----

----

| DELAWARE                                                       |   | 20-4897069                           |
|----------------------------------------------------------------|--------|--------------------------------------|
| (State or other jurisdiction of incorporation or organization) |   | (I.R.S. Employer Identification No.) |

| Securities to be registered pursuant to Section 12(b) of the Act: |   | None                                                           |
|-------------------------------------------------------------------|--------|----------------------------------------------------------------|
|                                                              |   |                                                           |
| Securities to be registered pursuant to Section 12(g) of the Act: |   | Blended Strategies Portfolio:  Units of Interests    |
|                                                              |   | Systematic Strategies Portfolio:  Units of Interests |
|                                                              |   | (Title of Class)                                               |

| Large accelerated filer o | Accelerated filer o | Non-accelerated filer o(Do not check if a smaller reporting company) | Smaller reporting company x |
|---------------------------|---------------------|----------------------------------------------------------------------|-----------------------------|

----

----

----

----

|   | · | December 31, 2050; |
|--------|--------|--------------------|

|   | · | the withdrawal (voluntary or involuntary), bankruptcy or an assignment for the benefit of creditors or dissolution of the Manager;  or |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | any date prior to December 31, 2050 on which the Manager elects to dissolve GAIF I. |
|--------|--------|-------------------------------------------------------------------------------------|

|   | (i) | General |
|--------|-----|---------|

----

|   | (ii) | The Manager |
|--------|------|-------------|

----

|   | (iii) | The Trading Program |
|--------|-------|---------------------|

----

----

----

----

|   | (iv) | Use of Proceeds |
|--------|------|-----------------|

----

----

|   | (i) | Advisory Fee |
|--------|-----|--------------|

|   | (ii) | Brokerage Fee |
|--------|------|---------------|

----

|   | (iii) | Sponsor Fee |
|--------|-------|-------------|

|   | (iv) | Incentive Allocation |
|--------|------|----------------------|

----

----

----

----

----

----

----

|   | a. | The value of unrealized gain or loss on open futures contracts shall be recorded as the difference between the contract price on the trade date and the closing price reported as of the Valuation Day on the primary exchange on which such contracts are traded. |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | b. | The value of any option listed or traded on any recognized foreign or U.S. exchange shall be the settlement price published by the principal exchange on which it is traded on the relevant Valuation Day.  If the recognized foreign or U.S. exchange does not publish a settlement price, the value of any option shall be the last reported sale price on the relevant Valuation Day on the principal exchange on which such option is traded.  If no such sale of such option was reported on that date, the market value shall be the average of the last reported bid and asked price.  The market value of any over-the-counter option for which representative broker’s quotations are available shall be determined in like manner by reference to the last reported sale price, or, if none is available, to the average of the last reported bid and asked quotation.  Provisions for the sale of such options written by the Fund shall be included in the assets of the portfolio, and the market value of such options shall be included as a liability. |
|--------|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | c. | The value of any U.S. government security shall be the cost of such security plus accrued interest, discount and amortization of premium. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------|

----

| (a) | Market information |
|-----|--------------------|

| (b) | Holders |
|-----|---------|

| (c) | Dividends |
|-----|-----------|

| (d) | Securities Authorized for Issuance under Equity Compensation Plans |
|-----|--------------------------------------------------------------------|

----

|             | Blended Strategies PortfolioTotalNumber ofUnits Purchased |   |    | Systematic Strategies PortfolioTotalNumber ofUnits Purchased |   |
|------------------|-----------------------------------------------------------|--------|---------|--------------------------------------------------------------|--------|
| Period (as of)   |                                                      |   |    |                                                         |   |
| October 1, 2010  |                                                      |   | 103,403 |                                                         |   |   | 7,682 |   |
| November 1, 2010 |                                                      |   | 73,031  |                                                         |   |   | 4,022 |   |
| December 1, 2010 |                                                      |   | 96,400  |                                                         |   |   | 38,484 |   |

|   | Item 7:  MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
|--------|----------------------------------------------------------------------------------------------------------------|

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

----

| Agriculture      |   | $      | 1,935,401  |   |
|------------------|--------|--------|------------|--------|
| Energy           |   |   | (3,469,667 | )      |
| Foreign exchange |   |   | 4,103,928  |   |
| Interest rates   |   |   | 12,312,474 |   |
| Metals           |   |   | 4,806,934  |   |
| Softs            |   |   | 966,816    |   |
| Stock index      |   |   | (2,497,090 | )      |
|             |   | $      | 18,158,796 |   |

