Graham Alternative Investment Fund I 10Q 2012 Q1 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 the

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2012

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 April 1, 2012, 537,399.883 Units of the Systematic Strategies Portfolio were outstanding.

As of April 1, 2012, 2,096,621.671 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 March 31, 2012 (unaudited) and December 31, 2011 (audited)	1

		Statements of Operations for the three months ended March 31, 2012 and 2011 (unaudited)	2

		Statements of Changes in Members’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)	3

		Statements of Cash Flows for the three months ended March 31, 2012 and 2011 (unaudited)	5

		Notes to Unaudited Financial Statements	6

		Graham Alternative Investment Trading LLC

		Statements of Financial Condition at March 31, 2012 (unaudited) and December 31, 2011 (audited)	14

		Condensed Schedules of Investments at March 31, 2012 (unaudited) and December 31, 2011 (audited)	15

		Statements of Operations and Managing Member Allocation for the three months ended March 31, 2012 and 2011 (unaudited)	16

		Statements of Changes in Members’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)	17

		Statements of Cash Flows for the three months ended March 31, 2012 and 2011 (unaudited)	18

		Notes to Unaudited Financial Statements	19

		Graham Alternative Investment Trading II LLC

		Statements of Financial Condition at March 31, 2012 (unaudited) and December 31, 2011 (audited)	59

		Statements of Operations and Managing Member Allocation for the three months ended March 31, 2012 and 2011 (unaudited)	60

		Statements of Changes in Members’ Capital for the three months ended March 31, 2012 and 2011 (unaudited)	61

		Statements of Cash Flows for the three months ended March 31, 2012 and 2011 (unaudited)	62

		Notes to Unaudited Financial Statements	63

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	85

	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	93

	Item 4.	Controls and Procedures	94

PART II - Other Information			95

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

	March 31, 2012 (Unaudited)		December 31, 2011 (Audited)

Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	253,760,802	$	263,929,118
Investment in Graham Alternative Investment Trading II LLC, at fair value		43,124,202		45,955,612
Redemption receivable from Graham Alternative Investment Trading LLC		8,213,278		8,563,194
Redemption receivable from Graham Alternative Investment Trading II LLC		1,532,147		2,164,043
Total assets	$	306,630,429	$	320,611,967

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	9,745,425	$	10,727,237
Total liabilities		9,745,425		10,727,237

Members’ capital:
Blended Strategies Portfolio:
Class 0 Units (1,721,451.912 and 1,814,039.586 units issued and outstanding at $126.14 and $123.17, respectively)		217,141,355		223,427,719
Class 2 Units (363,821.958 and 410,047.431 units issued and outstanding at $100.65 and $98.77, respectively)		36,619,447		40,501,399
Total Blended Strategies Portfolio		253,760,802		263,929,118

Systematic Strategies Portfolio:
Class 0 Units (302,943.443 and 322,756.427 units issued and outstanding at $82.32 and $81.35, respectively)		24,937,817		26,254,798
Class 2 Units (233,849.043 and 255,073.907 units issued and outstanding at $77.77 and $77.24, respectively)		18,186,385		19,700,814
Total Systematic Strategies Portfolio		43,124,202		45,955,612
Total members’ capital		296,885,004		309,884,730
Total liabilities and members’ capital	$	306,630,429	$	320,611,967

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Operations

	Three Months Ended March 31,
	2012 (Unaudited)			2011 (Unaudited)
Net gain (loss) allocated from investments in other funds:
Net realized gain on investments	$	14,524,317		$	1,048,228
Net decrease in unrealized appreciation on investments		(3,944,968	)		(2,252,677	)
Net gain (loss) allocated from investments in other funds		10,579,349			(1,204,449	)

Net investment loss allocated from investment in other funds:
Investment income:
Interest income		161,855			388,729

Expenses:
Brokerage fees		1,840,110			2,224,876
Advisory fees		1,548,070			1,873,379
Sponsor fees		774,035			936,689
Incentive allocation		-			10,820
Interest and other		29,961			8,810
Total expenses		4,192,176			5,054,574
Net investment loss allocated from investments in other funds		(4,030,321	)		(4,665,845	)

Net income (loss)	$	6,549,028		$	(5,870,294	)

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2012 (unaudited) and 2011 (unaudited)

	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		300,033.166			41,996,602			28,498.156			3,258,099			45,254,701
Redemptions		(21,483.240	)		(2,991,431	)		(18,902.447	)		(2,137,398	)		(5,128,829	)
Net loss		–			(3,353,522	)		–			(771,478	)		(4,125,000	)
Members’ capital, March 31, 2011		2,030,986.163		$	279,163,401			418,725.533		$	46,860,791		$	326,024,192

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

Members’ capital, December 31, 2011		1,814,039.586		$	223,427,719			410,047.431		$	40,501,399		$	263,929,118
Subscriptions		7,911.977			980,000			6,612.488			656,540			1,636,540
Redemptions		(100,499.651	)		(12,617,330	)		(52,837.961	)		(5,277,179	)		(17,894,509	)
Net income		–			5,350,966			–			738,687			6,089,653
Members’ capital, March 31, 2012		1,721,451.912		$	217,141,355			363,821.958		$	36,619,447		$	253,760,802

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Changes in Members’ Capital (continued)

For the three months ended March 31, 2012 (unaudited) and 2011 (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, 2010		274,960.438		$	28,297,652			202,003.861		$	20,144,497		$	48,442,149		$	338,465,469
Subscriptions		72,055.126			7,425,002			35,664.159			3,561,663			10,986,665			56,241,366
Redemptions		(8,554.560	)		(873,244	)		(5,877.755	)		(574,518	)		(1,447,762	)		(6,576,591	)
Net loss		–			(977,250	)		–			(768,044	)		(1,745,294	)		(5,870,294	)
Members’ capital, March 31, 2011		338,461.004		$	33,872,160			231,790.265		$	22,363,598		$	56,235,758		$	382,259,950

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

Members’ capital, December 31, 2011		322,756.427		$	26,254,798			255,073.907		$	19,700,814		$	45,955,612		$	309,884,730
Subscriptions		2,177.678			178,000			–			–			178,000			1,814,540
Redemptions		(21,990.662	)		(1,821,776	)		(21,224.864	)		(1,647,009	)		(3,468,785	)		(21,363,294	)
Net income		–			326,795			–			132,580			459,375			6,549,028
Members’ capital, March 31, 2012		302,943.443		$	24,937,817			233,849.043		$	18,186,385		$	43,124,202		$	296,885,004

See accompanying notes.

Index

Graham Alternative Investment Fund I LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2012 (Unaudited)			2011 (Unaudited)
Cash flows provided by (used in) operating activities
Net income (loss)	$	6,549,028		$	(5,870,294	)
Adjustments to reconcile net income (loss) to net cash used in operating activities:
Net (income) loss allocated from investment in Graham Alternative Investment Trading LLC		(6,089,653	)		4,125,000
Net (income) loss allocated from investment in Graham Alternative Investment Trading II LLC		(459,375	)		1,745,294
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		17,544,593			5,128,829
Proceeds from sale of investments in Graham Alternative Investment Trading II LLC		2,836,889			1,447,762
Investments in Graham Alternative Investment Trading LLC		(1,636,540	)		(46,310,565	)
Investments in Graham Alternative Investment Trading II LLC		(178,000	)		(11,435,697	)
Net cash provided by (used in) operating activities		18,566,942			(51,169,671	)

Cash flows (used in) provided by financing activities
Subscriptions		1,814,540			56,241,366
Redemptions		(20,381,482	)		(5,071,695	)
Net cash (used in) provided by financing activities		(18,566,942	)		51,169,671

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

March 31, 2012

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 Exchange (“Eurex”), , the Hong Kong Exchanges and Clearing Ltd. (“HKEX”), the Intercontinental Exchange (“ICE”), the London Metal Exchange (“LME”), the Montreal Exchange (“ME”), the Mercado de Futuros Financieros (“MEFF”), the NYMEX Euronext (“Euronext”), the Osaka Securities Exchange (“OSE”), the Singapore Exchange (“SGX”), the South African Exchange (“SAFEX”), the Sydney Futures Exchange Ltd. (“SFE”), the Tokyo Commodity Exchange (“TOCOM”), the Tokyo Financial Exchange (“TFX”), 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.

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 based upon the Fund’s proportionate share of the GAIT Funds’ reported net asset 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 March 31, 2012 and December 31, 2011, the Fund owned 62.54% and 63.27%, respectively of GAIT, and 66.67% and 66.27%, 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 activeness of the market and 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 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 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 three months ended March 31, 2012 or the year ended December 31, 2011 by the Fund, the GAIT Funds, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Indemnifications

In the normal course of business, the Master Funds, the GAIT Funds, Graham Cash Assets LLC (“GCA”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts include those by GCA and the Master Funds with their 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.

Reclassifications

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

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)

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.

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.

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 $3,885 and $524 were paid to the Manager for the three months ended March 31, 2012 and 2011, respectively, and are included as redemptions in the statements of changes in members’ capital.

4. Fees and Related Party Transactions

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 and Related Party Transactions (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. Additionally, any loss carryforward attributable to any class of the GAIT Funds shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

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 they invest, 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. As a result, there is no impact to the Fund’s statement of operations.

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.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

5. Income Taxes (continued)

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. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended March 31, 2012 and 2011:

	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, 2010	$	138.96		$	113.68		$	102.92		$	99.72
Net loss:
Net investment loss		(1.27	)		(1.57	)		(1.05	)		(1.50	)
Net loss on investments		(0.24	)		(0.20	)		(1.79	)		(1.74	)
Net loss		(1.51	)		(1.77	)		(2.84	)		(3.24	)
Net asset value per unit, March 31, 2011	$	137.45		$	111.91		$	100.08		$	96.48


Net asset value per unit, December 31, 2011	$	123.17		$	98.77		$	81.35		$	77.24
Net gain:
Net investment loss		(1.20	)		(1.48	)		(0.92	)		(1.27	)
Net gain on investments		4.17			3.36			1.89			1.80
Net gain		2.97			1.88			0.97			0.53
Net asset value per unit, March 31, 2012	$	126.14		$	100.65		$	82.32		$	77.77

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital and total return for the three month periods ended March 31, 2012 and 2011 for the Blended Strategies Portfolio:

	Blended Strategies Portfolio
	Class 0						Class 2
	2012			2011			2012			2011

Total return before Incentive Allocation		2.41	%		(1.08	)%		1.90	%		(1.55	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Total return after Incentive Allocation		2.41	%		(1.09	)%		1.90	%		(1.56	)%

Net investment loss before Incentive Allocation		(0.97	)%		(0.90	)%		(1.50	)%		(1.38	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Net investment loss after Incentive Allocation		(0.97	)%		(0.91	)%		(1.50	)%		(1.39	)%

Total expenses before Incentive Allocation		1.27	%		1.00	%		1.79	%		1.51	%
Incentive Allocation		0.00			0.01			0.00			0.01
Total expenses after Incentive Allocation		1.27	%*		1.01	%*		1.79	%*		1.52	%*

*The percentages noted above represent total expenses before commission reimbursements, which represent 0.27% and 0.27% of average members’ capital for the periods then ended.

The following represents ratios to average members’ capital and total return for the three month periods ended March 31, 2012 and 2011 for the Systematic Strategies Portfolio:

	Systematic Strategies Portfolio
	Class 0						Class 2
	2012			2011			2012			2011

Total return before Incentive Allocation		1.19	%		(2.75	)%		0.69	%		(3.24	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Total return after Incentive Allocation		1.19	%		(2.76	)%		0.69	%		(3.25	)%

Net investment loss before Incentive Allocation		(1.13	)%		(1.03	)%		(1.64	)%		(1.52	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Net investment loss after Incentive Allocation		(1.13	)%		(1.04	)%		(1.64	)%		(1.53	)%

Total expenses before Incentive Allocation		1.27	%		1.12	%		1.78	%		1.64	%
Incentive Allocation		0.00			0.01			0.00			0.01
Total expenses after Incentive Allocation		1.27	%*		1.13	%*		1.78	%*		1.65	%*

*The percentages noted above represent total expenses before commission reimbursements, which represent 0.11% and 0.17% of average members’ capital for the periods then ended.

Index

Graham Alternative Investment Fund I LLC

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

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 adjusted for subscriptions or redemptions during the year. 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 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 month periods ended March 31, 2012 and 2011.

7. Subsequent Events

The Fund had subscriptions of approximately $3.1 million and redemptions of approximately $3.5 million through May 15, 2012, the date through which subsequent events were evaluated by management.

