10-Q | 2020-09-30 | Filed 2020-11-16 |
10-Q | 2020-06-30 | Filed 2020-08-14 |
10-Q | 2020-03-31 | Filed 2020-05-15 |
10-K | 2019-12-31 | Filed 2020-03-30 |
10-Q | 2019-09-30 | Filed 2019-11-14 |
10-Q | 2019-06-30 | Filed 2019-08-14 |
10-Q | 2019-03-31 | Filed 2019-05-15 |
10-K | 2018-12-31 | Filed 2019-03-29 |
10-Q | 2018-09-30 | Filed 2018-11-14 |
10-Q | 2018-06-30 | Filed 2018-08-14 |
10-Q | 2018-03-31 | Filed 2018-05-15 |
10-K | 2017-12-31 | Filed 2018-03-29 |
10-Q | 2017-09-30 | Filed 2017-11-14 |
10-Q | 2017-06-30 | Filed 2017-08-14 |
10-Q | 2017-03-31 | Filed 2017-05-15 |
10-K | 2016-12-31 | Filed 2017-03-30 |
10-Q | 2016-09-30 | Filed 2016-11-14 |
10-Q | 2016-06-30 | Filed 2016-08-15 |
10-Q | 2016-03-31 | Filed 2016-05-16 |
10-K | 2015-12-31 | Filed 2016-03-30 |
10-Q | 2015-09-30 | Filed 2015-11-16 |
10-Q | 2015-06-30 | Filed 2015-08-14 |
10-Q | 2015-03-31 | Filed 2015-05-14 |
10-K | 2014-12-31 | Filed 2015-03-30 |
10-Q | 2014-09-30 | Filed 2014-11-14 |
10-Q | 2014-06-30 | Filed 2014-08-14 |
10-Q | 2014-03-31 | Filed 2014-05-15 |
10-K | 2013-12-31 | Filed 2014-03-28 |
10-Q | 2013-09-30 | Filed 2013-11-14 |
10-Q | 2013-06-30 | Filed 2013-08-14 |
10-Q | 2013-03-31 | Filed 2013-05-15 |
10-K | 2012-12-31 | Filed 2013-03-28 |
10-Q | 2012-09-30 | Filed 2012-11-14 |
10-Q | 2012-06-30 | Filed 2012-08-14 |
10-Q | 2012-03-31 | Filed 2012-05-15 |
10-K | 2011-12-31 | Filed 2012-03-30 |
10-Q | 2011-09-30 | Filed 2011-11-14 |
10-Q | 2011-06-30 | Filed 2011-08-15 |
10-Q | 2011-03-31 | Filed 2011-05-16 |
10-K | 2010-12-31 | Filed 2011-03-30 |
10-Q | 2010-09-30 | Filed 2010-11-15 |
10-Q | 2010-06-30 | Filed 2010-08-16 |
8-K | 2019-02-28 |
Part I |
Item 1. Financial Statements |
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations |
Item 3. Quantitative and Qualitative Disclosures About Market Risk |
Item 4. Controls and Procedures |
Part II. Other Information |
Item 1. Legal Proceedings |
Item 1A. Risk Factors |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds |
Item 3. Defaults Upon Senior Securities - None |
Item 4. Mine Safety Disclosures - None |
Item 5. Other Information - None |
Item 6. Exhibits |
EX-31.1 | brhc10016790_ex31-1.htm |
EX-31.2 | brhc10016790_ex31-2.htm |
EX-32.1 | brhc10016790_ex32-1.htm |
Balance Sheet | Income Statement | Cash Flow |
---|---|---|
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 Blended Strategies Portfolio | |
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| | 1 | |
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| | 2 | |
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| | 3 | |
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| | 5 | |
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| | 6 | |
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| | Graham Alternative Investment Trading LLC | |
| | | |
| | 14 | |
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| | 15 | |
| | | |
| | 16 | |
| | | |
| | 17 | |
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| | 19 | |
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| | 20 | |
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| Item 2. | 60 | |
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| Item 3. | 68 | |
| | | |
| Item 4. | 69 | |
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70 | |||
| | | |
71 |
Certification | |||
Certification | |||
Certification |
Item 1. | Financial Statements |
September 30, 2020 (Unaudited) | December 31, 2019 (Audited) | |||||||