----

| Agriculture      |   |   | 20.7  | %  |
|------------------|--------|--------|-------|----|
| Energy           |   |   | 19.7  | %  |
| Foreign exchange |   |   | 4.4   | %  |
| Interest rates   |   |   | 21.7  | %  |
| Metals           |   |   | 30.7  | %  |
| Softs            |   |   | 4.3   | %  |
| Stock index      |   |   | (1.5  | %) |
|             |   |   | 100.0 | %  |

----

| Agriculture      |   | $      | (1,063,570 | )      |
|------------------|--------|--------|------------|--------|
| Energy           |   |   | (1,661,722 | )      |
| Foreign exchange |   |   | 5,082,229  |   |
| Interest rates   |   |   | (2,362,891 | )      |
| Metals           |   |   | 2,920,187  |   |
| Softs            |   |   | 1,307,837  |   |
| Stock index      |   |   | 8,817,324  |   |
|             |   | $      | 13,039,394 |   |

----

| Agriculture      |   |   | 3.1   | %  |
|------------------|--------|--------|-------|----|
| Energy           |   |   | 6.4   | %  |
| Foreign exchange |   |   | 42.1  | %  |
| Interest rates   |   |   | (39.1 | %) |
| Metals           |   |   | 54.5  | %  |
| Softs            |   |   | 23.2  | %  |
| Stock index      |   |   | 9.8   | %  |
|             |   |   | 100.0 | %  |

| Agriculture      |   | $      | 303,818   |   |
|------------------|--------|--------|-----------|--------|
| Energy           |   |   | (984,111  | )      |
| Foreign exchange |   |   | 1,315,447 |   |
| Interest rates   |   |   | 2,287,092 |   |
| Metals           |   |   | 1,252,602 |   |
| Softs            |   |   | 25,561    |   |
| Stock index      |   |   | (472,787  | )      |
|             |   | $      | 3,727,622 |   |

----

| Agriculture      |   |   | 21.3  | %  |
|------------------|--------|--------|-------|----|
| Energy           |   |   | 14.1  | %  |
| Foreign exchange |   |   | 19.3  | %  |
| Interest rates   |   |   | (15.6 | %) |
| Metals           |   |   | 56.3  | %  |
| Softs            |   |   | 7.6   | %  |
| Stock index      |   |   | (3.0  | %) |
|             |   |   | 100.0 | %  |

|             |   |   |       |
|------------------|--------|--------|------------|
| Agriculture      |   | $      | (171,595   | ) |
| Energy           |   |   | (383,310   | ) |
| Foreign exchange |   |   | 326,381    |   |
| Interest rates   |   |   | (1,084,295 | ) |
| Metals           |   |   | 527,943    |   |
| Softs            |   |   | 262,643    |   |
| Stock index      |   |   | 1,372,965  |   |
|             |   | $      | 850,732    |   |

----

----

| Agriculture      |   |   | 10.2  | %  |
|------------------|--------|--------|-------|----|
| Energy           |   |   | 19.5  | %  |
| Foreign exchange |   |   | 49.3  | %  |
| Interest rates   |   |   | (76.9 | %) |
| Metals           |   |   | 60.9  | %  |
| Softs            |   |   | 23.5  | %  |
| Stock index      |   |   | 13.5  | %  |
|             |   |   | 100.0 | %  |

|   | (ii) | Liquidity |
|--------|------|-----------|

----

|   | (iii) | Capital Resources |
|--------|-------|-------------------|

|   | (iv) | Critical Accounting Policies |
|--------|------|------------------------------|

----

|   | (v) | Off-Balance Sheet Arrangements |
|--------|-----|--------------------------------|

----

|   | Financial Statements                                         |
|--------|--------------------------------------------------------------|
|   | Graham Alternative Investment Fund I LLC                     |
|   | Years Ended December 31, 2010 and 2009                       |
|   | with Report of Independent Registered Public Accounting Firm |

