Graham Alternative Investment Fund I 10-Q 2021 Q1 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 March 31, 2021

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from          to          

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

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)

Brian Douglas

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT  06853

(203) 899-3400

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	N/A	None

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 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 May 1, 2021, 191,193.505 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 March 31, 2021 (Unaudited) and December 31, 2020 (Audited)	1
		Unaudited Statements of Operations for the Three Months Ended March 31, 2021 and 2020	2
		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2021 and 2020	3
		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2021 and 2020	4
		Notes to Unaudited Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at March 31, 2021 (Unaudited) and December 31, 2020 (Audited)	12
		Condensed Schedules of Investments at March 31, 2021 (Unaudited) and December 31, 2020 (Audited)	13
		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2021 and 2020	14
		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2021 and 2020	15
		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2021 and 2020	16
		Notes to Unaudited Financial Statements	17
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	57
	Item 4.	Controls and Procedures	58

PART II - Other Information	59
Exhibits	60

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

	March 31, 2021 (Unaudited)		December 31, 2020 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	30,006,236	$	29,194,816
Redemptions receivable from Graham Alternative Investment Trading LLC		88,725		233,089
Total assets	$	30,094,961	$	29,427,905
Liabilities and members’ capital
Liabilities:
Redemptions payable	$	88,725	$	233,089
Total liabilities		88,725		233,089
Members’ capital:
Class 0 Units (98,617.932 and 100,881.333 units issued and outstanding at $181.44 and $173.06, respectively)		17,893,287		17,458,496
Class 2 Units (93,140.816 and 94,473.834 units issued and outstanding at $130.05 and $124.23, respectively)		12,112,949		11,736,320
Total members’ capital		30,006,236		29,194,816
Total liabilities and members’ capital	$	30,094,961	$	29,427,905

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 March 31,
	2021			2020
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investment	$	2,483,792		$	576,045
Net (decrease) increase in unrealized appreciation on investment		(552,722	)		909,803
Brokerage commissions and fees		(18,330	)		(49,215	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC		1,912,740			1,436,633
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income		10,862			104,755
Expenses:
Incentive allocation		345,626			67,842
Advisory fees		109,921			99,742
Sponsor fees		58,823			53,811
Professional fees		17,789			26,699
Administrator’s fees		9,312			8,445
Interest expense		1,694			1,618
Total expenses		543,165			258,157
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(532,303	)		(153,402	)
Net income	$	1,380,437		$	1,283,231

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 Three Months Ended March 31, 2021 and 2020

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2019		103,946.549		$	15,804,368			102,244.827		$	11,078,195		$	26,882,563
Subscriptions		–			–			–			–			–
Redemptions		(2,339.429	)		(355,086	)		(1,542.303	)		(163,815	)		(518,901	)
Net income		–			738,375			–			544,856			1,283,231
Members’ capital, March 31, 2020		101,607.120		$	16,187,657			100,702.524		$	11,459,236		$	27,646,893

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2020		100,881.333		$	17,458,496			94,473.834		$	11,736,320		$	29,194,816
Subscriptions		–			–			–			–			–
Redemptions		(2,263.401	)		(397,412	)		(1,333.018	)		(171,605	)		(569,017	)
Net income		–			832,203			–			548,234			1,380,437
Members’ capital, March 31, 2021		98,617.932		$	17,893,287			93,140.816		$	12,112,949		$	30,006,236

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

	Three Months Ended March 31,
	2021			2020
Cash flows provided by operating activities
Net income	$	1,380,437		$	1,283,231
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investment in Graham Alternative Investment Trading LLC		(1,380,437	)		(1,283,231	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC		713,381			573,655
Net cash provided by operating activities		713,381			573,655
Cash flows used in financing activities
Subscriptions		–			–
Redemptions		(713,381	)		(573,655	)
Net cash used in financing activities		(713,381	)		(573,655	)
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

March 31, 2021

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 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.  As of March 31, 2021 and March 31, 2020, only the Blended Strategies Portfolio was open and available to investors.

The Fund offers members Class 0 and Class 2 Units (collectively the “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 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”) of the Fund.

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, including the condensed schedules of investments.

See attached financial statements of Graham Alternative Investment Trading LLC.

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 the Master Funds and Cash Assets at fair value based upon GAIT’s proportionate share of the Master Funds’ and Cash Assets 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 March 31, 2021 and December 31, 2020, the Fund owned 48.66% and 48.87%, 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.

See attached financial statements of Graham Alternative Investment Trading LLC.

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 three months ended March 31, 2021 or the year ended December 31, 2020 by the Fund, GAIT, the Master Funds or Cash Assets.

Cash and Cash Equivalents

The Fund classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents on the statements of financial condition. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the Fund’s cash would be limited to account insurance or other protection afforded by such deposit, which could be substantially less than the amount deposited. At March 31, 2021 and December 31, 2020, the Fund did not have any cash or cash equivalents.

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 March 31, 2021 and December 31, 2020, no accruals have been recorded by the Fund for indemnifications.

3. Capital Accounts

The Fund offers two classes (each a “Class”) of 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 may 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 Members’ Capital account is equal to the initial subscription to the Fund by such member with respect to the Class to which such capital account relates. Each Members’ 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.

See attached financial statements of Graham Alternative Investment Trading LLC.

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 business days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

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 1.50% of the Members’ Capital of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. For the three months ended March 31, 2021 and 2020, the Advisory Fees allocated to the Fund by each Class of GAIT totaled $109,921 and $99,742, respectively.

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 three months ended March 31, 2021 and 2020, the Sponsor Fees allocated to the Fund by each Class of GAIT totaled $58,823 and $53,811, respectively.

Class 0	Class 2
0.50%	1.25%

See attached financial statements of Graham Alternative Investment Trading LLC.

8

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

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 Members’ Capital redeemed from such class bears to the Members’ 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 Graham Capital LLC. For the three months ended March 31, 2021 and 2020, Incentive Allocation of $345,626 and $67,842, respectively were allocated to the Fund by GAIT.

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 three months ended March 31, 2021 and 2020, 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 three months ended March 31, 2021 and 2020 were $9,312 and $8,445, 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 income and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a “more-likely-than-not” threshold would be recorded as a tax expense in the current year. The Fund identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. 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 all open tax years. 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. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations. No such interest and/or penalties were assessed to the Fund for the three months ended March 31, 2021 and 2020.

See attached financial statements of Graham Alternative Investment Trading LLC.

9

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Risk Factors

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could have a significant impact on the Fund’s performance. The extent of the impact will depend on future developments, including (i) the duration and spread of the outbreak, (ii) any restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. The Advisor is monitoring these developments and continually assessing the potential impact on the performance and operations of the Fund, including the terms of brokerage agreements, ISDAs, and other trading agreements with the Fund. The Advisor has enacted the appropriate portions of its business continuity plans and adapted its workflow accordingly.

7. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2021 and 2020:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:
Net investment loss		(1.03	)		(0.47	)
Net gain on investments		8.31			5.91
Net income		7.28			5.44
Net asset value per Unit, March 31, 2020	$	159.32		$	113.79
Net asset value per Unit, December 31, 2020	$	173.06		$	124.23
Net income:
Net investment loss		(3.08	)		(2.40	)
Net gain on investments		11.46			8.22
Net income		8.38			5.82
Net asset value per Unit, March 31, 2021	$	181.44		$	130.05

See attached financial statements of Graham Alternative Investment Trading LLC.

