74	)%
Total forwards				(575,072	)		(1.74	)%

Short contracts
Futures
U.S. Index				923,688			2.80	%
Total futures				923,688			2.80	%

Forwards
Australian dollar / U.S. dollar 10/04/11	AUD (275,000,000	)		2,799,943			8.49	%
Other Australian dollar / U.S. dollar 10/05/11	AUD (285,000,000	)		486,506			1.47	%
Total forwards				3,286,449			9.96	%

Total			$	3,635,065			11.02	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of September 30, 2011:

	Graham Commodity Strategies LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Long Contracts
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	678,031		$	(3,113,222	)	$	-
Foreign bond futures		-			-			-			(403,065	)		(4,802,162	)		-
U.S. index futures		-			-			-			-			(10,286,975	)		-
Foreign index futures		-			-			-			-			345,239			-
Commodity futures		(246,525,907	)		(10,682,660	)		-			26,060			(78,567,954	)		-
Commodity futures options		-			8,310,050			-			-			-			-
Commodity swaps		1,691,200			(33,561,870	)		-			-			(557,211	)		-
Interest rate futures		-			-			3,761,409			-			(4,000,731	)		-
Interest rate futures options		-			-			7,133,628			-			-			-
Currency futures		-			-			-			-			(1,578,712	)		-
Total Level 1		(244,834,707	)		(35,934,480	)		10,895,037			301,026			(102,561,728	)		-

Level 2:
Foreign currency forwards		-			-			-			(32,320,269	)		(272,463,261	)		(575,072	)
Foreign currency options		-			-			-			41,384			-			-
Total Level 2		-			-			-			(32,278,885	)		(272,463,261	)		(575,072	)
Total long contracts	$	(244,834,707	)	$	(35,934,480	)	$	10,895,037		$	(31,977,859	)	$	(375,024,989	)	$	(575,072	)

Short Contracts
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	(1,563,681	)	$	-
Foreign bond futures		-			-			-			(110,692	)		(1,116,469	)		-
Foreign index futures		-			-			-			293,907			(2,872,584	)		-
U.S. index futures		-			-			-			303,693			9,639,394			923,688
Commodity futures		229,634,968			20,028,900			-			447,318			102,792,712			-
Commodity futures options		-			(7,277,950	)		-			-			-			-
Commodity swaps		12,684,144			10,864,090			-			-			4,367,607			-
Interest rate futures		-			-			-			(52,304	)		1,412,266			-
Interest rate futures options		-			-			(9,194,301	)		-			-			-
Currency futures		-			-			-			-			4,703,191			-
Total Level 1		242,319,112			23,615,040			(9,194,301	)		881,922			117,362,436			923,688

Level 2:
Foreign currency forwards		-			-			-			35,837,153			263,937,878			3,286,449
Foreign currency options		-			-			-			(946,482	)		-			-
Total Level 2		-			-			-			34,890,671			263,937,878			3,286,449
Total short contracts	$	242,319,112		$	23,615,040		$	(9,194,301	)	$	35,772,593		$	381,300,314		$	4,210,137

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at September 30, 2011 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on the respective Master Fund’s statement of financial condition.

	Graham Commodity Strategies LLC															Graham Energy Focus LLC
	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	$	3,750,771,496		50,784	$	(3,994,915,685	)		(57,924	)	$	236,260,233	$	(253,151,172	)	$	199,632,400		4,358	$	(435,843,310	)		(9,786	)	$	20,028,900	$	(10,682,660	)
Swaps		176,649,860		2,482		(227,159,118	)		(4,327	)		26,492,494		(12,117,150	)		280,826,958		26,911		(118,413,305	)		(11,164	)		11,021,243		(33,719,023	)
		3,927,421,356		53,266		(4,222,074,803	)		(62,251	)		262,752,727		(265,268,322	)		480,459,358		31,269		(554,256,615	)		(20,950	)		31,050,143		(44,401,683	)

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-
Total	$	3,927,421,356		53,266	$	(4,222,074,803	)		(62,251	)	$	262,752,727	$	(265,268,322	)	$	480,459,358		31,269	$	(554,256,615	)		(20,950	)	$	31,050,143	$	(44,401,683	)

Collateral balances supporting all derivative positions													$	116,476,259														$	41,922,589

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Fed Policy Ltd.													Graham Global Monetary Policy LLC
	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	$	-		-	$	-		-	$	-	$	-		$	30,823,700		190	$	(33,570,000	)		(350	)	$	473,378	$	-
Swaps		-		-		-		-		-		-			-		-		-			-			-		-
		-		-		-		-		-		-			30,823,700		190		(33,570,000	)		(350	)		473,378		-

Equity price
Futures		-		-		-		-		-		-			-		-		(33,801,254	)		(550	)		597,600		-
		-		-		-		-		-		-			-		-		(33,801,254	)		(550	)		597,600		-

Foreign currency exchange rate
Futures		-		-		-		-		-		-			-		-		-			-			-		-
Forwards		-		-		-		-		-		-			7,153,566		-		(5,247,507	)		-			8,883,942		(5,367,058	)
		-		-		-		-		-		-			7,153,566		-		(5,247,507	)		-			8,883,942		(5,367,058	)

Interest rate
Futures		10,914,786,242		26,219		-		-		3,965,071		(203,662	)		585,349,102		5,350		(3,113,355,666	)		(8,774	)		1,862,367		(1,750,397	)
		10,914,786,242		26,219		-		-		3,965,071		(203,662	)		585,349,102		5,350		(3,113,355,666	)		(8,774	)		1,862,367		(1,750,397	)
Total	$	10,914,786,242		26,219	$	-		-	$	3,965,071	$	(203,662	)	$	623,326,368		5,540	$	(3,185,974,427	)		(9,674	)	$	11,817,287	$	(7,117,455	)

Collateral balances supporting all derivative positions											$	33,135,133														$	89,608,118

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham K4D Trading Ltd.															Graham Macro Directional LLC
	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	$	522,389,303		7,428	$	(991,669,996	)		(20,375	)	$	91,265,305	$	(67,040,547	)	$	-		-	$	-			-		$	-	$	-
Swaps		3,301,200		56		(58,949,530	)		(1,932	)		4,366,271		(555,875	)		-		-		-			-			-		-
		525,690,503		7,484		(1,050,619,526	)		(22,307	)		95,631,576		(67,596,422	)		-		-		-			-			-		-

Equity price
Futures		199,800,119		4,254		(410,064,495	)		(7,452	)		7,562,237		(10,737,163	)		-		-		(50,670,000	)		(900	)		923,688		-
		199,800,119		4,254		(410,064,495	)		(7,452	)		7,562,237		(10,737,163	)		-		-		(50,670,000	)		(900	)		923,688		-

Foreign currency exchange rate
Futures		122,402,981		1,486		(231,243,788	)		(1,733	)		3,284,664		(160,185	)
Forwards		27,912,352		-		(37,186,219	)		-			28,309,734		(36,835,117	)		2,504,000		-		,			,			2,711,377		-
		150,315,333		1,486		(268,430,007	)		(1,733	)		31,594,398		(36,995,302	)		2,504,000		-		,			,			2,711,377		-

Interest rate
Futures		9,559,805,314		35,995		(1,169,408,767	)		(5,589	)		2,688,188		(15,872,187	)		-		-		,			,			-		-
		9,559,805,314		35,995		(1,169,408,767	)		(5,589	)		2,688,188		(15,872,187	)		-		-		,			,			-		-
Total	$	10,435,611,269		49,219	$	(2,898,522,795	)		(37,081	)	$	137,476,399	$	(131,201,074	)	$	2,504,000		-	$	(50,670,000	)		(900	)	$	3,635,065	$	-
Collateral balances supporting all derivative positions													$	238,595,299														$	29,353,370

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three and nine month periods ended September 30, 2011:

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Energy Focus LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)

	Three Months Ended September 30, 2011
Net investment loss	$	(6,206	)	$	(55,848	)	$	(2,697	)	$	(1,155	)	$	(193,112	)	$	(169,883	)	$	(25,923	)	$	-

Net realized gain (loss) on investments		30,418,977			3,615,278			17,235,451			13,785,707			15,742,755			(161,048,924	)		59,995,650			-
Net increase (decrease) in unrealized appreciation on investments		(19,631,421	)		(7,651,291	)		(19,062,821	)		(6,309,319	)		7,460,723			26,144,203			7,067,429			-
Brokerage commissions and fees		(2,014,171	)		(584,559	)		(279,564	)		(660,278	)		(1,568,140	)		(3,638,203	)		(307,298	)		-
Net gain (loss) on investments		8,773,385			(4,620,572	)		(2,106,934	)		6,816,110			21,635,338			(138,542,924	)		66,755,781			-
Net income (loss)	$	8,767,179		$	(4,676,420	)	$	(2,109,631	)	$	6,814,955		$	21,442,226		$	(138,712,807	)	$	66,729,858		$	-


	Nine Months Ended September 30, 2011
Net investment income (loss)	$	(15,072	)	$	(76,722	)	$	(18,181	)	$	(5,185	)	$	(259,745	)	$	(460,227	)	$	(34,346	)	$	1,186

Net realized gain (loss) on investments		107,512,168			(11,935,802	)		11,284,560			36,091,667			27,117,821			(229,474,772	)		36,579,778			3,960,455
Net increase (decrease) in unrealized appreciation on investments		(39,487,473	)		(16,614,276	)		(13,480,668	)		(5,573,405	)		8,351,654			(38,951,376	)		6,017,971			(1,898,136	)
Brokerage commissions and fees		(5,487,343	)		(2,187,662	)		(921,141	)		(1,960,811	)		(2,941,908	)		(10,568,353	)		(1,328,069	)		(548,562	)
Net gain (loss) on investments		62,537,352			(30,737,740	)		(3,117,249	)		28,557,451			32,527,567			(278,994,501	)		41,269,680			1,513,757
Net income (loss)	$	62,522,280		$	(30,814,462	)	$	(3,135,430	)	$	28,552,266		$	32,267,822		$	(279,454,728	)	$	41,235,334		$	1,514,943

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net gain (loss) on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended September 30, 2011:

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC		Graham Short Term Global Macro LLC
Commodity price
Futures	$	(2,162,171	)	$	8,177,697		$	23,788,172		$	-		$	20,206,590		$	(5,164,850	)	$	2,146,040	$	-
Options		-			(13,924,790	)		321,900			-			-			-			-		-
Swaps		12,949,727			1,711,080			(25,927,942	)		-			-			2,104,346			-		-
		10,787,556			(4,036,013	)		(1,817,870	)		-			20,206,590			(3,060,504	)		2,146,040		-
Equity price
Futures		-			-			(9,500	)		-			12,459,295			(134,617,931	)		9,331,261		-
Options		-			-			-			-			(1,416,863	)		-			-		-
		-			-			(9,500	)		-			11,042,432			(134,617,931	)		9,331,261		-
Foreign currency exchange rate
Futures		-			-			-			-			-			10,223,770			-		-
Forwards		-			-			-			-			(14,623,359	)		(94,513,839	)		30,284,014		-
Options		-			-			-			-			(5,309,085	)		-			-		-
		-			-			-			-			(19,932,444	)		(84,290,069	)		30,284,014		-
Interest rate
Futures		-			-			-			15,147,183			11,886,900			87,063,783			24,433,838		-
Options		-			-			-			(7,670,795	)		-			-			867,926		-
		-			-			-			7,476,388			11,886,900			87,063,783			25,301,764		-
Total	$	10,787,556		$	(4,036,013	)	$	(1,827,370	)	$	7,476,388		$	23,203,478		$	(134,904,721	)	$	67,063,079	$	-

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Commodity Strategies LLC		Graham Discretionary Energy Trading III LLC			Graham Energy Focus LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC		Graham Short Term Global Macro LLC
Commodity price
Futures	$	55,169,468	$	(11,954,168	)	$	25,711,084		$	-		$	28,841,545		$	(48,151,690	)	$	1,414,568	$	3,852,769
Options		-		(19,066,205	)		3,023,965			-			(87,120	)		-			-		(223,490	)
Swaps		12,855,227		2,470,295			(30,921,657	)		-			-			2,104,346			-		-
		68,024,695		(28,550,078	)		(2,186,608	)		-			28,754,425			(46,047,344	)		1,414,568		3,629,279
Equity price
Futures		-		-			(9,500	)		-			6,973,569			(202,948,060	)		4,644,280		1,134,945
Options		-		-			-			-			(1,416,863	)		-			-		(427,187	)
		-		-			(9,500	)		-			5,556,706			(203,948,060	)		4,644,280		707,758
Foreign currency exchange rate
Futures		-		-			-			-			-			227,767			-		-
Forwards		-		-			-			-			29,853,154			(113,092,112	)		1,577,627		5,706,028
Options		-		-			-			-			(26,148,114	)		-			-		(7,400,670	)
		-		-			-			-			3,705,040			(112,864,345	)		1,577,627		(1,694,642	)
Interest rate
Futures		-		-			-			43,708,133			(1,838,883	)		93,433,601			34,093,348		(580,076	)
Options		-		-			-			(13,189,871	)		(707,813	)		-			867,926		-
		-		-			-			30,518,262			(2,546,696	)		93,433,601			34,961,274		(580,076	)
Total	$	68,024,695	$	(28,550,078	)	$	(2,196,108	)	$	30,518,262		$	35,469,475		$	(268,426,148	)	$	42,597,749	$	2,062,319

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2010:

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)
Assets:
Due from brokers	$	14,527,187		$	-		$	23,563,039		$	42,869,239		$	135,887,098		$	1,286,040		$	246,023
Options, at fair value		-			2,165,000			15,955,481			603,151			-			-			47,256
Derivative financial instruments, at fair value		36,971,878			16,379,776			11,613,647			-			45,743,328			173,923			-
Subscriptions receivable		-			-			1,739			340			-			-			-
Interest receivable		-			-			-			3,056			9,100			113			-
Total assets		51,499,065			18,544,776			51,133,906			43,475,786			181,639,526			1,460,076			293,279

