Delaware		20-4897149
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

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

Large accelerated filer ☐

Accelerated filer ☐

Non-accelerated filer ☐

Smaller reporting company ☒

Emerging Growth company ☐

			Page
			Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Graham Alternative Investment Fund II LLC Core Macro Portfolio
		Consolidated Statements of Financial Condition at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	1
		Unaudited Consolidated Statements of Operations for the Three Months Ended March 31, 2026 and 2025	2
		Unaudited Consolidated Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2026 and 2025	3
		Unaudited Consolidated Statements of Cash Flows for the Three Months Ended March 31, 2026 and 2025	4
		Notes to Unaudited Consolidated Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	13
		Condensed Schedules of Investments at March 31, 2026 (Unaudited) and December 31, 2025 (Audited)	14
		Unaudited Statements of Operations and Incentive Allocation for the Three Months Ended March 31, 2026 and 2025	15
		Unaudited Statements of Changes in Members’ Capital for the Three Months Ended March 31, 2026 and 2025	16
		Unaudited Statements of Cash Flows for the Three Months Ended March 31, 2026 and 2025	18
		Notes to Unaudited Financial Statements	19
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	62
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	68
	Item 4.	Controls and Procedures	69

PART II - Other Information			70
	Item 1.	Legal Proceedings
	Item 1A.	Risk Factors
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds and Issuer Purchases of Equity
	Item 3.	Defaults Upon Senior Securities
	Item 4.	Mine Safety Disclosures
	Item 5.	Other Information
	Item 6.	Exhibits	71

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

		March 31, 2026 (Unaudited)				December 31, 2025 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value		$	30,202,085			$	30,674,472
Redemptions receivable from Graham Alternative Investment Trading LLC			32,816				864,086
Cash and cash equivalents			–				25,000
Total assets		$	30,234,901			$	31,563,558
Liabilities and members’ capital
Liabilities:
Redemptions payable		$	32,816			$	864,086
Subscriptions received in advance			–				25,000
Total liabilities			32,816				889,086
Members’ capital:
Class 0 Units (79,804.426 and 80,676.977 units issued and outstanding at $240.68 and $237.84, respectively)			19,207,721				19,188,019
Class 2 Units (48,975.565 and 49,944.877 units issued and outstanding at $167.00 and $165.34, respectively)			8,178,799				8,257,873
Class 3-A Units (1,842.786 and 1,842.786 units issued and outstanding at $99.95 and $98.91, respectively)			184,190				182,260
Class 3-B Units (27,074.781 and 31,710.622 units issued and outstanding at $97.19 and $96.07, respectively)			2,631,375				3,046,320
Total members’ capital			30,202,085				30,674,472
Total liabilities and members’ capital		$	30,234,901			$	31,563,558

		Three Months Ended March 31,
		2026				2025
Net gain allocated from investment in Graham Alternative Investment Trading LLC:
Net realized gain on investments		$	1,159,200			$	1,183,447
Net decrease in unrealized appreciation on investments			(760,942	)			(217,056	)
Brokerage commissions and fees			(34,693	)			(29,637	)
Net gain allocated from investment in Graham Alternative Investment Trading LLC			363,565				936,754
Net investment income allocated from investment in Graham Alternative Investment Trading LLC:
Investment income:
Interest income			270,815				370,862
Expenses:
Advisory fees			119,574				141,370
Professional fees			67,181				76,499
Sponsor fees			50,476				56,233
Administrator’s fees			10,722				13,243
Operating expenses			7,109				5,899
Incentive allocation			5,482				27,535
Interest expense			1,812				1,990
Total expenses			262,356				322,769
Net investment income allocated from investment in Graham Alternative Investment Trading LLC			8,459				48,093
Net income		$	372,024			$	984,847

		Three Months Ended March 31,
		2026				2025
Cash flows provided by operating activities
Net income		$	372,024			$	984,847
Adjustments to reconcile net income to net cash provided by operating activities:
Net income allocated from investment in Graham Alternative Investment Trading LLC			(372,024	)			(984,847	)
Proceeds from sale of investment in Graham Alternative Investment Trading LLC			1,865,681				1,898,720
Investment in Graham Alternative Investment Trading LLC			(190,000	)			(485,000	)
Net cash provided by operating activities			1,675,681				1,413,720
Cash flows used in financing activities
Subscriptions (net of subscriptions received in advance)			165,000				331,250
Redemptions (net of redemptions payable)			(1,865,681	)			(1,898,720	)
Net cash used in financing activities			(1,700,681	)			(1,567,470	)
Net change in cash and cash equivalents			(25,000	)			(153,750	)
Cash and cash equivalents, beginning of period			25,000				255,000
Cash and cash equivalents, end of period		$	–			$	101,250

1. Organization and Business

 

The Core Macro Portfolio (the “Fund”) is the sole series of Graham Alternative Investment Fund II LLC (“GAIF II”), 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 II was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF II 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 II. 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 II 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 II are enforceable against the assets of any other series. As of and for the period and year ended March 31, 2026 and December 31, 2025, respectively, the Fund is the sole series of GAIF II. GAIF II has no assets and no operations outside of those of the Fund. These financial statements fairly reflect the positions, results of operations, changes in members’ capital and cash flows of the single series constituting GAIF II.

 

The Fund offers members Class 0 and Class 2 Units, Class 3-A Units and Class 3-B Units (collectively the “Units”). All Units are currently issued. Graham Alternative Investment Ltd. (“GAI”) is a British Virgin Islands business company which was formed on June 1, 2006 and commenced operations on August 1, 2006. 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, through an investment in GAI’s Core Macro Portfolio. 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 Fund is the sole owner of GAI’s Core Macro Portfolio and GAI’s Core Macro Portfolio invests all of its assets into GAIT. The Manager is the director of GAI and the sole investment advisor of GAI, 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. The Fund may also trade futures on virtual currencies. 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.