----

----

|                                                                                                                     |   | December 31, |        |
|--------------------------------------------------------------------------------------------------------------------------|--------|--------------|-------------|
|                                                                                                                     |   | 2010         |        |   | 2009 |   |
|                                                                                                                     |   |         |        |   |   |   |
| Assets                                                                                                                   |   |         |        |   |   |   |
| Investment in Graham Alternative Investment Trading LLC, at fair value                                                   |   | $            | 290,023,320 |   |   | $ | 187,750,594 |   |
| Investment in Graham Alternative Investment Trading II LLC, at fair value                                                |   |         | 48,442,149  |   |   |   | 29,953,727 |   |
| Redemption receivable from Graham Alternative Investment Trading LLC                                                     |   |         | 1,296,065   |   |   |   | 392,777 |   |
| Redemption receivable from Graham Alternative Investment Trading II LLC                                                  |   |         | 125,284     |   |   |   | - |   |
| Total assets                                                                                                             |   | $            | 339,886,818 |   |   | $ | 218,097,098 |   |
|                                                                                                                     |   |         |        |   |   |   |   |   |
| Liabilities and members’ capital                                                                                   |   |         |        |   |   |   |   |   |
| Liabilities:                                                                                                             |   |         |        |   |   |   |   |   |
| Accrued redemptions                                                                                                      |   | $            | 1,421,349   |   |   | $ | 392,777 |   |
| Total liabilities                                                                                                        |   |         | 1,421,349   |   |   |   | 392,777 |   |
|                                                                                                                     |   |         |        |   |   |   |   |   |
| Members’ capital:                                                                                                  |   |         |        |   |   |   |   |   |
| Blended Strategies Portfolio:                                                                                            |   |         |        |   |   |   |   |   |
| Class 0 Units (1,752,436.237 and 1,134,943.426 units issued and outstanding at $138.96 and $135.56, respectively)        |   |         | 243,511,752 |   |   |   | 153,850,323 |   |
| Class 2 Units (409,129.824 and 300,723.739 units issued and outstanding at $113.68  and $112.73, respectively) |   |         | 46,511,568  |   |   |   | 33,900,271 |   |
| Total Blended Strategies Portfolio                                                                                       |   |         | 290,023,320 |   |   |   | 187,750,594 |   |
|                                                                                                                     |   |         |        |   |   |   |   |   |
| Systematic Strategies Portfolio:                                                                                         |   |         |        |   |   |   |   |   |
| Class 0 Units (274,960.438 and 180,564.957 units issued and outstanding at $102.92 and $100.59, respectively)            |   |         | 28,297,652  |   |   |   | 18,162,877 |   |
| Class 2 Units (202,003.861 and 119,035.753 units issued and outstanding at $99.72 and $99.05, respectively)              |   |         | 20,144,497  |   |   |   | 11,790,850 |   |
| Total Systematic Strategies Portfolio                                                                                    |   |         | 48,442,149  |   |   |   | 29,953,727 |   |
| Total members’ capital                                                                                             |   |         | 338,465,469 |   |   |   | 217,704,321 |   |
| Total liabilities and members’ capital                                                                             |   | $            | 339,886,818 |   |   | $ | 218,097,098 |   |

----

|                                                              |   | Years ended December 31, |        |
|-------------------------------------------------------------------|--------|--------------------------|-------------|
|                                                              |   | 2010                     |        |   | 2009 |   |
| Net gain allocated from investments in other funds:               |   |                     |        |   |   |   |
| Net realized gain on investments                                  |   | $                        | 13,895,786  |   |   | $ | 15,799,785 |   |
| Net increase (decrease) in unrealized appreciation on investments |   |                     | 7,990,632   |   |   |   | (1,909,659 | ) |
| Net gain allocated from investments in other funds                |   |                     | 21,886,418  |   |   |   | 13,890,126 |   |
|                                                              |   |                     |        |   |   |   |   |   |
| Net investment loss allocated from investment in other funds:     |   |                     |        |   |   |   |   |   |
| Investment income:                                                |   |                     |        |   |   |   |   |   |
| Interest income                                                   |   |                     | 2,771,637   |   |   |   | 1,450,153 |   |
|                                                              |   |                     |        |   |   |   |   |   |
| Expenses:                                                         |   |                     |        |   |   |   |   |   |
| Brokerage fees                                                    |   |                     | 6,632,990   |   |   |   | 4,310,604 |   |
| Advisory fees                                                     |   |                     | 5,510,660   |   |   |   | 3,646,777 |   |
| Sponsor fees                                                      |   |                     | 2,755,331   |   |   |   | 1,823,389 |   |
| Incentive allocation                                              |   |                     | 1,967,783   |   |   |   | 1,237,354 |   |
| Interest and other                                                |   |                     | 63,774      |   |   |   | - |   |
| Total expenses                                                    |   |                     | 16,930,538  |   |   |   | 11,018,124 |   |
| Net investment loss allocated from investments in other funds     |   |                     | (14,158,901 | ) |   |   | (9,567,971 | ) |
|                                                              |   |                     |        |   |   |   |   |   |
| Net income                                                        |   | $                        | 7,727,517   |   |   | $ | 4,322,155 |   |