Liabilities:
Options, at fair value		-			182,500			3,958,218			-			-			-			-
Derivative financial instruments, at fair value		-			-			-			3,185,389			-			-			105,751
Due to brokers		-			6,241,250			-			530,100			-			-			41,070
Redemptions payable		-			-			-			220			-			-			-
Total liabilities		-			6,423,750			3,958,218			3,715,709			-			-			146,821
Net assets	$	51,499,065		$	12,121,026		$	47,175,688		$	39,760,077		$	181,639,526		$	1,460,076		$	146,458

Percentage of Master Fund held by the Fund		14.76	%		13.95	%		14.22	%		8.97	%		13.23	%		18.38	%		28.67	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts		Fair Value		Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Long contracts
Futures
Brent Crude Penultimate Financial December 2011		1,095	$	14,633,650		28.42	%
Brent Crude Penultimate Financial June 2012		200		2,036,000		3.95	%
Other Brent Crude December 2011 - June 2011		1,277		3,601,460		6.99	%
Coffee March 2011		396		4,360,950		8.47	%
Corn July 2011		3,991		18,055,400		35.06	%
Corn December 2011		48		153,788		0.30	%
Heating Oil March 2011		527		5,647,421		10.97	%
Other Heating Oil February 2011 - June 2011		397		264,810		0.51	%
LME Aluminum March 2011		1,590		2,988,131		5.80	%
LME Aluminum January 2011		723		2,143,550		4.16	%
LME Copper January 2011		172		2,952,825		5.73	%
LME Copper March 2011		359		2,598,425		5.05	%
LME Lead January 2011		511		3,757,844		7.30	%
LME Lead March 2011		315		641,800		1.25	%
LME Zinc March 2011		1,566		4,704,131		9.13	%
LME Zinc January 2011		633		2,228,906		4.33	%
Soybean July 2011		613		4,537,487		8.81	%
Soybean November 2011		102		280,350		0.54	%
Wheat July 2011		1,414		7,393,413		14.36	%
Wheat March 2011		1,044		5,075,512		9.86	%
Other Wheat May 2011 - December 2011		1,676		4,151,525		8.06	%
WTI Crude April 2011		2,180		4,866,480		9.45	%
WTI Crude December 2012		2,529		18,709,570		36.33	%
Other commodity				10,047,962		19.51	%
Total futures				125,831,390		244.34	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Short contracts
Futures
Brent Crude Penultimate Financial December 2012		(1,295	)	$	(13,292,950	)		(25.81	)%
Brent Crude Penultimate Financial June 2011		(3	)		(49,020	)		(0.10	)%
Brent Crude December 2012		(1,143	)		(5,592,330	)		(10.86	)%
Coffee May 2011		(338	)		(4,695,019	)		(9.12	)%
Corn March 2011		(3,625	)		(9,012,475	)		(17.50	)%
Gas Oil March 2011		(646	)		(3,626,950	)		(7.04	)%
Gas Oil January 2011 - June 2012		(53	)		(108,375	)		(0.22	)%
LME Aluminum January 2011 - March 2011		(2,207	)		(3,806,831	)		(7.39	)%
LME Copper January 2011		(173	)		(2,962,525	)		(5.75	)%
LME Copper March 2011		(327	)		(2,328,450	)		(4.52	)%
LME Lead January 2011 - March 2011		(826	)		(3,205,319	)		(6.22	)%
LME Zinc January 2011		(634	)		(4,078,794	)		(7.92	)%
LME Zinc March 2011		(1,494	)		(5,237,125	)		(10.17	)%
Wheat July 2011		(2,459	)		(5,308,537	)		(10.31	)%
Wheat March 2011		(688	)		(4,981,550	)		(9.67	)%
Wheat May 2011		(795	)		(849,025	)		(1.65	)%
WTI Crude February 2011		(2,758	)		(5,155,560	)		(10.01	)%
WTI Crude December 2011		(1,829	)		(7,981,680	)		(15.50	)%
Other commodity					(6,586,997	)		(12.79	)%
Total futures					(88,859,512	)		(172.55	)%


Total				$	36,971,878			71.79	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts		Fair Value		Percentage of Net Assets of Master Fund
Graham Discretionary Energy Trading III LLC
Long contracts
Futures
Brent Crude February 2011		330	$	977,500		8.07	%
Brent Crude April 2011		330		974,400		8.04	%
Gasoline RBOB February 2011 – June 2011		1,025		7,896,193		65.14	%
Globex RBOB Gasoline June 2011		475		2,643,060		21.81	%
Globex Crude Oil June 2011		75		733,500		6.05	%
Globex Crude Oil December 2011		500		4,600,000		37.95	%
Heating Oil December 2011		1,650		14,407,478		118.86	%
Heating Oil August 2011		500		412,012		3.40	%
Natural Gas October 2011		721		1,138,980		9.40	%
Other commodity				594,381		4.90	%
Total futures				34,377,504		283.62	%

Options
Crude Oil Future April 2011, $100.00 Call		500		1,010,000		8.33	%
Crude Oil Future, February 2011 - March 2011 $(0.50) - $85.00 Put		3,450		1,155,000		9.53	%
Total options				2,165,000		17.86	%

Swaps
Natural Gas Swap April 2011		4,540		1,872,750		15.45	%
Natural Gas Swap October 2011		2,124		933,360		7.70	%
Natural Gas Swap November 2011		2,000		950,000		7.84	%
Total swaps				3,756,110		30.99	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Discretionary Energy Trading III LLC (continued)
Short contracts
Futures
Brent Crude March 2011		(660	)	$	(1,900,100	)		(15.68	)%
Globex Heat Oil June 2011		(550	)		(2,936,850	)		(24.23	)%
Heating Oil June 2011		(1,325	)		(5,756,297	)		(47.49	)%
Heating Oil July 2011		(1,000	)		(836,611	)		(6.90	)%
Heating Oil June 2012		(75	)		(239,350	)		(1.97	)%
Natural Gas April 2011		(1,135	)		(1,872,750	)		(15.45	)%
Natural Gas November 2011		(500	)		(840,220	)		(6.93	)%
Natural Gas January 2012 - April 2012		(302	)		(314,660	)		(2.60	)%
WTI Crude June 2011		(775	)		(4,299,500	)		(35.47	)%
WTI Crude December 2011		(500	)		(976,750	)		(8.06	)%
WTI Crude April 2011		(125	)		(363,750	)		(3.00	)%
Total futures					(20,336,838	)		(167.78	)%

Options
Commodity					(182,500	)		(1.51	)%
Total options					(182,500	)		(1.51	)%

Swaps
Natural Gas Swap January 2012		(1,800	)		(837,000	)		(6.91	)%
Natural Gas Swap April 2012		(2,000	)		(580,000	)		(4.78	)%
Total swaps					(1,417,000	)		(11.69	)%

Total				$	18,362,276			151.49	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Fed Policy Ltd.
Long contracts
Futures
30 Day Fed Fund February 2011		4,831		$	2,646,031			5.61	%
Other 30 Day Fed Fund January 2011 - June 2012		50,026			8,927,649			18.92	%
Total futures					11,573,680			24.53	%

Options
30 Day Fed Fund futures February 2011, $99.75 Call		11,350			3,310,682			7.02	%
Other 30 Day Fed Fund futures January 2011 - December 2011, $99.69 - $99.81 Call		74,106			11,797,652			25.01	%
30 Day Fed Fund futures January 2011 - February 2011, $99.63 - $99.75 Put		30,823			409,647			0.87	%
Other interest rate futures					437,500			0.93	%
Total options					15,955,481			33.83	%

Short contracts
Futures
30 Day Fed Fund December 2010 - July 2012		(2,849	)		39,967			0.08	%
Total futures					39,967			0.08	%

Options
30 Day Fed Fund futures January 2011 - December 2011, $99.81 - $99.94 Call		(178,751	)		(3,833,213	)		(8.13	)%
30 Day Fed Fund futures January 2011, $99.69 Put		(6,000	)		(62,505	)		(0.13	)%
Other interest rate futures					(62,500	)		(0.13	)%
Total options					(3,958,218	)		(8.39	)%

Total				$	23,610,910			50.05	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Number of Contracts / Principal Amount			Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
Commodity				$	833,980			2.10	%
Interest rate					1,570,955			3.95	%
Total futures					2,404,935			6.05	%

Options
Foreign currency					603,151			1.52	%
Total options					603,151			1.52	%

Forwards
Japanese Yen / U.S. Dollar 01/04/11	JPY 35,703,594,900				2,677,452			6.73	%
Japanese Yen / U.S. Dollar 01/05/11	JPY 34,708,122,000				2,429,135			6.11	%
Chinese Yuan / U.S. Dollar 06/17/11 - 06/27/11	CNY 471,400,000				2,318,175			5.83	%
Australian Dollar / U.S. Dollar 01/04/11 - 01/05/11	AUD 550,000,000				3,850,775			9.68	%
Other foreign currency					(474,653	)		(1.19	)%
Total forwards					10,800,884			27.16	%

Short contracts
Futures
Euroswiss March 2011		(7,500	)		(2,070,419	)		(5.21	)%
Other interest rate					(1,009,594	)		(2.53	)%
U.S. bond					(37,016	)		(0.09	)%
Foreign bond					641,195			1.61	%
Commodity					(770,200	)		(1.94	)%
Total futures					(3,246,034	)		(8.16	)%

Forwards
Australian dollar / U.S. dollar 01/04/11	AUD (450,000,000)				(3,909,044	)		(9.83	)%
Other Australian dollar / U.S. dollar 01/05/11	AUD (115,000,000)				(192,228	)		(0.48	)%
Japanese Yen / U.S. dollar 01/04/11	JPY (35,868,141,100)				(4,709,285	)		(11.84	)%
Other Japanese Yen / U.S. dollar 01/05/11	JPY (40,735,192,000)				(1,652,261	)		(4.16	)%
Other foreign currency					(2,682,356	)		(6.75	)%
Total forwards					(13,145,174	)		(33.06	)%

Total				$	(2,582,238	)		(6.49	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Principal Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond		$	237,741			0.13	%
Foreign bond			1,053,653			0.58	%
U.S. index			3,010,100			1.66	%
Foreign index			(3,683,508	)		(2.03	)%
Commodity			31,911,445			17.57	%
Interest rate			325,182			0.18	%
Currency			4,536,916			2.50	%
Total futures			37,391,529			20.59	%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY 43,988,617,100		11,186,032			6.16	%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY 14,270,122,339		796,715			0.44	%
Swiss Franc / U.S. dollar 01/19/11	CHF 491,922,158		17,376,713			9.57	%
Other foreign currency			28,092,524			15.46	%
Total forwards			57,451,984			31.63	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Principal Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Short contracts
Futures
U.S. bond		$	(1,546,794	)		(0.85	)%
Foreign bond			(540,937	)		(0.30	)%
Foreign index			(142,959	)		(0.08	)%
Commodity			(4,754,965	)		(2.62	)%
Interest rate			(3,790,967	)		(2.09	)%
Currency			739,824			0.41	%
Total futures			(10,036,798	)		(5.53	)%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY (36,043,608,800)		(12,993,436	)		(7.15	)%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY (14,111,800,669)		(834,965	)		(0.46	)%
Swiss Franc / U.S. dollar 01/19/11	CHF (431,464,200)		(17,247,454	)		(9.50	)%
Other foreign currency			(7,987,532	)		(4.40	)%
Total forwards			(39,063,387	)		(21.51	)%

Total		$	45,743,328			25.18	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Principal Amount	Fair Value		Percentage of Net Assets of Master Fund
Graham Macro Directional LLC
Long contracts
Futures
Commodity		$	66,430		4.55	%
Total futures			66,430		4.55	%

Forwards
Canadian dollar / U.S. dollar 01/04/11	CAD 20,003,980		87,433		5.99	%
Total forwards			87,433		5.99	%

Short Contracts
Futures
Foreign bond			20,060		1.37	%
Total futures			20,060		1.37	%

Total		$	173,923		11.91	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2010.

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Short Term Global Macro LLC
Long contracts
Futures
S&P 500 E-Mini March 2011		225	$	(16,875	)		(11.52	)%
Total futures				(16,875	)		(11.52	)%

Options
British Pound Put / Swiss Franc Call, $1.47	CHF 10,000,000			47,256			32.27	%
Total options				47,256			32.27	%

Forwards
Chinese Yuan / U.S. dollar 08/19/11	CNY 34,143,000			1,385,221			945.81	%
Total forwards				1,385,221			945.81	%

Short Contracts
Forwards
Swiss Franc / British Pound 01/05/11	CHF (7,292,955)			(15,162	)		(10.35	)%
Chinese Yuan / U.S. dollar 08/19/11	CNY (334,143,000)			(1,458,935	)		(996.15	)%
Total forwards				(1,474,097	)		(1,006.50	)%

Total			$	(58,495	)		(39.94	)%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2010:

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC		Graham Short Term Global Macro LLC
Long Contracts
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	237,741		$	-	$	-
Foreign bond futures		-			-			-			-			1,053,653			-		-
U.S. index futures		-			-			-			-			3,010,100			-		(16,875	)
Foreign index futures		-			-			-			-			(3,683,508	)		-		-
Commodity futures		125,831,390			34,377,504			-			833,980			31,911,445			66,430		-
Commodity futures options		-			2,165,000			-			-			-			-		-
Commodity swaps		-			3,756,110			-			-			-			-		-
Interest rate futures		-			-			11,573,680			1,570,955			325,182			-		-
Interest rate futures options		-			-			15,955,481			-			-			-		-
Currency futures		-			-			-			-			4,536,916			-		-
Total Level 1		125,831,390			40,298,614			27,529,161			2,404,935			37,391,529			66,430		(16,875	)

Level 2:
Foreign currency forwards		-			-			-			10,800,884			57,451,984			87,433		1,385,221
Foreign currency forwards options		-			-			-			603,151			-			-		47,256
Total Level 2		-			-			-			11,404,035			57,451,984			87,433		1,432,477
Total long contracts	$	125,831,390		$	40,298,614		$	27,529,161		$	13,808,970		$	94,843,513		$	153,863	$	1,415,602

Short Contracts
Level 1:
U.S. bond futures		-			-			-			(37,016	)		(1,546,794	)		-		-
Foreign bond futures		-			-			-			641,195			(540,937	)		20,060		-
Foreign index futures		-			-			-			-			(142,959	)		-		-
Commodity futures		(88,859,512	)		(20,336,838	)		-			(770,200	)		(4,754,965	)		-		-
Commodity futures options		-			(182,500	)		-			-			-			-		-
Commodity swaps		-			(1,417,000	)		-			-			-			-		-
Interest rate futures		-			-			39,967			(3,080,013	)		(3,790,967	)		-		-
Interest rate futures options		-			-			(3,958,218	)		-			-			-		-
Currency futures		-			-			-			-			739,824			-		-
Total Level 1		(88,859,512	)		(21,936,338	)		(3,918,251	)		(3,246,034	)		(10,036,798	)		20,060		-

Level 2:
Foreign currency forwards		-			-			-			(13,145,174	)		(39,063,387	)		-		(1,474,097	)
Total Level 2		-			-			-			(13,145,174	)		(39,063,387	)		-		(1,474,097	)
Total short contracts	$	(88,859,512	)	$	(21,936,338	)	$	(3,918,251	)	$	(16,391,208	)	$	(49,100,185	)	$	20,060	$	(1,474,097	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on the respective Master Fund’s statement of financial position.

