Graham Alternative Investment Fund I 10-Q 2018 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒ QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) of the

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2018

OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period fromto

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

(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 ☒  No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes ☒  No  ☐

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

Large accelerated filer    ☐ Accelerated filer   ☐ Non-accelerated filer ☐ Smaller reporting company ☒ Emerging Growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

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

Yes ☐  No ☒

As of November 1, 2018, 286,361.482 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

FORM 10-Q

INDEX

			Page
			Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
		Statements of Financial Condition at September 30, 2018 (Unaudited) and December 31, 2017 (Audited)	1
		Unaudited Statements of Operations for the Three and Nine Months Ended September 30, 2018 and 2017	2
		Unaudited Statements of Changes in Members’ Capital for the Nine Months Ended September 30, 2018 and 2017	3
		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2018 and 2017	4
		Notes to Unaudited Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at September 30, 2018 (Unaudited) and December 31, 2017 (Audited)	13
		Condensed Schedules of Investments at September 30, 2018 (Unaudited) and December 31, 2017 (Audited)	14
		Unaudited Statements of Operations and Incentive Allocation for the Three and Nine Months Ended September 30, 2018 and 2017	15
		Unaudited Statements of Changes in Members’ Capital for the Nine Months Ended September 30, 2018 and 2017	16
		Unaudited Statements of Cash Flows for the Nine Months Ended September 30, 2018 and 2017	17
		Notes to Unaudited Financial Statements	18
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	55
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	63
	Item 4.	Controls and Procedures	64
PART II - Other Information			65

Exhibits
	EX - 31.1	Certification
	EX - 31.2	Certification
	EX - 32.1	Certification

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

	September 30, 2018 (Unaudited)		December 31, 2017 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	36,845,216	$	42,232,939
Redemptions receivable from Graham Alternative Investment Trading LLC		334,633		265,369
Total assets	$	37,179,849	$	42,498,308
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	334,633	$	265,369
Total liabilities		334,633		265,369
Members’ capital:
Class 0 Units (143,224.576 and 167,183.591 units issued and outstanding at $142.13 and $140.90, respectively)		20,356,043		23,556,805
Class 2 Units (161,268.180 and 183,209.822 units issued and outstanding at $102.25 and $101.94, respectively)		16,489,173		18,676,134
Total members’ capital		36,845,216		42,232,939
Total liabilities and members’ capital	$	37,179,849	$	42,498,308

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

1

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

	Three Months Ended September 30,						Nine Months Ended September 30,
	2018			2017			2018			2017
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
Net realized (loss) gain on investments	$	(1,313,109	)	$	(172,239	)	$	474,644		$	(1,167,358	)
Net increase (decrease) in unrealized appreciation on investments		1,737,308			966,686			528,124			(1,378,347	)
Brokerage commissions and fees		(50,622	)		(83,399	)		(204,103	)		(286,047	)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC		373,577			711,048			798,665			(2,831,752	)
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
Investment income
Interest income		154,012			143,541			442,762			383,046
Expenses
Advisory fees		141,173			231,154			447,276			823,050
Sponsor fees		78,972			114,638			251,548			523,795
Professional fees and other		58,885			44,409			114,311			186,879
Administrator’s fees		12,300			20,275			38,667			65,496
Incentive allocation		-			-			-			-
Total expenses		291,330			410,476			851,802			1,599,220
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(137,318	)		(266,935	)		(409,040	)		(1,216,174	)
Net income (loss)	$	236,259		$	444,113		$	389,625		$	(4,047,926	)

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

2

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the Nine Months ended September 30, 2018 and 2017

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2016		331,592.087		$	48,718,754			225,124.868		$	24,184,629		$	72,903,383
Subscriptions		13,427.913			1,942,500			2,380.376			250,000			2,192,500
Redemptions		(70,075.441	)		(9,906,945	)		(36,859.965	)		(3,794,461	)		(13,701,406	)
Net loss		–			(2,589,325	)		–			(1,458,601	)		(4,047,926	)
Members’ capital, September 30, 2017		274,944.559		$	38,164,984			190,645.279		$	19,181,567		$	57,346,551

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2017		167,183.591		$	23,556,805			183,209.822		$	18,676,134		$	42,232,939
Subscriptions		527.126			75,000			974.513			100,000			175,000
Redemptions		(24,486.141	)		(3,607,388	)		(22,916.155	)		(2,344,960	)		(5,952,348	)
Net income		–			331,626			–			57,999			389,625
Members’ capital, September 30, 2018		143,224.576		$	20,356,043			161,268.180		$	16,489,173		$	36,845,216

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

3

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2018			2017
Cash flows provided by operating activities
Net income (loss)	$	389,625		$	(4,047,926	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investments in Graham Alternative Investment Trading LLC		(389,625	)		4,047,926
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		5,883,084			13,118,279
Investments in Graham Alternative Investment Trading LLC		(175,000	)		(2,192,500	)
Net cash provided by operating activities		5,708,084			10,925,779
Cash flows used in financing activities
Subscriptions		175,000			2,192,500
Redemptions		(5,883,084	)		(13,118,279	)
Net cash used in financing activities		(5,708,084	)		(10,925,779	)
Net change in cash and cash equivalents		–			–
Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes and the attached financial statements of Graham Alternative Investment Trading LLC.

4

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

September 30, 2018

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I has one other active series in addition to the Fund, the Systematic Strategies Portfolio. GAIF I is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).

As a Series Limited Liability Company each series is legally segregated, and the assets associated with each series are held separately and accounted for in separate and distinct records from the assets of any other series of GAIF I. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular series are enforceable against the assets of such series only, and not against the assets of GAIF I generally or any other series thereof. Further, none of the debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to GAIF I are enforceable against the assets of any other series.

The Fund offers investors Class 0 and Class 2 Units. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”) and Graham Cash Assets LLC (“Cash Assets”), 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 GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under Section 12 of 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 investment in GAIT, which in turn invests 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.

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 GAIT; therefore these financial statements should be read in conjunction with the attached financial statements of GAIT.

5

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

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 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 Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. 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

The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in Master Funds at fair value based upon GAIT’s proportionate share of the Master Funds’ reported net asset value. The Fund records its proportionate share of GAIT’s 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 GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.

GAIT charges its investors, including the Fund, an advisory 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 a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At September 30, 2018 and December 31, 2017, the Fund owned 50.90% and 52.41%, respectively of GAIT.

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, 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. The Fund reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. 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.

6

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

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.

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. Accordingly under U.S. GAAP, this investment is excluded from categorization in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2018 or the year ended December 31, 2017 by the Fund, GAIT, the Master Funds or Cash Assets and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized as of the beginning of the year.

Recent Accounting Pronouncements

In August 2018, the SEC adopted the final rule under SEC Release No. 33-10532, Disclosure Update and Simplification, amending certain disclosure requirements that were redundant, duplicative, overlapping, outdated or superseded. In addition, the amendments expanded the disclosure requirements to require an analysis of changes in each caption of members’ capital presented on the statements of financial condition and must be provided in a note or separate statement for interim financial statements. Under the amendments, the analysis should present a reconciliation of the beginning balance to the ending balance of each period for which a statement of operations is required to be filed. The final rule is effective for all interim periods beginning after the effective date of November 5, 2018. The Fund is evaluating the impact of this guidance on its interim financial statements. The Fund does not anticipate that the adoption of these amendments will have a material effect on the Fund’s interim financial statements.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Cash Assets and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets 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. At September 30, 2018 and December 31, 2017, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. 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 as of the beginning of such fiscal period.

7

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

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 $10,000. 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 $10,000. 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 0 Units are not subject to a redemption fee. For the period from January 1, 2017 to March 31, 2017, Class 2 Units were 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. Effective April 1, 2017, Class 2 Units were subject to a redemption fee equal to 0.75% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 0.40% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Effective July 1, 2017, Class 2 Units are no longer subject to a redemption fee. Redemption fees were payable to the Manager upon redemption of Units from the proceeds of such redemption. There were no such redemption fees paid to the Manager for the nine months ended September 30, 2017.

4. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of the Members’ Capital of such Class specified for the periods in the table below. 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. For the nine months ended September 30, 2018 and 2017, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $447,276 and $823,050, respectively.

Period	Annual Rate
For the period from January 1, 2017 through June 30, 2017	1.75%
For the period from July 1, 2017 through September 30, 2018	1.50%

8

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. For the nine months ended September 30, 2018 and 2017, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $251,548 and $523,795, respectively.

Period	Class 0	Class 2
For the period from January 1, 2017 through March 31, 2017	0.75%	2.75%
For the period from April 1, 2017 through June 30, 2017	0.75%	1.50%
For the period from July 1, 2017 through September 30, 2018	0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of 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 of GAIT, 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 capital redeemed from such class bears to the capital 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. There was no Incentive Allocation allocated to the Fund by GAIT for the nine months ended September 30, 2018 and 2017.

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.

Administrator’s Fee

For the nine months ended September 30, 2018 and 2017, GAIT paid SEI a monthly administrator’s fee based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the nine months ended September 30, 2018 and 2017 were $38,667 and $65,496, respectively.

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.