----

|                                      |   | Blended Strategies Portfolio |          |
|-------------------------------------------|--------|------------------------------|---------------|
|                                      |   | Class 0 Units                |          |   | Class 2 Units |   |   |   |   |
|                                      |   |  Units                  |          |   | Capital |   |   |  Units |   |   | Capital |   |   | TotalBlended Strategies Portfolio |   |
|                                      |   |                         |          |   |   |   |   |   |   |   |   |   |   |   |   |
| Members’ capital, December 31, 2008 |   |                         | 1,003,242.664 |   |   | $ | 132,546,601 |   |   |   | 173,269.774 |   |   | $ | 19,361,456 |   |   | $ | 151,908,057 |   |
| Subscriptions                             |   |                         | 295,412.400   |   |   |   | 39,210,551 |   |   |   | 180,196.905 |   |   |   | 20,011,511 |   |   |   | 59,222,062 |   |
| Redemptions                               |   |                         | (163,711.638  | ) |   |   | (21,653,712 | ) |   |   | (52,742.940 | ) |   |   | (5,898,640 | ) |   |   | (27,552,352 | ) |
| Net income                                |   |                         | –       |   |   |   | 3,746,883 |   |   |   | – |   |   |   | 425,944 |   |   |   | 4,172,827 |   |
| Members’ capital, December 31, 2009 |   |                         | 1,134,943.426 |   |   |   | 153,850,323 |   |   |   | 300,723.739 |   |   |   | 33,900,271 |   |   |   | 187,750,594 |   |
| Subscriptions                             |   |                         | 727,290.307   |   |   |   | 98,736,853 |   |   |   | 147,810.091 |   |   |   | 16,536,160 |   |   |   | 115,273,013 |   |
| Redemptions                               |   |                         | (109,797.496  | ) |   |   | (14,886,199 | ) |   |   | (39,404.006 | ) |   |   | (4,385,647 | ) |   |   | (19,271,846 | ) |
| Net income                                |   |                         | –       |   |   |   | 5,810,775 |   |   |   | – |   |   |   | 460,784 |   |   |   | 6,271,559 |   |
| Members’ capital, December 31, 2010 |   |                         | 1,752,436.237 |   |   | $ | 243,511,752 |   |   |   | 409,129.824 |   |   | $ | 46,511,568 |   |   | $ | 290,023,320 |   |