	Graham Commodity Strategies LLC															Graham Discretionary Energy Trading III LLC
	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	$	2,051,527,235		30,976	$	(1,894,621,560	)		(29,206	)	$	126,128,889	$	(89,157,011	)	$	670,612,370		6,981	$	(598,798,245	)		(6,947	)	$	34,377,504	$	(20,336,838	)
Swaps		-		-		-			-			-		-			98,880,020		8,664		(48,003,000	)		(3,800	)		3,756,110		(1,417,000	)
		2,051,527,235		30,976		(1,894,621,560	)		(29,206	)		126,128,889		(89,157,011	)		769,492,390		15,645		(646,801,245	)		(10,747	)		38,133,614		(21,753,838	)

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-
Total	$	2,051,527,235		30,976	$	(1,894,621,560	)		(29,206	)	$	126,128,889	$	(89,157,011	)	$	769,492,390		15,645	$	(646,801,245	)		(10,747	)	$	38,133,614	$	(21,753,838	)
Collateral balances supporting all derivative positions													$	14,527,187														$	(6,241,250	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on the respective Master Fund’s statement of financial position.

	Graham Fed Policy Ltd.															Graham Global Monetary Policy LLC
	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	$	-		-	$	-			-		$	-	$	-		$	38,619,000		600	$	(24,200,000	)		(500	)	$	833,980	$	(770,200	)
		-		-		-			-			-		-			38,619,000		600		(24,200,000	)		(500	)		833,980		(770,200	)

Equity price
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			56,025,637,522		-		(46,698,002,524	)		-			15,230,468		(17,574,758	)
		-		-		-			-			-		-			56,025,637,522		-		(46,698,002,524	)		-			15,230,468		(17,574,758	)

Interest rate
Futures		22,811,918,666		54,857		(1,184,445,024	)		(2,849	)		12,217,514		(603,867	)		1,740,487,175		5,000		(2,788,603,000	)		(14,950	)		2,212,150		(3,117,029	)
		22,811,918,666		54,857		(1,184,445,024	)		(2,849	)		12,217,514		(603,867	)		1,740,487,175		5,000		(2,788,603,000	)		(14,950	)		2,212,150		(3,117,029	)
Total	$	22,811,918,666		54,857	$	(1,184,445,024	)		(2,849	)	$	12,217,514	$	(603,867	)	$	57,804,743,697		5,600	$	(49,510,805,524	)		(15,450	)	$	18,276,598	$	(21,461,987	)
Collateral balances supporting all derivative positions													$	23,563,039														$	42,339,139

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on the respective Master Fund’s statement of financial position.

	Graham K4D Trading Ltd.															Graham Macro Directional LLC
	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	$	810,106,878		10,782	$	(53,034,444	)		(926	)	$	32,742,543	$	(5,586,063	)	$	10,660,500		75	$	-			-		$	66,430	$	-
		810,106,878		10,782		(53,034,444	)		(926	)		32,742,543		(5,586,063	)		10,660,500		75		-			-			66,430		-

Equity price
Futures		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)		-		-		-			-			-		-
		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)		-		-		-			-			-		-

Foreign currency exchange rate
Futures		340,454,690		2,852		(86,152,236	)		(957	)		5,633,114		(356,374	)		-		-		-			-			-		-
Forwards		90,870,643,000		-		(87,109,470,216	)		-			78,339,927		(59,951,330	)		19,920,873		-		-			-			87,433		-
		91,211,097,690		2,852		(87,195,622,452	)		(957	)		83,973,041		(60,307,704	)		19,920,873		-		-			-			87,433		-

Interest rate
Futures		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)		-		-		(12,531,000	)		(100	)		20,060		-
		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)		-		-		(12,531,000	)		(100	)		20,060		-
Total	$	110,073,800,001		37,391	$	(151,478,743,535	)		(25,649	)	$	124,380,771	$	(78,637,443	)	$	30,581,373		75	$	(12,531,000	)		(100	)	$	173,923	$	-

Collateral balances supporting all derivative positions													$	135,887,098														$	1,286,040

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Funds at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on the respective Master Fund’s statement of financial position.

	Graham Short Term Global Macro LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts		Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	-		-	$	-			-	$	-	$	-
		-		-		-			-		-		-

Equity price
Futures		14,096,250		225		-			-		-		(16,875	)
		14,096,250		225		-			-		-		(16,875	)

Foreign currency exchange rate
Futures		-		-		-			-		-		-
Forwards		51,458,935		-		(56,468,659	)		-		1,385,221		(1,474,097	)
		51,458,935		-		(56,468,659	)		-		1,385,221		(1,474,097	)

Interest rate
Futures		-		-		-			-		-		-
		-		-		-			-		-		-
Total	$	65,555,185		225	$	(56,468,659	)		-	$	1,385,221	$	(1,490,972	)

Collateral balances supporting all derivative positions												$	204,953

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three and nine months ended September 30, 2010:

	Graham Commodity Strategies LLC (Delaware)			Graham Discretionary Energy Trading III LLC (Delaware)			Graham Fed Policy Ltd. (BVI)			Graham Global Monetary Policy LLC (Delaware)			Graham GMP Securities LLC (Delaware)			Graham K4D Trading Ltd. (BVI)			Graham Macro Directional LLC (Delaware)			Graham Short Term Global Macro LLC (Delaware)

	Three Months Ended September 30, 2010
Net investment income (loss)	$	(1,462	)	$	(63,926	)	$	(3,721	)	$	(28,436	)	$	486		$	(25,302	)	$	62,423		$	723

Net realized gain (loss)on investments		(30,632,779	)		(8,157,907	)		20,771,895			2,888,717			(716,813	)		(9,520,923	)		2,616,752			1,479,222
Net increase (decrease) in appreciation on investments		31,565,216			13,651,897			3,687,486			2,868,043			(529,824	)		68,863,324			(2,464,404	)		15,070
Brokerage commissions and fees		(1,347,849	)		(551,867	)		(544,081	)		(462,964	)		(538	)		(1,766,962	)		(361,528	)		(153,017	)
Net gain (loss) on investments		(415,412	)		4,942,123			23,915,300			5,293,796			(1,247,175	)		57,575,439			(209,180	)		1,341,275
Net income (loss)	$	(416,874	)	$	4,878,197		$	23,911,579		$	5,265,360		$	(1,246,689	)	$	57,550,137		$	(146,757	)	$	1,341,998

	Nine Months Ended September 30, 2010
Net investment income (loss)	$	(9,606	)	$	(95,164	)	$	(6,706	)	$	(47,142	)	$	(25,215	)	$	(127,018	)	$	(36,686	)	$	912

Net realized gain (loss) on investments		(27,201,108	)		618,331			12,832,214			95,303,646			(4,743,412	)		(31,318,993	)		17,533,873			(3,686,155	)
Net increase (decrease) in appreciation on investments		23,031,904			9,373,559			26,296,377			5,543,806			1,324,681			54,268,614			(1,589,754	)		1,941,696
Brokerage commissions and fees		(3,540,939	)		(1,066,971	)		(2,885,788	)		(1,618,332	)		(1,695	)		(4,773,158	)		(665,723	)		(285,325	)
Net gain (loss) on investments		(7,710,143	)		8,924,919			36,242,803			99,229,120			(3,420,426	)		18,176,463			15,278,396			(2,029,784	)
Net income (loss)	$	(7,719,749	)	$	8,829,755		$	36,236,097		$	99,181,978		$	(3,445,641	)	$	18,049,445		$	15,241,710		$	(2,028,872	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the realized and unrealized gains and losses on all financial instruments held by the Master Funds reported in net gain on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended September 30, 2010:

	Graham Commodity Strategies LLC		Graham Discretionary Energy Trading III LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham GMP Securities LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC			Graham Short Term Global Macro LLC
Commodity price
Futures	$	932,437	$	(2,918,560	)	$	(3,979,882	)	$	3,669,261		$	-		$	23,090,803		$	664,110		$	(316,538	)
Options		-		8,412,550			-			-			-			-			-			-
		932,437		5,493,990			(3,979,882	)		3,669,261			-			23,090,803			664,110			(316,538	)
Equity price
Futures		-		-			-			(2,451,692	)		-			(31,259,994	)		(1,845,278	)		(62,758	)
		-		-			-			(2,451,692	)		-			(31,259,994	)		(1,845,278	)		(62,758	)
Foreign currency exchange rate
Futures		-		-			-			-			-			979,360			-			-
Forwards		-		-			-			(575,427	)		5,011			22,931,616			(625,639	)		9,008,929
Options		-		-			-			3,317,727			-			-			-			(7,025,943	)
		-		-			-			2,742,300			5,011			23,910,976			(625,639	)		1,982,986
Interest rate
Bonds		-		-			-			-			-			-			-			-
Futures		-		-			61,850,906			3,256,027			-			43,600,616			1,959,155			(109,398	)
Interest rate swaps		-		-			-			-			(1,251,648	)		-			-			-
Options		-		-			(33,411,643	)		(1,459,136	)		-			-			-			-
		-		-			28,439,263			1,796,891			(1,251,648	)		43,600,616			1,959,155			(109,398	)
Total	$	932,437	$	5,493,990		$	24,459,381		$	5,756,760		$	(1,246,637	)	$	59,342,401		$	152,348		$	1,494,292

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Commodity Strategies LLC			Graham Discretionary Energy Trading III LLC		Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham GMP Securities LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC			Graham Short Term Global Macro LLC
Commodity price
Futures	$	(4,169,204	)	$	422,100	$	-		$	8,710,031		$	-		$	(50,844,752	)	$	(697,600	)	$	(1,330,724	)
Options		-			9,569,790		-			-			-			-			-			-
		(4,169,204	)		9,991,890		-			8,710,031			-			(50,844,752	)		(697,600	)		(1,330,724	)
Equity price
Futures		-			-		-			886,918			-			(92,929,632	)		426,912			95,380
		-			-		-			886,918			-			(92,929,632	)		426,912			95,380
Foreign currency exchange rate
Futures		-			-		-			-			-			4,090,176			-			-
Forwards		-			-		-			83,614,961			25,702			13,713,340			13,064,342			10,956,826
Options		-			-		-			-			-			-			-			(12,231,023	)
		-			-		-			83,614,961			25,702			17,803,516			13,064,342			(1,274,197	)
Interest rate
Bonds		-			-		-			-			(45,362	)		-			-			-
Futures		-			-		62,709,382			9,510,178			-			148,920,489			3,150,465			765,082
Interest rate swaps		-			-		-			(403,000	)		(3,399,071	)		-			-			-
Options		-			-		(23,580,791	)		(1,471,636	)		-			-			-			-
		-			-		39,128,591			7,635,542			(3,444,433	)		148,920,489			3,150,465			765,082
Total	$	(4,169,204	)	$	9,991,890	$	39,128,591		$	100,847,452		$	(3,418,731	)	$	22,949,621		$	15,944,119		$	(1,744,459	)

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in GCA, an entity for which the Manager is also the sole investment advisor. GCA commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from three to thirty months. GCA also maintains cash and cash equivalents on deposit with major U.S. institutions. GCA values all fixed income securities at amortized cost to the extent it approximates fair value. GAIT’s investment in GCA is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of GCA’s reported net asset value. GAIT records its proportionate share of GCA’s investment income and expenses on a monthly basis. For the three months ended September 30, 2011, the total amount recognized by GAIT with respect to its investment in GCA was $439,886. For the nine months ended September 30, 2011, the total amount recognized by GAIT with respect to its investment in GCA was $1,453,597. For the three months ended

September 30, 2010, the total amount recognized by GAIT with respect to its investment in GCA was $502,343. For the nine months ended September 30, 2010, the total amount recognized by GAIT with respect to its investment in GCA was $1,384,191. These amounts are included in interest income in the statements of operations and managing member allocation. At September 30, 2011 and December 31, 2010, GAIT owned approximately 12.81% and 13.77%, respectively, of GCA. The following table summarizes the financial position of GCA as of September 30, 2011 and December 31, 2010:


	September 30, 2011		December 31, 2010
Assets:
Cash and cash equivalents	$	935,478,058	$	750,098,151
Investments in fixed income securities (cost $2,418,350,430 and $2,215,622,512 respectively)		2,418,350,430		2,215,622,512
Accrued interest income		8,640,660		6,547,074
Total assets		3,362,469,148		2,972,267,737

Liabilities:
Other liabilities		30,000		20,000
Total liabilities		30,000		20,000
Net assets	$	3,362,439,148	$	2,972,247,737

The following table summarizes the results of operations of GCA for the three and nine month periods ended September 30, 2011 and 2010:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2011		2010		2011		2010
Investment income
Interest income	$	3,492,406	$	3,607,698	$	11,203,532	$	9,511,911
Total investment income		3,492,406		3,607,698		11,203,532		9,511,911

Expenses:
Bank fee expense		127,380		99,802		386,034		344,304
Total expenses		127,380		99,802		386,034		344,304
Net investment income		3,365,026		3,507,896		10,817,498		9,167,607
Net income	$	3,365,026	$	3,507,896	$	10,817,498	$	9,167,607

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following schedule displays the condensed schedule of investments for GCA as of September 30, 2011.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,418,350,430)
United States
FDIC Guaranteed Bonds (cost $979,935,736)
Citigroup Funding Inc. 1.88% - 2.25% due 07/12/12 - 12/10/12	$	259,364,000	$	263,526,288		7.84	%
Other FDIC guaranteed bonds				716,409,448		21.30	%
Total FDIC Guaranteed Bonds				979,935,736		29.14	%

Government Bonds (cost $1,438,414,694)
U.S. Treasury 0.38% - 1.38% due 10/31/11 – 06/30/13		1,435,000,000		1,438,414,694		42.78	%
Total Government Bonds				1,438,414,694		42.78	%

Total Investments in Fixed Income Securities			$	2,418,350,430		71.92	%

The following schedule displays the condensed schedule of investments for GCA as of December 31, 2010.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,215,622,512)
United States
FDIC Guaranteed Bonds (cost $1,101,463,404)
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12	$	350,000,000	$	351,915,163		11.84	%
Other FDIC guaranteed bonds				749,548,241		25.22	%
Total FDIC Guaranteed Bonds				1,101,463,404		37.06	%

Government Bonds (cost $1,114,159,108)
U.S. Treasury 0.88% due 04/30/11		150,000,000		150,213,724		5.05	%
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12				963,945,384		32.43	%
Total Government Bonds				1,114,159,108		37.48	%

Total Investments in Fixed Income Securities			$	2,215,622,512		74.54	%

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

GCA reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by GCA as of September 30, 2011 and December 31, 2010:

	September 30, 2011		December 31, 2010
Long positions
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	979,935,736	$	1,101,463,404
Government Bonds		1,438,414,694		1,114,159,108
Total fixed income securities		2,418,350,430		2,215,622,512
Total Level 2		2,418,350,430		2,215,622,512
Total long positions	$	2,418,350,430	$	2,215,622,512

5. Capital Accounts

GAIT offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT also has Management Units (“Class M units”) which are solely for the investment of the Manager.