Assets | ||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 28,527,354 | $ | 27,344,100 | ||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 165,492 | 241,412 | ||||||
Total assets | $ | 28,692,846 | $ | 27,585,512 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 165,492 | $ | 241,412 | ||||
Total liabilities | 165,492 | 241,412 | ||||||
Members’ capital: | ||||||||
Class 0 Units (104,817.807 and 109,215.865 units issued and outstanding at $167.69 and $152.04, respectively) | 17,577,370 | 16,605,529 | ||||||
Class 2 Units (90,826.160 and 99,110.353 units issued and outstanding at $120.56 and $108.35, respectively) | 10,949,984 | 10,738,571 | ||||||
Total members’ capital | 28,527,354 | 27,344,100 | ||||||
Total liabilities and members’ capital | $ | 28,692,846 | $ | 27,585,512 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain on investment | $ | 2,596,039 | $ | 3,190,469 | $ | 3,979,719 | $ | 4,386,141 | ||||||||
Net decrease in unrealized appreciation on investment | (686,469 | ) | (1,191,257 | ) | (402,083 | ) | (494,982 | ) | ||||||||
Brokerage commissions and fees | (19,281 | ) | (55,563 | ) | (95,074 | ) | (166,525 | ) | ||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 1,890,289 | 1,943,649 | 3,482,562 | 3,724,634 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 57,786 | 146,106 | 256,081 | 423,532 | ||||||||||||
Expenses: | ||||||||||||||||
Incentive allocation | 238,422 | – | 315,624 | – | ||||||||||||
Advisory fees | 110,261 | 111,466 | 314,493 | 317,862 | ||||||||||||
Sponsor fees | 58,023 | 58,599 | 165,889 | 167,668 | ||||||||||||
Professional fees | 47,462 | 71,844 | 101,859 | 138,749 | ||||||||||||
Administrator’s fees | 9,466 | 9,503 | 27,083 | 27,879 | ||||||||||||
Interest expense | 1,695 | 1,530 | 5,063 | 4,530 | ||||||||||||
Total expenses | 465,329 | 252,942 | 930,011 | 656,688 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (407,543 | ) | (106,836 | ) | (673,930 | ) | (233,156 | ) | ||||||||
Net income | $ | 1,482,746 | $ | 1,836,813 | $ | 2,808,632 | $ | 3,491,478 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2019 | 109,215.865 | $ | 16,605,529 | 99,110.353 | $ | 10,738,571 | $ | 27,344,100 | ||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (3,026.716 | ) | (461,116 | ) | (4,554.736 | ) | (509,337 | ) | (970,453 | ) | ||||||||||
Net income | – | 773,231 | – | 530,522 | 1,303,753 | |||||||||||||||
Members’ capital, March 31, 2020 | 106,189.149 | 16,917,644 | 94,555.617 | 10,759,756 | 27,677,400 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (1,371.342 | ) | (218,495 | ) | (1,853.353 | ) | (210,307 | ) | (428,802 | ) | ||||||||||
Net income (loss) | – | 23,724 | – | (1,591 | ) | 22,133 | ||||||||||||||
Members’ capital, June 30, 2020 | 104,817.807 | 16,722,873 | 92,702.264 | 10,547,858 | 27,270,731 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | – | – | (1,876.104 | ) | (226,123 | ) | (226,123 | ) | ||||||||||||
Net income | – | 854,497 | – | 628,249 | 1,482,746 | |||||||||||||||
Members’ capital, September 30, 2020 | 104,817.807 | $ | 17,577,370 | 90,826.160 | $ | 10,949,984 | $ | 28,527,354 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2018 | 125,660.811 | $ | 16,801,362 | 116,424.562 | $ | 11,177,397 | $ | 27,978,759 | ||||||||||||
Subscriptions | 1,882.369 | 250,000 | 775.525 | 73,500 | 323,500 | |||||||||||||||
Redemptions | (4,231.016 | ) | (563,529 | ) | (7,277.581 | ) | (694,270 | ) | (1,257,799 | ) | ||||||||||
Net loss | – | (1,083 | ) | – | (23,376 | ) | (24,459 | ) | ||||||||||||