----

|                                      |   | Systematic Strategies Portfolio |        |   |          |   |
|-------------------------------------------|--------|---------------------------------|-------------|--------|---------------|--------|
|                                      |   | Class 0 Units                   |        |   | Class 2 Units |   |   |   |   |   |   |   |
|                                      |   |  Units                     |        |   | Capital       |   |   |  Units |   |   | Capital |   |   | Total Systematic Strategies Portfolio |   |   | Total Members’ Capital |   |
|                                      |   |                            |        |   |          |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Members’ capital, December 31, 2008 |   |                            | –     |   |          | $      | – |   |   |   | – |   |   | $ | – |   |   | $ | – |   |   | $ | 151,908,057 |   |
| Initial subscription, January 4, 2009     |   |                            | 2,190.000   |   |          |   | 219,000 |   |   |   | 5,750.000 |   |   |   | 575,000 |   |   |   | 794,000 |   |   |   | 794,000 |   |
| Subscriptions                             |   |                            | 178,890.187 |   |          |   | 18,075,611 |   |   |   | 114,577.966 |   |   |   | 11,115,731 |   |   |   | 29,191,342 |   |   |   | 88,413,404 |   |
| Redemptions                               |   |                            | (515.230    | )      |          |   | (50,670 | ) |   |   | (1,292.213 | ) |   |   | (130,273 | ) |   |   | (180,943 | ) |   |   | (27,733,295 | ) |
| Net income                                |   |                            | –     |   |          |   | (81,064 | ) |   |   | – |   |   |   | 230,392 |   |   |   | 149,328 |   |   |   | 4,322,155 |   |
| Members’ capital, December 31, 2009 |   |                            | 180,564.957 |   |          |   | 18,162,877 |   |   |   | 119,035.753 |   |   |   | 11,790,850 |   |   |   | 29,953,727 |   |   |   | 217,704,321 |   |
| Subscriptions                             |   |                            | 111,304.434 |   |          |   | 10,807,501 |   |   |   | 96,254.791 |   |   |   | 9,152,856 |   |   |   | 19,960,357 |   |   |   | 135,233,370 |   |
| Redemptions                               |   |                            | (16,908.953 | )      |          |   | (1,672,062 | ) |   |   | (13,286.683 | ) |   |   | (1,255,831 | ) |   |   | (2,927,893 | ) |   |   | (22,199,739 | ) |
| Net income                                |   |                            | –     |   |          |   | 999,336 |   |   |   | – |   |   |   | 456,622 |   |   |   | 1,455,958 |   |   |   | 7,727,517 |   |
| Members’ capital, December 31, 2010 |   |                            | 274,960.438 |   |          | $      | 28,297,652 |   |   |   | 202,003.861 |   |   | $ | 20,144,497 |   |   | $ | 48,442,149 |   |   | $ | 338,465,469 |   |

----

|                                                                                 |   | Years ended December 31, |         |
|--------------------------------------------------------------------------------------|--------|--------------------------|--------------|
|                                                                                 |   | 2010                     |         |   | 2009 |   |
| Cash flows used in operating activities                                              |   |                     |         |   |   |   |
| Net income                                                                           |   | $                        | 7,727,517    |   |   | $ | 4,322,155 |   |
| Adjustments to reconcile net income to net cash used in operating activities:        |   |                     |         |   |   |   |   |   |
| Net income allocated from investment in Graham Alternative Investment Trading LLC    |   |                     | (6,271,559   | ) |   |   | (4,172,827 | ) |
| Net income allocated from investment in Graham Alternative Investment Trading II LLC |   |                     | (1,455,958   | ) |   |   | (149,328 | ) |
| Proceeds from sale of investments in Graham Alternative Investment Trading LLC       |   |                     | 19,271,846   |   |   |   | 27,552,352 |   |
| Proceeds from sale of investments in Graham Alternative Investment Trading II LLC    |   |                     | 2,927,893    |   |   |   | 180,943 |   |
| Investments in Graham Alternative Investment Trading LLC                             |   |                     | (115,273,013 | ) |   |   | (59,222,062 | ) |
| Investments in Graham Alternative Investment Trading II LLC                          |   |                     | (19,960,357  | ) |   |   | (29,985,342 | ) |
| Changes in assets and liabilities:                                                   |   |                     |         |   |   |   |   |   |
| Redemptions receivable from Graham Alternative Investment Trading LLC                |   |                     | (903,288     | ) |   |   | 3,878,926 |   |
| Redemptions receivable from Graham Alternative Investment Trading II LLC             |   |                     | (125,284     | ) |   |   | - |   |
| Net cash used in operating activities                                                |   |                     | (114,062,203 | ) |   |   | (57,595,183 | ) |
|                                                                                 |   |                     |         |   |   |   |   |   |
| Cash flows provided by financing activities                                          |   |                     |         |   |   |   |   |   |
| Subscriptions                                                                        |   |                     | 135,233,370  |   |   |   | 89,207,404 |   |
| Redemptions                                                                          |   |                     | (21,171,167  | ) |   |   | (31,612,221 | ) |
| Net cash provided by financing activities                                            |   |                     | 114,062,203  |   |   |   | 57,595,183 |   |
|                                                                                 |   |                     |         |   |   |   |   |   |
| Net change in cash and cash equivalents                                              |   |                     | –      |   |   |   | – |   |
|                                                                                 |   |                     |         |   |   |   |   |   |
| Cash and cash equivalents, beginning of year                                         |   |                     | –      |   |   |   | – |   |
| Cash and cash equivalents, end of year                                               |   | $                        | –      |   |   | $ | – |   |