A separate Capital Account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each members’ Capital Account is equal to the initial contribution to GAIT with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of GAIT are allocated among the Capital Accounts of the members in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.

Addition of Members and Managing Members

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.

Redemptions

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees

Advisory Fees

Each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 2% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

Each Class of GAIT other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of 1% of its Net Asset Value, payable monthly in arrears, determined in the same manner as the Advisory Fee.

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter.

Brokerage Fees

Each Class of GAIT other than Class M pays the Manager a brokerage fee (the “Brokerage Fee”) at the annual rate specified in the table below. This Brokerage Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager bears all of GAIT’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT and the continuous offering of Units. To the extent GAIT is allocated any of these expenses from the Master Funds in which it invests, the Manager will reimburse GAIT for those amounts. These reimbursements are included in commission reimbursements in the statements of operations and managing member allocation.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with GAIT.

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

8. Related Party Transactions

The Manager, due to its relationship with its affiliates, may enter into certain related party transactions.

9. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended September 30, 2011 and 2010:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, June 30, 2010	$	134.80		$	111.00
Net income:
Net investment loss		(0.02	)		(1.25	)
Net gain on investments		2.41			2.95
Net income		2.39			1.70
Net asset value per unit, September 30, 2010	$	137.19		$	112.70

Net asset value per unit, June 30, 2011	$	132.67		$	107.48
Net loss:
Net investment loss		(2.50	)		(2.54	)
Net gain on investments		1.41			1.12
Net loss		(1.09	)		(1.42	)
Net asset value per unit, September 30, 2011	$	131.58		$	106.06

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended September 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(0.82	)%		2.17	%		(1.32	)%		1.59	%
Incentive Allocation		0.00			(0.41	)		0.00			(0.09	)
Total return after Incentive Allocation		(0.82	)%		1.76	%		(1.32	)%		1.50	%

Net investment loss before Incentive Allocation		(1.88	)%		(0.82	)%		(2.36	)%		(2.25	)%
Incentive Allocation		0.00			(0.41	)		0.00			(0.09	)
Net investment loss after Incentive Allocation		(1.88	)%		(1.23	)%		(2.36	)%		(2.34	)%

Total expenses before Incentive Allocation		1.32	%		1.29	%		1.80	%		1.80	%
Incentive Allocation		0.00			0.41			0.00			0.09
Total expenses after Incentive Allocation		1.32	%		1.70	%		1.80	%		1.89	%

The following is the per unit operating performance calculation for the nine month periods ended September 30, 2011 and 2010:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2009	$	135.56		$	112.73
Net income (loss):
Net investment loss		(3.80	)		(5.35	)
Net gain on investments		5.43			5.32
Net income (loss)		1.63			(0.03	)
Net asset value per unit, September 30, 2010	$	137.19		$	112.70

Net asset value per unit, December 31, 2010	$	138.96		$	113.68
Net loss:
Net investment loss		(5.32	)		(5.98	)
Net loss on investments		(2.06	)		(1.64	)
Net loss		(7.38	)		(7.62	)
Net asset value per unit, September 30, 2011	$	131.58		$	106.06

Index

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the nine month periods ended September 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(5.30	)%		1.61	%		(6.69	)%		0.06	%
Incentive Allocation		(0.01	)		(0.41	)		(0.01	)		(0.09	)
Total return after Incentive Allocation		(5.31	)%		1.20	%		(6.70	)%		(0.03	)%

Net investment loss before Incentive Allocation		(3.82	)%		(2.84	)%		(5.25	)%		(4.87	)%
Incentive Allocation		(0.01	)		(0.41	)		(0.01	)		(0.09	)
Net investment loss after Incentive Allocation		(3.83	)%		(3.25	)%		(5.26	)%		(4.96	)%

Total expenses before Incentive Allocation		3.87	%		3.84	%		5.37	%		5.37	%
Incentive Allocation		0.01			0.41			0.01			0.09
Total expenses after Incentive Allocation		3.88	%		4.25	%		5.38	%		5.46	%

Total return is calculated for Class 0 and Class 2 units taken as a whole and has not been annualized. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and amounts allocated from Master Funds. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and nine month periods ended September 30, 2011 and 2010.

10. Subsequent Events

GAIT had subscriptions of approximately $8.0 million and redemptions of approximately $6.0 million through November 14, 2011, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

Graham Alternative Investment Trading II LLC

Statements of Financial Condition

Assets	September 30, 2011 (Unaudited)		December 31, 2010 (Audited)
Investment in Graham K4D Trading Ltd., at fair value	$	9,449,880	$	7,411,468
Investment in Graham Cash Assets LLC, at fair value		77,985,718		64,089,936
Commission reimbursements receivable		51,140		28,795
Total assets	$	87,486,738	$	71,530,199

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	8,835,002	$	1,393,281
Accrued brokerage fees		207,210		170,942
Accrued advisory fees		143,732		121,404
Accrued sponsor fees		71,866		60,702
Total liabilities		9,257,810		1,746,329

Members’ capital:
Class 0 Units (448,827.682 and 397,859.944 units issued and outstanding at $89.38 and $102.92 per unit, respectively)		40,116,552		40,945,899
Class 2 Units (446,245.807 and 288,630.496 units issued and outstanding at $85.30 and $99.72 per unit, respectively)		38,062,997		28,783,191
Class M Units (500.000 and 500.000 units issued and outstanding at $98.76 and $109.56 per unit, respectively)		49,379		54,780
Total members’ capital		78,228,928		69,783,870
Total liabilities and members’ capital	$	87,486,738	$	71,530,199

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)			2011 (Unaudited)			2010 (Unaudited)
Net (loss) gain allocated from investment in Graham K4D Trading Ltd.:
Net realized loss on investments	$	(6,145,327	)	$	(323,278	)	$	(8,597,423	)	$	(461,871	)
Net increase (decrease) in unrealized appreciation on investments		1,135,707			2,521,920			(1,007,154	)		1,960,470
Brokerage commissions and fees		(136,481	)		(66,281	)		(401,873	)		(166,821	)
Net (loss) gain allocated from investment in Graham K4D Trading Ltd.		(5,146,101	)		2,132,361			(10,006,450	)		1,331,778

Net investment loss allocated from investment in Graham K4D Trading Ltd.		(6,382	)		(952	)		(17,280	)		(4,212	)

Investment income:
Interest income		81,771			74,832			255,251			195,949
Total investment income		81,771			74,832			255,251			195,949

Expenses:
Brokerage fees		656,221			404,584			1,860,993			1,033,726
Advisory fees		455,698			290,137			1,305,702			747,087
Sponsor fees		227,850			145,069			652,851			373,544
Interest and other		1,438			2,321			13,283			7,231
Commission reimbursements		(136,481	)		(66,281	)		(401,873	)		(166,821	)
Total expenses		1,204,726			775,830			3,430,956			1,994,767
Net investment loss of the Fund		(1,122,955	)		(700,998	)		(3,175,705	)		(1,798,818	)

Net (loss) income		(6,275,438	)		1,430,411			(13,199,435	)		(471,252	)

Incentive allocation		-			-			(8,810	)		-

Net (loss) income available for pro-rata allocation to all members	$	(6,275,438	)	$	1,430,411		$	(13,208,245	)	$	(471,252	)

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Changes in Members’ Capital

For the nine months ended September 30, 2011 (unaudited) and 2010 (unaudited)

	Class 0						Class 2						Class M				Total
	Units			Capital			Units			Capital			Units		Capital		Capital

Members’ capital, December 31, 2009		222,427.212		$	22,373,766			149,683.130		$	14,826,566			–	$	–	$	37,200,332
Subscriptions		162,400.604			15,431,662			116,148.901			10,952,416			500.000		50,000		26,434,078
Redemptions		(10,113.780	)		(976,087	)		(11,401.482	)		(1,065,628	)		–		–		(2,041,715	)
Net loss		–			(10,139	)		–			(462,280	)		–		1,167		(471,252	)
Members’ capital, September 30, 2010		374,714.036		$	36,819,202			254,430.549		$	24,251,074			500.000	$	51,167	$	61,121,443

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital

Members’ capital, December 31, 2010		397,859.944		$	40,945,899			288,630.496		$	28,783,191			500.000	$	54,780		$	69,783,870
Subscriptions		183,283.943			18,535,267			196,372.704			18,976,245			–		–			37,511,512
Redemptions		(132,316.205	)		(12,190,510	)		(38,757.393	)		(3,667,699	)		–		(8,810	)		(15,867,019	)
Incentive allocation		–			(4,821	)		–			(3,989	)		–		8,810			–
Net loss		–			(7,169,283	)		–			(6,024,751	)		–		(5,401	)		(13,199,435	)
Members’ capital, September 30, 2011		448,827.682		$	40,116,552			446,245.807		$	38,062,997			500.000	$	49,379		$	78,228,928

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Cash Flows

	Nine Months Ended September 30,
	2011 (Unaudited)			2010 (Unaudited)
Cash flows used in operating activities
Net loss	$	(13,199,435	)	$	(471,252	)
Adjustments to reconcile net loss to net cash used in operating activities:
Net loss (income) allocated from investment in Graham K4D Trading Ltd.		10,023,730			(1,327,566	)
Net income allocated from investment in Graham Cash Assets LLC		(255,251	)		(195,949	)
Proceeds from sale of investments in Graham K4D Trading Ltd.		78,991,608			30,922,054
Proceeds from sale of investments in Graham Cash Assets LLC		99,937,666			39,547,824
Investments in Graham K4D Trading Ltd.		(91,053,750	)		(34,607,498	)
Investments in Graham Cash Assets LLC		(113,578,197	)		(58,678,694	)
Changes in assets and liabilities:
Commission reimbursements receivable		(22,345	)		(11,842	)
Accrued brokerage fees		36,268			52,904
Accrued advisory fees		22,328			37,897
Accrued sponsor fees		11,164			18,949
Accrued incentive allocation		-			(479	)
Net cash used in operating activities		(29,086,214	)		(24,713,652	)

Cash flows provided by financing activities
Subscriptions		37,511,512			26,434,078
Redemptions		(8,425,298	)		(1,721,196	)
Net cash provided by financing activities		29,086,214			24,712,882

Net decrease in cash and cash equivalents		–			(770	)

Cash and cash equivalents, beginning of period		–			770
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements

September 30, 2011

1. Organization and Business

Graham Alternative Investment Trading II LLC (“GAIT II”) was formed on July 16, 2008, commenced operations on January 4, 2009 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the managing member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association.

The investment objective of GAIT II is to achieve long-term capital appreciation through professionally managed trading through its investment in Graham K4D Trading Ltd. (the “Master Fund” or “K4D Trading”), a master trading vehicle. K4D Trading commenced operations on January 1, 1999 and is organized as a British Virgin Islands business company. As more fully described in Notes 2 and 3, this Master Fund invests in a broad range of currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and swaps thereon (collectively referred to as “Derivative Positions”) traded on U.S. and foreign exchanges.

SEI Global Services, Inc. (“SEI”) is GAIT II’s independent administrator and transfer agent. SEI is responsible for certain matters pertaining to the administration of GAIT II.

GAIT II will terminate on December 31, 2050 or at an earlier date if certain conditions occur as outlined in the Limited Liability Company Agreement (“LLC Agreement”).

Duties of the Managing Member

Subject to the terms and conditions of the LLC Agreement, the Managing Member has complete and exclusive responsibility for managing and administering the affairs of GAIT II and for directing the investment and reinvestment of the assets of GAIT II.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of these financial statements requires the Managing Member to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Cash and Cash Equivalents

GAIT II considers cash and cash equivalents to include all highly liquid investments with a maturity of three months or less when acquired.

Investment in Graham K4D Trading Ltd.

GAIT II invests in K4D Trading which is managed by the Managing Member. This investment is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of the K4D Trading’s reported net asset value. Gains and losses are allocated monthly by K4D Trading to GAIT II based upon GAIT II’s proportionate share of the net asset value of K4D Trading and are included in the accompanying statements of operations and managing member allocation.

Fair Value

The fair value of GAIT II’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and managing member allocation.