10

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

7. Financial Highlights (continued)

The following represents ratios to average Members’ Capital and total return for the three months ended March 31, 2021 and 2020:

	Class 0						Class 2
	2021			2020			2021			2020
Total return before Incentive Allocation		6.07	%		5.21	%		5.87	%		5.02	%
Incentive Allocation		(1.23	)		(0.43	)		(1.18	)		0.00
Total return after Incentive Allocation		4.84	%		4.78	%		4.69	%		5.02	%
Net investment loss before Incentive Allocation		(0.56	)%		(0.25	)%		(0.75	)%		(0.43	)%
Incentive Allocation		(1.19	)		(0.43	)		(1.16	)		0.00
Net investment loss after Incentive Allocation		(1.75	)%		(0.68	)%		(1.91	)%		(0.43	)%
Total expenses before Incentive Allocation		0.60	%		0.64	%		0.79	%		0.83	%
Incentive Allocation		1.19			0.43			1.16			0.00
Total expenses after Incentive Allocation		1.79	%		1.07	%		1.95	%		0.83	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole and is not annualized. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, 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 months ended March 31, 2021 and 2020 and are not annualized.

8. Subsequent Events

The Fund had no subscriptions and redemptions of approximately $0.1 million from April 1, 2021 through May 17, 2021, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

See attached financial statements of Graham Alternative Investment Trading LLC.

11

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2021 (Unaudited)		December 31, 2020 (Audited)
Assets
Investments in Master Funds, at fair value	$	5,834,232	$	6,446,067
Investment in Graham Cash Assets LLC, at fair value		57,253,709		54,304,841
Receivable from Master Funds		33		3
Total assets	$	63,087,974	$	60,750,911
Liabilities and members’ capital
Liabilities:
Redemptions payable	$	1,162,556	$	757,071
Accrued professional fees		136,249		128,331
Accrued advisory fees		78,074		75,035
Accrued sponsor fees		41,458		39,910
Accrued administrator’s fee		6,726		6,618
Payable to Master Funds		–		95
Total liabilities		1,425,063		1,007,060
Members’ capital:
Class 0 Units (200,773.252 and 203,816.771 units issued and outstanding at $181.44 and $173.06 per unit, respectively)		36,428,408		35,272,482
Class 2 Units (181,281.877 and 184,460.524 units issued and outstanding at $130.05 and $124.23 per unit, respectively)		23,575,660		22,915,191
Class M Units (4,671.470 units issued and outstanding at $355.10 and $333.12 per unit, respectively)		1,658,843		1,556,178
Total members’ capital		61,662,911		59,743,851
Total liabilities and members’ capital	$	63,087,974	$	60,750,911

See accompanying notes.

12

Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2021 (Unaudited)					December 31, 2020 (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	$	2,822,995		4.58	%	$	2,103,213		3.52	%
Graham K4D Trading Ltd.		3,011,237		4.88	%		4,342,854		7.27	%
Total investments in Master Funds	$	5,834,232		9.46	%	$	6,446,067		10.79	%

See accompanying notes.

13

Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
	2021			2020
Net gain allocated from investments in Master Funds:
Net realized gain on investments	$	5,095,467		$	1,191,386
Net (decrease) increase in unrealized appreciation on investments		(1,122,610	)		1,879,868
Brokerage commissions and fees		(37,646	)		(101,748	)
Net gain allocated from investments in Master Funds		3,935,211			2,969,506
Net investment (loss) income allocated from investments in Master Funds		(237	)		17,733
Investment income:
Interest income		22,358			198,834
Total investment income		22,358			198,834
Expenses:
Advisory fees		219,830			201,293
Sponsor fees		116,640			107,597
Professional fees		36,351			55,179
Administrator’s fee		19,124			17,460
Interest expense		3,479			3,344
Total expenses		395,424			384,873
Net investment loss of the Fund		(373,066	)		(186,039	)
Net income		3,561,908			2,801,200
Incentive allocation		(692,262	)		(139,069	)
Net income available for pro-rata allocation to all members	$	2,869,646		$	2,662,131

See accompanying notes.

14

Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the Three Months Ended March 31, 2021 and 2020

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2019		213,162.414		$	32,409,897			201,355.180		$	21,816,766			4,671.470	$	1,307,992		$	55,534,655
Subscriptions		–			–			–			–			–		–			–
Redemptions		(5,366.145	)		(816,202	)		(6,097.039	)		(673,152	)		–		(139,069	)		(1,628,423	)
Incentive allocation		–			(139,069	)		–			–			–		139,069			–
Net income		–			1,650,675			–			1,075,378			–		75,147			2,801,200
Members’ capital, March 31, 2020		207,796.269		$	33,105,301			195,258.141		$	22,218,992			4,671.470	$	1,383,139		$	56,707,432

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2020		203,816.771		$	35,272,482			184,460.524		$	22,915,191			4,671.470	$	1,556,178		$	59,743,851
Subscriptions		–			–			–			–			–		–			–
Redemptions		(3,043.519	)		(538,957	)		(3,178.647	)		(411,629	)		–		(692,262	)		(1,642,848	)
Incentive allocation		–			(424,238	)		–			(268,024	)		–		692,262			–
Net income		–			2,119,121			–			1,340,122			–		102,665			3,561,908
Members’ capital, March 31, 2021		200,773.252		$	36,428,408			181,281.877		$	23,575,660			4,671.470	$	1,658,843		$	61,662,911

See accompanying notes.

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Graham Alternative Investment Trading LLC

 Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2021			2020
Cash flows provided by operating activities
Net income	$	3,561,908		$	2,801,200
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds		(3,934,974	)		(2,987,239	)
Net (income) allocated from investment in Graham Cash Assets LLC		(22,358	)		(198,834	)
Proceeds from sale of investments in Master Funds		20,606,296			19,043,220
Proceeds from sale of investment in Graham Cash Assets LLC		11,764,515			9,733,960
Purchases of investments in Master Funds		(16,059,612	)		(13,714,245	)
Purchases of investment in Graham Cash Assets LLC		(14,691,025	)		(13,359,889	)
Changes in assets and liabilities:
Increase (decrease) in accrued professional fees		7,918			(80,998	)
Increase in accrued advisory fees		3,039			1,700
Increase in accrued sponsor fees		1,548			908
Increase in accrued administrator’s fee		108			166
Net cash provided by operating activities		1,237,363			1,239,949
Cash flows used in financing activities
Subscriptions		–			–
Redemptions		(1,237,363	)		(1,239,896	)
Net cash used in financing activities		(1,237,363	)		(1,239,896	)
Net change in cash and cash equivalents		–			53
Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	53

Supplemental cash flow information
Interest paid	$	3,479	$	3,344

See accompanying notes.

16

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

March 31, 2021

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 (“OTC”).

Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio (through its investment in Graham Alternative Investment Ltd.) are the primary investors of GAIT.

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

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

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.

17

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 year end. 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 March 31, 2021 and December 31, 2020. 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 and net (decrease) increase 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.

18

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 the 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 the 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 three months ended March 31, 2021 or the year ended December 31, 2020 by GAIT, the Master Funds, or Cash Assets.

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 appreciation and depreciation from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net realized 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.

19

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 appreciation and depreciation 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 appreciation and depreciation.

20

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 Master Funds’ 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 appreciation 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 resets or is terminated.