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

 

The performance of the Fund is directly affected by the performance of GAIT; therefore, these consolidated financial statements should be read in conjunction with the attached financial statements of GAIT, including the condensed schedules of investments.

 

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, GAI, and GAIT.

2. Summary of Significant Accounting Policies

 

These consolidated 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 consolidated financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results could differ from those estimates.

 

Principles of Consolidation

 

The Fund owns 100% of GAI’s Core Macro Portfolio and as such these consolidated financial statements include all the accounts of the Fund and GAI’s Core Macro Portfolio. Intercompany transactions and balances have been eliminated in consolidation. Creditors of the Fund have recourse to all assets of the Fund for amounts due to them, while creditors of GAI would have recourse only to the assets of GAI.

 

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 consolidated 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, 2026 and December 31, 2025, the Fund owned 47.63% and 48.12%, 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 consolidated statements of financial condition. Changes in these carrying amounts are included in the consolidated 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.

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, 2026 or the year ended December 31, 2025 by the Fund, GAI, 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, 2026 and December 31, 2025, the Fund held $0 and $25,000, respectively, in cash and held no cash equivalents.

Indemnifications

 

In the normal course of business, the Master Funds, GAIT, Cash Assets, GAI, 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, 2026 and December 31, 2025, no accruals have been recorded by the Fund for indemnifications.

Segment Information

The Fund represents a single operating segment. An operating segment is defined in U.S. GAAP as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity’s chief operating decision maker (“CODM”) to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The Investment Committee acts as the Fund’s CODM. The Fund represents a single operating segment, as the CODM monitors the operating results of the Fund as a whole and the Fund’s long-term strategic asset allocation is pre-determined in accordance with the terms of its LLC Agreement, based on a defined investment strategy which is executed by the Fund’s portfolio managers as a team. The financial information in the form of the Fund’s portfolio composition, total returns, expense ratios and changes in members’ capital (i.e., changes in members’ capital resulting from operations, subscriptions and redemptions), which are used by the CODM to assess the segment’s performance versus the Fund’s comparative benchmarks and to make resource allocation decisions for the Fund’s single segment, is consistent with that presented within the Fund’s financial statements. Segment assets are reflected on the accompanying statements of financial condition as “total assets” and significant segment expenses are listed on the accompanying statements of operations.

3. Capital Accounts

 

The Fund offers members Class 0 and Class 2 Units, Class 3-A Units and Class 3-B Units. All Units are currently issued. The Fund may issue additional Classes in the future subject to different fees, expenses, or other terms, or invest in other investment programs or combinations of investment programs managed by the Manager.

 

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

 

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. Any initial or additional cash received prior to period end or on period end, if any, for Fund shares related to the subsequent period is considered a subscription received in advance on the period end date. The new subscription does not receive an allocation of income or expense from the Fund and is recorded as a liability on the Statement of Financial Condition as subscriptions received in advance.

 

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. Redemptions paid after the end of a period, based upon end-of-period share values, if any, are reflected as redemptions payable on the Statement of Financial Condition.

4. Fees and Related Party Transactions

 

Advisory Fees

 

Class 0 and Class 2 of GAIT paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate of 1.50% of the Members’ Capital of such Class. Class 3-A and Class 3-B have an advisory fee at an aggregate annual rate of 1.50% and 2.00% of the Members’ Capital of such Class, respectively. 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, 2026 and 2025, the Advisory Fees allocated to the Fund by Class 0, Class 2, Class 3-A and Class 3-B of GAIT totaled $119,574 and $141,370, respectively.

 

Sponsor Fees

 

Class 0 and Class 2 of GAIT paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Members’ Capital specified in the table below. Class 3-A and Class 3-B of GAIT have no sponsor fee. 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, 2026 and 2025, the Sponsor Fees allocated to the Fund by Class 0 and Class 2 of GAIT totaled $50,476 and $56,233, respectively.

 

Class 0	Class 2
0.50%	1.25%

 

Incentive Allocation

 

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of 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, 2026 and 2025, an Incentive Allocation of $5,482 and $27,535, respectively, was 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 Fees

For the three months ended March 31, 2026 and 2025, GAIT paid SEI monthly administrator’s fees based on GAIT’s Members’ Capital, calculated as of the last business day of each month. In addition, GAIT paid SEI for regulatory compliance services and 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, 2026 and 2025 were $10,722 and $13,243, respectively.

Professional Fees

 

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s audit, tax and legal fees (“professional fees”). The total professional fees allocated to the Fund by GAIT for the three months ended March 31, 2026 and 2025 were $67,181 and $76,499, respectively.

 

Operating Expenses

 

GAIT shall pay, or reimburse the Manager, for expenses arising in connection with the Fund’s investments, operations, and business (“operating expenses”). For the three months ended March 31, 2026 and 2025, GAIT reimbursed the Manager for operating expenses which were comprised of market data and technology costs associated with its assets allocated to the various Master Funds. The total operating expenses allocated to the Fund by GAIT for the three months ended March 31, 2026 and 2025 were $7,109 and $5,899, respectively.

5. Income Taxes

 

No provision for income taxes has been made in the accompanying consolidated 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 consolidated 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, Connecticut for state tax purposes and various international jurisdictions. The Manager has evaluated the Fund’s tax positions for all open tax years under the respective statutes of limitations (generally three years in the U.S. but varying in non-U.S. jurisdictions) and has concluded that there are no significant tax positions requiring recognition, measurement, or disclosure in the consolidated financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years that 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 consolidated statements of operations. No such interest and/or penalties were assessed to the Fund for the three months ended March 31, 2026 and 2025.