GAIT II follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date.

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

Level 1 inputs are unadjusted closing or settle 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. With respect to GAIT II’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment.

Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value.

GAIT II reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. In accordance with this hierarchy, GAIT II’s investments in K4D Trading and Graham Cash Assets LLC (“GCA”) have been classified as Level 2 valuations. There were no Level 3 assets or liabilities held at any point during the nine month period ended September 30, 2011 or the twelve months ended December 31, 2010 by GAIT II, K4D Trading, or GCA, and there were no transfers between Level 1 and Level 2 during those periods. Transfers between levels are recognized on the actual date of the event or change in circumstances that cause the transfer.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments

In the normal course of business, the Master Fund utilizes derivative financial instruments in connection with its trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Fund’s derivative financial instruments are classified by the following primary underlying risks: interest rate, credit, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Fund is also subject to additional counterparty risk should its counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Fund has established initial credit approval, credit limits, and collateral requirements and may reduce its exposure to any counterparties it deems necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.

The Master Fund records all its derivative financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net realized loss and net decrease in appreciation on investments in the Master Fund’s statements of operations.

Futures Contracts

The Master Fund uses futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date, established by the primary exchange upon which they are traded.

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Fund each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Fund. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Fund since futures are exchange-traded and the exchange’s clearinghouse guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Fund may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Fund might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Fund would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Fund was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Fund might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Forward Contracts

The Master Fund enters into foreign currency and commodity forward contracts in an attempt to take advantage of changes in exchange rates and commodity prices. Forward currency and commodities transactions are contracts or agreements for delivery of specific currencies and commodities or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.

Exchange traded forward contracts are valued based upon the settle prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points.

Swap Contracts

The Master Fund may enter into various swap contracts. Swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions and force the Master Fund to cover its resale commitments, if any, at the current market price. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Fund may not be able to enter into an offsetting contract in order to cover its risk. Swaps are subject to the International Swap and Derivative Association (“ISDA”) Master Agreements which generally require among other things, that a Master Fund maintain a predetermined level of net assets, and provide limits with respect to a decline in the Master Fund’s net asset value over 1-month, 3-month and 12-month periods. If a Master Fund were to violate such provisions, the counterparty to the swaps could demand liquidation of outstanding swap positions.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Total return swaps are valued based upon the exchange published settle price of the underlying. During the term of the swaps, changes in value are recognized as unrealized gains or losses by marking the contracts to fair value. Additionally, the Master Fund records a realized gain (loss) when a swap contract is terminated and when periodic payments are received or made at the end of each measurement period, but prior to termination. The Master Fund determines the estimated fair value of all swaps in accordance with U.S. GAAP.

Options

The Master Fund may buy and sell covered and uncovered exchange traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Options (continued)

The Master Fund is exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Fund is the fair value of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange traded options provide reduced counterparty risk to the Master Fund since the exchanges’ clearinghouse guarantees the option against default.

Exchange traded options are valued based upon the settle prices published as of the valuation date, by the principal exchange upon which they are traded. In the absence of an exchange published settle price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange traded options with no reported sales price on the valuation date will generally be valued at the average of last reported bid and offer quotes from independent brokers or from the exchange, respectively.

Indemnifications

In the normal course of business, the Master Fund, GCA, and GAIT II enter into contracts that contain a variety of indemnifications. Such contracts include those with the Master Fund’s and GCA’s brokers and trading counterparties. GAIT II’s maximum exposure under these arrangements is unknown; however, GAIT II has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote.

3. Investment in Graham K4D Trading Ltd.

As of September 30, 2011 and December 31, 2010, GAIT II invested in K4D Trading, a master trading vehicle also managed by the Managing Manager. GAIT II’s investment in K4D Trading, as well as its investment objective, is summarized below. K4D Trading and GAIT II are related parties. K4D Trading does not charge any management or incentive fees, and offers monthly subscriptions and redemptions.

September 30, 2011
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months then ended)			Net Loss (nine months then ended)

Graham K4D Trading Ltd. (a)		12.08	%	$	9,449,880	$	(5,152,483	)	$	(10,023,730	)
		12.08	%	$	9,449,880	$	(5,152,483	)	$	(10,023,730	)

December 31, 2010						September 30, 2010
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months then ended)		Net Income (nine months then ended)

Graham K4D Trading Ltd. (a)		10.62	%	$	7,411,468	$	2,131,409	$	1,327,566
		10.62	%	$	7,411,468	$	2,131,409	$	1,327,566
(a) – Systematic macro

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of September 30, 2011.

Assets:
Due from brokers	$	240,973,205
Derivative financial instruments, at fair value		14,800,706
Total assets		255,773,911

Liabilities:
Derivative financial instruments, at fair value		8,525,381
Due to brokers		2,377,906
Redemptions payable		409,154
Total liabilities		11,312,441
Net assets	$	244,461,470

Percentage of K4D Trading held by the Fund		3.87	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments for the K4D Trading as of September 30, 2011.

Description	Number of Contracts / Notional Amount	Fair Value			Percentage of Net Assets of K4D Trading
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond		$	(3,113,222	)		(1.27	)%
Foreign bond			(4,802,162	)		(1.96	)%
U.S. index			(10,286,975	)		(4.21	)%
Foreign index			345,239			0.14	%
Soybean November 2011	1,389		(13,188,220	)		(5.40	)%
Other Soybean March 2012	1		(316	)		(0.00	)%
Other commodity			(65,379,418	)		(26.74	)%
Interest rate			(4,000,731	)		(1.64	)%
Currency			(1,578,712	)		(0.65	)%
Total futures			(102,004,517	)		(41.73	)%

Swaps
Soybean November 2011	56		(555,901	)		(0.23	)%
Other commodity			(1,310	)		(0.00	)%
Total swaps			(557,211	)		(0.23	)%

Forwards
Australian dollar / U.S. dollar 10/19/11	AUD 739,945,082		(29,884,516	)		(12.22	)%
Other Australian dollar / U.S. dollar 10/04/11 – 10/05/11	AUD 209,551,333		(833,817	)		(0.34	)%
Brazilian Real / U.S. dollar 10/04/11	BRL 840,781,555		(66,064,753	)		(27.02	)%
Other Brazilian Real / U.S. dollar 11/03/11	BRL 32,424,127		(188,743	)		(0.08	)%
Canadian dollar / U.S. dollar 10/19/11	CAD 1,380,588,086		(51,748,332	)		(21.17	)%
Euro / U.S. dollar 10/19/11	EUR 690,395,122		(13,381,484	)		(5.47	)%
Japanese Yen / U.S. dollar 10/19/11	JPY 230,430,610,022		(20,135,020	)		(8.24	)%
New Zealand dollar / U.S. dollar 10/19/11	NZD 385,115,861		(14,950,625	)		(6.12	)%
Other foreign currency			(75,275,971	)		(30.79	)%
Total forwards			(272,463,261	)		(111.45	)%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments for the K4D Trading as of September 30, 2011.

Description	Number of Contracts / Notional Amount		Fair Value			Percentage of Net Assets of K4D Trading
Short contracts
Futures
U.S. bond			$	(1,563,681	)		(0.64	)%
Foreign bond				(1,116,469	)		(0.46	)%
U.S. index				9,639,394			3.94	%
Foreign index				(2,872,584	)		(1.17	)%
LME Copper December 2011	(675	)		21,600,866			8.84	%
Other Copper December 2011 – March 2012	(522	)		5,336,696			2.18	%
Crude Oil November 2011	(2,293	)		14,219,715			5.82	%
Other Crude Oil December 2011	(1	)		543			0.00	%
Other commodity				61,634,892			25.21	%
Interest rate				1,412,266			0.58	%
Currency				4,703,191			1.92	%
Total futures				112,994,829			46.22	%

Swaps
Commodity				4,367,607			1.79	%
Total swaps				4,367,607			1.79	%

Forwards
Australian dollar / U.S. dollar 10/19/11	AUD (843,989,063	)		22,541,833			9.22	%
Other Australian dollar / U.S. dollar 10/04/11 – 10/05/11	AUD (204,384,287	)		821,742			0.34	%
Brazilian Real / U.S. dollar 10/04/11	BRL (840,781,555	)		59,414,523			24.30	%
Other Brazilian Real / U.S. dollar 11/03/11	BRL (47,520,411	)		457,669			0.19	%
Canadian dollar / U.S. dollar 10/19/11	CAD (1,586,777,537	)		48,314,863			19.76	%
Euro / U.S. dollar 10/19/11	EUR (960,417,966	)		22,934,898			9.38	%
Japanese Yen / U.S. dollar 10/19/11	JPY (222,034,528,765	)		20,011,367			8.19	%
Other foreign currency				89,440,983			36.59	%
Total forwards				263,937,878			107.97	%

Total			$	6,275,325			2.57	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of September 30, 2011.

Long Contracts
Level 1:
U.S. bond futures	$	(3,113,222	)
Foreign bond futures		(4,802,162	)
U.S. index futures		(10,286,975	)
Foreign index futures		345,239
Commodity futures		(78,567,954	)
Commodity swaps		(557,211	)
Interest rate futures		(4,000,731	)
Currency futures		(1,578,712	)
Total Level 1		(102,561,728	)

Level 2:
Foreign currency forwards		(272,463,261	)
Total Level 2		(272,463,261	)
Total long contracts	$	(375,024,989	)

Short Contracts
Level 1:
U.S. bond futures	$	(1,563,681	)
Foreign bond futures		(1,116,469	)
U.S. index futures		9,639,394
Foreign index futures		(2,872,584	)
Commodity futures		102,792,712
Commodity swaps		4,367,607
Interest rate futures		1,412,266
Currency futures		4,703,191
Total Level 1		117,362,436

Level 2:
Foreign currency forwards		263,937,878
Total Level 2		263,937,878
Total short contracts	$	381,300,314

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at September 30, 2011 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on K4D Trading’s statement of financial position.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	522,389,303		7,428	$	(991,669,996	)		(20,375	)	$	91,265,305	$	(67,040,547	)
Swaps		3,301,200		56		(58,949,530	)		(1,932	)		4,366,271		(555,875	)
		525,690,503		7,484		(1,050,619,526	)		(22,307	)		95,631,576		(67,596,422	)

Equity price
Futures		199,800,119		4,254		(410,064,495	)		(7,452	)		7,562,237		(10,737,163	)
		199,800,119		4,254		(410,064,495	)		(7,452	)		7,562,237		(10,737,163	)

Foreign currency exchange rate
Futures		122,402,981		1,486		(231,243,788	)		(1,733	)		3,284,664		(160,185	)
Forwards		27,912,352		-		(37,186,219	)		-			28,309,734		(36,835,117	)
		150,315,333		1,486		(268,430,007	)		(1,733	)		31,594,398		(36,995,302	)

Interest rate
Futures		9,559,805,314		35,995		(1,169,408,767	)		(5,589	)		2,688,188		(15,872,187	)
		9,559,805,314		35,995		(1,169,408,767	)		(5,589	)		2,688,188		(15,872,187	)
Total	$	10,435,611,269		49,219	$	(2,898,522,795	)		(37,081	)	$	137,476,399	$	(131,201,074	)

Collateral balances supporting all derivative positions													$	238,595,299

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three and nine month periods ended September 30, 2011.

	Three Months Ended September 30, 2011			Nine Months Ended September 30, 2011

Net investment loss	$	(169,883	)	$	(460,227	)

Net realized loss on investments		(161,048,924	)		(229,474,772	)
Net increase (decrease) in unrealized appreciation on investments		26,144,203			(38,951,376	)
Brokerage commissions and fees		(3,638,203	)		(10,568,353	)
Net loss on investments		(138,542,924	)		(278,994,501	)
Net loss	$	(138,712,807	)	$	(279,454,728	)

The following table shows the gains and losses on all financial instruments held by the Master Fund reported in net realized loss and net increase (decrease) in unrealized appreciation on investments in its statement of operations segregated by primary underlying risk and contract type for the three and nine month periods ended September 30, 2011:

	Three Months Ended September 30, 2011			Nine Months Ended September 30, 2011

Commodity price
Futures	$	(5,164,850	)	$	(48,151,690	)
Swaps		2,104,346			2,104,346
		(3,060,504	)		(46,047,344	)

Equity price
Futures		(134,617,931	)		(202,948,060	)
		(134,617,931	)		(202,948,060	)

Foreign currency exchange rate
Futures		10,223,770			227,767
Forwards		(94,513,839	)		(113,092,112	)
		(84,290,069	)		(112,864,345	)

Interest rate
Futures		87,063,783			93,433,601
		87,063,783			93,433,601
Total	$	(134,904,721	)	$	(268,426,148	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the financial position of K4D Trading as of December 31, 2010.

Assets:
Due from brokers	$	135,887,098
Derivative financial instruments, at fair value		45,743,328
Interest receivable		9,100
Total assets		181,639,526

Liabilities:
Derivative financial instruments, at fair value		-
Total liabilities		-
Net assets	$	181,639,526

Percentage of Master Fund held by the Fund		4.08	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments of K4D Trading as of December 31, 2010.

Description	Principal Amount	Fair Value			Percentage of Net Assets of K4D Trading
Long contracts
Futures
U.S. bond		$	237,741			0.13	%
Foreign bond			1,053,653			0.58	%
U.S. index			3,010,100			1.66	%
Foreign index			(3,683,508	)		(2.03	)%
Commodity			31,911,445			17.57	%
Interest rate			325,182			0.18	%
Currency			4,536,916			2.50	%
Total futures			37,391,529			20.59	%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY 43,988,617,100		11,186,032			6.16	%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY 14,270,122,339		796,715			0.44	%
Swiss Franc / U.S. dollar 01/19/11	CHF 491,922,158		17,376,713			9.57	%
Other foreign currency			28,092,524			15.46	%
Total forwards			57,451,984	��		31.63	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following schedule displays the condensed schedule of investments of K4D Trading as of December 31, 2010.