Members’ capital, March 31, 2019 | 123,312.164 | 16,486,750 | 109,922.506 | 10,533,251 | 27,020,001 | |||||||||||||||
Subscriptions | 373.974 | 50,000 | – | – | 50,000 | |||||||||||||||
Redemptions | (4,089.933 | ) | (571,538 | ) | (5,274.413 | ) | (522,693 | ) | (1,094,231 | ) | ||||||||||
Net income | – | 1,043,131 | – | 635,993 | 1,679,124 | |||||||||||||||
Members’ capital, June 30, 2019 | 119,596.205 | 17,008,343 | 104,648.093 | 10,646,551 | 27,654,894 | |||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||
Redemptions | (8,263.487 | ) | (1,249,411 | ) | (1,887.756 | ) | (204,384 | ) | (1,453,795 | ) | ||||||||||
Net income | – | 1,141,552 | – | 695,261 | 1,836,813 | |||||||||||||||
Members’ capital, September 30, 2019 | 111,332.718 | $ | 16,900,484 | 102,760.337 | $ | 11,137,428 | $ | 28,037,912 |
Nine Months Ended September 30, | ||||||||
2020 | 2019 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 2,808,632 | $ | 3,491,478 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (2,808,632 | ) | (3,491,478 | ) | ||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 1,701,298 | 2,845,216 | ||||||
Purchases of investment in Graham Alternative Investment Trading LLC | – | (373,500 | ) | |||||
Net cash provided by operating activities | 1,701,298 | 2,471,716 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | 373,500 | ||||||
Redemptions | (1,701,298 | ) | (2,845,216 | ) | ||||
Net cash used in financing activities | (1,701,298 | ) | (2,471,716 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
• | 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. |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, June 30, 2019 | $ | 142.21 | $ | 101.74 | ||||
Net income: | ||||||||
Net investment loss | (0.45 | ) | (0.52 | ) | ||||
Net gain on investments | 10.04 | 7.16 | ||||||
Net income | 9.59 | 6.64 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, June 30, 2020 | $ | 159.54 | $ | 113.78 | ||||
Net income: | ||||||||
Net investment loss | (2.90 | ) | (1.12 | ) | ||||
Net gain on investments | 11.05 | 7.90 | ||||||
Net income | 8.15 | 6.78 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | |||||||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||||
Total return before Incentive Allocation | 6. | 33% | | 6. | 74% | | 6. | 19% | | 6. | 53% | | ||||||||
Incentive Allocation | (1. | 22) | | 0. | 00 | (0. | 23) | 0. | 00 | |||||||||||
Total return after Incentive Allocation | 5. | 11% | | 6. | 74% | | 5. | 96% | | 6. | 53% | | ||||||||
Net investment loss before Incentive Allocation | (0. | 52)% | | (0. | 30)% | | (0. | 71)% | | (0. | 49)% | | ||||||||
Incentive Allocation | (1. | 22) | | 0. | 00 | (0. | 23) | | 0. | 00 | ||||||||||
Net investment loss after Incentive Allocation | (1. | 74)% | | (0. | 30)% | | (0. | 94)% | | (0. | 49)% | | ||||||||
Total expenses before Incentive Allocation | 0. | 72% | | 0. | 81% | | 0. | 92% | | 1. | 00% | | ||||||||
Incentive Allocation | 1. | 22 | 0. | 00 | 0. | 23 | 0. | 00 | ||||||||||||
Total expenses after Incentive Allocation | 1. | 94% | | 0. | 81% | | 1. | 15% | | 1. | 00% | |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per Unit, December 31, 2018 | $ | 133.70 | $ | 96.01 | ||||
Net income: | ||||||||
Net investment loss | (0.87 | ) | (1.19 | ) | ||||
Net gain on investments | 18.97 | 13.56 | ||||||
Net income | 18.10 | 12.37 | ||||||
Net asset value per Unit, September 30, 2019 | $ | 151.80 | $ | 108.38 | ||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||