Index

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2012 (Unaudited)		December 31, 2011 (Audited)
Assets
Investments in Master Funds, at fair value	$	95,690,841	$	87,903,988
Investment in Graham Cash Assets LLC, at fair value		322,303,024		344,807,748
Accrued commission reimbursements		339,598		331,720
Receivable from Master Funds		703		18,287
Total assets	$	418,334,166	$	433,061,743

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	10,653,119	$	13,947,652
Accrued brokerage fees		816,821		852,551
Accrued advisory fees		707,121		734,211
Accrued sponsor fees		353,561		367,106
Payable to Master Funds		51,544		2,155
Total liabilities		12,582,166		15,903,675

Members’ capital:
Class 0 Units (2,707,742.970 and 2,827,795.124 units issued and outstanding at $126.14 and $123.17 per unit, respectively)		341,550,641		348,287,779
Class 2 Units (629,383.351 and 688,937.679 units issued and outstanding at $100.65 and $98.77 per unit, respectively)		63,348,745		68,048,075
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $182.15 and $176.01 per unit, respectively)		852,614		822,214
Total members’ capital		405,752,000		417,158,068
Total liabilities and members’ capital	$	418,334,166	$	433,061,743

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2012 (Unaudited)			December 31, 2011 (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	$	26,573,761	6.55%	$	19,823,897	4.75%
Graham Energy Focus LLC		-	0.00%		4,391,910	1.05%
Graham Fed Policy Ltd.		6,328,463	1.56%		5,956,632	1.43%
Graham Global Monetary Policy LLC		13,182,874	3.25%		10,693,175	2.56%
Graham K4D Trading Ltd.		44,755,206	11.03%		45,101,309	10.82%
Graham Macro Directional LLC		4,850,537	1.19%		1,937,065	0.46%
Total investments in Master Funds	$	95,690,841	23.58%	$	87,903,988	21.07%

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended March 31,
	2012			2011
Net gain (loss) allocated from investments in Master Funds:
Net realized gain on investments	$	20,614,297		$	3,418,594
Net decrease in unrealized appreciation on investments		(5,597,814	)		(3,764,589	)
Brokerage commissions and fees		(1,091,330	)		(1,250,077	)
Net gain (loss) allocated from investments in Master Funds		13,925,153			(1,596,072	)

Net investment loss allocated from investments in Master Funds		(35,948	)		(17,371	)

Investment income:
Interest income		217,632			515,146

Expenses:
Brokerage fees		2,423,310			2,801,106
Advisory fees		2,089,945			2,420,953
Sponsor fees		1,044,972			1,210,476
Interest and other		3,320			4,557
Commission reimbursements		(1,091,329	)		(1,250,077	)
Total expenses		4,470,218			5,187,015
Net investment loss of the Fund		(4,252,586	)		(4,671,869	)

Net income (loss)		9,636,619			(6,285,312	)

Incentive allocation		-			(10,086	)

Net income (loss) available for pro-rata allocation to all members	$	9,636,619		$	(6,295,398	)

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2012 (unaudited) and 2011 (unaudited)

	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		408,198.569			57,181,643			56,759.804			6,490,664			–		–			63,672,307
Redemptions		(27,904.505	)		(3,886,994	)		(23,537.152	)		(2,669,490	)		–		(10,086	)		(6,566,570	)
Incentive allocation		–			(6,683	)		–			(3,403	)		–		10,086			–
Net (loss) income		–			(5,054,183	)		–			(1,232,548	)		–		1,419			(6,285,312	)
Members’ capital, March 31, 2011		3,065,466.192		$	421,354,913			672,805.309		$	75,295,604			4,671.470	$	883,747		$	497,534,264


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

Members’ capital, December 31, 2011		2,827,795.124		$	348,287,779			688,937.679		$	68,048,075			4,671.470	$	822,214		$	417,158,068
Subscriptions		31,134.715			3,853,255			13,203.211			1,312,894			–		–			5,166,149
Redemptions		(151,186.869	)		(18,947,613	)		(72,757.539	)		(7,261,223	)		–		–			(26,208,836	)
Incentive allocation		–			–			–			–			–		–			–
Net income		–			8,357,220			–			1,248,999			–		30,400			9,636,619
Members’ capital, March 31, 2012		2,707,742.970		$	341,550,641			629,383.351		$	63,348,745			4,671.470	$	852,614		$	405,752,000

See accompanying notes.

Index

Graham Alternative Investment Trading LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2012 (Unaudited)			2011 (Unaudited)
Cash flows provided by (used in) operating activities
Net income (loss)	$	9,636,619		$	(6,285,312	)
Adjustments to reconcile net income (loss) to net cash used in operating activities:
Net (income) loss allocated from investment in Master Funds		(13,889,205	)		1,613,443
Net income allocated from investment in Graham Cash Assets LLC		(217,632	)		(515,146	)
Proceeds from sale of investments in Master Funds		188,533,634			191,380,309
Proceeds from sale of investments in Graham Cash Assets LLC		164,479,188			169,852,202
Investments in Master Funds		(182,364,309	)		(229,101,208	)
Investments in Graham Cash Assets LLC		(141,756,832	)		(182,082,182	)
Changes in assets and liabilities:
Accrued commission reimbursements		(7,878	)		(222,608	)
Accrued brokerage fees		(35,730	)		88,937
Accrued advisory fees		(27,090	)		83,358
Accrued sponsor fees		(13,545	)		41,679
Net cash provided by (used in) operating activities		24,337,220			(55,146,528	)

Cash flows (used in) provided by financing activities
Subscriptions		5,166,149			63,672,307
Redemptions		(29,503,369	)		(8,525,779	)
Net cash (used in) provided by financing activities		(24,337,220	)		55,146,528

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 Trading LLC

Notes to Unaudited Financial Statements

March 31, 2012

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 derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter.

Graham Alternative Investment Fund I LLC, Graham Alternative Investment Fund II LLC, and Graham Alternative Investment III Ltd. are the primary investors of GAIT.

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 Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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 activeness of the market and 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. The Master Funds record all of their derivative financial instruments at fair value, which is derived in accordance with U.S. GAAP. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2012 or the twelve months ended December 31, 2011 by GAIT, the Master Funds, or GCA, and there were no transfers between levels during those periods. Transfers between levels, if any, 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 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, 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.

Unrealized gains and losses from derivative financial 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 Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Forward Contracts

The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies 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. Changes in fair value of each forward contract are recognized as unrealized gains or losses.

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. 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 any 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 settle price of the underlying reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Funds record realized gains or losses when a swap contract is terminated. Interest is calculated and accrued throughout the life of each swap. Payments received at the end of each reset period are recorded against such accruals.

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 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 unrealized gains 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.

Recent Accounting Pronouncements

In December 2011, the FASB issued Accounting Standards Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities (“ASU No. 2011-11”). The amendments in ASU No. 2011-11 affect all entities that have financial instruments that are either offset or are subject to an enforceable master netting arrangement or similar agreement in accordance with authoritative guidance under U.S GAAP. Entities will be required to disclose both gross information and net information about instruments and transactions eligible for offset in the statement of financial position or subject to an agreement similar to a master netting arrangement to enable users of its financial statements to understand the effect of those arrangements on its financial position. The disclosure is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods.

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 by GCA and the Master Funds with their 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.

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2012 and December 31, 2011, 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 for the year 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.

March 31, 2012
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months then ended)

Systematic Macro
Graham K4D Trading Ltd.		11.03	%	$	44,755,206	$	5,591,898
Commodities
Graham Commodity Strategies LLC		6.55	%		26,573,761		9,902,476
Fixed Income (1)		1.56	%		6,328,463		(1,224,657	)
Global Macro (2)		4.44	%		18,033,411		(627,042	)
Energy Related (1)		0.00	%		–		246,530
		23.58	%	$	95,690,841	$	13,889,205

December 31, 2011
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 31, 2011)

Systematic Macro
Graham K4D Trading Ltd.		10.82	%	$	45,101,309	$	(6,490,761	)
Commodities (1)		4.75	%		19,823,897		5,458,310
Fixed Income (1)		1.43	%		5,956,632		2,080,246
Global Macro (3)		3.02	%		12,630,240		(1,411,189	)
Energy Related (2)		1.05	%		4,391,910		(1,250,049	)
		21.07	%	$	87,903,988	$	(1,613,443	)

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of March 31, 2012:

	Graham Commodity Strategies 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	$	234,945,813		$	52,868,350		$	98,702,448		$	299,238,181		$	34,891,682
Options, at fair value		-			2,079,822			-			-			-
Derivative financial instruments, at fair value		1,775,585			-			3,493,691			19,912,905			15,335
CME Membership, at fair value		2,336,980			-			-			337,000			-
Interest receivable		93,655			-			-			-			-
Subscriptions receivable		106,854			-			9,055			32,633			-
Total assets		239,258,887			54,948,172			102,205,194			319,520,719			34,907,017

Liabilities:
Options, at fair value		-			2,709,584			28,618			-			-
Derivative financial instruments, at fair value		29,325,092			6,100,655			3,842,900			11,797,898			-
Due to brokers		-			-			3,292			1,861,818			-
Redemptions payable		106,854			143			8,935			32,634			-
Total liabilities		29,431,946			8,810,382			3,883,745			13,692,350			-
Net assets	$	209,826,941		$	46,137,790		$	98,321,449		$	305,828,369		$	34,907,017

Percentage of Master Fund held by GAIT		12.66	%		13.72	%		13.41	%		14.63	%		13.90	%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2012.

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Long contracts
Futures
Brent Crude May 2012 – December 2012		5,279	$	(11,038,790	)		(5.26	)%
Gas Oil April 2012		3,056		(2,844,375	)		(1.36	)%
Heating Oil May 2012 – July 2012		2,630		(7,813,756	)		(3.72	)%
LME Aluminum June 2012		10,070		(20,518,909	)		(9.78	)%
Wheat May 2012 – December 2012		7,327		(11,039,113	)		(5.26	)%
Wheat September 2012 – December 2012		1,837		2,533,988			1.21	%
WTI Crude July 2012		17,292		(40,652,850	)		(19.38	)%
WTI Crude June 2014		4,000		14,778,030			7.04	%
Other WTI Crude December 2012 – March 2013		2,551		(3,549,640	)		(1.69	)%
Other WTI Crude September 2013 – December 2014		11,742		22,791,210			10.86	%
Other commodity				767,805			0.37	%
Total futures				(56,586,400	)		(26.97	)%

Swaps
Commodity futures				1,657,480			0.79	%
Total swaps				1,657,480			0.79	%

Forwards
Foreign currency				55,352			0.03	%
Total forwards				55,352			0.03	%

CME Membership
IMM shares				601,000			0.29	%
Common stock				1,735,980			0.82	%
Total CME Membership				2,336,980			1.11	%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2012.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC (continued)
Short contracts
Futures
Brent Crude December 2013		(2,812	)	$	(15,741,170	)		(7.50	)%
Brent Crude Penultimate Financial December 2012		(1,097	)		(24,261,950	)		(11.56	)%
Other Brent Crude December 2014		(700	)		(414,710	)		(0.20	)%
Gas Oil June 2012 – December 2012		(77	)		(8,022,400	)		(3.82	)%
LME Aluminum June 2012		(11,557	)		25,148,360			11.98	%
Heating Oil June 2012		(2,094	)		(11,609,010	)		(5.53	)%
Natural Gas June 2012		(5,713	)		12,887,230			6.14	%
Other Natural Gas May 2012 - October 2013		(1,637	)		5,235,540			2.49	%
Wheat July 2012		(6,724	)		9,624,438			4.59	%
Wheat May 2012		(1,905	)		(581,913	)		(0.28	)%
WTI Crude May 2012		(14,573	)		27,270,110			13.00	%
WTI Crude June 2012		(4,493	)		16,430,080			7.83	%
WTI Crude October 2012		(2,050	)		(26,178,090	)		(12.48	)%
Other WTI Crude September 2012 - December 2015		(2,517	)		(8,852,700	)		(4.22	)%
Other WTI Crude September 2012 - December 2015		(11,876	)		14,029,870			6.69	%
Other commodity					12,554,901			5.98	%
U.S. index					(257,278	)		(0.12	)%
Total futures					27,261,308			12.99	%

Forwards
Foreign currency					62,753			0.03	%
Total forwards					62,753			0.03	%

Total				$	(25,212,527	)		(12.02	)%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2012.