Description	Principal Amount		Fair Value			Percentage of Net Assets of K4D Trading
Short contracts
Futures
U.S. bond			$	(1,546,794	)		(0.85	)%
Foreign bond				(540,937	)		(0.30	)%
Foreign index				(142,959	)		(0.08	)%
Commodity				(4,754,965	)		(2.62	)%
Interest rate				(3,790,967	)		(2.09	)%
Currency				739,824			0.41	%
Total futures				(10,036,798	)		(5.53	)%

Forwards
Japanese Yen / U.S. dollar 01/19/11	JPY (36,043,608,800	)		(12,993,436	)		(7.15	)%
Other Japanese Yen / U.S. dollar 1/04/11 - 1/05/11	JPY (14,111,800,669	)		(834,965	)		(0.46	)%
Swiss Franc / U.S. dollar 01/19/11	CHF (431,464,200	)		(17,247,454	)		(9.50	)%
Other foreign currency				(7,987,532	)		(4.40	)%
Total forwards				(39,063,387	)		(21.51	)%

Total			$	45,743,328			25.18	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table shows the fair value classification of each investment type for K4D Trading as of December 31, 2010.

Long Contracts
Level 1:
U.S. bond futures	$	237,741
Foreign bond futures		1,053,653
U.S. index futures		3,010,100
Foreign index futures		(3,683,508	)
Commodity futures		31,911,445
Interest rate futures		325,182
Currency futures		4,536,916
Total Level 1		37,391,529

Level 2:
Foreign currency forwards		57,451,984
Total Level 2		57,451,984
Total long contracts	$	94,843,513

Short Contracts
Level 1:
U.S. bond futures	$	(1,546,794	)
Foreign bond futures		(540,937	)
Foreign index futures		(142,959	)
Commodity futures		(4,754,965	)
Interest rate futures		(3,790,967	)
Currency futures		739,824
Total Level 1		(10,036,798	)

Level 2:
Foreign currency forwards		(39,063,387	)
Total Level 2		(39,063,387	)
Total short contracts	$	(49,100,185	)

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table displays the gross volume of derivative activities based on their notional amounts and number of contracts and fair value of derivative contracts held by the Master Fund at December 31, 2010 categorized by primary underlying risk. Derivative assets and liability balances are presented on a gross basis, prior to the application of counterparty netting. Amounts presented below as collateral balances supporting all derivative positions are included in due from / (to) brokers on K4D Trading’s statement of financial position.

	Graham K4D Trading Ltd.
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities

Commodity price
Futures	$	810,106,878		10,782	$	(53,034,444	)		(926	)	$	32,742,543	$	(5,586,063	)
		810,106,878		10,782		(53,034,444	)		(926	)		32,742,543		(5,586,063	)

Equity price
Futures		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)
		16,008,395,340		15,303		(968,631,180	)		(671	)		4,935,403		(5,751,770	)

Foreign currency exchange rate
Futures		340,454,690		2,852		(86,152,236	)		(957	)		5,633,114		(356,374	)
Forwards		90,870,643,000		-		(87,109,470,216	)		-			78,339,927		(59,951,330	)
		91,211,097,690		2,852		(87,195,622,452	)		(957	)		83,973,041		(60,307,704	)

Interest rate
Futures		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)
		2,044,200,093		8,454		(63,261,455,459	)		(23,095	)		2,729,784		(6,991,906	)
Total	$	110,073,800,001		37,391	$	(151,478,743,535	)		(25,649	)	$	124,380,771	$	(78,637,443	)

Collateral balances supporting all derivative positions													$	135,887,098

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investment in Graham K4D Trading Ltd. (continued)

The following table summarizes the results of operations of K4D Trading for the three and nine month periods ended September 30, 2010.

	Three Months Ended September 30, 2010			Nine Months Ended September 30, 2010

Net investment loss	$	(25,302	)	$	(127,018	)

Net realized loss on investments		(9,520,923	)		(31,318,993	)
Net increase in unrealized appreciation on investments		68,863,324			54,268,614
Brokerage commissions and fees		(1,766,962	)		(4,773,158	)
Net gain on investments		57,575,439			18,176,463
Net income	$	57,550,137		$	18,049,445

The following table shows the gains and losses on all financial instruments held by the Master Fund reported in net realized loss and net increase in unrealized appreciation on investments in its statement of operations segregated by primary underlying risk and contract type for the three and nine month periods ended September 30, 2010.

	Three Months Ended September 30, 2010			Nine Months Ended September 30, 2010

Commodity price
Futures	$	23,090,803		$	(50,844,752	)
		23,090,803			(50,844,752	)

Equity price
Futures		(31,259,994	)		(92,929,632	)
		(31,259,994	)		(92,929,632	)

Foreign currency exchange rate
Futures		979,360			4,090,176
Forwards		22,931,616			13,713,340
		23,910,976			17,803,516

Interest rate
Futures		43,600,616			148,920,489
		43,600,616			148,920,489
Total	$	59,342,401		$	22,949,621

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT II invests a portion of its excess liquidity in GCA, an entity for which the Manager is also the sole investment advisor. GCA commenced operations on June 22, 2005 and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government, which range in maturity from three to thirty months. GCA also maintains cash and cash equivalents on deposit with major U.S. institutions. GCA values all fixed income securities at amortized cost to the extent it approximates fair value. GAIT II’s investment in GCA is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT II’s proportionate share of GCA’s reported net asset value. GAIT II records its proportionate share of GCA’s investment income and expenses on a monthly basis. For the three months ended September 30, 2011, the total amount recognized by GAIT II with respect to its investment in GCA was $81,771. For the nine months ended September 30, 2011, the total amount recognized by GAIT II with respect to its investment in GCA was $255,251. For the three months ended September 30, 2010, the total amount recognized by GAIT II with respect to its investment in GCA was $74,832. For the nine months ended September 30, 2010, the total amount recognized by GAIT II with respect to its investment in GCA was $195,949. These amounts are included in interest income in the statements of operations and managing member allocation. At September 30, 2011 and December 31, 2010, GAIT II owned approximately 2.32% and 2.16%, respectively, of GCA. The following table summarizes the financial position of GCA as of September 30, 2011 and December 31, 2010:

	September 30, 2011		December 31, 2010
Assets:
Cash and cash equivalents	$	935,478,058	$	750,098,151
Investments in fixed income securities (cost $2,418,350,430 and $2,215,622,512, respectively)		2,418,350,430		2,215,622,512
Accrued interest income		8,640,660		6,547,074
Total assets		3,362,469,148		2,972,267,737

Liabilities:
Other liabilities		30,000		20,000
Total liabilities		30,000		20,000
Net assets	$	3,362,439,148	$	2,972,247,737

The following table summarizes the results of operations of GCA for the three and nine month periods ended September 30, 2011 and 2010:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2011		2010		2011		2010
Investment income
Interest income	$	3,492,406	$	3,607,698	$	11,203,532	$	9,511,911
Total investment income		3,492,406		3,607,698		11,203,532		9,511,911

Expenses:
Bank fee expense		127,380		99,802		386,034		344,304
Total expenses		127,380		99,802		386,034		344,304
Net investment income		3,365,026		3,507,896		10,817,498		9,167,607
Net income	$	3,365,026	$	3,507,896	$	10,817,498	$	9,167,607

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following schedule displays the condensed schedule of investments for GCA as of September 30, 2011.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,418,350,430)
United States
FDIC Guaranteed Bonds (cost $979,935,736)
Citigroup Funding Inc. 1.88% - 2.25% due 07/12/12 - 12/10/12	$	259,364,000	$	263,526,288		7.84	%
Other FDIC guaranteed bonds				716,409,448		21.30	%
Total FDIC Guaranteed Bonds				979,935,736		29.14	%

Government Bonds (cost $1,438,414,694)
U.S. Treasury 0.38% - 1.38% due 10/31/11 – 06/30/13		1,435,000,000		1,438,414,694		42.78	%
Total Government Bonds				1,438,414,694		42.78	%

Total Investments in Fixed Income Securities			$	2,418,350,430		71.92	%

The following schedule displays the condensed schedule of investments for GCA as of December 31, 2010.

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Graham Cash Assets LLC
Investments in Fixed Income Securities (cost $2,215,622,512)
United States
FDIC Guaranteed Bonds (cost $1,101,463,404)
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12	$	350,000,000	$	351,915,163		11.84	%
Other FDIC guaranteed bonds				749,548,241		25.22	%
Total FDIC Guaranteed Bonds				1,101,463,404		37.06	%

Government Bonds (cost $1,114,159,108)
U.S. Treasury 0.88% due 04/30/11		150,000,000		150,213,724		5.05	%
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12				963,945,384		32.43	%
Total Government Bonds				1,114,159,108		37.48	%

Total Investments in Fixed Income Securities			$	2,215,622,512		74.54	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

	September 30, 2011		December 31, 2010
Long positions
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	979,935,736	$	1,101,463,404
Government Bonds		1,438,414,694		1,114,159,108
Total fixed income securities		2,418,350,430		2,215,622,512
Total Level 2		2,418,350,430		2,215,622,512
Total long positions	$	2,418,350,430	$	2,215,622,512

5. Capital Accounts

GAIT II offers Class 0 Units and Class 2 Units (collectively, the “Units”). GAIT II may issue additional classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager. GAIT II also has Management Units (“Class M units”) which are solely for the investment of the Manager.

A separate Capital Account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each members’ Capital Account is equal to the initial contribution to GAIT II with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of GAIT II are allocated among the members’ Capital Accounts in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.

Addition of Members and Managing Members

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Subscriptions

Redemptions

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees

Advisory Fees

Each Class of GAIT II other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 2% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

Each Class of GAIT II other than Class M pays the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of 1% of its Net Asset Value, payable monthly in arrears, determined in the same manner as the Advisory Fee.

Incentive Allocation

Brokerage Fees

Each Class of GAIT II other than Class M pays the Manager a brokerage fee (the “Brokerage Fee”) at the annual rate specified in the table below. This Brokerage Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate

Class 0	2%
Class 2	4%

In consideration of the Brokerage Fee, the Manager bears all of GAIT II’s trading commissions (including exchange, clearing and regulatory fees relating to its trades), routine legal expenses, internal and external accounting, audit and tax preparation expenses, fees and expenses of an external or internal administrator, and expenses and costs of printing and mailing reports and notices, together with the costs incurred in connection with the organization of GAIT II and GAIT II’s continuous offering of Units. To the extent GAIT II is allocated any of these expenses from the Master Fund, the Manager will reimburse GAIT II for those amounts. This reimbursement is included in commission reimbursements in the statements of operations and managing member allocation.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with GAIT II.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT II’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT II’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year. The Manager has evaluated GAIT II’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

8. Related Party Transactions

The Manager, due to its relationship with its affiliates, may enter into certain related party transactions.

9. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended September 30, 2011 and 2010:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, June 30, 2010	$	95.72		$	93.33
Net income:
Net investment loss		(1.14	)		(0.25	)
Net gain on investments		3.68			2.24
Net income		2.54			1.99
Net asset value per unit, September 30, 2010	$	98.26		$	95.32

Net asset value per unit, June 30, 2011	$	95.59		$	91.69
Net loss:
Net investment loss		(1.12	)		(1.49	)
Net loss on investments		(5.09	)		(4.90	)
Net loss		(6.21	)		(6.39	)
Net asset value per unit, September 30, 2011	$	89.38		$	85.30

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended September 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(6.50	)%		2.52	%		(6.97	)%		2.00	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.50	)%		2.52	%		(6.97	)%		2.00	%

Net investment loss before Incentive Allocation		(1.17	)%		(1.18	)%		(1.63	)%		(1.72	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(1.17	)%		(1.18	)%		(1.63	)%		(1.72	)%

Total expenses before Incentive Allocation		1.35	%		1.30	%		1.82	%		1.82	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		1.35	%		1.30	%		1.82	%		1.82	%

The following is the per unit operating performance calculation for the nine month periods ended September 30, 2011 and 2010:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2009	$	100.59		$	99.05
Net loss:
Net investment loss		(3.41	)		(4.77	)
Net gain on investments		1.08			1.04
Net loss		(2.33	)		(3.73	)
Net asset value per unit, September 30, 2010	$	98.26		$	95.32

Net asset value per unit, December 31, 2010	$	102.92		$	99.72
Net loss:
Net investment loss		(3.43	)		(4.73	)
Net loss on investments		(10.11	)		(9.69	)
Net loss		(13.54	)		(14.42	)
Net asset value per unit, September 30, 2011	$	89.38		$	85.30

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the nine month periods ended September 30, 2011 and 2010:

	Class 0						Class 2
	2011			2010			2011			2010

Total return before Incentive Allocation		(13.15	)%		(2.32	)%		(14.45	)%		(3.77	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Total return after Incentive Allocation		(13.16	)%		(2.32	)%		(14.46	)%		(3.77	)%

Net investment loss before Incentive Allocation		(3.32	)%		(3.55	)%		(4.73	)%		(5.11	)%
Incentive Allocation		(0.01	)		0.00			(0.01	)		0.00
Net investment loss after Incentive Allocation		(3.33	)%		(3.55	)%		(4.74	)%		(5.11	)%

Total expenses before Incentive Allocation		3.93	%		3.88	%		5.45	%		5.43	%
Incentive Allocation		0.01			0.00			0.01			0.00
Total expenses after Incentive Allocation		3.94	%		3.88	%		5.46	%		5.43	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Brokerage Fees, Sponsor Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT II and amounts allocated from the Master Fund. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT II, excluding that of the Managing Member, for the three and nine month periods ended September 30, 2011 and 2010.

10. Subsequent Events

GAIT II had subscriptions of approximately $2.3 million and redemptions of approximately $1.3 million through November 14, 2011, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

Index

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

Reference is made to “Item 1: Financial Statements”. The information contained therein is essential to, and should be read in conjunction with, the following analysis. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC, the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended September 30, 2011 the Fund’s net asset value decreased by $40,356,148 or -10.5%. This decrease was attributable to a $34,986,406 or -9.1% net decrease in the Blended Strategies Portfolio and a $5,369,742 or -1.4% net decrease in the Systematic Strategies Portfolio. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $12,693,000 or 3.3% offset by redemptions totaling $44,679,333 or -11.6% and net a loss of $3,000,073 or -0.8%, for the period. The net decrease in the Systematic Strategies Portfolio was attributable to total subscriptions of $3,706,295 or 1.0% offset by redemptions totaling $4,955,125 or -1.3% and a net loss of $4,120,912 or -1.1%, for the period.