9

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

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 and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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 for open tax years 2015 through 2017 or expected to be taken in the Fund’s 2018 tax returns. 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 months ended September 30, 2018 and 2017:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, June 30, 2017	$	137.79		$	100.07
Net gain:
Net investment loss		(0.53	)		(0.58	)
Net gain on investments		1.55			1.12
Net gain		1.02			0.54
Net asset value per unit, September 30, 2017	$	138.81		$	100.61
Net asset value per unit, June 30, 2018	$	141.08		$	101.69
Net gain:
Net investment loss		(0.40	)		(0.48	)
Net gain on investments		1.45			1.04
Net gain		1.05			0.56
Net asset value per unit, September 30, 2018	$	142.13		$	102.25

10

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital and total return for the three months ended September 30, 2018 and 2017:

	Class 0						Class 2
	2018			2017			2018			2017
Total return before Incentive Allocation		0.74	%		0.74	%		0.56	%		0.54	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.74	%		0.74	%		0.56	%		0.54	%
Net investment loss before Incentive Allocation		(0.28	)%		(0.38	)%		(0.48	)%		(0.57	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.28	)%		(0.38	)%		(0.48	)%		(0.57	)%
Total expenses before Incentive Allocation		0.70	%		0.62	%		0.89	%		0.81	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.70	%		0.62	%		0.89	%		0.81	%

The following is the per Unit operating performance calculation for the nine months ended September 30, 2018 and 2017:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2016	$	146.92		$	107.43
Net loss:
Net investment loss		(2.24	)		(2.55	)
Net loss on investments		(5.87	)		(4.27	)
Net loss		(8.11	)		(6.82	)
Net asset value per unit, September 30, 2017	$	138.81		$	100.61
Net asset value per unit, December 31, 2017	$	140.90		$	101.94
Net gain:
Net investment loss		(1.11	)		(1.39	)
Net gain on investments		2.34			1.70
Net gain		1.23			0.31
Net asset value per unit, September 30, 2018	$	142.13		$	102.25

11

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, and total return for the nine months ended September 30, 2018 and 2017:

	Class 0						Class 2
	2018			2017			2018			2017
Total return before Incentive Allocation		0.87	%		(5.52	)%		0.30	%		(6.35	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.87	%		(5.52	)%		0.30	%		(6.35	)%
Net investment loss before Incentive Allocation		(0.78	)%		(1.58	)%		(1.35	)%		(2.47	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.78	)%		(1.58	)%		(1.35	)%		(2.47	)%
Total expenses before Incentive Allocation		1.90	%		2.17	%		2.47	%		3.06	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		1.90	%		2.17	%		2.47	%		3.06	%

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 period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s 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 net amounts allocated from GAIT. 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 for Class 0 and Class 2 Units of the Fund for the three and nine months ended September 30, 2018 and 2017, and are not annualized.

7. Subsequent Events

The Fund had subscriptions of approximately $0.2 million and redemptions of approximately $2.0 million from October 1, 2018 through November 14, 2018, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

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Graham Alternative Investment Trading LLC

Statements of Financial Condition

	September 30, 2018 (Unaudited)		December 31, 2017 (Audited)
Assets
Investments in Master Funds, at fair value	$	10,603,127	$	7,809,515
Investment in Graham Cash Assets LLC, at fair value		62,805,838		73,474,604
Receivable from Master Funds		47		101
Total assets	$	73,409,012	$	81,284,220
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	790,106	$	367,689
Accrued professional fees		89,454		171,603
Accrued advisory fees		88,914		101,840
Accrued sponsor fees		47,856		54,975
Accrued administrator’s fee		7,903		9,041
Total liabilities		1,024,233		705,148
Members’ capital:
Class 0 Units (295,973.711 and 331,577.130 units issued and outstanding at $142.13 and $140.90 per unit, respectively)		42,065,776		46,720,480
Class 2 Units (284,864.522 and 320,722.151 units issued and outstanding at $102.25 and $101.94 per unit, respectively)		29,126,506		32,693,924
Class M Units (4,671.470 units issued and outstanding at $255.27 and $249.32 per unit, respectively)		1,192,497		1,164,668
Total members’ capital		72,384,779		80,579,072
Total liabilities and members’ capital	$	73,409,012	$	81,284,220

See accompanying notes.

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Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	September 30, 2018 (Unaudited)					December 31, 2017 (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	$	4,327,808		5.98	%	$	3,235,547		4.01	%
Graham K4D Trading Ltd.		6,275,319		8.67	%		4,573,968		5.68	%
Total investments in Master Funds	$	10,603,127		14.65	%	$	7,809,515		9.69	%

See accompanying notes.

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Graham Alternative Investment Trading LLC

 Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended September 30,						Nine Months Ended September 30,
	2018			2017			2018			2017
Net gain (loss) allocated from investments in Master Funds
Net realized (loss) gain on investments	$	(2,576,142	)	$	(310,034	)	$	859,188		$	(2,190,880	)
Net increase (decrease) in unrealized appreciation on investments		3,408,339			1,759,944			980,559			(2,570,908	)
Brokerage commissions and fees		(99,258	)		(153,509	)		(397,021	)		(523,799	)
Net gain (loss) allocated from investments in Master Funds		732,939			1,296,401			1,442,726			(5,285,587	)
Net investment income allocated from investments in Master Funds		32,606			27,587			80,973			61,007
Investment income
Interest income		269,246			236,468			780,945			640,675
Expenses
Advisory fees		272,245			420,842			856,646			1,493,059
Sponsor fees		146,617			205,709			464,096			928,621
Professional fees and other		115,177			81,759			222,826			342,575
Administrator’s fees		24,106			37,293			75,214			119,972
Total expenses		558,145			745,603			1,618,782			2,884,227
Net investment loss of the Fund		(288,899	)		(509,135	)		(837,837	)		(2,243,552	)
Net income (loss)		476,646			814,853			685,862			(7,468,132	)
Incentive allocation		–			–			–			–
Net income (loss) available for pro-rata allocation to all members	$	476,646		$	814,853		$	685,862		$	(7,468,132	)

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Nine Months Ended September 30, 2018 and 2017

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2016		650,889.077		$	95,631,060			379,525.982		$	40,771,563			4,671.470	$	1,187,406		$	137,590,029
Subscriptions		15,572.352			2,251,500			3,734.542			390,000			–		–			2,641,500
Redemptions		(163,404.761	)		(23,117,598	)		(50,508.152	)		(5,195,544	)		–		–			(28,313,142	)
Incentive allocation		–			–			–			–			–		–			–
Net loss		–			(4,935,800	)		–			(2,486,510	)		–		(45,822	)		(7,468,132	)
Members’ capital, September 30, 2017		503,056.668		$	69,829,162			332,752.372		$	33,479,509			4,671.470	$	1,141,584		$	104,450,255

	Class 0						Class 2						Class M				Total
	Units			Capital			Units			Capital			Units		Capital		Capital
Members’ capital, December 31, 2017		331,577.130		$	46,720,480			320,722.151		$	32,693,924			4,671.470	$	1,164,668	$	80,579,072
Subscriptions		527.126			75,000			974.513			100,000			–		–		175,000
Redemptions		(36,130.545	)		(5,270,799	)		(36,832.142	)		(3,784,356	)		–		–		(9,055,155	)
Incentive allocation		–			–			–			–			–		–		–
Net income		–			541,095			–			116,938			–		27,829		685,862
Members’ capital, September 30, 2018		295,973.711		$	42,065,776			284,864.522		$	29,126,506			4,671.470	$	1,192,497	$	72,384,779

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Nine Months Ended September 30,
	2018			2017
Cash flows provided by operating activities
Net income (loss)	$	685,862		$	(7,468,132	)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Net (income) loss allocated from investments in Master Funds		(1,523,699	)		5,224,580
Net income allocated from investment in Graham Cash Assets LLC		(780,945	)		(640,675	)
Proceeds from sale of investments in Master Funds		61,701,991			85,043,840
Proceeds from sale of investments in Graham Cash Assets LLC		55,957,053			98,065,780
Investments in Master Funds		(62,971,850	)		(87,933,693	)
Investments in Graham Cash Assets LLC		(44,507,342	)		(69,738,090	)
Changes in assets and liabilities:
(Decrease) increase in accrued professional fees		(82,149	)		38,701
Decrease in accrued advisory fees		(12,926	)		(71,499	)
Decrease in accrued sponsor fees		(7,119	)		(92,607	)
Decrease in accrued administrator’s fee		(1,138	)		(1,642	)
Net cash provided by operating activities		8,457,738			22,426,563
Cash flows used in financing activities
Subscriptions		175,000			2,641,500
Redemptions		(8,632,738	)		(25,068,063	)
Net cash used in financing activities		(8,457,738	)		(22,426,563	)
Net change in cash and cash equivalents		–			–
Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

September 30, 2018

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 U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Managing Member is also registered with the Securities and Exchange Commission as an investment adviser. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the CFTC.

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 Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio 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. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. 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.

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 values. 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 incentive allocation.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Due from/to Brokers

Due from/to brokers on the Master Funds’ financial statements primarily consist of cash balances carried as margin deposits with clearing brokers for the purpose of trading in futures contracts, foreign currency contracts and other derivative financial instruments and securities, and receivables/payables for unsettled transactions. Substantially all of the Master Funds’ cash and investments are held as collateral by its brokers to secure derivative instruments and securities.