----

----

----

|   | · | Level 1 inputs are unadjusted closing or settle prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investments in the GAIT Funds, Level 2 inputs include the net asset value of the underlying fund. |
|--------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

----

----

| Class   |   | Annual Rate |   |
|---------|--------|-------------|--------|
|    |   |        |   |
| Class 0 |   |        | 2%     |   |
| Class 2 |   |        | 4%     |   |

----

|                                              |   | Blended Strategies Portfolio |   |   | Systematic Strategies Portfolio |   |
|---------------------------------------------------|--------|------------------------------|--------|--------|---------------------------------|--------|
|                                              |   | Class 0                      |   |   | Class 2                         |   |   | Class 0 |   |   | Class 2 |   |
| Per share operating performance                   |   |                         |   |   |                            |   |   |   |   |   |   |   |
| Net asset value per unit, December 31, 2008       |   | $                            | 132.12 |   |                            | $      | 111.74 |   |   | $ | - |   |   | $ | - |   |
| Initial net asset value per unit, January 4, 2009 |   |                         | -      |   |                            |   | - |   |   |   | 100.00 |   |   |   | 100.00 |   |
| Net income:                                       |   |                         |   |   |                            |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss                               |   |                         | (6.58  | )      |                            |   | (4.75 | ) |   |   | (2.16 | ) |   |   | (3.75 | ) |
| Net gain on investments                           |   |                         | 10.02  |   |                            |   | 5.74 |   |   |   | 2.75 |   |   |   | 2.80 |   |
| Net income (loss)                                 |   |                         | 3.44   |   |                            |   | 0.99 |   |   |   | 0.59 |   |   |   | (0.95 | ) |
| Net asset value per unit, December 31, 2009       |   | $                            | 135.56 |   |                            | $      | 112.73 |   |   | $ | 100.59 |   |   | $ | 99.05 |   |
|                                              |   |                         |   |   |                            |   |   |   |   |   |   |   |   |   |   |   |
|                                              |   |                         |   |   |                            |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per unit, December 31, 2009       |   | $                            | 135.56 |   |                            | $      | 112.73 |   |   | $ | 100.59 |   |   | $ | 99.05 |   |
| Net income:                                       |   |                         |   |   |                            |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss                               |   |                         | (6.92  | )      |                            |   | (6.34 | ) |   |   | (2.62 | ) |   |   | (1.49 | ) |
| Net gain on investments                           |   |                         | 10.32  |   |                            |   | 7.29 |   |   |   | 4.95 |   |   |   | 2.16 |   |
| Net income                                        |   |                         | 3.40   |   |                            |   | 0.95 |   |   |   | 2.33 |   |   |   | 0.67 |   |
| Net asset value per unit, December 31, 2010       |   | $                            | 138.96 |   |                            | $      | 113.68 |   |   | $ | 102.92 |   |   | $ | 99.72 |   |

|                                            |   | Blended Strategies Portfolio |   |
|-------------------------------------------------|--------|------------------------------|--------|
|                                            |   | Class 0                      |   |   | Class 2 |   |
|                                            |   | 2010                         |   |   | 2009 |   |   | 2010 |   |   | 2009 |   |
|                                            |   |                         |   |   |   |   |   |   |   |   |   |   |
| Total return before Incentive Allocation        |   |                         | 3.27   | % |   |   | 3.28 | % |   |   | 1.17 | % |   |   | 1.29 | % |
| Incentive Allocation                            |   |                         | (0.76  | ) |   |   | (0.68 | ) |   |   | (0.32 | ) |   |   | (0.40 | ) |
| Total return after Incentive Allocation         |   |                         | 2.51   | % |   |   | 2.60 | % |   |   | 0.85 | % |   |   | 0.89 | % |
|                                            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss before Incentive Allocation |   |                         | (4.45  | )% |   |   | (4.31 | )% |   |   | (6.50 | )% |   |   | (6.49 | )% |
| Incentive Allocation                            |   |                         | (0.76  | ) |   |   | (0.68 | ) |   |   | (0.32 | ) |   |   | (0.40 | ) |
| Net investment loss after Incentive Allocation  |   |                         | (5.21  | )% |   |   | (4.99 | )% |   |   | (6.82 | )% |   |   | (6.89 | )% |
|                                            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total expenses before Incentive Allocation      |   |                         | 4.43   | % |   |   | 5.13 | % |   |   | 6.48 | % |   |   | 7.33 | % |
| Incentive Allocation                            |   |                         | 0.76   |   |   |   | 0.68 |   |   |   | 0.32 |   |   |   | 0.40 |   |
| Total expenses after Incentive Allocation       |   |                         | 5.19   | % |   |   | 5.81 | % |   |   | 6.80 | % |   |   | 7.73 | % |