21

Graham Alternative Investment Trading LLC

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 appreciation 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 three months ended March 31, 2021 and the year ended December 31, 2020 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 $0 and $901,487 at March 31, 2021 and December 31, 2020, respectively. Graham Commodity Strategies LLC had no derivative instruments subject to credit risk related contingent features in a net liability position at March 31, 2021 and December 31, 2020.

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 seats and the shares of the CME Group at fair value. As of March 31, 2021 and December 31, 2020, the two NYMEX seats were valued at $350,000 and $283,000, respectively,  and the 30,000 shares of CME Group were valued at $6,126,900 and $5,461,500, respectively, all of which are included within Exchange memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

22

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Mercantile Exchange Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham Commodity Strategies LLC owns two CME seats and 2,232 shares of the CME Group. Graham Commodity Strategies LLC’s policy is to value the CME seats and the shares of the CME Group at fair value. As of March 31, 2021 and December 31, 2020, the two CME seats were valued at $355,500 and $295,050, respectively.  As of March 31, 2021 and December 31, 2020, the 2,232 shares of CME Group were valued at $455,841 and $406,336, respectively.  The CME seats and shares are included within Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The CME seats and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Mercantile Exchange (“CME”). As a result of its membership, Graham K4D Trading Ltd. owns one CME seat and 4,085 shares of the CME Group. Graham K4D Trading Ltd.’s policy is to value the CME seat and the shares of the CME Group at fair value. As of March 31, 2021 and December 31, 2020, the CME seat was valued at $46,000 and $51,000, respectively. As of March 31, 2021 and December 31, 2020, the 4,085 shares of the CME Group were valued at $834,280 and $743,674, respectively. The CME seats and shares are included in Exchange memberships on Graham K4D Trading Ltd.’s statement of financial condition. The CME seat and CME Group shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

Graham K4D Trading Ltd. 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 (collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of March 31, 2021 and December 31, 2020, the two B-1/Full seats were valued at a total of $370,000 and $373,000, respectively, and the B-2/Associate seat was valued at $27,000 and $32,250, respectively, all of which are included in Exchange memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns 970 shares of the CME Group as a result of its CBOT membership. Graham K4D Trading Ltd.’s policy is to value the CME Group shares at fair value. As of March 31, 2021 and December 31, 2020, the 970 shares of the CME Group were valued at $198,103 and $176,589, respectively. The CBOT memberships and shares of the CME Group are considered Level 1 assets as described in the Fair Value section of Note 2.

As of March 31, 2021, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the CBOT under Rule 106.S and owns 3,265 shares of the CME Group as a result of its CBOT membership. Graham Commodity Strategies LLC’s policy is to value the CME shares at fair value. As of March 31, 2021 and December 31, 2020, the 3,265 shares of the CME Group were valued at $666,811 and $594,393, respectively.  The CME Group shares are included in Exchange memberships on Graham Commodity LLC’s statement of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.

Commodity Exchange Membership

As of March 31, 2021, Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is also a member of the Commodity Exchange (“COMEX”) and owns two COMEX seats. Graham Commodity Strategies LLC’s policy is to value the COMEX seats at fair value. As of March 31, 2021 and December 31, 2020, the two COMEX seats were valued at $110,000 and $177,000, respectively.  The COMEX seats are included in Exchange memberships on Graham Commodity Strategies LLC’s statement of financial condition. The COMEX seats are considered Level 1 assets as described in the Fair Value section of Note 2.

23

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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.

Cash and Cash Equivalents

GAIT classifies all highly liquid investments with a maturity of three months or less at the time of purchase as cash equivalents. Cash deposited with a bank is subject to credit risk. In the event of the bank’s insolvency, recovery of the GAIT’s cash would be limited to account insurance or other protection afforded by such deposit.  At March 31, 2021 and December 31, 2020, GAIT did not have any cash or cash equivalents.

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 March 31, 2021 and December 31, 2020, no accruals have been recorded by GAIT for indemnifications.

3. Investments in Master Funds

As of March 31, 2021 and December 31, 2020, 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 fees or incentive allocation, and all offer monthly subscriptions and redemptions.

March 31, 2021
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended March 2021)
Global Macro Funds
Graham Commodity Strategies LLC		4.58	%	$	2,822,995	$	3,765,855
Systematic Macro Funds
Graham K4D Trading Ltd.		4.88	%		3,011,237		169,119
		9.46	%	$	5,834,232	$	3,934,974

December 31, 2020
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (Loss) (three months ended March 2020)
Global Macro Funds
Graham Commodity Strategies LLC		3.52	%	$	2,103,213	$	5,693,182
Systematic Macro Funds
Graham K4D Trading Ltd.		7.27	%		4,342,854		(2,727,516	)
		10.79	%	$	6,446,067	$	2,965,666

24

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 March 31, 2021:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $27,488,878)	$	–		$	27,499,251
Due from brokers		61,506,232			4,413,888
Derivative financial instruments, at fair value		23,555,888			4,608,785
Exchange memberships, at fair value		8,065,052			1,475,383
Interest receivable		1,109			368
Total assets		93,128,281			37,997,675
Liabilities:
Derivative financial instruments, at fair value		–			1,690,104
Interest payable		12,851			1,305
Total liabilities		12,851			1,691,409
Members’ Capital / Net Assets	$	93,115,430		$	36,306,266
Percentage of Master Fund held by GAIT		3.03	%		8.29	%

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 March 31, 2021:

Description	Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	8,065,052			8.66	%
Total exchange memberships			$	8,065,052			8.66	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	(2,490,306	)		(2.67	)%
Foreign bond				243,745			0.26	%
Foreign index				1,189,197			1.28	%
Interest rate				(288,175	)		(0.31	)%
U.S. index				(516,913	)		(0.56	)%
Total futures				(1,862,452	)		(2.00	)%
Forwards
Foreign currency				(4,402,732	)		(4.73	)%
Total forwards				(4,402,732	)		(4.73	)%
Options (cost $33,259,925)
Commodity futures				1,470,075			1.58	%
Currency futures
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 - $114.25 Call		6		8,740,911			9.39	%
U.S. dollar / Japanese yen April 2021, $96.02 - $102.02 Put		3		4			0.00	%
Other currency futures				16,317,417			17.52	%
Interest rate futures
Euro dollar 2 yr midcurve December 2021, $98.75 - $99.00 Put		2		8,236,844			8.85	%
Other interest rate futures				245,987			0.26	%
U.S. bond futures
U.S. 10 yr May 2021, $133.00 Call		1		143,828			0.15	%
U.S. 10 yr May 2021 - June 2021, $131.00 Put		2		4,058,547			4.36	%
U.S. 5 yr May 2021, $123.50 Put		1		1,633,477			1.75	%
U.S. index futures				1,234,685			1.33	%
Total options				42,081,775			45.19	%

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 March 31, 2021:

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				$	(153,424	)		(0.16	)%
Foreign bond					(99,976	)		(0.11	)%
Foreign index					(400,804	)		(0.43	)%
Interest rate					406,413			0.44	%
U.S. bond
U.S. 10 yr Ultra June 2021		(2,449	)		873,000			0.94	%
U.S. long bond June 2021		(522	)		(999,656	)		(1.07	)%
U.S. 10 yr note June 2021		(4,518	)		3,510,203			3.76	%
U.S. Ultra bond June 2021		(761	)		917,719			0.99	%
U.S. index					(384,277	)		(0.41	)%
Total futures					3,669,198			3.95	%
Forwards
Foreign currency					3,932,672			4.22	%
Total forwards					3,932,672			4.22	%
Options (proceeds $16,521,145)
Commodity futures					(1,075,340	)		(1.15	)%
Currency futures
U.S. dollar / Japanese yen April 2021 - September 2021, $108.00 – $112.50 Call		(6	)		(5,857,258	)		(6.29	)%
U.S. dollar / Japanese yen April 2021, $97.80 Put		(1	)		–			0.00	%
Other currency futures					(4,056,897	)		(4.35	)%
Interest rate futures
Euro dollar 2 yr midcurve December 2021, $98.50 Put		(1	)		(4,746,656	)		(5.10	)%
Other interest rate futures					(111,814	)		(0.12	)%
U.S. bond futures
U.S. 10 yr May 2021, $134.00 Call		(1	)		(61,641	)		(0.07	)%
U.S. 10 yr May 2021 - June 2021, $123.00 - $130.00 Put		(3	)		(3,646,367	)		(3.92	)%
U.S. index futures					(306,600	)		(0.33	)%
Total options					(19,862,573	)		(21.33	)%
Total derivative financial instruments				$	23,555,888			25.30	%

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 March 31, 2021:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Fixed income securities owned (cost $27,488,878)
Government bonds (cost $27,488,878)
United States (cost $27,488,878)
Treasury Bonds (cost $27,488,878)
U.S. Treasury bond 0.00% due 07/08/2021	$	27,500,000	$	27,499,251			75.74	%
Total United States				27,499,251			75.74	%
Total government bonds				27,499,251			75.74	%
Total fixed income securities owned			$	27,499,251			75.74	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	1,475,383			4.06	%
Total exchange memberships			$	1,475,383			4.06	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	(1,500,013	)		(4.13	)%
Currency				(41,555	)		(0.11	)%
Foreign bond				(100,360	)		(0.28	)%
Foreign index				1,070,999			2.95	%
Interest rate				(751,344	)		(2.07	)%
U.S. bond				(922,237	)		(2.54	)%
U.S. index				443,633			1.22	%
Total futures				(1,800,877	)		(4.96	)%
Forwards
Japanese yen / U.S. dollar  06/16/21	JPY	2,423,862,000		(294,874	)		(0.81	)%
Other foreign currency				(1,146,020	)		(3.16	)%
Total forwards				(1,440,894	)		(3.97	)%

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 March 31, 2021:

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				$	(94,209	)		(0.26	)%
Currency					(38,444	)		(0.11	)%
Foreign bond					(327,343	)		(0.90	)%
Foreign index					(669,536	)		(1.84	)%
U.S. bond					1,240,305			3.42	%
Total futures					110,773			0.31	%
Forwards
U.S. dollar / Japanese yen 06/16/2021	JPY	(18,596,684,000	)		3,230,386			8.89	%
Foreign currency					2,819,293			7.77	%
Total forwards					6,049,679			16.66	%
Total derivative financial instruments				$	2,918,681			8.04	%

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 March 31, 2021:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	546,428		$	3,955,267
Commodity futures options		1,470,075			–
Currency futures		–			55,954
Exchange memberships		8,065,052			1,475,383
Foreign bond futures		243,745			123,847
Foreign index futures		1,194,209			1,160,802
Interest rate futures		406,413			75
Interest rate futures options		8,482,830			–
U.S. bond futures		5,417,891			1,240,304
U.S. bond futures options		5,835,852			–
U.S. index futures		363,557			486,131
U.S. index futures options		1,234,685			–
Total Level 1		33,260,737			8,497,763
Level 2:
Foreign currency forwards		9,757,957			7,282,221
Foreign currency futures options		25,058,333			–
Government bonds*		–			27,499,251
Total Level 2		34,816,290			34,781,472
Total investment related assets	$	68,077,027		$	43,279,235
Liabilities
Level 1:
Commodity futures	$	(3,190,158	)	$	(5,549,489	)
Commodity futures options		(1,075,340	)		–
Currency futures		–			(135,953	)
Foreign bond futures		(99,976	)		(551,550	)
Foreign index futures		(405,816	)		(759,339	)
Interest rate futures		(288,175	)		(751,419	)
Interest rate futures options		(4,858,469	)		–
U.S. bond futures		(1,116,625	)		(922,236	)
U.S. bond futures options		(3,708,008	)		–
U.S. index futures		(1,264,747	)		(42,498	)
U.S. index futures options		(306,600	)		–
Total Level 1		(16,313,914	)		(8,712,484	)
Level 2:
Foreign currency forwards		(10,228,017	)		(2,673,436	)
Foreign currency futures options		(9,914,156	)		–
Total Level 2		(20,142,173	)		(2,673,436	)
Total investment related liabilities	$	(36,456,087	)	$	(11,385,920	)

* See each 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 quarterly notional amounts and number of contracts for the three months ended March 31, 2021. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at March 31, 2021 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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	$	119,543,333		1,782	$	(21,355,958	)		(391	)	$	546,428	$	(3,190,158	)
Options (a)		75,946,701		1,884		(19,193,515	)		(1,869	)		1,470,075		(1,075,340	)
		195,490,034		3,666		(40,549,473	)		(2,260	)		2,016,503		(4,265,498	)
Equity price
Futures		330,877,198		3,386		(64,976,853	)		(1,004	)		1,557,766		(1,670,563	)
Options (a)		59,115,404		1,127		(9,687,796	)		(876	)		1,234,685		(306,600	)
		389,992,602		4,513		(74,664,649	)		(1,880	)		2,792,451		(1,977,163	)
Foreign currency exchange rate
Forwards		1,219,171,584		N/A		(1,159,285,096	)		N/A			9,757,957		(10,228,017	)
Options (a)		1,115,519,116		43		(1,032,508,318	)		(60	)		25,058,333		(9,914,156	)
		2,334,690,700		43		(2,191,793,414	)		(60	)		34,816,290		(20,142,173	)
Interest rate
Futures		852,199,452		4,246		(1,851,754,577	)		(10,730	)		6,068,049		(1,504,776	)
Options (a)		2,059,595,961		23,707		(2,223,598,636	)		(25,088	)		14,318,682		(8,566,477	)
		2,911,795,413		27,953		(4,075,353,213	)		(35,818	)		20,386,731		(10,071,253	)
Total	$	5,831,968,749		36,175	$	(6,382,360,749	)		(40,018	)	$	60,011,975	$	(36,456,087	)

(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 quarterly notional amounts and number of contracts for the three months ended March 31, 2021. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at March 31, 2021 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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	$	191,299,105		3,240	$	(62,287,293	)		(499	)	$	3,955,267	$	(5,549,489	)
		191,299,105		3,240		(62,287,293	)		(499	)		3,955,267		(5,549,489	)
Equity price
Futures		188,526,395		1,374		(20,303,960	)		(192	)		1,646,933		(801,837	)
		188,526,395		1,374		(20,303,960	)		(192	)		1,646,933		(801,837	)
Foreign currency exchange rate
Forwards		217,733,693		N/A		(467,289,454	)		N/A			7,282,221		(2,673,436	)
Futures		3,943,588		31		(12,314,593	)		(137	)		55,954		(135,953	)
		221,677,281		31		(479,604,047	)		(137	)		7,338,175		(2,809,389	)
Interest rate
Futures		1,979,165,524		8,904		(303,079,094	)		(1,970	)		1,364,226		(2,225,205	)
		1,979,165,524		8,904		(303,079,094	)		(1,970	)		1,364,226		(2,225,205	)
Total	$	2,580,668,305		13,549	$	(865,274,394	)		(2,798	)	$	14,304,601	$	(11,385,920	)