6. Risk Factors

 

Global economic, political and market conditions may adversely affect the Fund’s operations. The current global financial market situation, as well as various social and political circumstances in the United States and around the world (including wars and other forms of conflict, terrorist acts, security operations and catastrophic events such as fires, floods, earthquakes, tornadoes, hurricanes and global health epidemics), may contribute to increased market volatility and economic uncertainties or deterioration in the United States and worldwide. Such impacts may affect the financial markets in which the Fund operates.

See attached financial statements of Graham Alternative Investment Trading LLC.

7. Financial Highlights

 

The following is the per Unit operating performance calculation for the three months ended March 31, 2026 and 2025:

 

		Class 0				Class 2				Class 3-A				Class 3-B
Per unit operating performance
Net asset value per Unit, December 31, 2024		$	235.13			$	164.69			$	–			$	95.51
Initial subscription, January 1, 2025			–				–				97.68				–
Net income:
Net investment income (loss)			0.61				0.12				(0.02	)			(0.30	)
Net gain on investments			6.17				4.32				2.56				2.50
Net income			6.78				4.44				2.54				2.20
Net asset value per Unit, March 31, 2025		$	241.91			$	169.13			$	100.22			$	97.71
Net asset value per Unit, December 31, 2025		$	237.84			$	165.34			$	98.91			$	96.07
Net income:
Net investment income (loss)			0.22				(0.16	)			(0.05	)			(0.04	)
Net gain on investments			2.62				1.82				1.09				1.16
Net income			2.84				1.66				1.04				1.12
Net asset value per Unit, March 31, 2026		$	240.68			$	167.00			$	99.95			$	97.19

The following represents ratios to average Members’ Capital and total return for the three months ended March 31, 2026 and 2025:

		Class 0								Class 2								Class 3-A								Class 3-B
		2026				2025				2026				2025				2026				2025				2026				2025
Total return before Incentive Allocation			1.20	%			2.88	%			1.00	%			2.69	%			1.33	%			3.01	%			1.20	%			2.88	%
Incentive Allocation			0.00				0.00				0.00				0.00				(0.27	)			(0.41	)			(0.03	)			(0.58	)
Total return after Incentive Allocation			1.20	%			2.88	%			1.00	%			2.69	%			1.06	%			2.60	%			1.17	%			2.30	%
Net investment income (loss) before Incentive Allocation			0.09	%			0.26	%			(0.09	)%			0.07	%			0.22	%			0.38	%			0.09	%			0.25	%
Incentive Allocation			0.00				0.00				0.00				0.00				(0.27	)			(0.40	)			(0.14	)			(0.56	)
Net investment income (loss) after Incentive Allocation			0.09	%			0.26	%			(0.09	)%			0.07	%			(0.05	)%			(0.02	)%			(0.05	)%			(0.31	)%
Total expenses before Incentive Allocation			0.78	%			0.77	%			0.96	%			0.95	%			0.65	%			0.64	%			0.76	%			0.78	%
Incentive Allocation			0.00				0.00				0.00				0.00				0.27				0.40				0.14				0.56
Total expenses after Incentive Allocation			0.78	%			0.77	%			0.96	%			0.95	%			0.92	%			1.04	%			0.90	%			1.34	%

Total return is calculated for Class 0, Class 2, Class 3-A and Class 3-B Units taken as a whole. Total return is calculated as the change in total Members’ Capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment income (loss) and total expense ratios (including Incentive Allocation) are calculated for Class 0, Class 2, Class 3-A and Class 3-B 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 income (loss), expenses, and Incentive Allocation. Net investment income (loss) and total expense ratios are computed based upon the weighted average of Members’ Capital for Class 0, Class 2, Class 3-A and Class 3-B Units of the Fund for the three months ended March 31, 2026 and 2025 and are not annualized.

8. Subsequent Events

 

The Fund had subscriptions of approximately $0.2 million and redemptions of $35,874 from April 1, 2026 through May 14, 2026, the date through which subsequent events were evaluated by management. These amounts have not been included in the consolidated financial statements.

		March 31, 2026 (Unaudited)				December 31, 2025 (Audited)
Assets
Investment in Graham Cash Assets LLC, at fair value		$	55,580,823			$	55,799,712
Investments in Master Funds, at fair value			8,300,787				9,128,318
Prepaid expenses			13,511				27,021
Receivable from Master Funds			133				–
Total assets		$	63,895,254			$	64,955,051
Liabilities and members’ capital
Liabilities:
Redemptions payable		$	181,352			$	864,086
Accrued professional fees			179,194				217,101
Accrued advisory fees			80,430				82,176
Accrued sponsor fees			32,377				32,656
Accrued administrator’s fees			7,636				8,016
Accrued operating expenses			4,935				4,360
Payable to Master Funds			191				60
Total liabilities			486,115				1,208,455
Members’ capital:
Class 0 Units (152,074.777 and 153,888.906 units issued and outstanding at $240.68 and $237.84 per unit, respectively)			36,602,093				36,600,560
Class 2 Units (94,055.248 and 95,024.560 units issued and outstanding at $167.00 and $165.34 per unit, respectively)			15,707,035				15,711,375
Class 3-A Units (23,135.403 and 22,969.715 issued and outstanding at $99.95 and $98.91 per unit, respectively)			2,312,447				2,271,827
Class 3-B Units (63,487.002 and 68,584.242 units issued and outstanding at $97.19 and $96.07 per unit, respectively)			6,170,251				6,588,630
Class M Units (4,671.470 units issued and outstanding at $560.27 and $551.04 per unit, respectively)			2,617,313				2,574,204
Total members’ capital			63,409,139				63,746,596
Total liabilities and members’ capital		$	63,895,254			$	64,955,051

		March 31, 2026 (Unaudited)								December 31, 2025 (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		$	3,290,776				5.19	%		$	3,163,276				4.96	%
Graham Derivatives Strategies LLC			2,831,796				4.47	%			2,593,855				4.07	%
Graham K4D Trading Ltd.			2,178,215				3.43	%			3,371,187				5.29	%
Total investments in Master Funds		$	8,300,787				13.09	%		$	9,128,318				14.32	%