Revenue Recognition

All positions in financial instruments are recorded on the trade date at fair value. Net unrealized appreciation or depreciation on open derivative financial instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at the end of the period. Any change in net unrealized appreciation or depreciation from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of applicable withholding taxes. All other expenses are recorded on the accrual basis. Realized gains and losses are calculated based on the specific identification method.

Brokerage Commissions and Fees

Brokerage commissions and fees on the Master Funds’ financial statements represent all brokerage commissions and other fees incurred in connection with the Master Funds’ trading activity and are recorded on the accrual basis.

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at September 30, 2018 and December 31, 2017. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. The Master Funds’ currency translation gains and losses are included in the statements of operations and incentive allocation within net realized gain (loss) and net decrease in unrealized appreciation on investments.

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 incentive 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. GAIT reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. 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.

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Graham Alternative Investment Trading 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.

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

GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. Accordingly under U.S. GAAP, these investments are excluded from categorization in the fair value hierarchy. GAIT’s investments in Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the nine months ended September 30, 2018 or the year ended December 31, 2017 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized as of the beginning of the year.

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.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts (continued)

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 exchanges’ clearing house 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.

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.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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. Exchange traded interest rate swap contracts are executed on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). 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 appreciation or depreciation by the Master Funds. Relative to over-the-counter interest rate swap contracts, exchange-traded interest rate swap contracts provide reduced counterparty risk since they are exchange-traded and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange traded interest rate swaps. If the CCP 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 CCP. 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 CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP 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. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statements of financial condition. Over the counter 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 Funds may not be able to enter into an offsetting contract in order to cover its risk.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified 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. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Manager using a discount curve constructed from independently obtained future interest rate assumptions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices 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. Total return swaps are generally valued based upon the value of the underlying instruments as determined by the primary exchange on which they are traded.

Exchange traded swaps are valued based upon the closing prices established by the primary exchange upon which they are traded. Changes in fair value of each swap are recognized as unrealized appreciation or depreciation. The Master Funds record realized gains or losses when a swap contract is terminated.

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Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

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.

When purchasing options, 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.

Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.

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 the last reported bid and offer quotes from independent brokers or from the exchange, respectively.

Credit Risk Related Contingent Features

OTC derivative instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return, and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the nine month period ended September 30, 2018 and 2017 which caused any counterparty to demand liquidation of any outstanding positions. Graham K4D Trading Ltd. had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $1,457,749 and $876,222 at September 30, 2018 and December 31, 2017, respectively. Graham Commodity Strategies LLC had derivative instruments subject to credit risk related contingent features in a net liability position in the amount of $53 and $12,435 at September 30, 2018 and December 31, 2017, respectively.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX memberships and the shares of the CME Group at fair value. As of September 30, 2018 and December 31, 2017, the two NYMEX memberships were valued at $230,000 and $260,000, respectively, and the 30,000 shares of CME Group were valued at $5,106,300 and $4,381,500, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and shares are considered Level 1 assets as described in the Fair Value section of Note 2.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Board of Trade Membership

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2018 and December 31, 2017, the B-1/Full memberships were valued at $604,000 and $720,000, respectively, and the B-2/Associate memberships were valued at $57,000 and $72,250, respectively, both of which are included in Exchange Membership on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange (“CME”) seat valued at $150,500 and $232,000 at September 30, 2018 and December 31, 2017, respectively, which is also included in Exchange Membership on the statements of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.

Fixed Income Securities

The fixed income securities positions are valued at the mean between the last reported bid and ask quotations received from independent brokers. GAIT is exposed to credit risk relating to whether the issuers will meet their obligations when they come due until the fixed income securities are sold or reach maturity.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets 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. At September 30, 2018 and December 31, 2017, no accruals have been recorded by GAIT for indemnifications.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of September 30, 2018 and December 31, 2017, 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. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

September 30, 2018
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (nine months ended September 2018)
Systematic Macro Funds
Graham K4D Trading Ltd.		8.67	%	$	6,275,319	$	2,089,412
Global Macro Funds
Graham Commodity Strategies LLC		5.98	%		4,327,808		(565,713	)
		14.65	%	$	10,603,127	$	1,523,699

December 31, 2017
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (nine months ended September 2017)
Global Macro Funds
Graham Commodity Strategies LLC		4.01	%	$	3,235,547	$	(2,668,942	)
Systematic Macro Funds
Graham K4D Trading Ltd.		5.68	%		4,573,968		(2,555,638	)
		9.69	%	$	7,809,515	$	(5,224,580	)

The following table summarizes the financial position of each Master Fund as of September 30, 2018:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $62,362,617)	$	-		$	62,368,154
Due from brokers		86,504,106			16,306,335
Derivative financial instruments, at fair value		56,872,787			38,312,369
Exchange membership, at fair value		5,336,300			811,500
Accrued interest income		-			166,915
Total assets		148,713,193			117,965,273
Liabilities:
Due to brokers		9,090			11,978,515
Derivative financial instruments, at fair value		-			1,456,427
Total liabilities		9,090			13,434,942
Members’ Capital / Net Assets	$	148,704,103		$	104,530,331
Percentage of Master Fund held by GAIT		2.91	%		6.00	%

25

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2018:

Description		Number of Contracts / Notional Amounts	Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $2,146,960)
United States (cost $2,146,960)			$	5,336,300			3.59	%
Financial services (cost $2,146,960)				5,336,300			3.59	%
Total exchange memberships			$	5,336,300			3.59	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	1,442,910			0.97	%
Foreign bond				(19,739	)		(0.01	)%
Foreign index				2,434,929			1.64	%
Interest rate				(6,543,469	)		(4.40	)%
U.S. bond				(871,758	)		(0.59	)%
S&P 500 E-mini December 2018		1,000		(95,150	)		(0.06	)%
Other U.S. index				287,260			0.19	%
Total futures				(3,365,017	)		(2.26	)%
Forwards
Taiwan dollar / U.S. dollar 10/11/2018	TWD	7,331,625,000		(7,882,876	)		(5.30	)%
Taiwan dollar / U.S. dollar 10/16/2018 – 03/11/2019	TWD	24,102,569,000		2,002,527			1.35	%
Chinese yuan / U.S. dollar 12/27/2018	CNH	642,596,900		(6,977,664	)		(4.69	)%
Other foreign currency				5,600,507			3.76	%
Total forwards				(7,257,506	)		(4.88	)%
Options (cost $85,345,213)
Euro / British pound October 2018, $0.92 - $0.93 Call		3		18,462			0.01	%
Euro / British pound October 2018 - March 2019, $0.85 - $0.89 Put		6		7,549,094			5.08	%
Euro / U.S. dollar October 2018 - December 2018, $1.19 - $1.42 Call		6		590,324			0.40	%
Euro / U.S. dollar October 2018 - June 2019, $1.07 - $1.15 Put		7		6,068,002			4.08	%
U.S. dollar / Chinese yuan November 2018, $7.20 Call		1		65,264			0.04	%
U.S. dollar / Chinese yuan December 2018, $6.10 - $6.39 Put		1		7,609			0.01	%
U.S. dollar / Taiwan dollar November 2018 - January 2019, $30.70 - $31.60 Call		7		2,164,338			1.46	%
Other currency futures				8,366,750			5.63	%
Foreign bond futures				28,448			0.02	%
Euro dollar 1 year mid curve December 2018, $97.25 Put		1		11,200,000			7.53	%
Euro dollar 1 year mid curve October 2018 -  September 2019, $96.50 - $96.88 Put		4		280,000			0.19	%
IMM Euro dollar December 2018 - December 2020, $95.50 - $97.75 Put		6		14,031,031			9.43	%
Other interest rate futures				(203,783	)		(0.14	)%
U.S. bond November 2018 - December 2018, $138.00 - 140.00 Put		2		8,828,125			5.94	%
Other U.S. bond futures				4,687,500			3.15	%
S&P 500 E-mini October 2018 - December 2018, $2,975.00 - $3,100.00 Call		3		9,970,500			6.70	%
S&P 500 E-mini October 2018, $2,375.00 Put		1		281,250			0.19	%
Total options				73,932,914			49.72	%

26

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2018:

Description		Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Foreign bond				$	3,313,175			2.23	%
Interest rate					605,784			0.41	%
U.S. bond					46,813			0.03	%
S&P 500 E-mini December 2018		(1,015	)		257,263			0.17	%
Total futures					4,223,035			2.84	%
Forwards
Taiwan dollar / U.S. dollar 10/11/2018	TWD	(7,331,625,000)			14,179,478			9.53	%
Taiwan dollar / U.S. dollar 10/16/2018 – 03/11/2019	TWD	(24,102,569,000)			4,232,206			2.85	%
Chinese yuan / U.S. dollar 12/27/2018	CNH	(671,202,000)			2,836,790			1.91	%
Other foreign currency					(1,086,845	)		(0.73	)%
Total forwards					20,161,629			13.56	%
Options (proceeds $50,542,977)
Euro / U.S. dollar October 2018 - June 2019, $1.19 - $1.42 Call		(11	)		(2,821,128	)		(1.90	)%
Euro / U.S. dollar October 2018 - June 2019, $1.05 - $1.11 Put		(8	)		(6,169,968	)		(4.15	)%
Euro / British pound October 2018, $0.92 - $0.93 Call		(3	)		(18,462	)		(0.01	)%
Euro / British pound October 2018 - December 2018, $0.87 Put		(3	)		(2,536,291	)		(1.71	)%
Other currency futures					(4,764,144	)		(3.20	)%
Foreign bond futures					93,425			0.06	%
Euro dollar 1 year Mid curve October 2018 - September 2019, $96.00 - $97.00 Put		(5	)		(5,091,250	)		(3.42	)%
IMM Euro dollar option December 2018 - December 2019, $96.25 - $97.38 Put		(4	)		(2,437,850	)		(1.64	)%
Other interest rate futures					163			0.00	%
U.S. bond November 2018 - December 2018, $134.00 - 138.00 Put		(3	)		(2,765,625	)		(1.86	)%
Other U.S. bond futures					(1,645,325	)		(1.11	)%
S&P 500 E-mini October 2018 - December 2018, $3,025.00 - $3,200.00 Call		(3	)		(2,429,563	)		(1.63	)%
S&P 500 E-mini October 2018, $2,225.00 Put		(1	)		(236,250	)		(0.16	)%
Total options					(30,822,268	)		(20.73	)%
Total derivative financial instruments				$	56,872,787			38.25	%

27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2018:

Description	Principal / Number of Contracts / Notional Amounts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities owned (cost $62,362,617)
Bonds (cost $62,362,617)
United States (cost $62,362,617)
Government Bonds (cost $62,362,617)
U.S. Treasury bond 1.13% due 01/15/2019	$	31,500,000	$	31,399,717			30.04	%
U.S. Treasury bond 1.38% due 01/15/2020		31,500,000		30,968,437			29.63	%
Total Government Bonds				62,368,154			59.67	%
Total fixed income securities owned			$	62,368,154			59.67	%
Exchange memberships (cost $1,051,100)
United States (cost $1,051,100)			$	811,500			0.78	%
Financial services (cost $1,051,100)				811,500			0.78	%
Total exchange memberships			$	811,500			0.78	%
Derivative financial instruments
Long contracts
Futures
Brent Crude Future December 2018		733	$	2,866,476			2.74	%
WTI Crude November 2018 – December 2018		781		4,003,351			3.83	%
Other commodity				8,667,262			8.29	%
Currency				13,734			0.01	%
Foreign bond				(5,894,695	)		(5.64	)%
Nikkei 225 (OSE) December 2018		485		6,735,855			6.44	%
Yen Denom Nikkei December 2018		28		59,501			0.06	%
Other foreign index				5,138,005			4.92	%
Interest rate				(32,081	)		(0.03	)%
U.S. index				1,130,022			1.08	%
Total futures				22,687,430			21.70	%
Forwards
Foreign currency				979,883			0.94	%
Total forwards				979,883			0.94	%

28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of September 30, 2018:

Description	Number of Contracts / Notional Amounts	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity		$	5,877,994			5.62	%
Currency			95,366			0.09	%
Foreign bond			1,056,709			1.01	%
Foreign index			(815,420	)		(0.78	)%
Interest rate			1,782,497			1.71	%
U.S. bond			7,629,115			7.30	%
Total futures			15,626,261			14.95	%
Forwards
Foreign currency			(2,437,632	)		(2.33	)%
Total forwards			(2,437,632	)		(2.33	)%
Total derivative financial instruments		$	36,855,942			35.26	%

29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of September 30, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	1,732,505		$	23,158,295
Currency futures		-			113,511
Exchange memberships		5,336,300			811,500
Foreign bond futures		3,453,469			1,056,709
Foreign bond futures options		1,000,848			-
Foreign index futures		3,267,662			11,956,247
Interest rate futures		4,768,428			1,783,133
Interest rate futures options		26,482,444			-
U.S. bond futures		646,922			7,642,551
U.S. bond futures options		13,515,625			-
U.S. index futures		544,523			2,396,170
U.S. index futures options		10,251,750			-
Total Level 1		71,000,476			48,918,116
Level 2:
Foreign currency forwards		41,340,123			6,304,338
Foreign currency options		24,829,843			-
Government bonds*		-			62,368,154
Total Level 2		66,169,966			68,672,492
Total investment related assets	$	137,170,442		$	117,590,608
Liabilities
Level 1:
Commodity futures	$	(289,595	)	$	(1,743,212	)
Currency futures		-			(4,411	)
Foreign bond futures		(160,033	)		(5,894,695	)
Foreign bond futures options		(878,975	)		-
Foreign index futures		(832,733	)		(838,306	)
Interest rate futures		(10,706,113	)		(32,717	)
Interest rate futures options		(8,704,133	)		-
U.S. bond futures		(1,471,867	)		(13,436	)
U.S. bond futures options		(4,410,950	)		-
U.S. index futures		(95,150	)		(1,266,148	)
U.S. index futures options		(2,665,813	)		-
Total Level 1		(30,215,362	)		(9,792,925	)
Level 2:
Foreign currency forwards		(28,436,000	)		(7,762,087	)
Foreign currency options		(16,309,993	)		-
Total Level 2		(44,745,993	)		(7,762,087	)
Total investment related liabilities	$	(74,961,355	)	$	(17,555,012	)

* - See the Master Fund’s condensed schedule of investments for breakout of industry and geographic region.

30

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the nine months ended September 30, 2018. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at September 30, 2018 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	285,008,016		6,730	$	(235,663,811	)		(4,923	)	$	1,732,505	$	(289,595	)
Options(a)		1,693,208,704		23,130		(489,873,380	)		(24,858	)		-		-
		1,978,216,720		29,860		(725,537,191	)		(29,781	)		1,732,505		(289,595	)
Equity price
Futures		401,470,781		6,414		(205,610,336	)		(1,657	)		3,812,185		(927,883	)
Options(a)		324,371,772		21,403		(238,442,907	)		(29,312	)		10,251,750		(2,665,813	)
		725,842,553		27,817		(444,053,243	)		(30,969	)		14,063,935		(3,593,696	)
Foreign currency exchange rate
Forwards		7,450,629,271		N/A		(2,999,463,794	)		N/A			41,340,123		(28,436,000	)
Options(a)		2,184,661,601		44		(2,428,359,915	)		(76	)		24,829,843		(16,309,993	)
		9,635,290,872		44		(5,427,823,709	)		(76	)		66,169,966		(44,745,993	)
Interest rate
Futures		22,623,038,847		64,948		(30,776,894,147	)		(93,735	)		8,868,819		(12,338,013	)
Options(a)		7,176,340,558		154,692		(9,995,316,113	)		(137,231	)		40,998,917		(13,994,058	)
		29,799,379,405		219,640		(40,772,210,260	)		(230,966	)		49,867,736		(26,332,071	)
Total	$	42,138,729,550		277,361	$	(47,369,624,403	)		(291,792	)	$	131,834,142	$	(74,961,355	)

(a) – Notional amounts for options are based on the delta-adjusted positions.

31

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the nine months ended September 30, 2018. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at September 30, 2018 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	441,938,683		6,050	$	(334,129,739	)		(5,735	)	$	23,158,295	$	(1,743,212	)
		441,938,683		6,050		(334,129,739	)		(5,735	)		23,158,295		(1,743,212	)
Equity price
Futures		524,600,291		4,403		(135,511,016	)		(1,643	)		14,352,417		(2,104,454	)
		524,600,291		4,403		(135,511,016	)		(1,643	)		14,352,417		(2,104,454	)
Foreign currency exchange rate
Forwards		361,694,516		N/A		(783,654,434	)		N/A			6,304,338		(7,762,087	)
Futures		23,363,579		250		(20,626,482	)		(205	)		113,511		(4,411	)
		385,058,095		250		(804,280,916	)		(205	)		6,417,849		(7,766,498	)
Interest rate
Futures		1,803,405,512		9,247		(2,587,663,916	)		(15,308	)		10,482,393		(5,940,848	)
		1,803,405,512		9,247		(2,587,663,916	)		(15,308	)		10,482,393		(5,940,848	)
Total	$	3,155,002,581		19,950	$	(3,861,585,587	)		(22,891	)	$	54,410,954	$	(17,555,012	)

32

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at September 30, 2018 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged			Net Amount
Graham Commodity Strategies LLC1
Derivative assets	$	131,834,142		$	(74,961,355	)	$	56,872,787		$	-		$	56,872,787
Derivative liabilities		(74,961,355	)		74,961,355			-			-			-
Graham K4D Trading Ltd.2
Derivative assets	$	54,410,954		$	(16,098,585	)	$	38,312,369		$	(11,978,515	)	$	26,333,854
Derivative liabilities		(17,555,012	)		16,098,585			(1,456,427	)		1,456,427			-

¹ Net derivative asset amounts presented in the statements of financial condition are held with three counterparties. The Master Fund has pledged/received offsetting collateral to/from three of those counterparties as of September 30, 2018. At September 30, 2018, additional collateral pledged in the amount of $86,489,606 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition. Additionally, at September 30, 2018, $9,090 additional collateral was received in support of derivative positions.

² Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. At September 30, 2018, additional collateral pledged in the amount of $14,849,908 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

33

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended September 30, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	468,924		$	328,938
Net realized (loss) gain on investments		(89,718,593	)		1,483,690
Net increase in unrealized appreciation on investments		48,923,860			32,187,872
Brokerage commissions and fees		(3,069,011	)		(159,451	)
Net (loss) gain on investments		(43,863,744	)		33,512,111
Net (loss) income	$	(43,394,820	)	$	33,841,049

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	1,131,699		$	926,064
Net realized gain (loss) on investments		83,978,196			(20,137,034	)
Net increase in unrealized appreciation on investments		9,136,728			1,746,179
Brokerage commissions and fees		(13,443,886	)		(580,001	)
Net gain (loss) on investments		79,671,038			(18,970,856	)
Net income (loss)	$	80,802,737		$	(18,044,792	)

34

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized (loss) gain 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 months ended September 30, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(3,582,536	)	$	11,252,154
Options		1,315,280			-
		(2,267,256	)		11,252,154
Equity price
Equities		158,200			(125,750	)
Futures		(9,568,285	)		24,474,058
Options		(2,670,195	)		-
		(12,080,280	)		24,348,308
Foreign currency exchange rate
Forwards		9,456,422			191,409
Futures		291,130			564,103
Options		(35,758,784	)		-
		(26,011,232	)		755,512
Interest rate
Fixed income securities		-			67,676
Futures		3,023,255			(2,752,088	)
Options		(3,459,220	)		-
		(435,965	)		(2,684,412	)
Total	$	(40,794,733	)	$	33,671,562

35

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized (loss) gain and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the nine months ended September 30, 2018:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(21,406,702	)	$	(6,303,208	)
Options		1,361,099			-
		(20,045,603	)		(6,303,208	)
Equity price
Equities		694,800			(212,750	)
Futures		14,320,509			11,360,616
Options		(6,200,320	)		-
		8,814,989			11,147,866
Foreign currency exchange rate
Forwards		61,046,760			(26,279,314	)
Futures		228,205			(36,112	)
Options		(51,384,027	)		-
		9,890,938			(26,315,426	)
Interest rate
Fixed income securities		-			5,538
Futures		92,001,952			3,074,375
Options		2,452,648			-
		94,454,600			3,079,913
Total	$	93,114,924		$	(18,390,855	)

36

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2017:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	75,982,823		$	57,953,421
Derivative financial instruments, at fair value		43,001,886			36,313,912
Exchange membership, at fair value		4,641,500			1,024,250
Dividends receivable		73,500			-
Total assets		123,699,709			95,291,583
Liabilities:
Derivative financial instruments, at fair value		2,426,201			864,462
Total liabilities		2,426,201			864,462
Members’ Capital / Net Assets	$	121,273,508		$	94,427,121
Percentage of Master Fund held by GAIT		2.67	%		4.84	%

37

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2017.

Description		Number of Contracts / Notional Amounts	Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Natural gas February 2018		658	$	2,158,330			1.78	%
Other commodity				5,434,751			4.48	%
Foreign index				(354,017	)		(0.29	)%
Interest rate				(623,605	)		(0.52	)%
U.S. 2yr – 5yr note March 2018		10,027		850,898			0.70	%
U.S. Ultra bond March 2018		313		991,875			0.82	%
U.S. index				51,870			0.04	%
Total futures				8,510,102			7.01	%
Forwards
Chinese yuan / U.S. dollar 01/05/2018 – 06/27/2018	CNY	5,455,827,240		10,139,758			8.36	%
Euro / U.S. dollar 01/02/2018 – 01/03/2018	EUR	931,390,201		4,434,234			3.66	%
Other foreign currency				6,345,166			5.23	%
Total forwards				20,919,158			17.25	%
Options (cost $54,432,797)
Natural gas Euro February 2018 – March 2018, $2.85 – $4.00 Call		5		5,500,625			4.54	%
Natural gas Euro April 2018, $2.40 Put		1		243,000			0.20	%
Other commodity futures				6,436,170			5.30	%
Euro / U.S. dollar January 2018 – June 2018, $1.20 – $1.25 Call		8		12,619,168			10.40	%
U.S. dollar / Chinese yuan January 2018 – March 2018, $6.52 – $6.53 Put		2		1,194,579			0.99	%
Other currency				4,387,683			3.62	%
Euro Bund February 2018 – March 2018, $159.50 – $161.50 Put		4		2,750,159			2.27	%
Interest rate futures				920,619			0.76	%
U.S. index futures				2,361,250			1.95	%
Total options				36,413,253			30.03	%

38

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2017.

Description		Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(4,482,357	)		(3.69	)%
Euro Bund March 2018		(900	)		306,192			0.25	%
Euro Buxl 30 Year bond March 2018		(1,215	)		4,378,522			3.61	%
Euro Bobl March 2018		(500	)		54,045			0.04	%
Other foreign bond					4,280,253			3.53	%
Interest rate					2,869,308			2.37	%
U.S. 5yr - 10yr note March 2018		(9,478	)		(784,141	)		(0.65	)%
U.S. Long bond March 2018		(2,850	)		(5,533,781	)		(4.56	)%
Total futures					1,088,041			0.90	%
Forwards
U.S. dollar / Chinese yuan 01/05/2018 - 12/27/2018	CNY	(3,140,200,529	)		(4,654,222	)		(3.84	)%
U.S. dollar / Euro dollar 01/02/2018 - 01/03/2018	EUR	(170,559,412	)		(460,013	)		(0.38	)%
Other foreign currency					(6,278,444	)		(5.17	)%
Total forwards					(11,392,679	)		(9.39	)%
Options (proceeds $22,973,074)
Natural gas Euro February 2018 - March 2018, $3.10 - $3.50 Call		(2	)		(1,806,500	)		(1.49	)%
Natural gas Euro July 2018 - December 2018, $2.80 Put		(6	)		(1,707,000	)		(1.41	)%
Other commodity futures					(2,961,175	)		(2.44	)%
Euro dollar / U.S. dollar January 2018 - May 2018, $1.20 - $1.30 Call		(5	)		(3,531,255	)		(2.91	)%
Other currency					(1,688,050	)		(1.39	)%
Euro Bund February 2018 - March 2018, $158.50 - $160.50 Put		(3	)		(1,611,205	)		(1.33	)%
Interest rate futures					319,245			0.26	%
U.S. index futures					(1,976,250	)		(1.63	)%
Total options					(14,962,190	)		(12.34	)%
Total derivative financial instruments				$	40,575,685			33.46	%

39

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2017.

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
LME Aluminum March 2018	1,060		$	4,755,763			5.04	%
NY Harbor ULSD February 2018	779			4,733,191			5.01	%
Brent crude oil March 2018	872			2,874,432			3.04	%
WTI crude oil February 2018	560			1,896,805			2.01	%
Other commodity				13,843,544			14.66	%
Currency				58,265			0.06	%
Foreign bond				(2,189,927	)		(2.32	)%
Foreign index				4,937,220			5.23	%
Interest rate				(508,175	)		(0.54	)%
U.S. bond				441,140			0.47	%
U.S. index				2,077,053			2.20	%
Total futures				32,919,311			34.86	%
Forwards
Foreign currency				8,014,637			8.49	%
Total forwards				8,014,637			8.49	%
Short contracts
Futures
LME Aluminum March 2018	(217	)		(1,135,344	)		(1.20	)%
Other commodity				(656,808	)		(0.70	)%
Currency				299,999			0.32	%
Foreign bond				545,339			0.58	%
Foreign index				21,830			0.02	%
Interest rate				580,989			0.62	%
U.S. bond				3,659,496			3.87	%
U.S. index				90,860			0.10	%
Total futures				3,406,361			3.61	%
Forwards
Foreign currency				(8,890,859	)		(9.42	)%
Total forwards				(8,890,859	)		(9.42	)%
Total derivative financial instruments			$	35,449,450			37.54	%

40

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2017:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	13,829,633		$	31,996,866
Commodity futures options		13,308,775			-
Currency futures		-			434,847
Foreign bond futures		9,019,012			2,311,119
Foreign index futures		-			6,250,768
Foreign index futures options		4,040,611			-
Interest rate futures		4,532,907			846,231
Interest rate futures options		2,225,495			-
U.S. bond futures		2,505,664			4,100,636
U.S. index futures		173,120			2,593,457
U.S. index futures options		2,361,250			-
Total Level 1		51,996,467			48,533,924
Level 2:
Foreign currency forwards		23,574,930			9,288,894
Foreign currency options		18,201,430			-
Total Level 2		41,776,360			9,288,894
Total investment related assets	$	93,772,827		$	57,822,818
Liabilities
Level 1:
Commodity futures	$	(10,718,909	)	$	(5,685,283	)
Commodity futures options		(7,603,655	)		-
Currency futures		-			(76,583	)
Foreign bond futures		-			(3,955,707	)
Foreign bond futures options		(2,901,657	)		-
Foreign index futures		(354,017	)		(1,291,718	)
Interest rate futures		(2,287,204	)		(773,417	)
Interest rate futures options		(985,631	)		-
U.S. bond futures		(6,980,813	)		-
U.S. index futures		(121,250	)		(425,544	)
U.S. index futures options		(1,976,250	)		-
Total Level 1		(33,929,386	)		(12,208,252	)
Level 2:
Foreign currency forwards		(14,048,451	)		(10,165,116	)
Foreign currency options		(5,219,305	)		-
Total Level 2		(19,267,756	)		(10,165,116	)
Total investment related liabilities	$	(53,197,142	)	$	(22,373,368	)