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 March 31, 2021 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 derivative 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	$	60,011,975		$	(36,456,087	)	$	23,555,888		$	–	$	23,555,888
Derivative liabilities		(36,456,087	)		36,456,087			–			–		–
Graham K4D Trading Ltd.2
Derivative assets	$	14,304,601		$	(9,695,816	)	$	4,608,785		$	–	$	4,608,785
Derivative liabilities		(11,385,920	)		9,695,816			(1,690,104	)		1,690,104		–

¹ Net derivative asset amounts presented in the statements of financial condition are held with three counterparties. At March 31, 2021, additional collateral pledged in the amount of $61,483,869 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 statements of financial condition are held with two counterparties. At March 31, 2021, additional collateral pledged in the amount of $2,723,784 was posted in support of derivative positions and is included in due from brokers on the statements 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 March 31, 2021:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment (loss)	$	(2,215	)	$	(1,894	)
Net realized gain on investments		138,893,184			17,766,111
Net increase (decrease) in unrealized appreciation on investments		9,806,624			(15,583,260	)
Brokerage commissions and fees		(1,174,935	)		(69,436	)
Net gain on investments		147,524,873			2,113,415
Net income	$	147,522,658		$	2,111,521

The following table shows the gains and losses on all derivative financial instruments held by the Master Funds reported in net realized 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 March 31, 2021:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	2,503,326		$	(6,195,506	)	$	18,616,257		$	(13,504,895	)
Options		(1,301,862	)		1,010,316			–			–
		1,201,464			(5,185,190	)		18,616,257			(13,504,895	)
Equity price
Futures		27,780,064			(954,906	)		14,129,733			(5,639,093	)
Options		(2,139,341	)		1,693,318			–			–
		25,640,723			738,412			14,129,733			(5,639,093	)
Foreign currency exchange rate
Forwards		8,248,143			(1,381,872	)		(3,914,165	)		5,505,995
Futures		–			–			(79,408	)		(171,708	)
Options		4,563,655			(2,263,513	)		–			–
		12,811,798			(3,645,385	)		(3,993,573	)		5,334,287
Interest rate
Futures		96,371,602			7,686,430			(11,018,255	)		(1,850,881	)
Options		9,279,435			2,952,746		��	–			–
		105,651,037			10,639,176			(11,018,255	)		(1,850,881	)
Total	$	145,305,022		$	2,547,013		$	17,734,162		$	(15,660,582	)

34

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, 2020:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Fixed income securities, at fair value (cost $15,290,650)	$	–		$	15,299,973
Due from brokers		53,351,844			13,045,449
Derivative financial instruments, at fair value		19,688,505			19,267,599
Exchange memberships, at fair value		7,217,279			1,376,513
Interest receivable		62,120			8,846
Dividends receivable		1,123			379
Total assets		80,320,871			48,998,759
Liabilities:
Derivative financial instruments, at fair value		–			901,032
Interest payable		26,417			2,940
Total liabilities		26,417			903,972
Members’ Capital / Net Assets	$	80,294,454		$	48,094,787
Percentage of Master Fund held by GAIT		2.62	%		9.03	%

35

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, 2020:

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital
Graham Commodity Strategies LLC
Exchange memberships (cost $3,649,411)
United States (cost $3,649,411)
Financial services (cost $3,649,411)			$	7,217,279			8.99	%
Total exchange memberships			$	7,217,279			8.99	%
Derivative financial instruments
Long contracts
Futures
Commodity			$	3,605,184			4.49	%
Foreign index				86,848			0.11	%
Interest rate				(1,593,877	)		(1.99	)%
U.S. index				945,270			1.18	%
Total futures				3,043,425			3.79	%
Forwards
Euro dollar / U.S. dollar 01/04/2021 - 01/05/2021	EUR	996,045,395		(6,213,377	)		(7.74	)%
Other foreign currency				8,418,948			10.49	%
Total forwards				2,205,571			2.75	%
Options (cost $34,126,355)
Commodity futures				2,853,904			3.55	%
Currency futures
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put		2		201,977			0.25	%
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call		22		7,930,615			9.88	%
Other currency futures				15,258,361			19.01	%
Foreign bond futures				(474,329	)		(0.59	)%
Interest rate futures				(353,350	)		(0.44	)%
U.S. bond futures
U.S. 10 yr. January 2021 - February 2021, $137.00 Put		2		613,781			0.76	%
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put		3		4,750,609			5.92	%
U.S. index futures				156,243			0.19	%
Total options				30,937,811			38.53	%

36

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, 2020:

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity				$	(112,721	)		(0.14	)%
Foreign bond					(231,767	)		(0.29	)%
Foreign index					(190,008	)		(0.24	)%
Interest rate					(774,012	)		(0.96	)%
U.S. bond
U.S. long bond (CBT) March 2021		(359	)		(7,469	)		(0.01	)%
U.S. Ultra bond (CBT) March 2021		(281	)		(413,531	)		(0.52	)%
Total futures					(1,729,508	)		(2.16	)%
Forwards
Foreign currency					(4,255,973	)		(5.30	)%
Total forwards					(4,255,973	)		(5.30	)%
Options (proceeds $15,848,231)
Commodity futures					(1,158,990	)		(1.44	)%
Currency futures
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put		(2	)		(424,428	)		(0.53	)%
Euro dollar / U.S. dollar January 2021 - February 2021, $1.23 - $1.27 Call		(9	)		(3,657,297	)		(4.55	)%
Other currency futures					(1,619,819	)		(2.02	)%
Interest rate futures					88,338			0.11	%
U.S. bond futures
U.S. 10 yr January 2021 - February 2021, $137.00 Put		(1	)		(81,844	)		(0.10	)%
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put		(2	)		(3,658,781	)		(4.56	)%
Total options					(10,512,821	)		(13.09	)%
Total derivative financial instruments				$	19,688,505			24.52	%

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, 2020:

Description	Principal Amount / Number of Contracts		Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd.
Fixed income securities owned (cost $15,290,650)
Government bonds (cost $15,290,650)
United States (cost $15,290,650)
Treasury bills (cost $15,290,650)
U.S. Treasury bills 0.00% due 01/07/2021	$	15,300,000	$	15,299,973			31.81	%
Total Treasury Bills				15,299,973			31.81	%
Total fixed income securities owned			$	15,299,973			31.81	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)			$	1,376,513			2.86	%
Total exchange memberships			$	1,376,513			2.86	%
Derivative financial instruments
Long contracts
Futures
Commodity
Copper March 2021		2	$	(188	)		(0.00	)%
LME Copper March 2021		148		3,338,829			6.94	%
Soybean March 2021		244		3,274,653			6.81	%
Soybean Meal March 2021		128		486,331			1.01	%
Soybean Oil March 2021		104		297,162			0.62	%
Other commodity				5,029,748			10.46	%
Currency				17,648			0.04	%
Foreign bond				712,283			1.48	%
Foreign index				3,707,132			7.71	%
Interest rate				218,418			0.45	%
U.S. bond				(176,241	)		(0.37	)%
U.S. index				2,684,392			5.58	%
Total futures				19,590,167			40.73	%
Forwards
Foreign currency				1,990,729			4.14	%
Total forwards				1,990,729			4.14	%