Net income: | ||||||||
Net investment loss | (4.45 | ) | (2.13 | ) | ||||
Net gain on investments | 20.10 | 14.34 | ||||||
Net income | 15.65 | 12.21 | ||||||
Net asset value per Unit, September 30, 2020 | $ | 167.69 | $ | 120.56 |
Class 0 | Class 2 | |||||||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||||||
Total return before Incentive Allocation | 12. | 01% | | 13. | 54% | | 11. | 50% | | 12. | 88% | | ||||||||
Incentive Allocation | (1. | 72) | | 0. | 00 | (0. | 23) | | 0. | 00 | ||||||||||
Total return after Incentive Allocation | 10. | 29% | | 13. | 54% | | 11. | 27% | | 12. | 88% | | ||||||||
Net investment loss before Incentive Allocation | (1. | 08)% | | (0. | 62)% | | (1. | 64)% | | (1. | 18)% | | ||||||||
Incentive Allocation | (1. | 72) | | 0. | 00 | (0. | 23) | | 0. | 00 | ||||||||||
Net investment loss after Incentive Allocation | (2. | 80)% | | (0. | 62)% | | (1. | 87)% | | (1. | 18)% | | ||||||||
Total expenses before Incentive Allocation | 2. | 00% | | 2. | 14% | | 2. | 57% | | 2. | 70% | | ||||||||
Incentive Allocation | 1. | 72 | 0. | 00 | 0. | 23 | 0. | 00 | ||||||||||||
Total expenses after Incentive Allocation | 3. | 72% | | 2. | 14% | | 2. | 80% | | 2. | 70% | |
September 30, 2020 (Unaudited) | December 31, 2019 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 5,788,259 | $ | 7,251,243 | ||||
Investment in Graham Cash Assets LLC, at fair value | 53,762,743 | 48,977,607 | ||||||
Receivable from Master Funds | 53 | 167 | ||||||
Total assets | $ | 59,551,055 | $ | 56,229,017 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 663,893 | $ | 386,119 | ||||
Accrued professional fees | 115,495 | 195,023 | ||||||
Accrued advisory fees | 71,236 | 69,712 | ||||||
Accrued sponsor fees | 37,831 | 37,281 | ||||||
Accrued administrator’s fee | 6,221 | 6,032 | ||||||
Payable to Master Funds | – | 195 | ||||||
Total liabilities | 894,676 | 694,362 | ||||||
Members’ capital: | ||||||||
Class 0 Units (206,023.230 and 213,162.414 units issued and outstanding at $167.69 and $152.04 per unit, respectively) | 34,548,958 | 32,409,897 | ||||||
Class 2 Units (187,612.958 and 201,355.180 units issued and outstanding at $120.56 and $108.35 per unit, respectively) | 22,618,601 | 21,816,766 | ||||||
Class M Units (4,671.470 units issued and outstanding at $318.70 and $279.99 per unit, respectively) | 1,488,820 | 1,307,992 | ||||||
Total members’ capital | 58,656,379 | 55,534,655 | ||||||
Total liabilities and members’ capital | $ | 59,551,055 | $ | 56,229,017 |
September 30, 2020 (Unaudited) | December 31, 2019 (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 | $ | 2,472,918 | 4.22% | | $ | 3,714,431 | 6.69% | | ||||||||
Graham K4D Trading Ltd. | 3,315,341 | 5.65% | | 3,536,812 | 6.37% | | ||||||||||
Total investments in Master Funds | $ | 5,788,259 | 9.87% | | $ | 7,251,243 | 13.06% | |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||
Net realized gain on investments | $ | 5,339,512 | $ | 6,517,068 | $ | 8,164,328 | $ | 8,963,569 | ||||||||
Net decrease in unrealized appreciation on investments | (1,403,904 | ) | (2,430,205 | ) | (834,248 | ) | (971,786 | ) | ||||||||
Brokerage commissions and fees | (39,638 | ) | (113,446 | ) | (194,161 | ) | (346,336 | ) | ||||||||
Net gain allocated from investments in Master Funds | 3,895,970 | 3,973,417 | 7,135,919 | 7,645,447 | ||||||||||||
Net investment (loss) income allocated from investments in Master Funds | (110 | ) | 23,953 | 30,459 | 73,162 | |||||||||||
Investment income: | ||||||||||||||||