Description	Number of Contracts	Fair Value			Percentage of Net Assets of Master Fund
Graham Fed Policy Ltd.
Long contracts
Futures
30 Day Fed Fund May 2012 – January 2014		$	(6,100,655	)		(13.22	)%
Total futures			(6,100,655	)		(13.22	)%

Options
Interest rate futures			2,079,822			4.51	%
Total options			2,079,822			4.51	%

Short contracts
Options
Interest rate futures			(2,709,584	)		(5.88	)%
Total options			(2,709,584	)		(5.88	)%

Total		$	(6,730,417	)		(14.59	)%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2012.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
U.S. bond		$	(184,375	)		(0.19	)%
Foreign bond			2,545,514			2.59	%
Commodity			47,660			0.05	%
U.S. index			57,625			0.06	%
Foreign index			362,078			0.37	%
Total futures			2,828,502			2.88	%

Options
Foreign currency			22			0.01	%
Total options			22			0.01	%

Forwards
Foreign currency			(974,741	)		(0.99	)%
Total forwards			(974,741	)		(0.99	)%

Short contracts
Futures
U.S. bond			(395,703	)		(0.41	)%
Foreign bond			53,566			0.05	%
Commodity			508,738			0.52	%
Foreign index			134,548			0.14	%
Foreign interest rate			364,040			0.37	%
Total futures			665,189			0.67	%

Options
Foreign currency			(28,640	)		(0.03	)%
Total options			(28,640	)		(0.03	)%

Forwards
Foreign currency			(2,868,159	)		(2.92	)%
Total forwards			(2,868,159	)		(2.92	)%

Total		$	(377,827	)		(0.38	)%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedule displays the condensed schedule of investments for the Master Funds as of March 31, 2012.

Description	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond	$	(2,378,571	)		(0.78	)%
Foreign bond		1,272,864			0.42	%
U.S. index		27,655,848			9.04	%
Foreign index		6,929,410			2.26	%
Commodity		(18,360,664	)		(5.99	)%
Interest rate		(3,545,789	)		(1.16	)%
Currency		(2,701,302	)		(0.89	)%
Total futures		8,871,796			2.90	%

Swaps
Commodity futures		7,060,693			2.31	%
Total swaps		7,060,693			2.31	%

Forwards
Foreign currency		4,113,473			1.34	%
Total forwards		4,113,473			1.34	%

CME Membership
Common stock		337,000			0.11	%
Total CME Membership		337,000			0.11	%

Short contracts
Futures
U.S. bond		346,685			0.11	%
Foreign index		(1,100,334	)		(0.36	)%
Commodity		8,742,315			2.86	%
Interest rate		(898,298	)		(0.29	)%
Currency		(966,945	)		(0.32	)%
Total futures		6,123,423			2.00	%

Swaps
Commodity		(2,143,008	)		(0.70	)%
Total swaps		(2,143,008	)		(0.70	)%

Forwards
Foreign currency		(15,911,370	)		(5.20	)%
Total forwards		(15,911,370	)		(5.20	)%
Total	$	8,452,007			2.76	%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2012.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Macro Directional LLC
Long contracts
Futures
Foreign bond		$	15,272			0.04	%
Total forwards			15,272			0.04	%

Short contracts
Futures
Commodity			159,438			0.46	%
U.S. index			(159,375	)		(0.46	)%
Total futures			63			0.00	%

Total		$	15,335			0.04	%

Index

Graham Alternative Investment Trading LLC

Notes to 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 March 31, 2012:

	Graham Commodity Strategies LLC			Graham Fed Policy Ltd.			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Assets
Level 1:
U.S. bond futures	$	-		$	-		$	800,156		$	346,685		$	-
Foreign bond futures		-			-			2,599,080			6,331,916			15,272
U.S. index futures		-			-			57,625			27,655,848			-
Foreign index futures		-			-			496,626			17,897,936			-
Commodity futures		209,089,901			-			912,611			14,947,535			159,438
Commodity futures swaps		2,105,805			-			-			7,060,693			-
Interest rate futures		-			1,705,074			373,257			566,222			-
Interest rate futures options		-			2,079,822			-			-			-
Currency futures		-			-			-			198,636			-
Common Stock		2,336,980			-			-			337,000			-
Total Level 1		213,532,686			3,784,896			5,239,355			75,342,471			174,710

Level 2:
Foreign currency forwards		783,244			-			3,866,630			917,682			-
Foreign currency options		-			-			22			-			-
Total Level 2		783,244			-			3,866,652			917,682			-
Total assets	$	211,978,950		$	3,784,896		$	9,106,007		$	75,923,153		$	174,710

Liabilities
Level 1:
U.S. bond futures	$	-		$	-		$	(1,380,234	)	$	(2,378,571	)	$	-
Foreign bond futures		-			-			-			(5,059,052	)		-
Foreign index futures		-			-			-			(12,068,860	)		-
U.S. index futures		(257,278	)		-			-			-			(159,375	)
Commodity futures		(238,157,715	)		-			(356,213	)		(24,565,884	)		-
Commodity futures swaps		(448,325	)		-			-			(2,143,008	)		-
Interest rate futures		-			(7,805,729	)		(9,217	)		(5,010,309	)		-
Interest rate futures options		-			(2,709,584	)		-			-			-
Currency futures		-			-			-			(3,866,883	)		-
Total Level 1		(238,863,318	)		(10,515,313	)		(1,745,664	)		(55,092,567	)		(159,375	)

Level 2:
Foreign currency forwards		(665,139	)		-			(7,709,530	)		(12,715,579	)		-
Foreign currency options		-			-			(28,640	)		-			-
Total Level 2		(665,139	)		-			(7,738,170	)		(12,715,579	)		-
Total liabilities	$	(239,528,457	)	$	(10,515,313	)	$	(9,483,834	)	$	(67,808,146	)	$	(159,375	)

Index

Graham Alternative Investment Trading LLC

Notes to 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 March 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by the Master Funds throughout the period. 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 brokers on the respective Master Fund’s statement of financial condition.

	Graham Commodity Strategies LLC															Graham Fed Policy Ltd.
	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	$	8,449,525,417		105,794	$	(8,215,956,954	)		(110,701	)	$	209,089,901	$	(238,157,715	)	$	-		-	$	-			-		$	-	$	-
Swaps		34,916,605		922		(5,219,925	)		(185	)		2,105,805		(448,325	)		-		-		-			-			-		-
		8,484,442,022		106,716		(8,221,176,879	)		(110,886	)		211,195,706		(238,606,040	)		-		-		-			-			-		-

Equity price
Futures		-		-		(98,412,308	)		(1,318	)		-		(257,278	)		-		-		-			-			-		-
		-		-		(98,412,308	)		(1,318	)		-		(257,278	)		-		-		-			-			-		-

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		617,409,083		N/A		(617,290,978	)		N/A			783,244		(665,139	)		-		-		-			-			-		-
		617,409,083		-		(617,290,978	)		-			783,244		(665,139	)		-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			19,948,313,404		47,978		-			-			1,705,074		(7,805,729	)
Options		-		-		-			-			-		-			220,204,764		15,550		(273,237,130	)		(47,800	)		2,079,822		(2,709,584	)
		-		-		-			-			-		-			20,168,518,168		63,528		(273,237,130	)		(47,800	)		3,784,896		(10,515,313	)
Total	$	9,101,851,105		106,716	$	(8,936,880,165	)		(112,204	)	$	211,978,950	$	(239,528,457	)	$	20,168,518,168		63,528	$	(273,237,130	)		(47,800	)	$	3,784,896	$	(10,515,313	)


Collateral balances supporting all derivative positions													$	234,945,813														$	52,868,350

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

	Graham Global Monetary Policy LLC															Graham K4D Trading Ltd.
	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	$	123,437,700		1,195	$	(122,522,400	)		(1,195	)	$	912,611	$	(356,213	)	$	1,030,851,409		11,348	$	(618,656,655	)		(11,610	)	$	14,947,535	$	(24,565,884	)
Swaps		-		-		-			-			-		-			97,702,850		1,939		(107,564,580	)		(3,081	)		7,060,693		(2,143,008	)
		123,437,700		1,195		(122,522,400	)		(1,195	)		912,611		(356,213	)		1,128,554,259		13,287		(726,221,235	)		(14,691	)		22,008,228		(26,708,892	)

Equity price
Futures		27,839,326		410		(11,600,071	)		(50	)		554,251		-			1,846,347,077		23,919		(46,117,235	)		(384	)		45,553,784		(12,068,860	)
		27,839,326		410		(11,600,071	)		(50	)		554,251		-			1,846,347,077		23,919		(46,117,235	)		(384	)		45,553,784		(12,068,860	)

Foreign currency exchange rate
Futures		-		-		-			-			-		-			160,347,477		1,938		(130,496,398	)		(971	)		198,636		(3,866,883	)
Forwards		1,707,992,083		N/A		(1,711,834,983	)		N/A			3,866,630		(7,709,530	)		866,579,029		N/A		(878,376,926	)		N/A			917,682		(12,715,579	)
Options		200,000,000		1		(100,000,000	)		(1	)		22		(28,640	)		-		-		-			-			-		-
		1,907,992,083		1		(1,811,834,983	)		(1	)		3,866,652		(7,738,170	)		1,026,926,506		1,938		(1,008,873,324	)		(971	)		1,116,318		(16,582,462	)

Interest rate
Futures		626,444,631		5,028		(2,755,982,788	)		(12,050	)		3,772,493		(1,389,451	)		11,515,715,364		55,518		(725,279,612	)		(3,260	)		7,244,823		(12,447,932	)
Options		-		-		-			-			-		-			-		-		-			-			-		-
		626,444,631		5,028		(2,755,982,788	)		(12,050	)		3,772,493		(1,389,451	)		11,515,715,364		55,518		(725,279,612	)		(3,260	)		7,244,823		(12,447,932	)
Total	$	2,685,713,740		6,634	$	(4,701,940,242	)		(13,296	)	$	9,106,007	$	(9,483,834	)	$	15,517,543,206		94,662	$	(2,506,491,406	)		(19,306	)	$	75,923,153	$	(67,808,146	)


Collateral balances supporting all derivative positions													$	98,699,156														$	297,376,363

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

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

Commodity price
Futures	$	-		-	$	(17,473,875	)		(175	)	$	159,438	$	-
Swaps		-		-		-			-			-		-
		-		-		(17,473,875	)		(175	)		159,438		-

Equity price
Futures		-		-		(52,621,875	)		(750	)		-		(159,375	)
		-		-		(52,621,875	)		(750	)		-		(159,375	)

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

Interest rate
Futures		55,528,684		500		-			-			15,272		-
		55,528,684		500		-			-			15,272		-
Total	$	55,528,684		500	$	(70,095,750	)		(925	)	$	174,710	$	(159,375	)

Collateral balances supporting all derivative positions													$	34,891,682

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three month period ended March 31, 2012:

	Graham Commodity Strategies 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)

Net investment income (loss)	$	48,651		$	6,738		$	(621	)	$	(183,235	)	$	(163,316	)	$	(1,557	)

Net realized gain (loss) on investments		97,207,797			(3,769,417	)		2,820,547			8,743,554			58,121,648			(10,190,191	)
Net (decrease) increase in unrealized appreciation on investments		(16,699,287	)		5,355,406			(11,309,018	)		(2,050,197	)		(19,255,098	)		545,825
Brokerage commissions and fees		(4,631,328	)		(205,978	)		(149,960	)		(750,439	)		(1,724,083	)		(168,365	)
Net gain (loss) on investments		75,877,182			1,380,011			(8,638,431	)		5,942,918			37,142,467			(9,812,731	)
Net income (loss)	$	75,925,833		$	1,386,749		$	(8,639,052	)	$	5,759,683		$	36,979,151		$	(9,814,288	)

* For the period from January 1, 2012 to February 29, 2012

Index

Graham Alternative Investment Trading LLC

Notes to 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 realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended March 31, 2012:

	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
Commodity price
Futures	$	84,567,986		$	12,682,853		$	-		$	2,393,663		$	23,543,861		$	(640,236	)
Options		-			789,330			-			-			-			-
Swaps		4,138,309			(11,744,944	)		-			-			1,355,801			-
		88,706,295			1,727,239			-			2,393,663			24,899,662			(640,236	)
Equity price
Equities		26,760			-			-			-			-			-
Futures		(10,251,455	)		(141,250	)		(1,750	)		(997,388	)		118,769,741			(3,172,188	)
IMM shares		11,000			-			-			-			-
NYMEX shares		-			-			-			-			(18,000	)
Options		-			-			-			-			-			-
		(10,213,695	)		(141,250	)		(1,750	)		(997,388	)		118,751,741			(3,172,188	)
Foreign currency exchange rate
Futures		2,985,381			-			-			-			(9,299,984	)		-
Forwards		(566,879	)		-			-			2,519,129			(25,296,450	)		(2,755,673	)
Options		-			-			-			112,443			-			-
		2,418,502			-			-			2,631,572			(34,596,434	)		(2,755,673	)
Interest rate
Futures		(409,272	)		-			(11,357,110	)		2,665,510			(70,205,252	)		(3,076,269	)
Options		-			-			2,870,389			-			-			-
Treasury bills		6,680			-			-			-			16,833			-
		(402,592	)		-			(8,486,721	)		2,665,510			(70,188,419	)		(3,076,269	)
Total	$	80,508,510		$	1,585,989		$	(8,488,471	)	$	6,693,357		$	38,866,550		$	(9,644,366	)

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2011:

	Graham Commodity Strategies 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	$	142,601,701		$	29,432,093		$	37,426,188		$	73,168,865		$	307,111,336		$	12,363,794
Options, at fair value		-			6,085,420			-			-			-			-
Derivative financial instruments, at fair value		-			-			4,895,517			2,556,238			41,337,536			-
CME Membership, at fair value		2,000			-			-			-			355,000			-
Subscriptions receivable		5,925			1,048			882			40,815			34,651			2,311
Total assets		142,609,626			35,518,561			42,322,587			75,765,918			348,838,523			12,366,105

Liabilities:
Options, at fair value		-			-			3,048,431			296,433			-			-
Derivative financial instruments, at fair value		10,834,559			13,573,247			-			-			15,255,976			1,521,488
Redemptions payable		5,925			1,048			1,024			40,370			34,651			2,311
Total liabilities		10,840,484			13,574,295			3,049,455			336,803			15,290,627			1,523,799
Net assets	$	131,769,142		$	21,944,266		$	39,273,132		$	75,429,115		$	333,547,896		$	10,842,306

Percentage of Master Fund held by GAIT		15.04	%		20.01	%		15.17	%		14.18	%		13.52	%		17.87	%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Commodity Strategies LLC
Long contracts
Futures
Brent Crude February 2012-May 2012		5,558	$	(1,566,650	)		(1.19	)%
Coffee May 2012-July 2012		1,865		(7,800,506	)		(5.92	)%
Corn July 2012		3,693		6,097,513			4.63	%
Gasoline RBOB December 2012		750		(7,893,900	)		(5.99	)%
Other Gasoline RBOB February 2012		1,638		(93,072	)		(0.07	)%
Natural Gas February 2012-January 2013		6,254		(11,037,040	)		(8.38	)%
Wheat July 2012		2,504		(7,274,588	)		(5.52	)%
Wheat December 2012		888		(8,308,563	)		(6.31	)%
Other Wheat March 2012		710		(2,154,100	)		(1.63	)%
Other Wheat March 2012 - December 2012		1,674		3,218,225			2.44	%
WTI Crude April 2012		8,991		36,997,150			28.08	%
Other WTI Crude December 2012 - December 2013		3,523		6,861,280			5.21	%
Other WTI Crude September 2013		1,000		(2,660,000	)		(2.02	)%
Other commodity				12,325,498			9.35	%
Foreign currency				(39,300	)		(0.03	)%
U.S. index				(30,612	)		(0.02	)%
Total futures				16,641,335			12.63	%

Swaps
Wheat future May 2012		269		903,018			0.69	%
Other commodity futures				(2,762,970	)		(2.10	)%
Total swaps				(1,859,952	)		(1.41	)%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

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		(1,097	)	$	(9,057,530	)		(6.87	)%
Other Brent Crude April 2012 - December 2013		(2,581	)		(4,752,620	)		(3.61	)%
Coffee March 2012		(1,799	)		(1,080,731	)		(0.82	)%
Corn December 2012		(1,074	)		1,099,575			0.83	%
Gasoil June 2012 - December 2012		(3,748	)		(10,964,450	)		(8.32	)%
Natural Gas April 2012		(7,358	)		12,529,350			9.51	%
Other Natural Gas October 2012		(275	)		2,387,340			1.81	%
Wheat July 2012		(2,919	)		23,443,525			17.79	%
Other Wheat May 2012		(765	)		(792,350	)		(0.60	)%
WTI Crude October 2012		(1,500	)		(18,800,000	)		(14.27	)%
Other WTI Crude February 2012-December 2014		(12,649	)		(2,116,630	)		(1.60	)%
Other commodity					(9,868,200	)		(7.49	)%
U.S. index					(11,021	)		(0.01	)%
Total futures					(17,983,742	)		(13.65	)%

Swaps
Wheat future March 2012		(1,539	)		(6,067,775	)		(4.60	)%
Other Wheat future July 2012		(427	)		(1,435,788	)		(1.09	)%
Other commodity futures					(128,637	)		(0.10	)%
Total swaps					(7,632,200	)		(5.79	)%

Total				$	(10,834,559	)		(8.22	)%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

Description	Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham Energy Focus LLC
Long contracts
Futures
Henry Hub Penultimate March 2012		4,031	$	(11,345,235	)		(51.70	)%
Henry Hub Penultimate April 2013		2,550		(4,180,875	)		(19.05	)%
Other Henry Hub Penultimate February 2012 - December 2012		5,156		(7,521,975	)		(34.28	)%
Natural Gas December 2012		1,083		(1,437,960	)		(6.55	)%
Natural Gas January 2013		2,083		(5,207,770	)		(23.73	)%
Other Natural Gas March 2013 - October 2013		200		(1,204,420	)		(5.49	)%
Other commodity				(25,000	)		(0.12	)%
Total futures				(30,923,235	)		(140.92	)%

Options
Natural Gas EURO February 2012, $4.80 Put		100		1,810,600			8.25	%
Natural Gas EURO March 2012, $4.80 Put		100		1,784,000			8.13	%
Natural Gas EURO April 2012 - October 2012, $0.20 - $4.50 Put		850		5,012,500			22.84	%
Total options				8,607,100			39.22	%

Swaps
Natural Gas February 2012		3,915		(11,572,885	)		(52.74	)%
Natural Gas March 2012		1,767		(6,214,880	)		(28.32	)%
Natural Gas April 2012		1,250		(1,615,525	)		(7.36	)%
Natural Gas May 2012		930		(1,610,140	)		(7.34	)%
Natural Gas June 2012		900		(1,443,450	)		(6.58	)%
Natural Gas July 2012		930		(1,349,740	)		(6.15	)%
Natural Gas August 2012		930		(1,273,015	)		(5.80	)%
Natural Gas September 2012		900		(1,216,200	)		(5.54	)%
Natural Gas November 2012		1,630		(1,596,325	)		(7.27	)%
Other Natural Gas January 2012 - November 2013		1,765		(916,000	)		(4.18	)%
Total swaps				(28,808,160	)		(131.28	)%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham Energy Focus LLC (continued)
Short contracts
Futures
Henry Hub Penultimate February 2012		(3,971	)	$	11,724,378			53.43	%
Henry Hub Penultimate October 2012		(2,124	)		4,157,730			18.95	%
Henry Hub Penultimate April 2012		(1,340	)		1,845,850			8.41	%
Other Henry Hub Penultimate June 2012 - September 2012		(612	)		2,458,900			11.21	%
Natural Gas March 2012		(1,709	)		6,557,620			29.88	%
Natural Gas April 2012		(1,318	)		2,137,030			9.74	%
Natural Gas May 2012		(197	)		1,589,960			7.25	%
Natural Gas June 2012		(188	)		1,293,180			5.89	%
Natural Gas October 2012		(1,011	)		1,398,270			6.37	%
Natural Gas November 2012		(1,355	)		2,352,710			10.72	%
Natural Gas April 2013		(696	)		3,780,580			17.23	%
Other Natural Gas February 2012 - November 2013		(703	)		3,128,470			14.26	%
Other commodity					95,180			0.43	%
Total futures					42,519,858			193.77	%

Options
Natural Gas EURO February 2012 - December 2012, $4.00 - $6.50 Call		(3,100	)		(769,600	)		(3.51	)%
Natural Gas EURO February 2012 - March 2012, $3.00 - $3.25 Put		(800	)		(1,436,100	)		(6.54	)%
Other commodity					(315,980	)		(1.44	)%
Total options					(2,521,680	)		(11.49	)%

Swaps
Natural Gas January 2013		(1,116	)		1,752,508			7.99	%
Natural Gas May 2012 - September 2012		(1,983	)		1,910,892			8.70	%
Other Natural Gas December 2013		(62	)		(25,110	)		(0.11	)%
Total swaps					3,638,290			16.58	%

Total				$	(7,487,827	)		(34.12	)%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 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		8,547		$	2,324,519			5.92	%
Other 30 Day Fed Fund January 2012 - December 2013		26,631			2,594,437			6.60	%
Other 30 Day Fed Fund November 2012 - October 2013		1,598			(23,439	)		(0.06	)%
Total futures					4,895,517			12.46	%

Options
Interest rate futures					549,104			1.40	%
Total options					549,104			1.40	%

Short contracts
Options
Fed Fund futures February 2012 - June 2012, $99.88 Call		(12,650	)		(2,304,872	)		(5.87	)%
Fed Fund futures January 2012 - June 2012, $99.75 - $99.88 Put		(25,162	)		(1,255,163	)		(3.19	)%
Other interest rate futures					(37,500	)		(0.10	)%
Total options					(3,597,535	)		(9.16	)%

Total				$	1,847,086			4.70	%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Global Monetary Policy LLC
Long contracts
Futures
Foreign bond		$	298,460			0.40	%
Total futures			298,460			0.40	%

Options
Foreign currency			339,824			0.45	%
Total options			339,824			0.45	%

Forwards
Chinese Yuan / U.S. dollar January 2012 – December 2012	CNY 3,296,537,500		4,745,926			6.29	%
Other foreign currency			4,716,017			6.25	%
Total forwards			9,461,943			12.54	%

Short contracts
Futures
Interest rate			94,330			0.13	%
Total futures			94,330			0.13	%

Options
Foreign currency			(636,257	)		(0.84	)%
Total options			(636,257	)		(0.84	)%

Forwards
Chinese Yuan / U.S. dollar January 2012 – December 2012	CNY (3,619,150,000)		(3,949,883	)		(5.24	)%
Other foreign currency			(3,348,612	)		(4.44	)%
Total forwards			(7,298,495	)		(9.68	)%
Total		$	2,259,805			3.00	%

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedule displays the condensed schedule of investments for the Master Funds as of December 31, 2011.

Description	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond	$	5,555,669			1.67	%
Foreign bond		15,262,571			4.58	%
U.S. index		2,281,203			0.68	%
Foreign index		1,698,637			0.51	%
Commodity		(255,745	)		(0.08	)%
Interest rate		903,752			0.27	%
Currency		839,900			0.25	%
Total futures		26,285,987			7.88	%

Forwards
Foreign currency		8,206,755			2.46	%
Total forwards		8,206,755			2.46	%

Short contracts
Futures
Foreign bond		(7,404	)		(0.00	)%
U.S. index		5,540			0.00	%
Foreign index		(1,563,165	)		(0.47	)%
Commodity		615,434			0.18	%
Interest rate		(1,288,252	)		(0.38	)%
Currency		337,837			0.10	%
Total futures		(1,900,010	)		(0.57	)%

Swaps
Commodity		(15,255,976	)		(4.57	)%
Total swaps		(15,255,976	)		(4.57	)%

Forwards
Foreign currency		8,744,804			2.62	%
Total forwards		8,744,804			2.62	%

Total	$	26,081,560			7.82	%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011.