		Three Months Ended March 31,
		2026				2025
Net gain allocated from investments in Master Funds:
Net realized gain on investments		$	2,420,764			$	2,244,689
Net decrease in unrealized appreciation on investments			(1,615,757	)			(434,622	)
Brokerage commissions and fees			(72,550	)			(56,029	)
Net gain allocated from investments in Master Funds			732,457				1,754,038
Net investment income allocated from investments in Master Funds			36,913				47,879
Investment income:
Interest income			528,967				652,334
Total investment income			528,967				652,334
Expenses:
Advisory fees			240,716				255,978
Professional fees			139,922				144,368
Sponsor fees			96,517				102,828
Administrator’s fees			22,408				25,012
Operating expenses			14,856				11,144
Interest expense			3,787				3,759
Total expenses			518,206				543,089
Net investment income of the Fund			10,761				109,245
Net income			780,131				1,911,162
Incentive allocation			(12,618	)			(48,127	)
Net income available for pro-rata allocation to all members		$	767,513			$	1,863,035

		Class 0 Units								Class 2 Units								Class 3-A Units
		Units				Capital				Units				Capital				Units				Capital
Members’ capital, December 31, 2025			153,888.906			$	36,600,560				95,024.560			$	15,711,375				22,969.715			$	2,271,827
Subscriptions			60.800				15,000				–				–				6,189.095				640,000
Redemptions			(2,307.976	)			(566,001	)			(346.385	)			(58,934	)			(6,023.407	)			(615,691	)
Transfers			433.047				102,995				(622.927	)			(102,995	)			–				–
Incentive allocation			–				(1,210	)			–				(93	)			–				(4,285	)
Net income			–				450,749				–				157,682				–				20,596
Members’ capital, March 31, 2026			152,074.777			$	36,602,093				94,055.248			$	15,707,035				23,135.403			$	2,312,447

		Class 3-B Units								Class M Units
		Units				Capital				Units				Capital				Total Members’ Capital
Members’ capital, December 31, 2025			68,584.242			$	6,588,630				4,671.470			$	2,574,204			$	63,746,596
Subscriptions			5,866.100				575,000				–				–				1,230,000
Redemptions			(10,963.340	)			(1,094,344	)			–				(12,618	)			(2,347,588	)
Transfers			–				–				–				–				–
Incentive allocation			–				(7,030	)			–				12,618				–
Net income			–				107,995				–				43,109				780,131
Members’ capital, March 31, 2026			63,487.002			$	6,170,251				4,671.470			$	2,617,313			$	63,409,139

		Class 0 Units								Class 2 Units								Class 3-A Units
		Units				Capital				Units				Capital				Units				Capital
Members’ capital, December 31, 2024			162,734.124			$	38,263,258				107,073.070			$	17,633,778				5,611.660			$	548,137
Subscriptions			3,537.621				850,000				–				–				11,078.676				1,100,000
Redemptions			(2,428.954	)			(587,976	)			(6,092.658	)			(1,024,706	)			–				–
Incentive allocation			–				–				–				–				–				(4,375	)
Net income			–				1,109,628				–				469,230				–				28,910
Members’ capital, March 31, 2025			163,842.791			$	39,634,910				100,980.412			$	17,078,302				16,690.336			$	1,672,672

		Class 3-B Units								Class M Units
		Units				Capital				Units				Capital				Total Members’ Capital
Members’ capital, December 31, 2024			77,520.474			$	7,404,183				4,671.470			$	2,494,438			$	66,343,794
Subscriptions			6,544.830				635,000				–				–				2,585,000
Redemptions			(419.639	)			(40,942	)			–				(48,127	)			(1,701,751	)
Incentive allocation			–				(43,752	)			–				48,127				–
Net income			–				218,761				–				84,633				1,911,162
Members’ capital, March 31, 2025			83,645.665			$	8,173,250				4,671.470			$	2,579,071			$	69,138,205

		Three Months Ended March 31,
		2026				2025
Cash flows provided by operating activities
Net income		$	780,131			$	1,911,162
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) allocated from investments in Master Funds			(769,370	)			(1,801,917	)
Net (income) allocated from investment in Graham Cash Assets LLC			(528,967	)			(652,334	)
Proceeds from sale of investments in Master Funds			20,676,396				21,448,475
Proceeds from sale of investment in Graham Cash Assets LLC			14,454,453				16,497,270
Purchases of investments in Master Funds			(19,079,497	)			(18,528,846	)
Purchases of investment in Graham Cash Assets LLC			(13,706,597	)			(17,465,865	)
Changes in assets and liabilities:
Decrease in prepaid expenses			13,510				–
(Decrease) in accrued professional fees			(37,907	)			(58,309	)
(Decrease) increase in accrued advisory fees			(1,746	)			1,134
(Decrease) in accrued sponsor fees			(279	)			(2,282	)
(Decrease) increase in accrued administrator’s fees			(380	)			1,237
Increase in accrued operating expenses			575				58
Net cash provided by operating activities			1,800,322				1,349,783
Cash flows used in financing activities
Subscriptions			1,230,000				2,585,000
Redemptions (net of redemptions payable)			(3,030,322	)			(3,934,783	)
Net cash used in financing activities			(1,800,322	)			(1,349,783	)
Net change in cash and cash equivalents			–				–
Cash and cash equivalents, beginning of period			–				–
Cash and cash equivalents, end of period		$	–			$	–

Supplemental cash flow information
Interest paid		$	3,787			$	3,759

•

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.