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, 2020:

Description	Principal Amount / Number of Contracts			Fair Value			Percentage of Net Assets
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity
LME Copper March 2021		(28	)	$	(26,265	)		(0.05	)%
Other commodity					(567,408	)		(1.18	)%
Currency					72,159			0.15	%
Foreign bond					236,444			0.49	%
Foreign index					180,289			0.37	%
Interest rate					(44,120	)		(0.09	)%
U.S. bond					(173,211	)		(0.36	)%
Total futures					(322,112	)		(0.67	)%
Forwards
Foreign currency					(2,892,217	)		(6.01	)%
Total forwards					(2,892,217	)		(6.01	)%
Total derivative financial instruments				$	18,366,567			38.19	%

39

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, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	4,747,408		$	12,876,497
Commodity futures options		2,853,904			–
Currency futures		–			98,453
Exchange memberships		7,217,279			1,376,513
Foreign bond futures		–			1,002,520
Foreign index futures		784,870			4,009,649
Interest rate futures		–			268,741
Interest rate futures options		88,338			–
U.S. bond futures		–			179,111
U.S. bond future options		5,364,390			–
U.S. index futures		1,654,860			2,684,392
U.S. index futures options		156,243			–
Total Level 1		22,867,292			22,495,876
Level 2:
Foreign currency forwards		16,048,079			2,161,662
Foreign currency options		23,390,952			–
Government bonds*		–			15,299,973
Total Level 2		39,439,031			17,461,635
Total investment related assets	$	62,306,323		$	39,957,511
Liabilities
Level 1:
Commodity futures	$	(1,254,945	)	$	(1,043,635	)
Commodity futures options		(1,158,990	)		–
Currency futures		–			(8,646	)
Foreign bond futures		(231,767	)		(53,793	)
Foreign bond futures options		(474,329	)		–
Foreign index futures		(888,030	)		(122,228	)
Interest rate futures		(2,367,889	)		(94,443	)
Interest rate futures options		(353,350	)		–
U.S. bond futures		(421,000	)		(528,563	)
U.S. bond future options		(3,740,625	)		–
U.S. index futures		(709,590	)		–
Total Level 1		(11,600,515	)		(1,851,308	)
Level 2:
Foreign currency forwards		(18,098,481	)		(3,063,150	)
Foreign currency options		(5,701,543	)		–
Total Level 2		(23,800,024	)		(3,063,150	)
Total investment related liabilities	$	(35,400,539	)	$	(4,914,458	)

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

40

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 quarterly notional amounts and number of contracts for the year ended December 31, 2020. The table also displays the fair value of derivative contracts held by Graham Commodity Strategies LLC at December 31, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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	$	291,947,987		3,666	$	(22,208,833	)		(848	)	$	4,747,408	$	(1,254,945	)
Options (a)		166,938,932		9,926		(71,048,077	)		(9,418	)		2,853,904		(1,158,990	)
		458,886,919		13,592		(93,256,910	)		(10,266	)		7,601,312		(2,413,935	)
Equity price
Futures		228,334,088		2,646		(183,175,537	)		(2,528	)		2,439,730		(1,597,620	)
Options (a)		56,160,681		4,956		(41,895,632	)		(3,627	)		156,243		–
		284,494,769		7,602		(225,071,169	)		(6,155	)		2,595,973		(1,597,620	)
Foreign currency exchange rate
Forwards		1,740,877,419		N/A		(1,442,685,488	)		N/A			16,048,079		(18,098,481	)
Options (a)		1,057,757,240		68		(2,263,871,198	)		(55	)		23,390,952		(5,701,543	)
		2,798,634,659		68					(55	)		39,439,031		(23,800,024	)
Interest rate						(1,399,855,375	)
Futures		4,702,409,114		16,250		(2,314,949,508	)		(5,972	)		–		(3,020,656	)
Options (a)	��	1,626,301,542		125,103		(3,714,804,883	)		(28,892	)		5,452,728		(4,568,304	)
		6,328,710,656		141,353		(1,442,685,488	)		(34,864	)		5,452,728		(7,588,960	)
Total	$	9,870,727,003		162,615	$	(6,297,004,160	)		(51,340	)	$	55,089,044	$	(35,400,539	)

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

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 K4D Trading Ltd. based on its quarterly notional amounts and number of contracts for the year ended December 31, 2020. The table also displays the fair value of derivative contracts held by Graham K4D Trading Ltd. at December 31, 2020 categorized by primary underlying risk. The fair value of derivative contracts is included in derivative financial instruments on the statements of financial condition. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and derivative 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	$	82,444,396		1,103	$	(63,476,837	)		(1,616	)	$	12,876,497	$	(1,043,635	)
		82,444,396		1,103		(63,476,837	)		(1,616	)		12,876,497		(1,043,635	)
Equity price
Futures		153,648,082		1,257		(17,798,393	)		(212	)		6,694,041		(122,228	)
		153,648,082		1,257		(17,798,393	)		(212	)		6,694,041		(122,228	)
Foreign currency exchange rate
Forwards		227,502,442		N/A		(185,401,425	)		N/A			2,161,662		(3,063,150	)
Futures		2,482,513		25		(4,648,985	)		(52	)		98,453		(8,646	)
		229,984,955		25		(190,050,410	)		(52	)		2,260,115		(3,071,796	)
Interest rate
Futures		975,188,403		5,167		(169,048,132	)		(830	)		1,450,372		(676,799	)
		975,188,403		5,167		(169,048,132	)		(830	)		1,450,372		(676,799	)
Total	$	1,441,265,836		7,552	$	(440,373,772	)		(2,710	)	$	23,281,025	$	(4,914,458	)

42

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, 2020 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 derivative 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	$	55,089,044		$	(35,400,539	)	$	19,688,505		$	–	$	19,688,505
Derivative liabilities		(35,400,539	)		35,400,539			–			–		–
Graham K4D Trading Ltd.2
Derivative assets	$	23,281,025		$	(4,013,426	)	$	19,267,599		$	–	$	19,267,599
Derivative liabilities		(4,914,458	)		4,013,426			(901,032	)		901,032		–

¹ Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. At December 31, 2020, additional collateral pledged in the amount of $53,268,604 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

² Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Fund has pledged collateral to both of those counterparties as of December 31, 2020. At December 31, 2020, additional collateral pledged in the amount of $12,144,417 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

43

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 March 31, 2020:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	328,410		$	133,182
Net realized gain (loss) on investments		230,629,768			(53,213,576	)
Net increase in unrealized appreciation on investments		16,825,784			16,645,152
Brokerage commissions and fees		(4,012,669	)		(72,065	)
Net gain (loss) on investments		243,442,883			(36,640,489	)
Net income (loss)	$	243,771,293		$	(36,507,307	)

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 in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended March 31, 2020:

	Graham Commodity Strategies LLC						Graham K4D Trading Ltd.
	Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments			Net realized gain (loss)			Net increase (decrease) in unrealized appreciation on investments
Commodity price
Futures	$	33,334,714		$	(14,508,769	)	$	1,792,847		$	5,470,825
Options		8,545,395			(2,092,465	)		–			–
		41,880,109			(16,601,234	)		1,792,847			5,470,825
Equity price
Futures		85,621,333			(27,320	)		(77,344,267	)		792,998
Options		(11,881,545	)		(2,011,800	)		–			–
		73,739,788			(2,039,120	)		(77,344,267	)		792,998
Foreign currency exchange rate
Forwards		47,724,233			7,106,424			(6,008,918	)		2,300,025
Futures		(2,697	)		(11,107	)		81,766			41,648
Options		(7,447,368	)		(5,576,786	)		–			–
		40,274,168			1,518,531			(5,927,152	)		2,341,673
Interest rate
Futures		58,672,559			29,476,694			27,837,352			8,250,390
Options		16,320,180			5,315,714			–			–
Swaps		(257,037	)		–			–			–
		74,735,702			34,792,408			27,837,352			8,250,390
Total	$	230,629,767		$	17,670,585		$	(53,641,220	)	$	16,855,886

44

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’s investment in Cash Assets at March 31, 2021 and December 31, 2020 is $57,253,709 and $54,304,841 which represents a percentage of GAIT’s Members’ Capital of 92.85% and 90.90%, respectively.

GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis.  For the three months ended March 31, 2021 and 2020, the total amount recognized by GAIT with respect to its investment in Cash Assets was $22,358 and $198,834, respectively.  These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2021 and December 31, 2020, GAIT owned approximately 0.97% and 0.97%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2021 and December 31, 2020:

	March 31, 2021		December 31, 2020
Assets:
Cash and cash equivalents	$	373,930,382	$	597,659,902
Investments in fixed income securities (amortized cost $5,534,680,940 and $4,972,093,470, respectively)		5,534,680,940		4,972,093,470
Interest receivable		23,232,915		14,546,327
Total assets		5,931,844,237		5,584,299,699
Members’ capital	$	5,931,844,237	$	5,584,299,699

45

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2021 and 2020:

	2021		2020
Net gain on investment
Net realized gain	$	-	$	2,283,203
Investment income
Interest income		2,447,157		23,266,626
Expenses:
Bank fee expense		52,414		66,301
Total expenses		52,414		66,301
Net investment income		2,394,743		23,200,325
Net income	$	2,394,743	$	25,483,528

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2021:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $5,534,680,940)
United States
Government Bonds (amortized cost $4,634,699,304)
U.S. Treasury bonds 1.13% due 7/31/2021	$	350,000,000	$	351,216,340		5.92	%
U.S. Treasury bonds 1.38% due 5/31/2021		300,000,000		300,632,836		5.07	%
U.S. Treasury bonds 1.50% due 8/31/2021		350,000,000		352,069,097		5.94	%
U.S. Treasury bonds 1.50% due 9/30/2021		350,000,000		352,481,241		5.94	%
U.S. Treasury bonds 1.50% due 11/30/2021		300,000,000		302,866,207		5.11	%
U.S. Treasury bonds 1.63% due 6/30/2021		300,000,000		301,142,075		5.08	%
U.S. Treasury bonds 2.00% due 12/31/2021		300,000,000		304,322,574		5.13	%
U.S. Treasury bonds 2.63% due 5/15/2021		300,000,000		300,935,677		5.07	%
U.S. Treasury bonds 2.63% due 6/15/2021		300,000,000		301,587,339		5.08	%
U.S. Treasury bonds 2.88% due 10/15/2021		300,000,000		304,509,928		5.13	%
U.S. Treasury bonds 1.25% – 2.88% due 4/30/2021 – 12/15/2021		1,450,000,000		1,462,935,990		24.66	%
Total Government Bonds				4,634,699,304		78.13	%
Treasury Bills (amortized cost $899,981,636)
U.S. Treasury bill 0.00% due 4/08/2021		400,000,000		399,999,533		6.74	%
U.S. Treasury bills 0.00% due 4/01/2021 – 4/22/2021		500,000,000		499,982,103		8.43	%
Total Treasury Bills				899,981,636		15.17	%
Total United States				5,534,680,940		93.30	%
Total Investments in Fixed Income Securities			$	5,534,680,940		93.30	%

46

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 December 31, 2020:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (amortized cost $4,972,093,470)
United States
Government Bonds (amortized cost $3,372,351,436)
U.S. Treasury bonds 1.38% due 5/31/2021	$	300,000,000	$	301,566,528		5.40	%
U.S. Treasury bonds 1.63% due 6/30/2021		300,000,000		302,271,599		5.41	%
U.S. Treasury bonds 2.63% due 5/15/2021		300,000,000		302,807,030		5.42	%
U.S. Treasury bonds 2.63% due 6/15/2021		300,000,000		303,467,081		5.43	%
U.S. Treasury bonds 1.13% – 2.63% due 1/15/2021 – 10/31/2021		2,150,000,000		2,162,239,198		38.73	%
Total Government Bonds				3,372,351,436		60.39	%
Treasury Bills (amortized cost $1,599,742,034)
U.S. Treasury bills 0.00% due 1/07/2021 – 4/22/2021		1,600,000,000		1,599,742,034		28.65	%
Total Treasury Bills				1,599,742,034		28.65	%
Total United States				4,972,093,470		89.04	%
Total Investments in Fixed Income Securities			$	4,972,093,470		89.04	%

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 March 31, 2021 and December 31, 2020:

	March 31, 2021		December 31, 2020
Assets
Level 2:
Fixed income securities
Government bonds	$	4,634,699,304	$	3,372,351,436
Treasury bills		899,981,636		1,599,742,034
Total fixed income securities		5,534,680,940		4,972,093,470
Total Level 2		5,534,680,940		4,972,093,470
Total assets	$	5,534,680,940	$	4,972,093,470

47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

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

A separate capital account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each Members’ Capital account is equal to the initial contribution to GAIT with respect to the Class to which such capital account relates. Each Members’ 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.

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 1.50% of the Members’ Capital of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is affected with respect to Units of such Class during the month. The Advisory Fees paid to the Manager for the three months ended March 31, 2021 and 2020 were $219,830 and $201,293, respectively.

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. The Sponsor Fees paid to the Manager for the three months ended March 31, 2021 and 2020 were $116,640 and $107,597, respectively.

Class 0	Class 2
0.50%	1.25%

48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

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. The Incentive Allocation for the three months ended March 31, 2021 and 2020 was $692,262 and $139,069, respectively.

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 three months ended March 31, 2021 and 2020, 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, incurred by GAIT were $19,124 and $17,460, 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 income 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. GAIT identifies its major tax jurisdictions as the U.S. for Federal tax purposes and Connecticut for state tax purposes. 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 all open tax years. 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. Any assessment for interest or penalties on taxes related to uncertain tax positions, when present, would be included in interest and penalties on tax on the statements of operations and incentive allocation. No such interest and/or penalties were assessed to GAIT for the three months ended March 31, 2021 and 2020.

49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Risk Factors

Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could have a significant impact on GAIT’s performance. The extent of the impact will depend on future developments, including (i) the duration and spread of the outbreak, (ii) any restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. The Manager is monitoring these developments and continually assessing the potential impact on the performance and operations of GAIT, including the terms of brokerage agreements, ISDAs, and other trading agreements with GAIT. The Manager has enacted the appropriate portions of its business continuity plans and adapted its workflow accordingly.

9. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2021 and 2020:

	Class 0			Class 2
Per unit operating performance
Net asset value per Unit, December 31, 2019	$	152.04		$	108.35
Net income:				��
Net investment loss		(1.03	)		(0.47	)
Net gain on investments		8.31			5.91
Net income		7.28			5.44
Net asset value per Unit, March 31, 2020	$	159.32		$	113.79
Net asset value per Unit, December 31, 2020	$	173.06		$	124.23
Net income:
Net investment loss		(3.08	)		(2.40	)
Net gain on investments		11.46			8.22
Net income		8.38			5.82
Net asset value per Unit, March 31, 2021	$	181.44		$	130.05

50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Financial Highlights (continued)

The following represents ratios to average Members’ Capital, excluding the Managing Member, and total return for the three months ended March 31, 2021 and 2020:

	Class 0						Class 2
	2021			2020			2021			2020
Total return before Incentive Allocation		6.06	%		5.21	%		5.88	%		5.02	%
Incentive Allocation		(1.22	)		(0.43	)		(1.19	)		0.00
Total return after Incentive Allocation		4.84	%		4.78	%		4.69	%		5.02	%
Net investment loss before Incentive Allocation		(0.56	)%		(0.25	)%		(0.75	)%		(0.43	)%
Incentive Allocation		(1.20	)		(0.43	)		(1.16	)		0.00
Net investment loss after Incentive Allocation		(1.76	)%		(0.68	)%		(1.91	)%		(0.43	)%
Total expenses before Incentive Allocation		0.60	%		0.64	%		0.79	%		0.83	%
Incentive Allocation		1.20			0.43			1.16			0.00
Total expenses after Incentive Allocation		1.80	%		1.07	%		1.95	%		0.83	%

Total return is calculated for Class 0 and Class 2 units taken as a whole and is not annualized. Total return is calculated as the change in total Members’ Capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, 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 months ended March 31, 2021 and 2020.

10. Subsequent Events

GAIT had no subscriptions and redemptions of approximately $0.3 million from April 1, 2021 through May 17, 2021, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

51

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, 2020 and in this Quarterly Report 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, 2020 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2021. 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 fixed income positions, 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 March 31, 2021, the Blended Strategies Portfolio’s Members’ Capital increased by $811,420 or 2.8%. The net increase in the Blended Strategies Portfolio was attributable to net income of $1,380,437 or 4.7% and offset by redemptions totaling $569,017 or -1.9%, for the period.

For the three months ended March 31, 2020, the Blended Strategies Portfolio’s Members’ Capital increased by $764,330 or 2.8%. The net increase in the Blended Strategies Portfolio was attributable to net income of $1,283,231 or 4.8% offset by redemptions totaling $518,901 or -2.0%, for the period.

(i) Results of Operations

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

52

2021 Summary

Three Months Ended March 31, 2021

For the three months ended March 31, 2021, the Blended Strategies Portfolio experienced net trading gains of $1,931,070. The trading results are attributable to the following sectors:

Agriculture / Softs	$	126,681
Base Metals		171,832
Energy		29,429
Equities		734,594
Foreign Exchange		162,439
Long Term / Intermediate Rates		827,808
Precious Metals		(179,631	)
Short Term Rates		57,918
	$	1,931,070

The Blended Strategies Portfolio recorded a net gain for the first quarter of 2021. The majority of gains resulted from fixed income futures, particularly from positions on the long end of the yield curve in the U.S.  Further profits resulted from equity indices, most notably from positions in U.S. and, to a lesser extent, Asian benchmark indices. In commodities, gains resulted from positions in base metals and grains. In currencies, the portfolio recorded gains primarily from positions in the Japanese yen, Swiss franc, and Australian dollar versus the U.S. dollar.

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 March 31, 2021, Advisory Fees increased by $10,179 or 10.2%, Sponsor Fees increased by $5,012 or 9.3%, and Administrator’s Fees increased by $867 or 10.3% in the Fund over the corresponding period of the preceding year. These increases are attributable to higher net assets of the portfolio resulting from net income of $1,380,437 and partially offset by redemptions totaling $569,017 for the period. During the same period, interest income decreased by $93,893 or -89.6%. Interest was earned on free cash at an average annualized yield of 0.16% for the three months ended March 31, 2021 compared to 1.76% for the same period in 2020.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2021 and 2020, the Incentive Allocation increased by $277,784 or 409.5%. This was the result of a net gain before incentive allocation for the three months ended March 31, 2021 while the net gain for the three months ended March 31, 2020 was partially subject to a loss carryforward from previous periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2021 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	(1.0	)%
Base Metals	3.4	%
Energy	(6.8	)%
Equities	4.6	%
Foreign Exchange	37.8	%
Long Term / Intermediate Rates	20.8	%
Precious Metals	(4.4	)%
Short Term Rates	45.6	%
	100.0	%

53

2020 Summary

Three Months Ended March 31, 2020

For the three months ended March 31, 2020, the Blended Strategies Portfolio experienced net trading gains of $1,485,848. The trading results are attributable to the following sectors:

Agriculture / Softs	$	28,304
Base Metals		201,106
Energy		(25,619	)
Equities		(2,100,427	)
Foreign Exchange		344,420
Long Term / Intermediate Rates		1,198,524
Precious Metals		415,229
Short Term Rates		1,424,311
	$	1,485,848

The Blended Strategies Portfolio recorded profits for the first quarter of 2020. The portfolio recorded gains in fixed income futures, most notably from positions across the curve in the U.S. with smaller gains in Australian and Canadian bonds and U.K. short rates.  Smaller gains resulted in commodities, particularly from positions in metals.  In currencies, the portfolio recorded gains from positions in the Japanese yen, Australian dollar, and Euro versus the U.S. dollar. The portfolio experienced losses in equity index futures, primarily in European and Asian benchmark 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 three months ended March 31, 2020, Advisory Fees decreased by $12,063 or -10.8%, Sponsor Fees decreased by $6,046 or -10.1%, and Administrator’s Fees decreased by $1,687 or -16.7% 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 and partially offset by net income for the period. During the same period, interest income decreased by $42,511 or -28.9%. Interest was earned on free cash at an average annualized yield of 1.76% for the three months ended March 31, 2020 compared to 1.97% for the same period in 2019.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2020 and 2019, the Incentive Allocation was $67,842 and $0, respectively.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2020 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	0.0	%
Base Metals	4.6	%
Energy	3.7	%
Equities	2.1	%
Foreign Exchange	13.7	%
Long Term / Intermediate Rates	11.6	%
Precious Metals	(8.1	)%
Short Term Rates	72.4	%
	100.0	%

54

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 fixed income positions, 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
March 31, 2021	9.27%
December 31, 2020	10.72%
March 31, 2020	8.53%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2021, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

55

(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 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.

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 all open tax years. 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.

56

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.

57

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 March 31, 2021, 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 first quarter of 2021 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

58

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None

Item 1A. Risk Factors

There have been no material changes to the risk factors disclosed in our 2020 Form 10-K.

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

For the three months ended March 31, 2021, 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
January 1 – January 31, 2021	546.667	$ 169.28	N/A	N/A
February 1 – February 28, 2021	2,367.517	$ 163.78	N/A	N/A
March 1 – March 31, 2021	682.235	$ 130.05	N/A	N/A
TOTAL	3,596.419	$ 158.22	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

59

Item 6. Exhibits

* 3.1	Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.1(a)	Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
** 3.2	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 Principal Financial Officer)
*** 32.1	Section 1350 Certification (Certification of Principal Executive Officer and Principal 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

60

SIGNATURES

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

Dated:  May 17, 2021	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO
	By:	GRAHAM CAPITAL MANAGEMENT, L.P. its Manager

By:	/s/ Brian Douglas
	Brian Douglas, Principal Executive Officer
By:	/s/ George Schrade
	George Schrade, Principal Financial Officer

61