Description	Notional Amount	Fair Value			Percentage of Net Assets of Master Fund
Graham Macro Directional LLC
Long contracts
Futures
Foreign bond		$	(21,390	)		(0.20	)%
Total forwards			(21,390	)		(0.20	)%

Forwards
Foreign currency			227,165			2.10	%
Total forwards			227,165			2.10	%

Short contracts
Futures
U.S. index			(22,500	)		(0.21	)%
Total futures			(22,500	)		(0.21	)%

Forwards
Australian dollar / U.S. dollar 01/03/12	AUD (40,000,000)		(555,000	)		(5.12	)%
Other foreign currency			(1,149,763	)		(10.60	)%
Total forwards			(1,704,763	)		(15.72	)%

Total		$	(1,521,488	)		(14.03	)%

Index

Graham Alternative Investment Trading LLC

Notes to 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, 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
Assets
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	5,807,164		$	-
Foreign bond futures		-			-			-			385,999			15,262,571			-
U.S. index futures		-			-			-			-			3,038,693			-
Foreign index futures		-			-			-			-			1,954,287			-
Commodity futures		121,643,778			42,519,858			-			-			15,602,465			-
Commodity futures options		-			8,607,100			-			-			-			-
Commodity futures swaps		2,117,443			3,663,400			-			-			-			-
Interest rate futures		-			-			4,918,956			94,330			1,693,157			-
Interest rate futures options		-			-			549,104			-			-			-
Currency futures		-			-			-			-			1,406,611			-
Total Level 1		123,761,221			54,790,358			5,468,060			480,329			44,764,948			-

Level 2:
Foreign currency forwards		-			-			-			8,341,253			21,958,196			37,206
Foreign currency options		-			-			-			339,824			-			-
Total Level 2		-			-			-			8,681,077			21,958,196			37,206
Total assets	$	123,761,221		$	54,790,358		$	5,468,060		$	9,161,406		$	66,723,144		$	37,206

Liabilities
Level 1:
U.S. bond futures	$	-		$	-		$	-		$	-		$	(251,495	)	$	-
Foreign bond futures		-			-			-			(87,539	)		(7,404	)		(21,390	)
Foreign index futures		-			-			-			-			(1,818,815	)		-
U.S. index futures		(41,633	)		-			-			-			(751,950	)		(22,500	)
Commodity futures		(122,905,252	)		(30,923,235	)		-			-			(15,242,776	)		-
Commodity futures options		-			(2,521,680	)		-			-			-			-
Commodity futures swaps		(11,609,595	)		(28,833,270	)		-			-			(15,255,976	)		-
Interest rate futures		-			-			(23,439	)		-			(2,077,657	)		-
Interest rate futures options		-			-			(3,597,535	)		-			-			-
Currency futures		(39,300	)		-			-			-			(228,874	)		-
Total Level 1		(134,595,780	)		(62,278,185	)		(3,620,974	)		(87,539	)		(35,634,947	)		(43,890	)

Level 2:
Foreign currency forwards		-			-			-			(6,177,805	)		(5,006,637	)		(1,514,804	)
Foreign currency options		-			-			-			(636,257	)		-			-
Total Level 2		-			-			-			(6,814,062	)		(5,006,637	)		(1,514,804	)
Total liabilities	$	(134,595,780	)	$	(62,278,185	)	$	(3,620,974	)	$	(6,901,601	)	$	(40,641,584	)	$	(1,558,694	)

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011 categorized by primary underlying risk and are representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. 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 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	$	5,222,568,696		73,089	$	(5,055,686,350	)		(73,848	)	$	121,643,778	$	(122,905,252	)	$	231,604,970		15,138	$	(297,888,138	)		(15,304	)	$	42,519,858	$	(30,923,235	)
Options		-		-		-			-			-		-			26,350,000		1,050		(112,935,000	)		(4,022	)		8,607,100		(2,521,680	)
Swaps		176,282,548		5,469		(252,954,190	)		(7,895	)		2,117,443		(11,609,595	)		119,063,430		14,917		(31,672,403	)		(3,161	)		3,663,400		(28,833,270	)
		5,398,851,244		78,558		(5,308,640,540	)		(81,743	)		123,761,221		(134,514,847	)		377,018,400		31,105		(442,495,541	)		(22,487	)		54,790,358		(62,278,185	)

Equity price
Futures		42,835,500		684		(24,380,400	)		(330	)		-		(41,633	)		-		-		-			-			-		-
		42,835,500		684		(24,380,400	)		(330	)		-		(41,633	)		-		-		-			-			-		-

Foreign currency exchange rate
Futures		12,233,700		230		-			-			-		(39,300	)		-		-		-			-			-		-
Forwards		-		-		-			-			-		-			-		-		-			-			-		-
		12,233,700		230		-			-			-		(39,300	)		-		-		-			-			-		-

Interest rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-			-			-		-
Total	$	5,453,920,444		79,472	$	(5,333,020,940	)		(82,073	)	$	123,761,221	$	(134,595,780	)	$	377,018,400		31,105	$	(442,495,541	)		(22,487	)	$	54,790,358	$	(62,278,185	)


Collateral balances supporting all derivative positions													$	142,601,701														$	29,432,093

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011 categorized by primary underlying risk and are representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. 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 brokers on the respective Master Fund’s statement of financial condition.

	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	$	-		-	$	-			-		$	-	$	-		$				$						$		$	-
Swaps		-		-		-			-			-		-			-		-		-			-			-		-
		-		-		-			-			-		-			-		-		-						-		-

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

Foreign currency exchange rate
Futures		-		-		-			-			-		-			-		-		-			-			-		-
Forwards		-		-		-			-			-		-			2,504,581,338		N/A		(2,502,417,890	)		N/A			8,341,253		(6,177,805	)
Options		-		-		-			-			-		-			200,000,000		1		(100,000,000	)		(1	)		339,824		(636,257	)
		-		-		-			-			-		-			2,704,581,338		1		(2,602,417,890	)		(1	)		8,681,077		(6,814,062	)

Interest rate
Futures		14,640,919,492		35,178		-			-			4,918,956		(23,439	)		216,273,337		1,940		(514,021,011	)		(2,100	)		480,329		(87,539	)
Options		2,155,189,586		5,981		(17,228,752,250	)		(43,812	)		549,104		(3,597,535	)		-		-		-			-			-		-
		16,796,109,078		41,159		(17,228,752,250	)		(43,812	)		5,468,060		(3,620,974	)		216,273,337		1,940		(514,021,011	)		(2,100	)		480,329		(87,539	)
Total	$	16,796,109,078		41,159	$	(17,228,752,250	)		(43,812	)	$	5,468,060	$	(3,620,974	)	$	2,920,854,675		1,941	$	(3,116,438,901	)		(2,101	)	$	9,161,406	$	(6,901,601	)


Collateral balances supporting all derivative positions													$	37,426,188														$	73,168,865

Index

Graham Alternative Investment Trading LLC

Notes to 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, 2011 categorized by primary underlying risk and are representative of the derivative positions held by the Master Funds throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. 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 brokers on the respective Master Fund’s statement of financial condition.

	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	$	549,621,961		6,056	$	(748,131,689	)		(17,936	)	$	15,602,465	$	(15,242,776	)	$	-		-	$	-			-		$	-	$	-
Swaps		-		-		(232,232,146	)		(6,040	)		-		(15,255,976	)		-		-		-			-			-		-
		549,621,961		6,056		(980,363,835	)		(23,976	)		15,602,465		(30,498,752	)		-		-		-			-			-		-

Equity price
Futures		532,726,507		8,449		(283,517,405	)		(4,519	)		4,992,980		(2,570,765	)		-		-		(12,525,000	)		(200	)		-		(22,500	)
		532,726,507		8,449		(283,517,405	)		(4,519	)		4,992,980		(2,570,765	)		-		-		(12,525,000	)		(200	)		-		(22,500	)

Foreign currency exchange rate
Futures		263,535,156		2,886		(55,089,450	)		(348	)		1,406,611		(228,874	)
Forwards		1,473,161,901		N/A		(1,456,210,342	)		N/A			21,958,196		(5,006,637	)		378,520,504		N/A		(379,998,102	)		N/A			37,206		(1,514,804	)
		1,736,697,057		2,886		(1,511,299,792	)		(348	)		23,364,807		(5,235,511	)		378,520,504		-		(379,998,102	)		-			37,206		(1,514,804	)

Interest rate
Futures		11,861,168,194		60,131		(3,335,791,712	)		(13,264	)		22,762,892		(2,336,556	)		22,151,552		200		-			-			-		(21,390	)
		11,861,168,194		60,131		(3,335,791,712	)		(13,264	)		22,762,892		(2,336,556	)		22,151,552		200		-			-			-		(21,390	)
Total	$	14,680,213,719		77,522	$	(6,110,972,744	)		(42,107	)	$	66,723,144	$	(40,641,584	)	$	400,672,056		200	$	(392,523,102	)		(200	)	$	37,206	$	(1,558,694	)


Collateral balances supporting all derivative positions													$	307,111,336														$	12,363,794

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 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)

Net investment income (loss)	$	(4,480	)	$	968		$	(8,821	)	$	(1,120	)	$	(28,130	)	$	(83,866	)	$	(557	)	$	1,186

Net realized gain (loss) on investments		70,342,613			561,787			(3,932,204	)		15,588,830			20,968,150			(47,163,832	)		(21,781,890	)		3,960,455
Net increase (decrease) in appreciation on investments		(25,420,622	)		3,834,874			(2,102,378	)		(1,353,759	)		3,743,874			5,253,462			279,691			(1,898,136	)
Brokerage commissions and fees		(1,833,702	)		(850,714	)		(386,480	)		(584,561	)		(713,576	)		(3,291,928	)		(318,998	)		(548,562	)
Net gain (loss) on investments		43,088,289			3,545,947			(6,421,062	)		13,650,510			23,998,448			(45,202,298	)		(21,821,197	)		1,513,757
Net income (loss)	$	43,083,809		$	3,546,915		$	(6,429,883	)	$	13,649,390		$	23,970,318		$	(45,286,164	)	$	(21,821,754	)	$	1,514,943

* For the period from January 1, 2011 to February 28, 2011.

Index

Graham Alternative Investment Trading LLC

Notes to 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 March 31, 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	$	44,631,741	$	7,266,514		$	(11,350,526	)	$	9,566,143		$	5,797,601		$	44,811,512		$	(634,480	)	$	3,852,769
Options		-		(3,803,688	)		3,005,179			-			207,880			-			-			(223,490	)
Swaps		290,250		933,835			2,310,765			-			-			-			-			-
		44,921,991		4,396,661			(6,034,582	)		9,566,143			6,005,481			44,811,512			(634,480	)		3,629,279
Equity price
Futures		-		-			-			-			(4,947,186	)		(40,301,211	)		(301,661	)		1,134,945
Options		-		-			-			-			-			-			-			(427,187	)
		-		-			-			-			(4,947,186	)		(40,301,211	)		(301,661	)		707,758
Foreign currency exchange rate
Futures		-		-			-			-			-			(5,461,945	)		-			-
Forwards		-		-			-			-			41,508,124			(24,055,983	)		(12,277,803	)		5,706,028
Options		-		-			-			-			(12,578,583	)		-			-			(7,400,670	)
		-		-			-			-			28,929,541			(29,517,928	)		(12,277,803	)		(1,694,642	)
Interest rate
Bonds		-		-			-			-			-			-			-
Futures		-		-			-			7,646,707			(4,830,499	)		(16,902,743	)		(8,288,255	)		(580,076	)
Options		-		-			-			(2,977,779	)		(445,313	)		-			-			-
		-		-			-			4,668,928			(5,275,812	)		(16,902,743	)		(8,288,255	)		(580,076	)
Total	$	44,921,991	$	4,396,661		$	(6,034,582	)	$	14,235,071		$	24,712,024		$	(41,910,370	)	$	(21,502,199	)	$	2,062,319

Index

Graham Alternative Investment Trading LLC

Notes to 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 one to twenty-four months. GCA also maintains cash and cash equivalents on deposit with major U.S. institutions. GCA values all fixed income securities at amortized cost which 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 March 31, 2012, the total amount recognized by GAIT with respect to its investment in GCA was $217,632. For the three months ended March 31, 2011, the total amount recognized by GAIT with respect to its investment in GCA was $515,146. These amounts are included in interest income in the statements of operations and managing member allocation. At March 31, 2012 and December 31, 2011, GAIT owned approximately 8.67% and 11.59%, respectively, of GCA. The following table summarizes the financial position of GCA as of March 31, 2012 and December 31, 2011:

	March 31, 2012		December 31, 2011
Assets:
Cash and cash equivalents	$	878,438,483	$	556,557,151
Investments in fixed income securities (cost $2,837,359,468 and $2,412,672,700, respectively)		2,837,359,468		2,412,672,700
Accrued interest income		7,084,015		4,670,722
Total assets		3,722,881,966		2,973,900,573

Liabilities:
Other liabilities		29,450		29,450
Total liabilities		29,450		29,450
Net assets	$	3,722,852,516	$	2,973,871,123

The following table summarizes the results of operations of GCA for the three months ended March 31, 2012 and 2011:

	2012		2011
Investment income
Interest income	$	2,361,852	$	3,860,502
Total investment income		2,361,852		3,860,502

Expenses:
Bank fee expense		24,103		133,584
Total expenses		24,103		133,584
Net investment income		2,337,749		3,726,918
Net income	$	2,337,749	$	3,726,918

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of GCA as of March 31, 2012:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,837,359,468)
United States
FDIC Guaranteed Bonds (cost $621,767,892)
Citigroup 1.88% - 2.25% due 04/30/12 – 12/10/12	$	374,364,000	$	376,661,493		10.12	%
Other FDIC guaranteed bonds				245,106,399		6.58	%
Total FDIC Guaranteed Bonds				621,767,892		16.70	%

Government Bonds (cost $2,215,591,576)
U.S. Treasury 0.00% - 1.38% due 05/03/12 – 09/30/13		2,210,000,000		2,215,591,576		59.51	%
Total Government Bonds				2,215,591,576		59.51	%

Total Investments in Fixed Income Securities			$	2,837,359,468		76.21	%

The following represents the condensed schedule of investments of GCA as of December 31, 2011:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,412,672,700)
United States
FDIC Guaranteed Bonds (cost $623,918,691)
Citigroup Funding 1.88% – 2.25% due 04/30/12 –12/10/12	$	374,364,000	$	378,090,518		12.71	%
Other FDIC guaranteed bonds				245,828,173		8.27	%
Total FDIC Guaranteed Bonds				623,918,691		20.98	%

Government Bonds (cost $1,788,754,009)
U.S. Treasury 0.13% – 1.38% due 01/31/12 – 11/15/13		1,785,000,000		1,788,754,009		60.15	%
Total Government Bonds				1,788,754,009		60.15	%

Total Investments in Fixed Income Securities			$	2,412,672,700		81.13	%

Index

Graham Alternative Investment Trading LLC

Notes to 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 March 31, 2012 and December 31, 2011:

	March 31, 2012		December 31, 2011
Assets
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	621,767,892	$	623,918,691
Government Bonds		2,215,591,576		1,788,754,009
Total fixed income securities		2,837,359,468		2,412,672,700
Total Level 2		2,837,359,468		2,412,672,700
Total assets	$	2,837,359,468	$	2,412,672,700

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 member’s 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.

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.

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.

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 Financial Statements (continued)

6. Fees and Related Party Transactions

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. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

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 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. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended March 31, 2012 and 2011:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2010	$	138.96		$	113.68
Net loss:
Net investment loss		(1.27	)		(1.57	)
Net loss on investments		(0.24	)		(0.20	)
Net loss		(1.51	)		(1.77	)
Net asset value per unit, March 31, 2011	$	137.45		$	111.91

Net asset value per unit, December 31, 2011	$	123.17		$	98.77
Net loss:
Net investment loss		(1.20	)		(1.48	)
Net loss on investments		4.17			3.36
Net loss		2.97			1.88
Net asset value per unit, March 31, 2012	$	126.14		$	100.65

Index

Graham Alternative Investment Trading LLC

Notes to Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended March 31, 2012 and 2011:

	Class 0						Class 2
	2012			2011			2012			2011

Total return before Incentive Allocation		2.41	%		(1.08	)%		1.90	%		(1.55	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Total return after Incentive Allocation		2.41	%		(1.09	)%		1.90	%		(1.56	)%

Net investment loss before Incentive Allocation		(0.97	)%		(0.90	)%		(1.50	)%		(1.38	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Net investment loss after Incentive Allocation		(0.97	)%		(0.91	)%		(1.50	)%		(1.39	)%

Total expenses before Incentive Allocation		1.27	%		1.00	%		1.79	%		1.51	%
Incentive Allocation		0.00			0.01			0.00			0.01
Total expenses after Incentive Allocation		1.27	%*		1.01	%*		1.79	%*		1.52	%*

*The percentages noted above represent total expenses before commission reimbursements, which represent 0.27% and 0.27% of average members’ capital for the three month periods then ended.

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 and net investment loss allocated from Master Funds and GCA. 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 month periods ended March 31, 2012 and 2011.

9. Subsequent Events

GAIT had subscriptions of approximately $5.8 million and redemptions of approximately $5.6 million through May 15, 2012, the date through which subsequent events were evaluated by management.

Index

Graham Alternative Investment Trading II LLC

Statements of Financial Condition

Assets	March 31, 2012 (Unaudited)		December 31, 2011 (Audited)
Investment in Graham K4D Trading Ltd., at fair value	$	12,576,451	$	13,021,233
Investment in Graham Cash Assets LLC, at fair value		54,904,360		59,403,888
Accrued commission reimbursements		25,082		29,549
Receivable from Graham K4D Trading Ltd.		2,699		532
Total assets	$	67,508,592	$	72,455,202

Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	2,304,003	$	2,739,451
Accrued brokerage fees		168,614		183,148
Accrued advisory fees		114,279		122,997
Accrued sponsor fees		57,140		61,499
Total liabilities		2,644,036		3,107,095

Members’ capital:
Class 0 Units (409,644.090 and 434,835.751 units issued and outstanding at $82.32 and $81.35 per unit, respectively)		33,721,243		35,371,951
Class 2 Units (399,855.657 and 439,312.861 units issued and outstanding at $77.77 and $77.24 per unit, respectively)		31,096,681		33,930,645
Class M Units (500.000 and 500.000 units issued and outstanding at $93.26 and $91.02 per unit, respectively)		46,632		45,511
Total members’ capital		64,864,556		69,348,107
Total liabilities and members’ capital	$	67,508,592	$	72,455,202

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Operations and Managing Member Allocation

	Three Months Ended March 31,
	2012 (Unaudited)			2011 (Unaudited)
Net gain (loss) allocated from investment in Graham K4D Trading Ltd.:
Net realized gain (loss) on investments	$	2,323,627		$	(1,756,078	)
Net (decrease) increase in unrealized appreciation on investments		(649,916	)		302,089
Brokerage commissions and fees		(73,759	)		(130,856	)
Net gain (loss) allocated from investment in Graham K4D Trading Ltd.		1,599,952			(1,584,845	)

Net investment loss allocated from investment in Graham K4D Trading Ltd.		(6,903	)		(3,257	)

Investment income:
Interest income		37,236			84,828

Expenses:
Brokerage fees		509,052			570,302
Advisory fees		344,030			403,643
Sponsor fees		172,015			201,821
Interest and other		933			1,319
Commission reimbursements		(73,759	)		(130,856	)
Total expenses		952,271			1,046,229
Net investment loss of the Fund		(915,035	)		(961,401	)

Net income (loss)		678,014			(2,549,503	)

Incentive allocation		-			(2,187	)

Net income (loss) available for pro-rata allocation to all members	$	678,014		$	(2,551,690	)

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Changes in Members’ Capital

For the three months ended March 31, 2012 (unaudited) and 2011 (unaudited)

	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		88,740.714			9,146,533			78,173.657			7,805,177			–		–			16,951,710
Redemptions		(11,118.197	)		(1,139,685	)		(8,468.955	)		(832,512	)		–		(2,187	)		(1,974,384	)
Incentive allocation		–			(1,538	)		–			(649	)		–		2,187			–
Net loss		–			(1,366,357	)		–			(1,182,296	)		–		(850	)		(2,549,503	)
Members’ capital, March 31, 2011		475,482.461		$	47,584,852			358,335.198		$	34,572,911			500.000	$	53,930		$	82,211,693

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

Members’ capital, December 31, 2011		434,835.751		$	35,371,951			439,312.861		$	33,930,645			500.000	$	45,511	$	69,348,107
Subscriptions		5,073.642			414,000			1,294.902			100,000			–		–		514,000
Redemptions		(30,265.303	)		(2,506,412	)		(40,752.106	)		(3,169,153	)		–	–			(5,675,565	)
Incentive allocation		–			–			–			–			–	–			–
Net income		–			441,704			–			235,189			–		1,121		678,014
Members’ capital, March 31, 2012		409,644.090		$	33,721,243			399,855.657		$	31,096,681			500.000	$	46,632	$	64,864,556

See accompanying notes.

Index

Graham Alternative Investment Trading II LLC

Statements of Cash Flows

	Three Months Ended March 31,
	2012 (Unaudited)			2011 (Unaudited)
Cash flows provided by (used in) operating activities
Net income (loss)	$	678,014		$	(2,549,503	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net (income) loss allocated from investment in Graham K4D Trading Ltd.		(1,593,049	)		1,588,102
Net income allocated from investment in Graham Cash Assets LLC		(37,236	)		(84,828	)
Proceeds from sale of investments in Graham K4D Trading Ltd.		21,749,577			24,007,476
Proceeds from sale of investments in Graham Cash Assets LLC		26,562,481			34,237,936
Investments in Graham K4D Trading Ltd.		(19,713,913	)		(30,927,497	)
Investments in Graham Cash Assets LLC		(22,025,717	)		(40,519,839	)
Changes in assets and liabilities:
Accrued commission reimbursements		4,467			(24,041	)
Accrued brokerage fees		(14,534	)		30,081
Accrued advisory fees		(8,718	)		19,917
Accrued sponsor fees		(4,359	)		9,958
Net cash provided by (used in) operating activities		5,597,013			(14,212,238	)

Cash flows (used in) provided by financing activities
Subscriptions		514,000			16,951,710
Redemptions		(6,111,013	)		(2,739,472	)
Net cash (used in) provided by financing activities		(5,597,013	)		14,212,238

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 Trading II LLC

Notes to Unaudited Financial Statements

March 31, 2012

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 derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter.

Graham Alternative Investment Fund I LLC and Graham Alternative Investment Fund II LLC are the sole investors of GAIT II.

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)

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 activeness of the market and 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. The Master Fund records all its derivative financial instruments at fair value, which is derived in accordance with U.S. GAAP. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2012 or the twelve months ended December 31, 2011 by GAIT II, K4D Trading, or GCA, and there were no transfers between levels during those periods. Transfers between levels, if any, 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, 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.

Unrealized gains and losses from derivative financial 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 forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies 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. Changes in fair value of each forward contract are recognized as unrealized gains or losses.

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. 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 any 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 reference instrument. Changes in fair value of each swap are recognized as unrealized gains or losses. The Master Fund records realized gains or losses when a swap contract is terminated. Interest is calculated and accrued throughout the life of each swap. Payments received at the end of each reset period are recorded against such accruals.

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 unrealized gains 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.

Recent Accounting Pronouncements

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 by the Master Fund and GCA with their 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.

Reclassifications

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

Index

3. Investment in Graham K4D Trading Ltd.

As of March 31, 2012 and December 31, 2011, 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.

March 31, 2012
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months then ended)

Systematic Macro
Graham K4D Trading Ltd.		19.39	%	$	12,576,451	$	1,593,049
		19.39	%	$	12,576,451	$	1,593,049

December 31, 2011
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months ended March 31, 2011)

Systematic Macro
Graham K4D Trading Ltd.		18.78	%	$	13,021,233	$	(16,406,508	)
		18.78	%	$	13,021,233	$	(16,406,508	)

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 March 31, 2012.

Assets:
Due from brokers	$	299,238,181
Derivative financial instruments, at fair value		19,912,905
CME Membership, at fair value		337,000
Subscriptions receivable		32,633
Total assets		319,520,719

Liabilities:
Derivative financial instruments, at fair value		11,797,898
Due to brokers		1,861,818
Redemptions payable		32,634
Total liabilities		13,692,350
Net assets	$	305,828,369

Percentage of K4D Trading held by GAIT II		4.11	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedule displays the condensed schedule of investments for the Master Funds as of March 31, 2012.

Description	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond	$	(2,378,571	)		(0.78	)%
Foreign bond		1,272,864			0.42	%
U.S. index		27,655,848			9.04	%
Foreign index		6,929,410			2.26	%
Commodity		(18,360,664	)		(5.99	)%
Interest rate		(3,545,789	)		(1.16	)%
Currency		(2,701,302	)		(0.89	)%
Total futures		8,871,796			2.90	%

Swaps
Commodity futures		7,060,693			2.31	%
Total swaps		7,060,693			2.31	%

Forwards
Foreign currency		4,113,473			1.34	%
Total forwards		4,113,473			1.34	%

CME Membership
Common stock		337,000			0.11	%
Total CME Membership		337,000			0.11	%

Short contracts
Futures
U.S. bond		346,685			0.11	%
Foreign index		(1,100,334	)		(0.36	)%
Commodity		8,742,315			2.86	%
Interest rate		(898,298	)		(0.29	)%
Currency		(966,945	)		(0.32	)%
Total futures		6,123,423			2.00	%

Swaps
Commodity		(2,143,008	)		(0.70	)%
Total swaps		(2,143,008	)		(0.70	)%

Forwards
Foreign currency		(15,911,370	)		(5.20	)%
Total forwards		(15,911,370	)		(5.20	)%
Total	$	8,452,007			2.76	%

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 March 31, 2012.