March 31, 2026
Investment – Objective		Percent of Members’ Capital				Fair Value				Net Income (Loss) (three months ended March 2026)
Global Macro Funds
Graham Commodity Strategies LLC			5.19	%		$	3,290,776			$	(2,015,443	)
Graham Derivatives Strategies LLC			4.47	%			2,831,796				650,123
Systematic Macro Funds
Graham K4D Trading Ltd.			3.43	%			2,178,215				2,134,690
			13.09	%		$	8,300,787			$	769,370

December 31, 2025
Investment – Objective		Percent of Members’ Capital				Fair Value				Net Income (three months ended March 2025)
Global Macro Funds
Graham Commodity Strategies LLC			4.96	%		$	3,163,276			$	1,276,569
Graham Derivatives Strategies LLC			4.07	%			2,593,855				514,643
Systematic Macro Funds
Graham K4D Trading Ltd.			5.29	%			3,371,187				10,705
			14.32	%		$	9,128,318			$	1,801,917

		Graham Commodity Strategies LLC (Delaware)				Graham Derivatives Strategies LLC (Delaware)				Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers		$	196,632,543			$	35,125,894			$	56,611,875
Fixed income securities, at fair value (cost $ –, $49,197,186, and $39,467,297, respectively)			–				49,575,479				39,730,163
Derivative financial instruments, at fair value			1,169,044				21,550,812				–
Exchange memberships, at fair value			11,576,539				235,000				2,188,244
Interest receivable			362,628				56,839				138,481
Total assets			209,740,754				106,544,024				98,668,763
Liabilities:
Derivative financial instruments, at fair value			32,675,740				–				18,155,046
Interest payable			67,870				28,967				91,801
Total liabilities			32,743,610				28,967				18,246,847
Members’ Capital / Net Assets		$	176,997,144			$	106,515,057			$	80,421,916
Percentage of Master Fund held by GAIT			1.86	%			2.66	%			2.71	%

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)						$	11,576,539				6.54	%
Total exchange memberships						$	11,576,539				6.54	%
Derivative financial instruments
Long contracts
Futures
Commodity						$	5,338,452				3.02	%
Foreign bond							(3,606,258	)			(2.04	)%
Foreign index							(1,283,935	)			(0.73	)%
Interest rate
ICE 3 Month SONIA Futures June 2027			6,345				(17,557,442	)			(9.92	)%
ICE 3 Month SONIA Futures December 2026			1,176				(663,861	)			(0.38	)%
ICE 3 Month SONIA Futures March 2027 - December 2027			7,714				1,287,757				0.73	%
Other interest rate							(4,128,353	)			(2.33	)%
U.S. bond
U.S. 2 yr Note (CBT) June 2026			14,806				(13,325,539	)			(7.53	)%
U.S. 10 yr Note (CBT) June 2026			357				(483,656	)			(0.27	)%
U.S. 5 yr - 10 yr Note (CBT) June 2026			418				97,109				0.05	%
Other U.S. bond							(70,750	)			(0.04	)%
U.S. index
S&P E-Mini Com Ser June 2026			19				7,375				0.00	%
S&P 500 E-Mini Futures June 2026			188				388,025				0.22	%
Other U.S. index							3,587,640				2.04	%
Total futures							(30,413,436	)			(17.18	)%
Forwards
Foreign currency							(8,311,434	)			(4.70	)%
Total forwards							(8,311,434	)			(4.70	)%
Options (cost $11,063,870)
Commodity futures							469,845				0.27	%
Currency futures							1,892,892				1.07	%
Interest rate futures							99,094				0.06	%
U.S. bond futures							2,108,438				1.19	%
U.S. index futures
S&P 500 E-Mini June 2026, $5,500.00 - $6,500.00 Put			4				9,167,800				5.18	%
S&P E-Mini 2nd Week April 2026, $6,000.00 Put			2				35,880				0.02	%
E-Mini SP Week April 2026, $6,400.00 Put			1				42,900				0.02	%
Total options							13,816,849				7.81	%

Description		Number of Contracts				Fair Value				Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Swaps
Equity swap						$	76,138				0.04	%
Total swaps							76,138				0.04	%
Short contracts
Futures
Commodity						$	(690,704	)			(0.39	)%
Foreign bond							(2,018,225	)			(1.14	)%
Foreign index							62,484				0.04	%
U.S. bond
U.S. 2 yr Note (CBT) June 2026			(2,168	)			(421,688	)			(0.24	)%
Other U.S. bond							(1,346,703	)			(0.76	)%
U.S. index							306,055				0.17	%
Total futures							(4,108,781	)			(2.32	)%
Forwards
Foreign currency							10,393,958				5.87	%
Total forwards							10,393,958				5.87	%
Options (proceeds $10,417,843)
Commodity futures							(336,810	)			(0.19	)%
Currency futures							(1,110,705	)			(0.63	)%
Interest rate futures							(93,206	)			(0.05	)%
U.S. bond futures
U.S. 5 yr Note Friday Week 1 April 2026, $109.00 Call			(1	)			(12,258	)			(0.01	)%
U.S. 5 yr Future June 2026, $109.50 - $110.50 Call			(2	)			(224,625	)			(0.13	)%
U.S. 5 yr Future May 2026, $106.00 - $108.50 Put			(6	)			(1,759,703	)			(0.99	)%
U.S. index futures
S&P 500 E-Mini June 2026, $6,200.00 Put			(1	)			(9,146,550	)			(5.16	)%
E-Mini SP Week April 2026, $6,300.00 Put			(1	)			(47,580	)			(0.03	)%
S&P E-Mini 2nd Week April 2026 $6,100.00 Put			(1	)			(39,390	)			(0.02	)%
S&P500 E-Mini June 2026 $6,000.00 Put			(1	)			(189,163	)			(0.11	)%
Total options							(12,959,990	)			(7.32	)%
Total derivative financial instruments						$	(31,506,696	)			(17.80	)%