41

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham Commodity Strategies LLC based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2017. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2017 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	684,895,792		26,605	$	(418,457,890	)		(10,460	)	$	13,829,633	$	(10,718,909	)
Options(a)		886,926,208		48,656		(638,485,018	)		(52,972	)		13,308,775		(7,603,655	)
		1,571,822,000		75,261		(1,056,942,908	)		(63,432	)		27,138,408		(18,322,564	)
Equity price
Futures		205,942,579		1,991		(241,079,315	)		(2,453	)		173,120		(475,267	)
Options(a)		59,964,058		4,650		(32,309,289	)		(5,525	)		2,361,250		(1,976,250	)
		265,906,637		6,641		(273,388,604	)		(7,978	)		2,534,370		(2,451,517	)
Foreign currency exchange rate
Forwards		38,829,225,666		N/A		(2,004,799,747	)		N/A			23,574,930		(14,048,451	)
Options(a)		1,153,407,119		34		(799,574,425	)		(33	)		18,201,430		(5,219,305	)
		39,982,632,785		34		(2,804,374,172	)		(33	)		41,776,360		(19,267,756	)
Interest rate
Futures		7,826,142,920		30,549		(23,846,250,019	)		(88,273	)		16,057,583		(9,268,017	)
Options(a)		3,705,221,105		123,619		(6,474,304,873	)		(119,408	)		6,266,106		(3,887,288	)
		11,531,364,025		154,168		(30,320,554,892	)		(207,681	)		22,323,689		(13,155,305	)
Total	$	53,351,725,447		236,104	$	(34,455,260,576	)		(279,124	)	$	93,772,827	$	(53,197,142	)

(b) – Notional amounts for options are based on the delta-adjusted positions.

42

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of Graham K4D Trading Ltd. based on its average quarterly notional amounts and number of contracts for the year ended December 31, 2017. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2017 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	369,756,628		4,817	$	(363,243,889	)		(8,875	)	$	31,996,866	$	(5,685,283	)
		369,756,628		4,817		(363,243,889	)		(8,875	)		31,996,866		(5,685,283	)
Equity price
Futures		916,387,258		8,530		(16,306,851	)		(785	)		8,844,225		(1,717,262	)
		916,387,258		8,530		(16,306,851	)		(785	)		8,844,225		(1,717,262	)
Foreign currency exchange rate
Forwards		1,124,238,162		N/A		(798,826,259	)		N/A			9,288,894		(10,165,116	)
Futures		14,700,523		152		(40,445,174	)		(424	)		434,847		(76,583	)
		1,138,938,685		152		(839,271,433	)		(424	)		9,723,741		(10,241,699	)
Interest rate
Futures		3,211,871,054		18,268		(2,037,461,446	)		(10,891	)		7,257,986		(4,729,124	)
		3,211,871,054		18,268		(2,037,461,446	)		(10,891	)		7,257,986		(4,729,124	)
Total	$	5,636,953,625		31,767	$	(3,256,283,619	)		(20,975	)	$	57,822,818	$	(22,373,368	)

43

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2017 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged		Net Amount
Graham Commodity Strategies LLC1
Derivative assets	$	93,772,827		$	(50,770,941	)	$	43,001,886		$	-	$	43,001,886
Derivative liabilities		(53,197,142	)		50,770,941			(2,426,201	)		2,426,201		-
Graham K4D Trading Ltd.2
Derivative assets	$	57,822,818		$	(21,508,906	)	$	36,313,912		$	-	$	36,313,912
Derivative liabilities		(22,373,368	)		21,508,906			(864,462	)		864,462		-

¹ Net derivative asset and liability amounts presented in the statements of financial condition are held with five counterparties. The Fund has pledged offsetting collateral to one of those counterparties as of December 31, 2017. At December 31, 2017, additional collateral pledged in the amount of $73,469,262 was posted in support of derivative positions and is included in due from brokers on the statements of financial condition.

² Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to these counterparties as of December 31, 2017. At December 31, 2017, additional collateral pledged in the amount of $57,088,959 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

44

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended September 30, 2017:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	318,736		$	273,889
Net realized gain (loss) on investments		28,216,055			(20,810,507	)
Net (decrease) increase in unrealized appreciation on investments		(1,110,622	)		28,967,852
Brokerage commissions and fees		(3,957,340	)		(225,744	)
Net gain on investments		23,148,093			7,931,601
Net income	$	23,466,829		$	8,205,490

The following table summarizes the results of operations of each Master Fund for the nine months ended September 30, 2017:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	652,103		$	572,973
Net loss on investments		(42,569,811	)		(9,965,119	)
Net decrease in unrealized appreciation on investments		(12,602,938	)		(26,948,060	)
Brokerage commissions and fees		(12,770,644	)		(725,187	)
Net loss on investments		(67,943,393	)		(37,638,366	)
Net loss	$	(67,291,290	)	$	(37,065,393	)

45

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net 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 months ended September 30, 2017:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(53,698,440	)	$	(3,710,585	)
Options		(6,007,812	)		-
		(59,706,252	)		(3,710,585	)
Equity price
Equities		222,200			314,750
Futures		10,304,892			28,680,561
Options		(578,923	)		-
		9,948,169			28,995,311
Foreign currency exchange rate
Forwards		93,475,211			3,168,944
Futures		-			1,209,334
Options		(15,088,565	)		-
		78,386,646			4,378,278
Interest rate
Futures		4,003,164			(21,505,659	)
Options		(5,526,294	)		-
		(1,523,130	)		(21,505,659	)
Total	$	27,105,433		$	8,157,345

46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net 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 nine months ended September 30, 2017:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(41,425,597	)	$	(45,412,560	)
Options		(48,512,796	)		-
		(89,938,393	)		(45,412,560	)
Equity price
Equities		421,900			365,750
Futures		(24,833,092	)		103,302,310
Options		(10,771,904	)		-
		(35,183,096	)		103,668,060
Foreign currency exchange rate
Forwards		127,006,978			(45,853,419	)
Futures		-			883,930
Options		(50,821,540	)		-
		76,185,438			(44,969,489	)
Interest rate
Futures		24,508,535			(50,199,190	)
Options		(30,745,233	)		-
		(6,236,698	)		(50,199,190	)
Total	$	(55,172,749	)	$	(36,913,179	)

47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets 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 generally range in maturity from one to thirty months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets 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 Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three months and nine months ended September 30, 2018, the total amount recognized by GAIT with respect to its investment in Cash Assets was $269,246 and $780,945, respectively. For the three months and nine months ended September 30, 2017, the total amount recognized by GAIT with respect to its investment in Cash Assets was $236,468 and $640,675, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At September 30, 2018 and December 31, 2017, GAIT owned approximately 1.28% and 1.39%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of September 30, 2018 and December 31, 2017:

	September 30, 2018		December 31, 2017
Assets:
Cash and cash equivalents	$	745,401,761	$	793,958,319
Investments in fixed income securities (amortized cost $4,152,115,522 and $4,468,747,923, respectively)		4,152,115,522		4,468,747,923
Accrued interest receivable		13,438,244		11,157,235
Total assets		4,910,955,527		5,273,863,477
Members’ capital	$	4,910,955,527	$	5,273,863,477

The following table summarizes the results of operations of Cash Assets for the three and nine months ended September 30, 2018 and 2017:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2018		2017		2018		2017
Investment income
Interest income	$	20,627,056	$	11,490,295	$	59,861,550	$	28,627,780
Total investment income		20,627,056		11,490,295		59,861,550		28,627,780
Expenses:
Bank fee expense		40,668		17,225		85,829		49,936
Total expenses		40,668		17,225		85,829		49,936
Net investment income		20,586,388		11,473,070		59,775,721		28,577,844
Net income	$	20,586,388	$	11,473,070	$	59,775,721	$	28,577,844

48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of September 30, 2018:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $4,152,115,522)
United States
Government Bonds (amortized cost $4,027,187,873)
U.S. Treasury bonds 0.75% – 3.13% due 10/15/2018 – 10/31/2020	$	4,050,000,000	$	4,027,187,873		82.01	%
Total Government Bonds				4,027,187,873		82.01	%
Treasury Bills (amortized cost  $124,927,649)
U.S. Treasury bills 0.00% due 10/11/2018		125,000,000		124,927,649		2.54	%
Total Treasury Bills				124,927,649		2.54	%
Total United States				4,152,115,522		84.55	%
Total Investments in Fixed Income Securities			$	4,152,115,522		84.55	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2017:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $4,468,747,923)
United States
Government Bonds (amortized cost $4,043,922,365)
U.S. Treasury bonds 0.63% – 3.13% due 01/15/2018 – 04/30/2020	$	4,050,000,000	$	4,043,922,365		76.68	%
Total Government Bonds				4,043,922,365		76.68	%
Treasury Bills (amortized cost $424,825,558)
U.S. Treasury bills 0.00% due 01/04/2018 – 01/25/2018		425,000,000		424,825,558		8.05	%
Total Treasury Bills				424,825,558		8.05	%
Total United States				4,468,747,923		84.73	%
Total Investments in Fixed Income Securities			$	4,468,747,923		84.73	%

49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

Cash Assets 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 Cash Assets as of September 30, 2018 and December 31, 2017:

	September 30, 2018		December 31, 2017
Assets
Level 2:
Fixed income securities
Government bonds	$	4,027,187,873	$	4,043,922,365
Treasury bills		124,927,649		424,825,558
Total fixed income securities		4,152,115,522		4,468,747,923
Total Level 2		4,152,115,522		4,468,747,923
Total assets	$	4,152,115,522	$	4,468,747,923

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.