Assets
Level 1:
U.S. bond futures	$	346,685
Foreign bond futures		6,331,916
U.S. index futures		27,655,848
Foreign index futures		17,897,936
Commodity futures		14,947,535
Commodity futures swaps		7,060,693
Interest rate futures		566,222
Currency futures		198,636
Common stock		337,000
Total Level 1		75,342,471

Level 2:
Foreign currency forwards		917,682
Total Level 2		917,682
Total assets	$	76,260,153

Liabilities
Level 1:
U.S. bond futures	$	(2,378,571	)
Foreign bond futures		(5,059,052	)
Foreign index futures		(12,068,860	)
Commodity futures		(24,565,884	)
Commodity futures swaps		(2,143,008	)
Interest rate futures		(5,010,309	)
Currency futures		(3,866,883	)
Total Level 1		(55,092,567	)

Level 2:
Foreign currency forwards		(12,715,579	)
Total Level 2		(12,715,579	)
Total liabilities	$	(67,808,146	)

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 March 31, 2012 categorized by primary underlying risk and is representative of the derivative positions held by K4D Trading throughout the period. 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 brokers on K4D Trading’s statement of financial condition.

	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	$	1,030,851,409		11,348	$	(618,656,655	)		(11,610	)	$	14,947,535	$	(24,565,884	)
Swaps		97,702,850		1,939		(107,564,580	)		(3,081	)		7,060,693		(2,143,008	)
		1,128,554,259		13,287		(726,221,235	)		(14,691	)		22,008,228		(26,708,892	)

Equity price
Futures		1,846,347,077		23,919		(46,117,235	)		(384	)		45,553,784		(12,068,860	)
		1,846,347,077		23,919		(46,117,235	)		(384	)		45,553,784		(12,068,860	)

Foreign currency exchange rate
Futures		160,347,477		1,938		(130,496,398	)		(971	)		198,636		(3,866,883	)
Forwards		866,579,029		N/A		(878,376,926	)		N/A			917,682		(12,715,579	)
		1,026,926,506		1,938		(1,008,873,324	)		(971	)		1,116,318		(16,582,462	)

Interest rate
Futures		11,515,715,364		55,518		(725,279,612	)		(3,260	)		7,244,823		(12,447,932	)
		11,515,715,364		55,518		(725,279,612	)		(3,260	)		7,244,823		(12,447,932	)
Total	$	15,517,543,206		94,662	$	(2,506,491,406	)		(19,306	)	$	75,923,153	$	(67,808,146	)


Collateral balances supporting all derivative positions													$	297,376,363

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 month period ended March 31, 2012.

Net investment loss	$	(163,316	)

Net realized gain on investments		58,121,648
Net decrease in unrealized appreciation on investments		(19,255,098	)
Brokerage commissions and fees		(1,724,083	)
Net loss on investments		37,142,467
Net income	$	36,979,151

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 month period ended March 31, 2012:

Commodity price
Futures	$	23,543,861
Swaps		1,355,801
		24,899,662

Equity price
Futures		118,769,741
NYMEX Shares		(18,000	)
		118,751,741

Foreign currency exchange rate
Futures		(9,299,984	)
Forwards		(25,296,450	)
		(34,596,434	)

Interest rate
Futures		(70,205,252	)
Treasury bills		16,833
		(70,188,419	)
Total	$	38,866,550

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, 2011.

Assets:
Due from brokers	$	307,111,336
Derivative financial instruments, at fair value		41,337,536
CME Membership, at fair value		355,000
Subscriptions receivable		34,651
Total assets		348,838,523

Liabilities:
Derivative financial instruments, at fair value		15,255,976
Redemptions payable		34,651
Total liabilities		15,290,627
Net assets	$	333,547,896

Percentage of K4D Trading held by GAIT II		3.90	%

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 for K4D Trading as of December 31, 2011.

Description	Fair Value			Percentage of Net Assets of K4D Trading
Graham K4D Trading Ltd.
Long contracts
Futures
U.S. bond	$	5,555,669			1.67	%
Foreign bond		15,262,571			4.58	%
U.S. index		2,281,203			0.68	%
Foreign index		1,698,637			0.51	%
Commodity		(255,745	)		(0.08	)%
Interest rate		903,752			0.27	%
Currency		839,900			0.25	%
Total futures		26,285,987			7.88	%

Forwards
Foreign currency		8,206,755			2.46	%
Total forwards		8,206,755			2.46	%

Short contracts
Futures
Foreign bond		(7,404	)		(0.00	)%
U.S. index		5,540			0.00	%
Foreign index		(1,563,165	)		(0.47	)%
Commodity		615,434			0.18	%
Interest rate		(1,288,252	)		(0.38	)%
Currency		337,837			0.10	%
Total futures		(1,900,010	)		(0.57	)%

Swaps
Commodity		(15,255,976	)		(4.57	)%
Total swaps		(15,255,976	)		(4.57	)%

Forwards
Foreign currency		8,744,804			2.62	%
Total forwards		8,744,804			2.62	%

Total	$	26,081,560			7.82	%

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, 2011.

Assets
Level 1:
U.S. bond futures	$	5,807,164
Foreign bond futures		15,262,571
U.S. index futures		3,038,693
Foreign index futures		1,954,287
Commodity futures		15,602,465
Interest rate futures		1,693,157
Currency futures		1,406,611
Total Level 1		44,764,948

Level 2:
Foreign currency forwards		21,958,196
Total Level 2		21,958,196
Total assets	$	66,723,144

Liabilities
Level 1:
U.S. bond futures	$	(251,495	)
Foreign bond futures		(7,404	)
U.S. index futures		(751,950	)
Foreign index futures		(1,818,815	)
Commodity futures		(15,242,776	)
Commodity swaps		(15,255,976	)
Interest rate futures		(2,077,657	)
Currency futures		(228,874	)
Total Level 1		(35,634,947	)

Level 2:
Foreign currency forwards		(5,006,637	)
Total Level 2		(5,006,637	)
Total liabilities	$	(40,641,584	)

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, 2011 categorized by primary underlying risk and are representative of the derivative positions held by K4D Trading throughout the year. Derivatives denominated in foreign currencies have been converted to U.S. dollars. 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 brokers on K4D Trading’s statement of financial condition.

	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	$	549,621,961		6,056	$	(748,131,689	)		(17,936	)	$	15,602,465	$	(15,242,776	)
Swaps		-		-		(232,232,146	)		(6,040	)		-		(15,255,976	)
		549,621,961		6,056		(980,363,835	)		(23,976	)		15,602,465		(30,498,752	)

Equity price
Futures		532,726,507		8,449		(283,517,405	)		(4,519	)		4,992,980		(2,570,765	)
		532,726,507		8,449		(283,517,405	)		(4,519	)		4,992,980		(2,570,765	)

Foreign currency exchange rate
Futures		263,535,156		2,886		(55,089,450	)		(348	)		1,406,611		(228,874	)
Forwards		1,473,161,901		N/A		(1,456,210,342	)		N/A			21,958,196		(5,006,637	)
		1,736,697,057		2,886		(1,511,299,792	)		(348	)		23,364,807		(5,235,511	)

Interest rate
Futures		11,861,168,194		60,131		(3,335,791,712	)		(13,264	)		22,762,892		(2,336,556	)
		11,861,168,194		60,131		(3,335,791,712	)		(13,264	)		22,762,892		(2,336,556	)
Total	$	14,680,213,719		77,522	$	(6,110,972,744	)		(42,107	)	$	66,723,144	$	(40,641,584	)


Collateral balances supporting all derivative positions													$	307,111,336

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 year ended March 31, 2011.

Net investment loss	$	(83,866	)

Net realized loss on investments		(47,163,832	)
Net decrease in unrealized appreciation on investments		5,253,462
Brokerage commissions and fees		(3,291,928	)
Net loss on investments		(45,202,298	)
Net loss	$	(45,286,164	)

Commodity price
Futures	$	44,811,512
		44,811,512

Equity price
Futures		(40,301,211	)
		(40,301,211	)

Foreign currency exchange rate
Futures		(5,461,945	)
Forwards		(24,055,983	)
		(29,517,928	)

Interest rate
Futures		(16,902,743	)
		(16,902,743	)
Total	$	(41,910,370	)

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 one to twenty-four months. GCA also maintains cash and cash equivalents on deposit with major U.S. institutions. GCA values all fixed income securities at amortized cost which 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 March 31, 2012, the total amount recognized by GAIT II with respect to its investment in GCA was $37,236. For the three months ended March 31, 2011, the total amount recognized by GAIT II with respect to its investment in GCA was $84,828. These amounts are included in interest income in the statements of operations and managing member allocation. At March 31, 2012 and December 31, 2011, GAIT II owned approximately 1.47% and 2.00%, respectively, of GCA. The following table summarizes the financial position of GCA as of March 31, 2012 and December 31, 2011:

	March 31, 2012		December 31, 2011
Assets:
Cash and cash equivalents	$	878,438,483	$	556,557,151
Investments in fixed income securities (cost $2,837,359,468 and $2,412,672,700 respectively)		2,837,359,468		2,412,672,700
Accrued interest income		7,084,015		4,670,722
Total assets		3,722,881,966		2,973,900,573

Liabilities:
Other liabilities		29,450		29,450
Total liabilities		29,450		29,450
Net assets	$	3,722,852,516	$	2,973,871,123

The following table summarizes the results of operations of GCA for the three months ended March 31, 2012 and 2011:

	2012		2011
Investment income
Interest income	$	2,361,852	$	3,860,502
Total investment income		2,361,852		3,860,502

Expenses:
Bank fee expense		24,103		133,584
Total expenses		24,103		133,584
Net investment income		2,337,749		3,726,918
Net income	$	2,337,749	$	3,726,918

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of GCA as of March 31, 2012:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,837,359,468)
United States
FDIC Guaranteed Bonds (cost $621,767,892)
Citigroup 1.88% - 2.25% due 04/30/12 – 12/10/12	$	374,364,000	$	376,661,493		10.12	%
Other FDIC guaranteed bonds				245,106,399		6.58	%
Total FDIC Guaranteed Bonds				621,767,892		16.70	%

Government Bonds (cost $2,215,591,576)
U.S. Treasury 0.00% - 1.38% due 05/03/12 – 09/30/13		2,210,000,000		2,215,591,576		59.51	%
Total Government Bonds				2,215,591,576		59.51	%

Total Investments in Fixed Income Securities			$	2,837,359,468		76.21	%

The following represents the condensed schedule of investments of GCA as of December 31, 2011:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,412,672,700)
United States
FDIC Guaranteed Bonds (cost $623,918,691)
Citigroup Funding 1.88% – 2.25% due 04/30/12 –12/10/12	$	374,364,000	$	378,090,518		12.71	%
Other FDIC guaranteed bonds				245,828,173		8.27	%
Total FDIC Guaranteed Bonds				623,918,691		20.98	%

Government Bonds (cost $1,788,754,009)
U.S. Treasury 0.13% – 1.38% due 01/31/12 – 11/15/13		1,785,000,000		1,788,754,009		60.15	%
Total Government Bonds				1,788,754,009		60.15	%

Total Investments in Fixed Income Securities			$	2,412,672,700		81.13	%

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

	March 31, 2012		December 31, 2011
Assets
Level 2:
Fixed income securities
FDIC Guaranteed Bonds	$	621,767,892	$	623,918,691
Government Bonds		2,215,591,576		1,788,754,009
Total fixed income securities		2,837,359,468		2,412,672,700
Total Level 2		2,837,359,468		2,412,672,700
Total assets	$	2,837,359,468	$	2,412,672,700

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.

Subscriptions

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.

Redemptions

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions

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

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. Additionally, any loss carryforward attributable to any class of GAIT II shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager.

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.

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Brokerage Fees (continued)

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.