Description		Principal Amount / Number of Contracts				Fair Value				Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC
Fixed income securities (cost $49,197,186)
Government Bonds (cost $49,197,186)
United States (cost $49,197,186)
U.S. Treasury Bills 0.00% due 06/11/2026		$	25,000,000			$	24,822,793				23.30	%
U.S. Treasury Bills 0.00% due 07/09/2026			25,000,000				24,752,686				23.24	%
Total Government Bonds							49,575,479				46.54	%
Total fixed income securities						$	49,575,479				46.54	%
Exchange memberships (cost $305,000)
United States (cost $305,000)
Financial services (cost $305,000)						$	235,000				0.22	%
Total exchange memberships						$	235,000				0.22	%
Derivative financial instruments
Long contracts
Futures
Commodity						$	1,582,570				1.49	%
Foreign index							1,331,995				1.25	%
Interest rate
ICE 3 Month SONIA, December 2026			593				(5,903,766	)			(5.55	)%
Total futures							(2,989,201	)			(2.81	)%
Forwards
Foreign currency							315,583				0.30	%
Total forwards							315,583				0.30	%
Options (cost $71,783,348)
Commodity futures							8,498,986				7.98	%
Currency futures							19,070,218				17.89	%
Foreign bond futures							(1,986,362	)			(1.86	)%
Interest rate futures
ICE 3 Month SONIA 1 yr Mid-Curve, December 2026, $96.60 Call			1				3,603,922				3.38	%
ICE 3 Month SONIA, September 2026, $96.00 - $96.75 Call			3				(1,831,584	)			(1.72	)%
ICE 3 Month SONIA, December 2026, $96.00 Put			1				8,164,655				7.67	%
U.S. bond futures
U.S. 10 yr, May 2026, $109.50 Put			1				3,813,000				3.58	%
U.S. index futures
S&P 500 E-Mini, April 2026, $6,800.00 Call			1				5,652,488				5.31	%
S&P 500 E-Mini, April 2026, $7,000.00 Call			2				890,340				0.84	%
S&P 500 E-Mini, June 2026, $6,250.00 Put			1				7,760,400				7.29	%
Total options							53,636,063				50.36	%

Description		Number of Contracts				Fair Value				Percentage of Members’ Capital of Master Fund
Graham Derivatives Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity						$	(383,363	)			(0.37	)%
Foreign index							252,515				0.24	%
U.S. index
S&P 500 E-Mini, June 2026			(64	)			(34,275	)			(0.03	)%
Total futures							(165,123	)			(0.16	)%
Forwards
Foreign currency							(296,069	)			(0.28	)%
Total forwards							(296,069	)			(0.28	)%
Options (proceeds $42,537,510)
Commodity futures							(3,580,582	)			(3.36	)%
Currency							(4,401,485	)			(4.13	)%
Foreign bond							1,660,104				1.56	%
Interest rate futures
ICE 3 Month SONIA, September 2026, $96.25 - $96.90 Call			(2	)			1,716,384				1.61	%
ICE 3 Month SONIA 1 yr Mid-Curve, December 2026, $96.90 Call			(1	)			(2,079,186	)			(1.95	)%
ICE 3 Month SONIA, December 2026, $96.25 Put			(1	)			(9,932,057	)			(9.33	)%
U.S. bond futures							(2,090,719	)			(1.96	)%
U.S. index futures
S&P 500 E-Mini, April 2026, $6,900.00 Call			(1	)			(4,920,300	)			(4.62	)%
S&P 500 E-Mini, June 2026, $6,000.00 Put			(2	)			(5,322,600	)			(5.00	)%
Total options							(28,950,441	)			(27.18	)%
Total derivative financial instruments						$	21,550,812				20.23	%

Description		Principal Amount / Number of Contracts / Notional Amount				Fair Value				Percentage of Net Assets of  Master Fund
Graham K4D Trading Ltd.
Fixed income securities (cost $39,467,297)
Government Bonds (cost $39,467,297)
United States (cost $39,467,297)
U.S. Treasury bond 0.00% due 04/23/2026		$	20,000,000			$	19,955,677				24.81	%
U.S. Treasury bond 0.00% due 07/23/2026			20,000,000				19,774,486				24.59	%
Total Government Bonds							39,730,163				49.40	%
Total fixed income securities						$	39,730,163				49.40	%
Exchange memberships (cost $1,924,208)
United States (cost $1,924,208)
Financial services (cost $1,924,208)						$	2,188,244				2.72	%
Total exchange memberships						$	2,188,244				2.72	%
Derivative financial instruments
Long contracts
Futures
Commodity						$	3,056,249				3.80	%
Currency							(49,289	)			(0.06	)%
Foreign bond							(2,978,221	)			(3.70	)%
Foreign index							(5,466,857	)			(6.81	)%
U.S. bond
U.S. 5 yr -10 yr Note (CBT) June 2026			2,380				(5,419,164	)			(6.74	)%
U.S. Long Bond (CBT) June 2026			723				(2,086,289	)			(2.59	)%
U.S. index							(2,688,798	)			(3.34	)%
Total futures							(15,632,369	)			(19.44	)%
Forwards
Foreign currency
Australian dollar / U.S. dollar 06/17/2026		AUD 168,003,000					(4,455,177	)			(5.54	)%
Other foreign currency							(4,160,502	)			(5.17	)%
Total forwards							(8,615,679	)			(10.71	)%
Swaps (proceeds $4,378,482)
Interest rate							(5,021,139	)			(6.24	)%
Total swaps							(5,021,139	)			(6.24	)%