Interest income | 117,948 | 274,254 | 492,103 | 808,632 | ||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 220,985 | 222,678 | 628,085 | 648,406 | ||||||||||||
Sponsor fees | 117,599 | 119,180 | 335,013 | 345,837 | ||||||||||||
Professional fees | 96,658 | 146,642 | 207,756 | 287,167 | ||||||||||||
Administrator’s fee | 19,460 | 19,405 | 55,449 | 58,085 | ||||||||||||
Interest expense | 3,487 | 3,126 | 10,279 | 9,436 | ||||||||||||
Total expenses | 458,189 | 511,031 | 1,236,582 | 1,348,931 | ||||||||||||
Net investment loss of the Fund | (340,241 | ) | (236,777 | ) | (744,479 | ) | (540,299 | ) | ||||||||
Net income | 3,555,619 | 3,760,593 | 6,421,899 | 7,178,310 | ||||||||||||
Incentive allocation | (472,401 | ) | (187 | ) | (623,182 | ) | (187 | ) | ||||||||
Net income available for pro-rata allocation to all members | $ | 3,083,218 | $ | 3,760,406 | $ | 5,798,717 | $ | 7,178,123 |
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 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (1,773.039 | ) | (282,562 | ) | (2,988.460 | ) | (339,451 | ) | – | (11,712 | ) | (633,725 | ) | |||||||||||||||
Incentive allocation | – | (11,712 | ) | – | – | – | 11,712 | – | ||||||||||||||||||||
Net income (loss) | – | 58,386 | – | (2,677 | ) | – | 9,371 | 65,080 | ||||||||||||||||||||
Members’ capital, June 30, 2020 | 206,023.230 | 32,869,413 | 192,269.681 | 21,876,864 | 4,671.470 | 1,392,510 | $ | 56,138,787 | ||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | – | – | (4,656.723 | ) | (565,626 | ) | – | (472,401 | ) | (1,038,027 | ) | |||||||||||||||||
Incentive allocation | – | (419,887 | ) | – | (52,514 | ) | – | 472,401 | – | |||||||||||||||||||
Net income | – | 2,099,432 | – | 1,359,877 | – | 96,310 | 3,555,619 | |||||||||||||||||||||
Members’ capital, September 30, 2020 | 206,023.230 | $ | 34,548,958 | 187,612.958 | $ | 22,618,601 | 4,671.470 | $ | 1,488,820 | $ | 58,656,379 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2018 | 263,114.613 | $ | 35,179,498 | 251,175.400 | $ | 24,114,225 | 4,671.470 | $ | 1,127,501 | $ | 60,421,224 | |||||||||||||||||
Subscriptions | 2,447.080 | 325,000 | 775.525 | 73,500 | – | – | 398,500 | |||||||||||||||||||||
Redemptions | (15,238.411 | ) | (2,029,083 | ) | (23,162.529 | ) | (2,203,496 | ) | – | – | (4,232,579 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net (loss) income | – | (7,364 | ) | – | (60,726 | ) | – | 5,537 | (62,553 | ) | ||||||||||||||||||
Members’ capital, March 31, 2019 | 250,323.282 | 33,468,051 | 228,788.396 | 21,923,503 | 4,671.470 | 1,133,038 | 56,524,592 | |||||||||||||||||||||
Subscriptions | 1,308.908 | 175,000 | – | – | – | – | 175,000 | |||||||||||||||||||||
Redemptions | (20,134.592 | ) | (2,789,632 | ) | (9,736.326 | ) | (970,981 | ) | – | – | (3,760,613 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 2,068,954 | – | 1,333,122 | 78,194 | 3,480,270 | ||||||||||||||||||||||
Members’ capital, June 30, 2019 | 231,497.598 | 32,922,373 | 219,052.070 | 22,285,644 | 4,671.470 | 1,211,232 | 56,419,249 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (9,981.499 | ) | (1,511,641 | ) | (12,736.909 | ) | (1,381,202 | ) | – | (187 | ) | (2,893,030 | ) | |||||||||||||||
Incentive allocation | – | (187 | ) | – | – | – | 187 | – | ||||||||||||||||||||
Net income | – | 2,215,955 | – | 1,456,531 | – | 88,107 | 3,760,593 | |||||||||||||||||||||
Members’ capital, September 30, 2019 | 221,516.099 | $ | 33,626,500 | 206,315.161 | $ | 22,360,973 | 4,671.470 | $ | 1,299,339 | $ | 57,286,812 |