50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions

Advisory Fees

Each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of the Members’ Capital of such Class specified for the periods in the table below. 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. The Advisory Fees paid to the Manager for the nine months ended September 30, 2018 and 2017 were $856,646 and $1,493,059, respectively.

Period	Annual Rate
For the period from January 1, 2017 through June 30, 2017	1.75%
For the period from July 1, 2017 through September 30, 2018	1.50%

Sponsor Fees

Each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified for the periods in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee. The Sponsor Fees paid to the Manager for the nine months ended September 30, 2018 and 2017 were $464,096 and $928,621, respectively.

Period	Class 0	Class2
For the period from January 1, 2017 through March 31, 2017	0.75%	2.75%
For the period from April 1, 2017 through June 30, 2017	0.75%	1.50%
For the period from July 1, 2017 through September 30, 2018	0.50%	1.25%

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of 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. There was no Incentive Allocation for the nine months ended September 30, 2018 and 2017.

51

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (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.

Administrator’s Fee

For the nine months ended September 30, 2018 and 2017, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT were $75,214 and $119,972, respectively, of which $7,903 and $11,813 was accrued as of September 30, 2018 and 2017, respectively.

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 and GAIT identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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 for open tax years 2015 through 2017 or expected to be taken in GAIT’s 2018 tax returns. 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 months ended September 30, 2018 and 2017:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, June 30, 2017	$	137.79		$	100.07
Net gain:
Net investment loss		(0.54	)		(0.58	)
Net gain on investments		1.56			1.12
Net gain		1.02			0.54
Net asset value per unit, September 30, 2017	$	138.81		$	100.61

Net asset value per unit, June 30, 2018	$	141.08		$	101.69
Net gain:
Net investment loss		(0.40	)		(0.48	)
Net gain on investments		1.45			1.04
Net gain		1.05			0.56
Net asset value per unit, September 30, 2018	$	142.13		$	102.25

52

Graham Alternative Investment Trading 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 months ended September 30, 2018 and 2017:

	Class 0						Class 2
	2018			2017			2018			2017
Total return before Incentive Allocation		0.74	%		0.74	%		0.55	%		0.54	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.74	%		0.74	%		0.55	%		0.54	%
Net investment loss before Incentive Allocation		(0.28	)%		(0.38	)%		(0.47	)%		(0.57	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.28	)%		(0.38	)%		(0.47	)%		(0.57	)%
Total expenses before Incentive Allocation		0.70	%		0.63	%		0.89	%		0.81	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.70	%		0.63	%		0.89	%		0.81	%

The following is the per Unit operating performance calculation for the nine months ended September 30, 2018 and 2017:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2016	$	146.92		$	107.43
Net loss:
Net investment loss		(2.24	)		(2.54	)
Net loss on investments		(5.87	)		(4.28	)
Net loss		(8.11	)		(6.82	)
Net asset value per unit, September 30, 2017	$	138.81		$	100.61

Net asset value per unit, December 31, 2017	$	140.90		$	101.94
Net gain:
Net investment loss		(1.11	)		(1.39	)
Net gain on investments		2.34			1.70
Net gain		1.23			0.31
Net asset value per unit, September 30, 2018	$	142.13		$	102.25

53

Graham Alternative Investment Trading 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 nine months ended September 30, 2018 and 2017:

	Class 0						Class 2
	2018			2017			2018			2017
Total return before Incentive Allocation		0.87	%		(5.52	)%		0.30	%		(6.35	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		0.87	%		(5.52	)%		0.30	%		(6.35	)%
Net investment loss before Incentive Allocation		(0.78	)%		(1.58	)%		(1.34	)%		(2.46	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.78	)%		(1.58	)%		(1.34	)%		(2.46	)%
Total expenses before Incentive Allocation		1.90	%		2.17	%		2.47	%		3.05	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		1.90	%		2.17	%		2.47	%		3.05	%

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, Sponsor Fees, Administrator’s 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 and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and nine months ended September 30, 2018 and 2017, and are not annualized.

9. Subsequent Events

GAIT had subscriptions of approximately $0.2 million and redemptions of approximately $6.1 million from October 1, 2018 through November 14, 2018, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

54

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

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2017 under the headings “Risk Factors” and “Management’s Discussion and Analysis of Financial Condition and Results of Operations.” We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

(a) Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2017 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 29, 2018. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. 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 (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended September 30, 2018, the Blended Strategies Portfolio’s net asset value decreased by $972,590 or -2.6%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $1,208,849 or -3.2% offset by net income of $236,259 or 0.6%, for the period.

For the nine months ended September 30, 2018, the Blended Strategies Portfolio’s net asset value decreased by $5,387,723 or -12.8%. The net decrease in the Blended Strategies Portfolio was attributable to redemptions totaling $5,952,348 or -14.1% offset by net income of $389,625 or 0.9% and subscriptions of $175,000 or 0.4%, for the period.

For the three months ended September 30, 2017, the Blended Strategies Portfolio’s net asset value decreased by $3,859,641 or -6.3%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $110,000 or 0.2% and net income of $444,113 or 0.7% offset by redemptions totaling $4,413,754 or -7.2%, for the period.

For the nine months ended September 30, 2017, the Blended Strategies Portfolio’s net asset value decreased by $15,556,832 or -21.3%. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $2,192,500 or 3.0% offset by redemptions totaling $13,701,406 or -18.8% and a net loss of $4,047,926 or -5.5%, for the period.

55

(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.

2018 Summary

Three Months Ended September 30, 2018

For the three months ended September 30, 2018, the Blended Strategies Portfolio experienced net trading losses of $424,199. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(45,391	)
Base metals		(92,631	)
Energy		209,135
Equities		539,880
Foreign exchange		(375,123	)
Long term / Intermediate rates		(363,216	)
Precious metals		294,758
Short term rates		256,787
	$	424,199

The Blended Strategies Portfolio recorded a net gain for the third quarter of 2018. Gains resulted primarily from positions in U.S. equity index futures with smaller gains in Asian benchmark indices. The portfolio also recorded gains in commodities, particularly in energy and precious metals. Losses were experienced in currencies and fixed income, which offset a portion of the overall profits for the period.

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

For the three months ended September 30, 2018, Advisory Fees decreased by $89,891 or -38.9%, Sponsor Fees decreased by $35,666 or -31.1%, and Administrator’s Fees decreased by $7,975 or -39.3% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions partially offset by net income for the period. During the same period, interest income increased by $10,471 or 7.3%. Interest was earned on free cash at an average annualized yield of 1.67% for the three months ended September 30, 2018 compared to 0.95% for the same period in 2017.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2018 and 2017 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

56

Nine Months Ended September 30, 2018

For the nine months ended September 30, 2018, the Blended Strategies Portfolio experienced net trading gains of $1,002,768. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(742,086	)
Base metals		(980,296	)
Energy		1,295,156
Equities		527,316
Foreign exchange		(716,536	)
Long term / Intermediate rates		(762,879	)
Precious metals		(49,889	)
Short term rates		2,431,982
	$	1,002,768

The Blended Strategies Portfolio recorded a net gain for the first three quarters of 2018. The majority of the gains resulted from positions in fixed income futures, most notably on the front end of the yield curve in the U.S. The portfolio also recorded gains in equity index futures, most notably in the U.S.  In commodities, gains from positions in energy were more than offset by losses from positions in metals and agricultural commodities. The portfolio experienced losses in currencies, which offset a portion of the overall gains for the period.