Description		Number of Contracts / Notional Amount				Fair Value				Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd. (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Commodity						$	(3,846,178	)			(4.78	)%
Currency							32,343				0.04	%
Foreign bond							1,474,426				1.83	%
Foreign index							1,791,965				2.23	%
Interest rate							1,288,251				1.60	%
U.S. bond
U.S. 2 yr Note (CBT) June 2026			(632	)			936,241				1.16	%
U.S. index							(139,128	)			(0.17	)%
Total futures							1,537,920				1.91	%
Forwards
Foreign currency
Australian dollar / U.S. dollar 06/17/2026		AUD (92,802,000)					1,059,589				1.32	%
Other foreign currency							4,303,601				5.35	%
Total forwards							5,363,190				6.67	%
Swaps (cost $3,008,059)
Interest rate							4,213,031				5.24	%
Total swaps							4,213,031				5.24	%
Total derivative financial instruments						$	(18,155,046	)			(22.57	)%

		Graham Commodity Strategies LLC				Graham Derivatives Strategies LLC				Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures		$	9,254,151			$	2,079,007			$	9,010,248
Commodity futures options			469,845				8,498,986				–
Currency futures			–				–				37,031
Exchange memberships*			11,576,539				235,000				2,188,244
Foreign bond futures			1,117,820				–				1,498,064
Foreign bond futures options			–				2,415,731				–
Foreign index futures			791,264				1,584,510				1,803,506
Interest rate futures			2,830,031				–				1,319,238
Interest rate futures options			99,094				13,484,960				–
U.S. bond futures			97,109				–				936,241
U.S. bond futures options			2,108,438				3,813,000				–
U.S. index futures			4,366,810				–				–
U.S. index futures options			9,246,580				14,303,228				–
Total Level 1			41,957,681				46,414,422				16,792,572
Level 2:
Currency futures options			1,892,892				19,070,218				–
Equity swap			76,138				–				–
Foreign currency forwards			15,424,388				1,280,075				6,281,734
Government bonds*			–				49,575,479				39,730,163
Interest rate swaps			–				–				4,593,909
Total Level 2			17,393,418				69,925,772				50,605,806
Total investment related assets		$	59,351,099			$	116,340,194			$	67,398,378
Liabilities
Level 1:
Commodity futures		$	(4,606,403	)		$	(879,800	)		$	(9,800,177	)
Commodity futures options			(336,810	)			(3,580,582	)			–
Currency futures			–				–				(53,977	)
Foreign bond futures			(6,742,303	)			–				(3,001,859	)
Foreign bond futures options			–				(2,741,989	)			–
Foreign index futures			(2,012,715	)			–				(5,478,398	)
Interest rate futures			(23,891,930	)			(5,903,766	)			(30,987	)
Interest rate futures options			(93,206	)			(13,842,826	)			–
U.S. bond futures			(15,648,336	)			–				(7,505,453	)
U.S. bond futures options			(1,996,586	)			(2,090,719	)			–
U.S. index futures			(77,715	)			(34,275	)			(2,827,926	)
U.S. index futures options			(9,422,683	)			(10,242,900	)			–
Total Level 1			(64,828,687	)			(39,316,857	)			(28,698,777	)
Level 2:
Currency futures options			(1,110,705	)			(4,401,485	)			–
Foreign currency forwards			(13,341,864	)			(1,260,561	)			(9,534,223	)
Interest rate swaps			–				–				(5,402,017	)
Total Level 2			(14,452,569	)			(5,662,046	)			(14,936,240	)
Total investment related liabilities		$	(79,281,256	)		$	(44,978,903	)		$	(43,635,017	)

		Long exposure								Short exposure
		Notional amounts				Number of contracts				Notional amounts				Number of contracts				Derivative Assets				Derivative Liabilities
Commodity price
Futures		$	263,023,630				2,171			$	(113,824,648	)			(1,347	)		$	9,254,151			$	(4,606,403	)
Options (a)			2,918,476				99				(2,879,816	)			(539	)			469,845				(336,810	)
			265,942,106				2,270				(116,704,464	)			(1,886	)			9,723,996				(4,943,213	)
Equity price
Futures			314,253,600				1,069				(175,138,445	)			(2,237	)			5,158,074				(2,090,430	)
Options (a)			127,852,405				1,363				(124,673,411	)			(1,469	)			9,246,580				(9,422,683	)
Swap			8,448,904				1,434				–				–				76,138				–
			450,554,909				3,866				(299,811,856	)			(3,706	)			14,480,792				(11,513,113	)
Foreign currency exchange rate
Forwards			1,112,327,432				N/A				(1,051,153,794	)			N/A				15,424,388				(13,341,864	)
Options (a)			92,690,304				11				(113,120,087	)			(25	)			1,892,892				(1,110,705	)
			1,205,017,736				11				(1,164,273,881	)			(25	)			17,317,280				(14,452,569	)
Interest rate
Futures			12,314,637,886				52,047				(2,234,787,687	)			(14,782	)			4,044,960				(46,282,569	)
Options (a)			265,626,140				4,975				(263,362,282	)			(8,666	)			2,207,532				(2,089,792	)
			12,580,264,026				57,022				(2,498,149,969	)			(23,448	)			6,252,492				(48,372,361	)
Total		$	14,501,778,777				63,169			$	(4,078,940,170	)			(29,065	)		$	47,774,560			$	(79,281,256	)