For the nine months ended September 30, 2011 the Fund’s net asset value increased by $6,968,140 or 2.1%. This increase was attributable to a $2,216,819 or 0.7% net increase in the Blended Strategies Portfolio and a $4,751,321 or 1.4% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $81,052,467 or 24.0% partially offset by redemptions totaling $59,571,342 or -17.6% and net a loss of $19,264,306 or -5.7%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $22,880,918 or 6.8% partially offset by redemptions totaling $9,328,076 or -2.8% and a net loss of $8,801,521 or -2.6%, for the period.

For the three months ended September 30, 2010 the Fund’s net asset value increased by $29,354,584 or 11.0%. This increase was attributable to a $24,805,816 or 9.3% net increase in the Blended Strategies Portfolio and a $4,548,768 or 1.7% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $23,167,136 or 8.7% and net income of $4,262,929 or 1.6% partially offset by redemptions totaling $2,624,249 or -1.0%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $4,047,001 or 1.5% and net income of $990,125 or 0.4% partially offset by redemptions totaling $488,358 or -0.2%, for the period.

For the nine months ended September 30, 2010 the Fund’s net asset value increased by $78,992,107 or 36.3%. This increase was attributable to a $66,348,804 or 30.5% net increase in the Blended Strategies Portfolio and a $12,643,303 or 5.8% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $81,414,715 or 37.4% and net income of $2,937,612 or 1.4% partially offset by redemptions totaling $18,003,523 or -8.3%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $15,494,795 or 7.1% partially offset by redemptions totaling $2,198,996 or -1.0% and a net loss of $652,496 or -0.3%, for the period.

(i)

Results of Operations

The Fund’s success depends primarily upon the Manager’s ability to recognize and capitalize on market trends in the different and varied sectors of the global financial markets in which it trades.

Index

Blended Strategies Portfolio

2011 Summary

Three Months Ended September 30, 2011

For the three months ended September 30, 2011, the Blended Strategies Portfolio experienced net trading gains of $1,265,419 attributable to the following sectors:

Agriculture	$	(9,041,984	)
Energy		(7,954,835	)
Foreign exchange		(18,456,489	)
Interest rates		48,768,020
Metals		28,358,328
Softs		(4,313,985	)
Stock index		(36,093,636	)
	$	1,265,419

The portfolio recognized the most significant trading gains in interest rates amidst increased safe haven demand during the period. Gains were recorded in metals as gold and silver reached record highs before falling off in the later part of the period. The portfolio recorded losses in stock indices as prices fell on a retreating appetite for risk among investors. Losses were recognized in foreign exchange trading as the U.S. dollar strengthened against most emerging market and commodity currencies in the middle of the period. Smaller losses were recorded in agriculture, softs and energy on dramatic price moves in corn and soybeans as well as plummeting prices in energy products.

Brokerage, Advisory and Sponsor Fees are calculated as a percentage of the Fund’s net asset value as of the end of each month and are affected by trading performance, interest income, subscriptions into and redemptions out of the Fund. Accordingly, the fluctuations in these amounts are directly correlated to the changes in net asset value which are discussed in detail herein.

For the three months ended September 30, 2011, Brokerage Fees increased by $500,563 or 34.6%, Advisory Fees increased by $465,372 or 37.5% and Sponsor Fees increased by $232,686 or 37.5% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $346,239 or -54.8%. Interest was earned on free cash at an average annualized yield of 0.42% for the three months ended September 30, 2011 compared to 0.60% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2011 there was no Incentive Allocation compared to $762,334 for the corresponding period in 2010 due to the portfolio’s lack of year to date profitability when compared to the corresponding period in 2010.

Index

Nine Months Ended September 30, 2011

For the nine months ended September 30, 2011, the Blended Strategies Portfolio experienced net trading losses of $6,917,017 attributable to the following sectors:

Agriculture	$	(1,455,644	)
Energy		(3,419,259	)
Foreign exchange		(6,525,053	)
Interest rates		10,343,249
Metals		6,514,409
Softs		(1,018,057	)
Stock index		(11,356,662	)
	$	(6,917,017	)

The portfolio recorded a net loss for the period in stock indices as gains in the early portion of the first quarter on the heels of improved investor confidence were offset in March when the earthquake and tsunami in Japan generated risk aversion. Market reversals generated significant losses particularly in European stock indices. Losses were also recognized in the second quarter as advances early in the quarter on encouraging earnings data and hopes of a global economic recovery were reversed causing prices to fall in a sharp reduction of risk across various markets. This pattern continued in the third quarter and the portfolio recorded losses as stock prices fell due to a retreating appetite for risk. Foreign exchange posted losses early in the period from trading in Asian currencies in March and later in the period as gains recognized when the U.S. dollar fell to multi-year lows against most major global currencies was offset as the risk aversion led to a stronger U.S. dollar versus most emerging markets and commodity currencies. The portfolio recorded a net loss for the period in energy as gains from the first quarter on rising oil prices amid increasing political tensions in the Middle East and Libya were overshadowed by losses in the second quarter as prices moved sharply downward in reaction to the announced release of strategic oil reserves in June. The portfolio generated gains in interest rates led by gains in the U.S. fixed income markets as prices climbed amid the diminishing appetite for risk assets and increased safe haven demand. Gains were recognized in metals as prices rose in the beginning of the second quarter and continued into the third quarter with gold and silver reaching record highs before falling off in the latter part of the third quarter. The portfolio also recognized small losses in agriculture and soft commodities.

For the nine months ended September 30, 2011, Brokerage Fees increased by $1,826,817 or 47.1%, Advisory Fees increased by $1,679,227 or 50.8% and Sponsor Fees increased by $839,615 or 50.8% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $797,307 or -45.6%. Interest was earned on free cash at an average annualized yield of 0.46% for the nine months ended September 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2011, the Incentive Allocation decreased by $730,620 when compared to the corresponding period of 2010 due to the portfolio’s lack of year to date profitability when compared to the corresponding period of 2010.

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of September 30, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	(35.9	%)
Energy	56.8	%
Foreign exchange	(16.9	%)
Interest rates	(73.6	%)
Metals	68.2	%
Softs	116.5	%
Stock index	(15.1	)%
	100.0	%

2010 Summary

Three Months Ended September 30, 2010

For the three months ended September 30, 2010, the Blended Strategies Portfolio experienced net trading gains of $7,715,839 attributable to the following sectors:

Agriculture	$	(551,207	)
Energy		(197,988	)
Foreign exchange		2,701,778
Interest rates		5,452,796
Metals		2,618,043
Softs		616,722
Stock index		(2,924,305	)
	$	7,715,839

The U.S. dollar’s continued depreciation on the back of growing expectations for quantitative easing and the appreciation of commodity currencies especially those with ties to gold, notably Australian dollar, Canadian dollar and South African rand, contributed to significant gains in foreign currency trading. The expectation of quantitative easing and the Federal Reserve’s anticipated, and later in the quarter confirmed, accommodative monetary policy stance led to gains in short term interest rate trading. Gains were also recognized in European interest rates as a weakened global growth outlook drove investors to flock to the safety of government securities during the quarter lowering yields which benefitted the portfolio. The portfolio was able to benefit from the rise in prices in global metals driven by both economic growth concerns, especially in gold which crept closer to its all time high prices, as well as in base metals where a favorable outlook in industrial activity and increased demand from China led to gains. Trading results in commodities were mixed throughout the quarter as trends coming into the quarter reversed in the early part of the quarter as projections for harvests in some of the staple crops turned below initial expectations and prices were additionally affected by economic growth sentiment while other markets continued to follow trends leading to overall gains in softs and losses in agriculture. Trading in energy was mixed as gains in calendar spread positions in crude oil and heating oil generated profits which were offset by losses on outright positions, most notably natural gas as the energy markets exhibited volatile price swings throughout the period. Trading in stock indices generated losses during the period as the markets exhibited significant volatility predominantly in U.S. and European markets with a sharp rally in July followed by a sell off in August on the back of economic growth concerns reversing again in September, as an appetite for risk reappeared.

100

Index

For the three months ended September 30, 2010, Brokerage Fees increased by $398,138 or 38.0%, Advisory Fees increased by $344,820 or 38.5% and Sponsor Fees increased by $172,410 or 38.5% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period partially offset by redemptions. During the same period interest income increased by $287,096 or 83.2% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the three months ended September 30, 2010 compared to 0.62% for the same period in 2009.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2010, the Incentive Allocation decreased by $79,178, or -9.4%, when compared to the same period of 2009. This was the result of a lower net gain before incentive allocation for the three months ended September 30, 2010 when compared to 2009. In addition, the portfolio had a loss carryforward at the beginning of the quarter in 2010, which further contributed to the decrease in incentive allocation over the same period in 2009.

Nine Months Ended September 30, 2010

For the nine months ended September 30, 2010, the Blended Strategies Portfolio experienced net trading gains of $10,829,799 attributable to the following sectors:

Agriculture	$	(700,485	)
Energy		(2,979,619	)
Foreign exchange		6,611,730
Interest rates		14,895,930
Metals		997,110
Softs		(757,694	)
Stock index		(7,237,173	)
	$	10,829,799

The portfolio experienced overall gains this year as economic concerns ebbed and flowed creating significant volatility in most markets. Consistent gains were posted in interest rates as beginning of the year concerns about Greece and the European Union as well as the efforts of the U.S. Federal Reserve to be accommodative and stimulate growth, led to a general trend towards flatter yield curves throughout the year in the U.S. and Europe. The portfolio was able to generate gains in foreign currency during high volatility as early year concerns about Greece, Portugal, Ireland and Spain led to declines in the Euro versus the U.S. dollar in the early part of the year only to reverse more recently as the Federal Reserve’s continued efforts to stimulate growth coupled with a more stable outlook for Europe has driven a devaluation of the dollar versus the Euro and Japanese yen. The portfolio was able to generate gains in trading in many of the major commodity currencies such as Australian dollar and Canadian dollar as these strengthened against the U.S. dollar on the heels of the increase in value of gold throughout the year. Trading in commodities generated mixed results for the year, as many commodities alternated between trading highly correlated to the U.S. dollar to trading on fundamental news creating several instances of abrupt price reversals throughout the year leading to overall losses with one standout being gains in gold which crept towards all time price highs in the third quarter. Trading in energy generated losses as dramatic price movements predominantly in the second quarter moved against the portfolio’s positions notably in crude and natural gas as the uneasiness in the markets about the global growth potential, exacerbated by the May “flash crash” in U.S. stock markets, triggered a flight to quality and adverse price moves for the portfolio. Losses in energies were partially offset by gains in calendar spread positions in crude oil and heating oil. Trading in stock indices generated losses during the year as the gyrations in economic sentiment resulted in, at times, abrupt volatility in the major European and U.S. stock markets highlighted by the May “flash crash”.

101

Index

For the nine months ended September 30, 2010, Brokerage Fees increased by $997,718 or 34.6%, Advisory Fees increased by $806,821 or 32.3% and Sponsor Fees increased by $403,410 or 32.3% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period, partially offset by redemptions. During the same period interest income increased by $892,615 or 104.4% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the nine months ended September 30, 2010 compared to 0.60% for the same period in 2009.

For the nine months ended September 30, 2010, the Incentive Allocation decreased by $94,344 or -11.0%, in the portfolio over the corresponding period of the preceding year due to lower net gain before incentive allocation partially offset by an increase in interest income.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of September 30, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	7.6	%
Energy	11.7	%
Foreign exchange	81.9	%
Interest rates	47.3	%
Metals	(48.7	%)
Softs	1.8	%
Stock index	(1.6	%)
	100.0	%

Systematic Strategies Portfolio

2011 Summary

Three Months Ended September 30, 2011

For the three months ended September 30, 2011, the Systematic Strategies Portfolio experienced net trading losses of $3,294,560 attributable to the following sectors:

Agriculture	$	(352,974	)
Energy		(651,639	)
Foreign exchange		(1,982,099	)
Interest rates		2,017,773
Metals		1,131,082
Softs		(263,707	)
Stock index		(3,192,996	)
	$	(3,294,560	)

102

Index

The portfolio recognized significant losses in stock indices as the magnitude of declines in global stock indexes in reaction to the S&P downgrade of the U.S. debt heightened concern both in U.S. and European markets. Losses were recorded in foreign exchange as early gains were erased mid quarter when entrenched, long-term market trends reversed and investors sold commodity currencies aggressively in favor of the U.S. dollar. While positions in the Swiss franc provided some safe haven for the portfolio in the early part of the period, those gains were reversed amid speculation the Swiss National Bank would and later did seek to limit the strength of the currency relative to the euro. Losses were recognized in energy, agriculture, and softs as the lack of sustained direction in these markets provided a difficult trading environment for the portfolio. The portfolio posted gains in U.S. and European interest rate trading as prices rallied when investors sought safe haven investments as well as price appreciation on the heels of the U.S. Federal Reserve’s “operation twist”. Gains were recognized in metals as gold and silver reached new highs by the middle of the quarter. A portion of these gains were reversed later in the period as prices retreated, but the portfolio still posted an overall gain.

For the three months ended September 30, 2011, Brokerage Fees increased by $131,505 or 45.2%, Advisory Fees increased by $96,822 or 47.3% and Sponsor Fees increased by $48,411 or 47.3% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions, partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $49,563 or -47.8%. Interest was earned on free cash at an average annualized yield of 0.42% for the three months ended September 30, 2011 compared to 0.60% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended September 30, 2011 and 2010 there was no Incentive Allocation due to the portfolios lack of profitability.