Advisory, Sponsor, and Administrator’s 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 nine months ended September 30, 2018, Advisory Fees decreased by $375,774 or -45.7%, Sponsor Fees decreased by $272,247 or -52.0%, and Administrator’s Fees decreased by $26,829 or -41.0% in the Fund over the corresponding period of the preceding year. These decreases are attributable to lower net assets of the portfolio resulting from redemptions partially offset by net income and subscriptions for the period. The decrease in Sponsor Fees is also attributable to a reduction of the Class 2 Sponsor Fee rate from 2.75% in the first quarter of 2017 and 1.50% in the second quarter of 2017 to 1.25% beginning in the third quarter of 2017. The decrease in Sponsor Fees is also attributable to a reduction of the Class 0 Sponsor Fee rate from 0.75% in the first six months of 2017 to 0.50% in the beginning in the third quarter of 2017. The decrease in Advisory Fees is also attributable to a reduction of the Advisory Fee rate from 1.75% in the first six months of 2017 to 1.50% beginning in the third quarter of 2017. During the same period, interest income increased by $59,716 or 15.6%. Interest was earned on free cash at an average annualized yield of 1.51% for the nine months ended September 30, 2018 compared to 0.80% for the same period in 2017.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2018 and 2017 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

57

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2018 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	2.2	%
Base metals	(0.1	)%
Energy	9.6	%
Equities	14.8	%
Foreign exchange	14.6	%
Long term / Intermediate rates	26.8	%
Precious metals	2.0	%
Short term rates	30.1	%
	100.0	%

2017 Summary

Three Months Ended September 30, 2017

For the three months ended September 30, 2017, the Blended Strategies Portfolio experienced net trading gains of $794,447. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(1,068,955	)
Base metals		338,705
Energy		(712,777	)
Equities		1,245,225
Foreign exchange		1,856,292
Long term / Intermediate rates		(1,255,574	)
Precious metals		(15,176	)
Short term rates		406,707
	$	794,447

The Blended Strategies Portfolio recorded a net gain for the third quarter of 2017. The majority of the gains resulted from positions in foreign exchange, most notably from positions in the euro versus the U.S. dollar. The portfolio also recorded gains in equity index futures, particularly in the U.S. with further gains in Asian benchmark indices. In commodities, gains in base metals were more than offset by losses in grains and energy. The portfolio also experienced losses in fixed income futures, particularly in the U.S. and Europe, which offset a portion of the overall gains for the period.

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

For the three months ended September 30, 2017, Advisory Fees decreased by $110,088 or -32.3%, Sponsor Fees decreased by $156,803 or -57.8%, and Administrator’s Fees decreased by $5,009 or -19.8% in the Fund 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 a net gain for the period. The decrease in Sponsor Fees is also attributable to a reduction of the Class 2 Sponsor Fee rate from 2.75% in 2016 to 1.25% in the third quarter of 2017. The decrease in Advisory Fees is also attributable to a reduction of the Advisory Fee rate from 1.75% in the third quarter of 2016 to 1.50% in the third quarter of 2017. During the same period, interest income increased by $46,827 or 48.4%. Interest was earned on free cash at an average annualized yield of 0.95% for the three months ended September 30, 2017 compared to 0.55% for the same period in 2016.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2017 and 2016, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

58

Nine Months Ended September 30, 2017

For the nine months ended September 30, 2017, the Blended Strategies Portfolio experienced net trading losses of $2,545,705. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(1,147,107	)
Base metals		52,284
Energy		(1,837,516	)
Equities		2,897,359
Foreign exchange		(368,070	)
Long term / Intermediate rates		(1,958,072	)
Precious metals		(349,527	)
Short term rates		164,944
	$	(2,545,705	)

The Blended Strategies Portfolio recorded a net loss on a year-to-date basis in 2017. The losses resulted primarily from positions in commodities, most notably in the energy complex with further losses in wheat and coffee. The portfolio also experienced losses in fixed income futures, particularly on the long end of the yield curve in the U.S. The portfolio recorded gains in equity index futures, most notably from positions in U.S. and Asian benchmark indices with smaller gains in European indices.

Advisory, Sponsor, and Administrator’s 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 nine months ended September 30, 2017, Advisory Fees decreased by $239,296 or -22.5%, Sponsor Fees decreased by $315,868 or -37.6%, and Administrator’s Fees decreased by $16,508 or -20.1% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from redemptions and a net loss partially offset by subscriptions for the period. The decrease in Sponsor Fees is also attributable to a reduction of the Class 2 Sponsor Fee rate from 2.75% in 2016 and the first half of 2017 to 1.50% in the second quarter of 2017 and from 1.50% to 1.25% in the third quarter of 2017. The decrease in Advisory Fees is also attributable to a reduction of the Advisory Fee rate from 1.75% in 2016 to 1.50% in the third quarter of 2017. During the same period, interest income increased by $100,458 or 35.5%. Interest was earned on free cash at an average annualized yield of 0.80% for the nine months ended September 30, 2017 compared to 0.52% for the same period in 2016.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2017 and 2016, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of September 30, 2017 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	(36.2	)%
Base metals	26.9	%
Energy	(117.4	)%
Equities	(44.2	)%
Foreign exchange	129.6	%
Long term / Intermediate rates	56.8	%
Precious metals	7.6	%
Short term rates	76.9	%
	100.0	%

59

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.

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

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

(ii) Liquidity

There are no known demands, commitments, events or uncertainties that will result in or are reasonably likely to result in the Fund’s liquidity increasing or decreasing in any material way.

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 FX clearing broker, on an almost daily basis. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements for the underlying strategies plus the net option premium costs for the underlying strategies. The following table shows these amounts as of the date indicated:

	Blended Strategies Portfolio
September 30, 2018		14.	52%
December 31, 2017		9.	63%
September 30, 2017		12.	78%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through September 30, 2018, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

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(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

Presentation – Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Blended Strategies Portfolio, except where otherwise noted.

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 except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

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

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

Investment Company – The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946 Update 2013-08, Financial Services – Investment Companies, Amendments to the Scope, Measurement, and Disclosure Requirements. The Manager has evaluated this guidance and has determined the Fund meets the criteria to be classified as an investment company.

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Cash Assets – GAIT invests a portion of its 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 GAIT.

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.

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 and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. 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 for open tax years 2015 through 2017 or expected to be taken in the Fund’s 2018 tax returns. 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.

(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

No disclosure is required hereunder as the Fund is a “smaller reporting company”, as defined in Item 10(f)(1) of Regulation S-K.

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Item 4. Controls and Procedures

Evaluation of Disclosure Control and Procedures

The Fund has established disclosure controls and procedures to ensure that the information required to be disclosed by the Fund in the reports that it files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized, and reported within the time periods specified in SEC rules and forms and that such information is accumulated and communicated to the Manager and the Fund’s management, as appropriate, to allow timely decisions regarding required disclosure.

Based on their evaluation as of September 30, 2018, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal control over financial reporting during the third quarter of 2018 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

Except for the information presented below, there have been no material changes to the risk factors disclosed in our 2017 Form 10-K.

Operational Risks may adversely affect the operations of the Manager and may directly and indirectly affect the operations of the Fund. The Manager is responsible for developing, implementing and operating appropriate systems and procedures to execute all investment transactions and monitor and control operational risk on behalf of the Fund.  The Manager relies on its execution, financial, accounting and other data processing systems to trade, clear and settle all transactions, to evaluate and monitor potential and existing portfolio investments, and to generate risk management and other reports that are critical to oversight of client accounts.  Certain of the Manager’s operations are dependent upon systems operated by third parties, including the Fund’s administrator, prime brokers, counterparties, electronic exchanges, other execution platforms and their various service providers.  The Manager may not be in a position to verify the reliability of such third-party systems or data.  Failure of or errors in such systems could result in mistakes or delays in the execution, confirmation or settlement of transactions, or in transactions not being properly booked, evaluated or accounted for.  The increasing reliance on internet-based programs and applications to conduct transactions and store data also creates increased security risks.  Targeted cyber-attacks, or accidental events, can lead to a breach in computer and data systems and access by unauthorized persons to sensitive transactional or personal information.  Data taken in breaches may be used by criminals to commit identity theft, obtain loans or payments under false identities, and other crimes.  Cybersecurity breaches at the Manager or its service providers or counterparties may directly or indirectly affect the Fund, and could lead to theft, data corruption, interference with business operations, disruption of operational systems, interference with the Manager’s or the Fund’s ability to execute transactions, direct financial loss or reputational damage, or violations of applicable laws related to data and privacy protection and consumer protection.

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

For the three months ended September 30, 2018, the Fund issued no Units with respect to the Blended Strategies Portfolio.

Issuer Purchases of Units

Date	(a)  Total Number of Units Purchased1		(b)  Average Price Paid per Unit		(c)  Total Number of Units Purchased as Part of Publicly Announced Plans or Programs	(d)  Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs
July 1 – July 31, 2018	915.	596	116.	08	N/A	N/A
August 1 - August 31, 2018	6,766.	301	113.	49	N/A	N/A
September 1 - September 30, 2018	2,966.	769	112.	79	N/A	N/A
TOTAL	10,648.	666	113.	52	N/A	N/A

¹ Represents number of Units redeemed by Members of the Fund in accordance with the LLC Agreement.

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information – None

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Item 6. Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.2	Amendment to 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
*** 31.1	Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
*** 31.2	Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer)
*** 32.1	Section 1350 Certification (Certification of Principal Executive Officer and Chief Financial Officer)
101.INS	XBRL Instance Document
101.SCH	XBRL Taxonomy Extension Schema
101.CAL	XBRL Taxonomy Extension Calculation Linkbase
101.DEF	XBRL Taxonomy Extension Definition Linkbase
101.LAB	XBRL Taxonomy Extension Label Linkbase
101.PRE	XBRL Taxonomy Extension Presentation Linkbase

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

** Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013

*** Filed herewith

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SIGNATURES

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

Dated:  November 14, 2018	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO
	By:	GRAHAM CAPITAL MANAGEMENT, L.P.
		its Manager

By:   /s/  Paul Sedlack

Paul Sedlack, Principal Executive Officer

By:   /s/  Brian Douglas

Brian Douglas, Chief Financial Officer

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