		Long exposure								Short exposure
		Notional amounts				Number of contracts				Notional amounts				Number of contracts				Derivative Assets				Derivative Liabilities
Commodity price
Futures		$	132,833,288				1,734			$	(68,247,563	)			(610	)		$	2,079,007			$	(879,800	)
Options (a)			113,715,527				6,446				(65,114,719	)			(6,240	)			8,498,986				(3,580,582	)
			246,548,815				8,180				(133,362,282	)			(6,850	)			10,577,993				(4,460,382	)
Equity price
Futures			80,002,734				593				(120,491,782	)			(1,632	)			1,584,510				(34,275	)
Options (a)			312,954,246				5,682				(316,439,780	)			(5,682	)			14,303,228				(10,242,900	)
			392,956,980				6,275				(436,931,562	)			(7,314	)			15,887,738				(10,277,175	)
Foreign currency exchange rate
Forwards			133,585,586				N/A				(74,428,178	)			N/A				1,280,075				(1,260,561	)
Options (a)			728,653,927				40				(1,006,256,070	)			(48	)			19,070,218				(4,401,485	)
			862,239,513				40				(1,080,684,248	)			(48	)			20,350,293				(5,662,046	)
Interest rate
Futures			187,554,209				593				–				–				–				(5,903,766	)
Options (a)			4,344,742,858				77,783				(3,921,627,717	)			(86,103	)			19,713,691				(18,675,534	)
			4,532,297,067				78,376				(3,921,627,717	)			(86,103	)			19,713,691				(24,579,300	)
Total		$	6,034,042,375				92,871			$	(5,572,605,809	)			(100,315	)		$	66,529,715			$	(44,978,903	)

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

		Long exposure								Short exposure
		Notional amounts				Number of contracts				Notional amounts				Number of contracts				Derivative Assets				Derivative Liabilities
Commodity price
Futures		$	229,514,606				2,142			$	(99,508,639	)			(1,895	)		$	9,010,248			$	(9,800,177	)
			229,514,606				2,142				(99,508,639	)			(1,895	)			9,010,248				(9,800,177	)
Equity price
Futures			250,546,841				1,165				(84,895,202	)			(603	)			1,803,506				(8,306,324	)
			250,546,841				1,165				(84,895,202	)			(603	)			1,803,506				(8,306,324	)
Foreign currency exchange rate
Forwards			450,170,203				N/A				(738,784,800	)			N/A				6,281,734				(9,534,223	)
Futures			9,550,391				104				(11,991,800	)			(153	)			37,031				(53,977	)
			459,720,594				104				(750,776,600	)			(153	)			6,318,765				(9,588,200	)
Interest rate
Futures			444,570,954				4,096				(2,308,472,088	)			(10,268	)			3,753,543				(10,538,299	)
Swaps			334,135,748				11				(432,249,045	)			(18	)			4,593,909				(5,402,017	)
			778,706,702				4,107				(2,740,721,133	)			(10,286	)			8,347,452				(15,940,316	)
Total		$	1,718,488,743				7,518			$	(3,675,901,574	)			(12,937	)		$	25,479,971			$	(43,635,017	)

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		$	47,774,560			$	(46,605,516	)		$	1,169,044			$	–			$	1,169,044
Derivative liabilities		$	(79,281,256	)		$	46,605,516			$	(32,675,740	)		$	32,675,740			$	–
Graham Derivatives Strategies LLC2
Derivative assets		$	66,529,715			$	(44,978,903	)		$	21,550,812			$	–			$	21,550,812
Derivative liabilities		$	(44,978,903	)		$	44,978,903			$	–			$	–			$	–
Graham K4D Trading Ltd.3
Derivative assets		$	25,479,971			$	(25,479,971	)		$	–			$	–			$	–
Derivative liabilities		$	(43,635,017	)		$	25,479,971			$	(18,155,046	)		$	10,086,177			$	(8,068,869	)

		Graham Commodity Strategies LLC				Graham Derivatives Strategies LLC				Graham K4D Trading Ltd.
Net investment income		$	1,305,203			$	191,705			$	231,860
Net realized (loss) gain on investments			(79,992,946	)			31,073,757				110,998,074
Net decrease in unrealized appreciation on investments			(29,984,166	)			(6,497,744	)			(33,454,919	)
Brokerage commissions and fees			(1,296,046	)			(1,534,649	)			(192,731	)
Net (loss) gain on investments			(111,273,158	)			23,041,364				77,350,424
Net (loss) income		$	(109,967,955	)		$	23,233,069			$	77,582,284

		Graham Commodity Strategies LLC								Graham Derivatives Strategies LLC								Graham K4D Trading Ltd.
		Net realized loss				Net decrease in unrealized appreciation on investments				Net realized gain				Net decrease in unrealized appreciation on investments				Net realized gain				Net decrease in unrealized appreciation on investments
Commodity price
Futures		$	(6,512,267	)		$	4,620,141			$	2,919,016			$	825,398			$	132,945,504			$	(20,810,978	)
Options			(496,630	)			8,930				15,026,415				(3,901,731	)			–				–
			(7,008,897	)			4,629,071				17,945,431				(3,076,333	)			132,945,504				(20,810,978	)
Equity price
Futures			2,279,133				1,736,185				4,263,615				372,740				1,576,678				(4,839,126	)
Options			918,638				(419,595	)			1,854,868				(56,580	)			–				–
Swaps			(608,926	)			76,138				–				–				–				–
			2,588,845				1,392,728				6,118,483				316,160				1,576,678				(4,839,126	)
Foreign currency exchange rate
Forwards			(2,250,427	)			3,187,732				1,014,372				456,449				3,614,010				(7,417,105	)
Futures			–				–				–				–				314,788				(44,474	)
Options			(61,388	)			179,956				(12,110,757	)			(2,372,286	)			–				–
			(2,311,815	)			3,367,688				(11,096,385	)			(1,915,837	)			3,928,798				(7,461,579	)
Interest rate
Futures			(75,050,043	)			(45,431,642	)			(969,188	)			(6,746,953	)			(26,738,997	)			1,221,050
Options			(1,509,777	)			(412,923	)			(949,882	)			2,899,489				–				–
Swaps			–				–				–				–				(372,803	)			(921,597	)
			(76,559,820	)			(45,844,565	)			(1,919,070	)			(3,847,464	)			(27,111,800	)			299,453
Total		$	(83,291,687	)		$	(36,455,078	)		$	11,048,459			$	(8,523,474	)		$	111,339,180			$	(32,812,230	)