Nine Months Ended September 30, | ||||||||
2020 | 2019 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 6,421,899 | $ | 7,178,310 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (7,166,378 | ) | (7,718,609 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (492,103 | ) | (808,632 | ) | ||||
Proceeds from sale of investments in Master Funds | 49,538,983 | 52,804,810 | ||||||
Proceeds from sale of investment in Graham Cash Assets LLC | 33,700,267 | 45,575,107 | ||||||
Purchases of investments in Master Funds | (40,931,275 | ) | (47,742,660 | ) | ||||
Purchases of investment in Graham Cash Assets LLC | (37,971,727 | ) | (40,726,996 | ) | ||||
Changes in assets and liabilities: | ||||||||
(Decrease) increase in accrued professional fees | (79,528 | ) | 8,864 | |||||
Increase (decrease) in accrued advisory fees | 1,524 | (4,391 | ) | |||||
Increase (decrease) in accrued sponsor fees | 550 | (2,550 | ) | |||||
Increase (decrease) in accrued administrator’s fee | 189 | (675 | ) | |||||
Net cash provided by operating activities | 3,022,401 | 8,562,578 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | 573,500 | ||||||
Redemptions | (3,022,401 | ) | (9,136,078 | ) | ||||
Net cash used in financing activities | (3,022,401 | ) | (8,562,578 | ) | ||||
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 | $ | 10,279 | $ | 9,436 |
• | 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. |
September 30, 2020 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) (nine months ended September 2020) | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 4.22% | | $ | 2,472,918 | $ | 8,768,627 | ||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 5.65% | | 3,315,341 | (1,623,822) | ||||||||
9.87% | | $ | 5,788,259 | $ | 7,144,805 |
December 31, 2019 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (nine months ended September 2019) | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 6.69% | | $ | 3,714,431 | $ | 2,501,873 | ||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 6.37% | | 3,536,812 | 5,216,736 | ||||||||
13.06% | | $ | 7,251,243 | $ | 7,718,609 |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Fixed income securities, at fair value (cost $15,290,650) | $ | – | $ | 15,296,199 | ||||
Due from brokers | 66,816,965 | 17,743,311 | ||||||
Derivative financial instruments, at fair value | 19,290,737 | – | ||||||
Exchange memberships, at fair value | 6,452,753 | 1,289,752 | ||||||
Interest receivable | 1,579 | 347 | ||||||
Total assets | 92,562,034 | 34,329,609 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | – | 5,088,808 | ||||||
Interest payable | 15,464 | 895 | ||||||
Total liabilities | 15,464 | 5,089,703 | ||||||
Members’ Capital / Net Assets | $ | 92,546,570 | $ | 29,239,906 | ||||
Percentage of Master Fund held by GAIT | 2.67 | % | 11.34 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $9,884,735) | ||||||||||||
United States (cost $9,884,735) | ||||||||||||
Financial services (cost $9,884,735) | $ | 6,452,753 | 6.97 | % | ||||||||
Total exchange memberships | $ | 6,452,753 | 6.97 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | (931,656 | ) | (1.00 | )% | ||||||||
Foreign bond | 911,965 | 0.99 | % | |||||||||
Foreign index | 427,578 | 0.46 | % | |||||||||
Interest rate | (97,874 | ) | (0.11 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 10yr Ultra bond December 2020 | 151 | (52,891 | ) | (0.06 | )% | |||||||
U.S. long bond December 2020 | 176 | (155,156 | ) |