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. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended March 31, 2012 and 2011:

	Class 0			Class 2
Per unit operating performance:
Net asset value per unit, December 31, 2010	$	102.92		$	99.72
Net loss:
Net investment loss		(1.05	)		(1.50	)
Net loss on investments		(1.79	)		(1.74	)
Net loss		(2.84	)		(3.24	)
Net asset value per unit, March 31, 2011	$	100.08		$	96.48

Net asset value per unit, December 31, 2011	$	81.35		$	77.24
Net gain:
Net investment loss		(0.92	)		(1.27	)
Net gain on investments		1.89			1.80
Net gain		0.97			0.53
Net asset value per unit, March 31, 2012	$	82.32		$	77.77

Index

Graham Alternative Investment Trading II LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended March 31, 2012 and 2011:

	Class 0						Class 2
	2012			2011			2012			2011

Total return before Incentive Allocation		1.19	%		(2.75	)%		0.69	%		(3.24	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Total return after Incentive Allocation		1.19	%		(2.76	)%		0.69	%		(3.25	)%

Net investment loss before Incentive Allocation		(1.13	)%		(1.03	)%		(1.64	)%		(1.52	)%
Incentive Allocation		0.00			(0.01	)		0.00			(0.01	)
Net investment loss after Incentive Allocation		(1.13	)%		(1.04	)%		(1.64	)%		(1.53	)%

Total expenses before Incentive Allocation		1.27	%		1.12	%		1.78	%		1.64	%
Incentive Allocation		0.00			0.01			0.00			0.01
Total expenses after Incentive Allocation		1.27	%*		1.13	%*		1.78	%*		1.65	%*

*The percentages noted above represent total expenses before commission reimbursements, which represent 0.11% and 0.17% of average members’ capital for the periods then ended.

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 net investment loss allocated from the Master Fund and GCA. 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 month periods ended March 31, 2012 and 2011.

9. Subsequent Events

GAIT II had subscriptions of approximately $0.5 million and redemptions of approximately $0.8 million through May 15, 2012, the date through which subsequent events were evaluated by management.

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 March 31, 2012 the Fund’s net asset value decreased by $12,999,726 or -4.2%. This decrease was attributable to a $10,168,316 or -3.3% net decrease in the Blended Strategies Portfolio and a $2,831,410 or -0.9% net decrease in the Systematic Strategies Portfolio. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $1,636,540 or 0.5% and net income of $6,089,653 or 2.0% offset by redemptions totaling $17,894,509 or -5.8%, for the period. The net decrease in the Systematic Strategies Portfolio was attributable to total subscriptions of $178,000 or 0.1% and net income of $459,375 or 0.1% offset by redemptions totaling $3,468,785 or -1.1%, for the period.

For the three months ended March 31, 2011 the Fund’s net asset value increased by $43,794,481 or 12.9%. This increase was attributable to a $36,000,872 or 10.6% net increase in the Blended Strategies Portfolio and a $7,793,609 or 2.3% net increase in the Systematic Strategies Portfolio. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $45,254,701 or 13.3% partially offset by redemptions totaling $5,128,829 or -1.5% and net a loss of $4,125,000 or -1.2%, for the period. The net increase in the Systematic Strategies Portfolio was attributable to total subscriptions of $10,986,665 or 3.2% partially offset by redemptions totaling $1,447,762 or -0.4% and a net loss of $1,745,294 or -0.5%, 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.

Blended Strategies Portfolio

2012 Summary

For the three months ended March 31, 2012, the Blended Strategies Portfolio experienced net trading gains of $9,472,909 attributable to the following sectors:

Agriculture / Softs	$	(1,008,654	)
Base metals		(3,329,971	)
Energy		15,135,640
Equities		10,623,609
Foreign exchange		(3,404,428	)
Long term / intermediate rates		(7,667,567	)
Precious metals		(640,089	)
Short term rates		(235,631	)
	$	9,472,909

Index

The Blended Strategies Portfolio posted a net gain for the first quarter of 2012 with profits from both systematic and discretionary trading. The majority of the positive performance resulted from trading in the energy markets due to the steep drop in natural gas prices that resulted from unseasonably mild weather in the U.S. and abundant supply. The portfolio also recorded profits from trading crude oil as prices climbed due to rising tensions in the Middle East. Additional gains resulted from positions in U.S., Asian and European equity indices as the portfolio benefitted from the rally in risk assets. The portfolio recorded losses in other sectors, which offset some of the overall gains for the quarter. Losses resulted from fixed income trading amidst declining prospects of quantitative easing in the U.S. The portfolio also incurred losses in foreign exchange, particularly in the Euro, Swiss franc and British pound as well as in base metals amidst rising prices. Trading in agricultural and soft commodities led to modest losses as prices were mixed during the quarter.

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 March 31, 2012, Brokerage Fees decreased by $317,520 or -17.3%, Advisory Fees decreased by $273,219 or -17.2% and Sponsor Fees decreased by $136,609 or -17.2%% in the Blended Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions partially offset by subscriptions and net income for the period. During the same period interest income decreased by $194,260 or -58.6%. Interest was earned on free cash at an average annualized yield of 0.28% for the three months ended March 31, 2012 compared to 0.49% for the same period in 2011.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2012 there was no Incentive Allocation compared to $7,813 for the corresponding period in 2011 due to the portfolio’s lack of year to date profitability in 2012.

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 2012 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 / Softs	25.5	%
Base metals	14.7	%
Energy	(60.7	%)
Equities	174.1	%
Foreign exchange	57.1	%
Long term / intermediate rates	(72.1	%)
Precious metals	(0.4	%)
Short term rates	(38.2	%)
	100.0	%

Index

2011 Summary

For the three months ended March 31, 2011, the Blended Strategies Portfolio experienced net trading losses of $218,055 attributable to the following sectors:

Agriculture	$	236,882
Energy		783,331
Foreign exchange		(501,870	)
Interest rates		(335,514	)
Metals		214,411
Softs		250,962
Stock index		(866,257	)
	$	(218,055	)

The Blended Strategies Portfolio recorded a net loss for the period led by stock indices. The stock index sector generated large losses for the period despite recognizing gains in the early part of the quarter amid rising equity prices driven by improved global economic output and investor optimism. Significant losses, notably in European indices, were recognized in March as the earthquake and tsunami in Japan generated dramatic market reversals. Losses were also recognized in foreign exchange during the period with trading in Asian currencies during March contributing most significantly. The interest rates sector posted a loss for the period predominantly from trading in U.S. and European fixed income markets. The portfolio was able to generate profits in the energy sector led by crude and heating oil as continued tensions in the Middle East drove energy prices higher. Trading in commodities (agriculture, metals and softs) were also profitable as the portfolio took advantage of rising prices in these markets notably in agricultural commodities.

For the three months ended March 31, 2011, Brokerage Fees increased by $879,782 or 92.3%, Advisory Fees increased by $464,150 or 41.1% and Sponsor Fees increased by $319,734 or 67.1% 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 $199,990 or -37.6%. Interest was earned on free cash at an average annualized yield of 0.49% for the three months ended March 31, 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 three months ended March 31, 2011, the Incentive Allocation increased by $7,813, compared to zero, for the corresponding period of 2010 as a result of incentive allocations made mid-quarter related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

Index

The following table illustrates the sector distribution of the Blended Strategies Portfolio’s investments in Master Funds as of March 31, 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	23.4	%
Energy	35.2	%
Foreign exchange	6.1	%
Interest rates	29.8	%
Metals	0.3	%
Softs	(4.1	%)
Stock index	9.3	%
	100.0	%

Systematic Strategies Portfolio

2012 Summary

For the three months ended March 31, 2012, the Systematic Strategies Portfolio experienced net trading gains of $1,106,440 attributable to the following sectors:

Agriculture / Softs	$	(392,773	)
Base metals		(782,181	)
Energy		2,154,434
Equities		3,456,959
Foreign exchange		(1,048,694	)
Long term / intermediate rates		(1,867,517	)
Precious metals		(315,654	)
Short term rates		(98,134	)
	$	1,106,440

The Systematic Strategies Portfolio posted a net gain for the first quarter of 2012. Performance during the quarter was primarily driven by profitable positions in global equity indices. The portfolio also recorded gains from trading crude oil and oil products as prices rose due to concerns over inventory levels and rising tensions in the Middle East. The steep drop in natural gas prices also benefitted the portfolio on the back of warmer weather and ample supplies, which fueled further gains in the energy sector. Losses resulted from trading global fixed income, particularly in the U.S., amidst diminished hopes for further quantitative easing, which offset some of the portfolio’s overall gain. Losses were also incurred in the metals markets amidst rising base metal prices and a sharp sell-off in gold on the last day of February. Losses from positions in the Euro, Swiss franc and British pound as well as agricultural and soft commodities also offset a portion of the portfolio’s net gains for the quarter.

For the three months ended March 31, 2012, Brokerage Fees decreased by $67,246 or -17.2%, Advisory Fees decreased by $52,090 or -18.6% and Sponsor Fees decreased by $26,045 or -18.6% in the Systematic Strategies Portfolio over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions partially offset by subscriptions and net income for the period. During the same period interest income decreased by $32,614 or -56.9%. Interest was earned on free cash at an average annualized yield of 0.28% for the three months ended March 31, 2012 compared to 0.49% for the same period in 2011.

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The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2012 there was no Incentive Allocation compared to $3,007 for the corresponding period in 2011 due to the portfolio’s lack of year to date profitability in 2012.

Agriculture / Softs	68.6	%
Base metals	38.5	%
Energy	(151.5	%)
Equities	412.6	%
Foreign exchange	(190.6	%)
Long term / intermediate rates	(9.3	%)
Precious metals	(13.5	%)
Short term rates	(54.8	%)
	100.0	%

2011 Summary

For the three months ended March 31, 2011, the Systematic Strategies Portfolio experienced net trading losses of $986,394 attributable to the following sectors:

Agriculture	$	1,626
Energy		416,891
Foreign exchange		(762,592	)
Interest rates		(468,594	)
Metals		332,942
Softs		329,739
Stock index		(836,406	)
	$	(986,394	)

The foreign exchange sector generated losses during the period as the U.S. dollar abruptly reversed its declining trend early in the quarter and strengthened following the release of favorable employment data. The losses were slightly offset as trading for the remainder of quarter generated modest gains notably in commodity currencies such as the Canadian and Australian dollars. The stock index sector also generated losses for the period despite recognizing gains in the early part of the quarter amid rising equity prices driven by improved global economic output and investor optimism. Significant losses, notably in European indices, were recognized in March as the earthquake and tsunami in Japan generated dramatic market reversals. Net losses were recorded in the interest rates sector predominantly from U.S. and European fixed income markets. The portfolio was able to generate profits in the energy sector led by crude and heating oil as continued tensions in the Middle East drove energy prices higher during the period. Gains were recognized in metals benefiting from the rising price of silver, which rose on steep demand and tight supply levels. Gains were also recognized in other commodities (agriculture and softs) on the heels of rising prices in sugar, corn and cotton.

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For the three months ended March 31, 2011, Brokerage Fees increased by $235,475 or 150.9%, Advisory Fees increased by $64,750 or 30.0% and Sponsor Fees increased by $62,145 or 79.7% 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 $27,761 or -32.6%. Interest was earned on free cash at an average annualized yield of 0.49% for the three months ended March 31, 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 three months ended March 31, 2011 Incentive Allocation increased by $3,007, compared to zero, for the corresponding period of 2010 as a result of incentive allocations made mid-quarter related to shares redeemed when the portfolio was in a period of New High Net Trading Profits.

The following table illustrates the sector distribution of the Systematic Strategies Portfolio’s investments in Master Funds as of March 31, 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	5.8	%
Energy	22.1	%
Foreign exchange	10.6	%
Interest rates	32.1	%
Metals	17.0	%
Softs	(4.7	%)
Stock index	17.1	%
	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.

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(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
March 31, 2012		22.70	%		18.67	%
December 31, 2011		21.61	%		18.83	%
March 31, 2011		11.74	%		14.45	%

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 March 31, 2012, 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.

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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.

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 March 31, 2012. 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 March 31, 2012.

There were no changes to the Fund’s internal control over financial reporting during the first quarter of 2012 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control 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 March 31, 2012, the Fund issued 14,524.465 Units in exchange for $1,636,540 with respect to the Blended Strategies Portfolio and 2,177.678 Units in exchange for $178,000 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	Systematic Strategies Portfolio
	Total	Total
	Number of	Number of
	Units Purchased	Units Purchased
Period (as of)
January 1, 2012	3,753.424	614.662
February 1, 2012	7,064.399	1,288.807
March 1, 2012	3,706.642	274.209

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: May 15, 2012	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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Readability	8th grade Avg

Graham Alternative Investment Fund I 10-Q2012 Q1 Quarterly report

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