Nine Months Ended September 30, 2011

For the nine months ended September 30, 2011, the Systematic Strategies Portfolio experienced net trading losses of $6,374,148 attributable to the following sectors:

Agriculture	$	(683,373	)
Energy		(1,271,682	)
Foreign exchange		(2,643,544	)
Interest rates		2,030,777
Metals		1,238,774
Softs		(351,655	)
Stock index		(4,693,445	)
	$	(6,374,148	)

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Stock indices generated overall losses for the period despite recognizing gains early in the year amid rising equity prices driven by improved global economic output and improved investor optimism. Significant losses, notably in European indices, were recognized in March as the earthquake and tsunami in Japan generated dramatic market reversals. Stock indices also generated losses as advances early in the second quarter on encouraging earnings data fueled hope of a global economic recovery were reversed causing prices to fall in a sharp reduction of risk across various markets. The portfolio recognized significant losses in the third quarter as the magnitude of declines in global stock indices in reaction to the S&P downgrade of the U.S. debt heightened concern both in the U.S. and European markets. Foreign exchange generated losses during the period as the U.S. dollar abruptly reversed its declining trend early in the first quarter and strengthened following the release of favorable employment data. The losses were slightly offset as trading for the remainder of the quarter generated modest gains notably in commodity currencies such as the Canadian and Australian dollars. Gains were recognized in foreign exchange in the second quarter despite significant volatility during the quarter as the U.S. dollar fell then rose sharply against European and commodity currencies as the oscillating outlook for the eurozone debt crisis and conflicting economic reports drove the markets. Losses were recorded in the third quarter as early gains were erased mid quarter when entrenched, long-term market trends reversed and investors sold commodity currencies aggressively in favor of the U.S. dollar. While positions in the Swiss franc provided some safe haven for the portfolio in the early part of the period, gains were reversed amid speculation the Swiss National Bank would and later did seek to limit the strength of the currency relative to the euro. The portfolio was able to generate profits in energy in the first quarter notably in crude and heating oil as continued tensions in the Middle East drove energy price higher. These profits were offset by larger losses generated in the second quarter as prices moved sharply downward in reaction to the announced release of strategic oil reserves in June. Losses were recognized in the third quarter as well as the lack of sustained direction in the energy sector provided a difficult trading environment for the portfolio. Losses were also recognized in the agriculture and softs sectors during the period. The portfolio was able to post gains in the metals sector benefiting from the rising price of silver which rose amid steep demand on tight supply levels during the first quarter. These gains were mitigated by losses in the second quarter as prices reversed, notably in gold, late in the quarter when investors unloaded safe haven assets in favor of risker ones. Gains were generated in the third quarter as gold and silver reached new highs by the middle of the quarter on investor concerns over sovereign debt and global economic growth. A portion of these gains were reversed later in the period as prices retreated but the portfolio posted an overall gain for the quarter. The portfolio was able to generate profits in the fixed income sector led by gains in the U.S. interest rates markets in the second quarter as prices climbed amid the diminishing appetite for risk assets in the beginning of the quarter offset by losses later in the quarter as the appetite for risk returned. The portfolio was able to post some gains in the European fixed income markets despite the sharp market reversals at the end of the quarter. The portfolio also posted gains in the third quarter in the U.S. and European interest rates sectors as prices rallied when investors sought safe haven investments and price appreciation on the heels of the U.S. Federal Reserve’s “operation twist”.

For the nine months ended September 30, 2011, Brokerage Fees increased by $466,456 or 60.4%, Advisory Fees increased by $338,319 or 61.6% and Sponsor Fees increased by $169,159 or 61.6% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions, partially offset by redemptions and a net loss for the period. During the same period interest income decreased by $111,308 or -39.1%. Interest was earned on free cash at an average annualized yield of 0.46% for the nine months ended September 30, 2011 compared to 0.61% for the same period in 2010.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the nine months ended September 30, 2011 Incentive Allocation increased by $11,821, compared to zero, for the corresponding period of 2010 related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

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The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of September 30, 2011 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	55.3	%
Energy	125.9	%
Foreign exchange	(86.1	%)
Interest rates	(210.1	%)
Metals	259.3	%
Softs	6.3	%
Stock index	(50.6	%)
	100.0	%

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2010 Summary

Three Months Ended September 30, 2010

For the three months ended September 30, 2010, the Systematic Strategies Portfolio experienced net trading gains of $1,486,594 attributable to the following sectors:

Agriculture	$	(44,736	)
Energy		(164,282	)
Foreign exchange		704,551
Interest rates		1,001,399
Metals		605,029
Softs		186,340
Stock index		(801,707	)
	$	1,486,594

The U.S. dollar’s continued depreciation on the back of growing expectations for quantitative easing contributed to significant gains in foreign currency trading. The expectation of quantitative easing coupled with a weakened global growth outlook, which drove investors toward the safety of government securities during the quarter, also generated gains in interest rate trading. The portfolio was able to benefit from the rise in prices in global metals driven by both economic growth concerns especially in gold which crept closer to its all time high prices as well as in base metals where a favorable outlook in industrial activity and increased demand from China led to gains. Trading results in commodities were mixed throughout the quarter as trends coming into the quarter reversed in the early part of the quarter as projections for harvests in some of the staple crops turned below initial expectations and prices were additionally affected by economic growth sentiment while other markets continued to follow trends leading to overall gains in softs and losses in agriculture and energies. Trading in stock indices generated losses during the period as the markets exhibited significant volatility predominantly in U.S. and European markets with a sharp rally in July followed by a sell off in August on the back of economic growth concerns reversing again in September, as an appetite for risk reappeared.

For the three months ended September 30, 2010, Brokerage Fees increased by $201,423 or 224.2%, Advisory Fees increased by $150,743 or 278.6% and Sponsor Fees increased by $75,372 or 278.6% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period, partially offset by redemptions. During the same period interest income increased by $84,694 or 445.1% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the three months ended September 30, 2010 compared to 0.62% for the same period in 2009.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio for the period. For the three months ended September 30, 2010 there was no Incentive Allocation earned despite the portfolio’s profitability, due to the loss carryforward at the beginning of the quarter.

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Nine Months Ended September 30, 2010

For the nine months ended September 30, 2010, the Systematic Strategies Portfolio experienced net trading gains of $664,007 attributable to the following sectors:

Agriculture	$	(89,841	)
Energy		(647,672	)
Foreign exchange		421,668
Interest rates		2,476,875
Metals		181,743
Softs		(192,407	)
Stock index		(1,486,359	)
	$	664,007

The portfolio experienced overall gains this year as economic concerns ebbed and flowed creating significant volatility in most markets. Consistent gains were posted in interest rates as beginning of the year concerns about Greece and the European Union as well as the efforts of the U.S. Federal Reserve to be accommodative and stimulate growth, led to general trend in lower yields throughout the year in both the U.S. and Europe. The portfolio was able to generate gains in foreign currency during high volatility as early year concerns about Greece, Portugal, Ireland and Spain led to declines in the Euro against the U.S. dollar early in the year. This trend later reversed as the Federal Reserve’s continued efforts to stimulate growth, coupled with a more stable outlook for Europe, has driven a devaluation of the U.S. dollar versus the Euro and Japanese yen as well as several other more commodity linked currencies such as the Australian dollar. Trading in commodities generated mixed results for the year as many commodities alternated between trading highly correlated to the U.S. dollar and trading on fundamental news creating several instances of abrupt price reversals throughout the year leading to overall losses, with one exception being gold which crept towards all time price highs in the third quarter. Trading in energy generated losses as dramatic price movements predominantly in the second quarter moved against the portfolio positions notably in crude and natural gas as the uneasiness in the markets about the global growth potential exacerbated by the May “flash crash” in U.S. stock markets triggered a flight to quality and adverse price moves for the portfolio. Trading in stock indices generated losses during the year as the gyrations in economic sentiment resulted in, at times, abrupt volatility in the major European and U.S. stock markets highlighted by the May “flash crash”.

For the nine months ended September 30, 2010, Brokerage Fees increased by $633,251 or 454.4%, Advisory Fees increased by $464,267 or 549.1% and Sponsor Fees increased by $232,133 or 549.1% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and a net gain for the period, partially offset by redemptions. During the same period interest income increased by $259,787 or 1,033.3% predominantly due to the increase in net assets discussed above. Interest was earned on free cash at an average annualized yield of 0.61% for the nine months ended September 30, 2010 compared to 0.60% for the same period in 2009.

For the nine months ended September 30, 2010, there was no incentive allocation due to the portfolio’s lack of year to date profitability.

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The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of September 30, 2010 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture	4.0	%
Energy	7.5	%
Foreign exchange	43.5	%
Interest rates	21.4	%
Metals	25.1	%
Softs	0.8	%
Stock index	(2.3	%)
	100.0	%

Variables Affecting Performance

The Fund’s performance is affected by net profitability resulting from the trading operations of the Master Funds, the fees charged by the Fund, and interest income earned on cash and cash equivalents. The Master Funds acquire and liquidate long and short positions in futures contracts, forwards contracts, spot currency contracts and associated derivative instruments such as options and swaps. These instruments are carried at fair value, which is heavily influenced by a wide variety of factors including but not limited to, the level and volatility of exchange rates, interest rates, equity prices, and commodity prices as well as global macro political events. These factors generate market movements affecting the fair value of these instruments and in turn the net gains and losses allocated from the Master Funds.

Brokerage, Advisory and Sponsor Fees are calculated based on a percentage of the Fund’s net asset value. Changes in the net assets of the Fund resulting from subscriptions, redemptions, interest and trading profits allocated from the Master Funds can therefore have a material impact on the fee expense of the Fund.

A portion of the assets of the Fund is held in cash and cash equivalents. Changes in the net assets of the Fund as well as changes in the interest rates earned on these investments can have a material impact on interest income earned.

(ii)

Liquidity

A portion of the Fund’s assets is generally held as cash or cash equivalents, which are used to margin the Fund’s investments. It is expected that the average margin the Fund will be required to post to support the Fund’s trading may range between 10% and 30% of the Fund’s total assets, which will be segregated or secured by the futures brokers in accordance with the CEA and with CFTC regulations or be maintained on deposit with over-the-counter counterparties. In exceptional market conditions, this amount could increase. The Master Funds are subject to margin calls on a constant daily and intra-day basis, whether in connection with initiating new investment positions or as a result of changes in the value of current investment positions. These margin requirements are met through the posting of additional margin with the applicable futures or OTC clearing broker. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements plus the net option premium costs for the underlying strategies as a percentage of net assets. The following table shows these amounts as of the date indicated:

	Blended Strategies Portfolio	Systematic Strategies Portfolio
September 30, 2011	14.98%	9.42%
December 31, 2010	7.57%	7.73%
September 30, 2010	11.53%	13.70%

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Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through September 30, 2011, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii)

Capital Resources

The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.

The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.

(iv)

Critical Accounting Policies

Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

Fair Value Measurement - The Fund follows U.S. GAAP for fair value measurements, which defines fair value, establishes a framework for measuring fair value and requires certain disclosures about fair value measurements. U.S. GAAP uses a three-level hierarchy for fair value measurement based on the transparency and independence of inputs used in the valuation of an asset or liability as of the measurement date. The Fund reports the fair value of its investment-related assets and liabilities in accordance with the hierarchy established under U.S. GAAP.

The Fund records its investments in the GAIT Funds at fair value in accordance with U.S. GAAP. In determining its net asset value, each GAIT Fund records its investments in Master Funds at fair value in accordance with U.S. GAAP. The Fund records its proportionate share of the GAIT Funds’ investment income and loss, expenses, fees, and realized and unrealized gains and losses on a monthly basis. Purchases and sales of units in the GAIT Funds are recorded on a trade date basis. The accounting policies of the GAIT Funds are described in their attached respective financial statements.

The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

Cash Assets - The GAIT Funds invest a portion of their excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of the GAIT Funds.

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Statement of Operations - As discussed under Item 1, the Fund offers Class 0 and Class 2 units of the Blended Strategies Portfolio and the Systematic Strategies Portfolio. Class 0 and Class 2 units within each portfolio differ only with respect to their fees. The Blended Strategies and Systematic Strategies Portfolios differ with respect to the underlying funds in which they invest. All items of gain, loss, income and expense of the Fund are specifically and directly allocated to each portfolio from the underlying Master Funds. The Fund presents a combined statement of operations which encompasses the amounts applicable to the Blended and Systematic Strategies Portfolios.

Income Taxes - No provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.

(v)

Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.

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Item 3. Quantitative and Qualitative Disclosures about Market Risk

Not Required.

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Item 4. Controls and Procedures

The Advisor’s Chief Executive Officer and Chief Financial Officer have evaluated the effectiveness of the design and operation of the Fund’s disclosure controls and procedures, as defined in Rules 13a-15(e) and 15d-15(e) of the Securities Exchange Act of 1934, as of September 30, 2011. Based on that evaluation, the Advisor’s Chief Executive Officer and Chief Financial Officer concluded that the Fund’s disclosure controls and procedures were effective as of September 30, 2011.

There were no changes to the Fund’s internal controls over financial reporting during the third quarter of 2011 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None

Item 1A. Risk Factors

Not Required

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

For the three months ended September 30, 2011, the Fund issued 98,829.107 Units in exchange for $12,693,000 with respect to the Blended Strategies Portfolio and 39,627.068 Units in exchange for $3,706,295 with respect to the Systematic Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Act and Section 506 of Regulation D promulgated thereunder.

The following chart sets forth the purchases of Units of the Fund.

	Blended Strategies Portfolio Total Number of Units Purchased	Systematic Strategies Portfolio Total Number of Units Purchased
Period (as of)
July 1, 2011	63,647.374	18,352.341
August 1, 2011	17,875.999	12,270.952
September 1, 2011	17,305.734	9,003.775

Item 3. Defaults Upon Senior Securities – None

Item 4. [Removed and Reserved]

Item 5. Other Information – None

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Item 6. Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
* 4.1	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC
* 10.1	Form of Subscription Agreement
* 10.2	Form of Placement Agreement

* Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010

The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference

31.1	—	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Executive Officer)

31.2	—	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)

32.1	—	Section 1350 Certification (Certification of Chief Executive Officer and Chief Financial Officer)

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Dated: November 14, 2011	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

	By:	GRAHAM CAPITAL MANAGEMENT, L.P.
		its Manager


		By:	/s/Paul Sedlack
			Paul Sedlack, Chief Executive Officer


		By:	/s/ Jeff Baisley
			Jeff Baisley, Chief Financial Officer

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Graham Alternative Investment Fund I 10-Q2011 Q3 Quarterly report

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