----

|                                            |   | Systematic Strategies Portfolio |   |
|-------------------------------------------------|--------|---------------------------------|--------|
|                                            |   | Class 0                         |   |   | Class 2 |   |
|                                            |   | 2010                            |   |   | 2009 |   |   | 2010 |   |   | 2009 |   |
|                                            |   |                            |   |   |   |   |   |   |   |   |   |   |
| Total return before Incentive Allocation        |   |                            | 3.53   | % |   |   | 2.19 | % |   |   | 1.43 | % |   |   | 0.85 | % |
| Incentive Allocation                            |   |                            | (1.21  | ) |   |   | (1.60 | ) |   |   | (0.75 | ) |   |   | (1.80 | ) |
| Total return after Incentive Allocation         |   |                            | 2.32   | % |   |   | 0.59 | % |   |   | 0.68 | % |   |   | (0.95 | )% |
|                                            |   |                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss before Incentive Allocation |   |                            | (4.74  | )% |   |   | (4.27 | )% |   |   | (6.82 | )% |   |   | (6.35 | )% |
| Incentive Allocation                            |   |                            | (1.21  | ) |   |   | (1.60 | ) |   |   | (0.75 | ) |   |   | (1.80 | ) |
| Net investment loss after Incentive Allocation  |   |                            | (5.95  | )% |   |   | (5.87 | )% |   |   | (7.57 | )% |   |   | (8.15 | )% |
|                                            |   |                            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total expenses before Incentive Allocation      |   |                            | 4.72   | % |   |   | 5.08 | % |   |   | 6.78 | % |   |   | 7.11 | % |
| Incentive Allocation                            |   |                            | 1.21   |   |   |   | 1.60 |   |   |   | 0.75 |   |   |   | 1.80 |   |
| Total expenses after Incentive Allocation       |   |                            | 5.93   | % |   |   | 6.68 | % |   |   | 7.53 | % |   |   | 8.91 | % |

----

|   | Financial Statements                                         |
|--------|--------------------------------------------------------------|
|   | Graham Alternative Investment Trading LLC                    |
|   | Years Ended December 31, 2010 and 2009                       |
|   | with Report of Independent Registered Public Accounting Firm |

----

----

|                                                                                                                       |   | December 31, |        |
|----------------------------------------------------------------------------------------------------------------------------|--------|--------------|-------------|
|                                                                                                                       |   | 2010         |        |   | 2009 |   |
| Assets                                                                                                                     |   |         |        |   |   |   |
| Cash and cash equivalents                                                                                                  |   | $            | -           |   |   | $ | 49 |   |
| Investments in Master Funds, at fair value                                                                                 |   |         | 43,910,786  |   |   |   | 16,210,863 |   |
| Investment in Graham Cash Assets LLC, at fair value                                                                        |   |         | 409,389,656 |   |   |   | 289,831,323 |   |
| Accrued commission reimbursements                                                                                          |   |         | 278,469     |   |   |   | 137,079 |   |
| Receivable from Master Funds                                                                                               |   |         | -           |   |   |   | 2,825 |   |
| Total assets                                                                                                               |   | $            | 453,578,911 |   |   | $ | 306,182,139 |   |
|                                                                                                                       |   |         |        |   |   |   |   |   |
| Liabilities and members’ capital                                                                                     |   |         |        |   |   |   |   |   |
| Liabilities:                                                                                                               |   |         |        |   |   |   |   |   |
| Accrued redemptions                                                                                                        |   | $            | 4,817,403   |   |   | $ | 914,104 |   |
| Accrued brokerage fees                                                                                                     |   |         | 894,187     |   |   |   | 608,084 |   |
| Accrued advisory fees                                                                                                      |   |         | 768,947     |   |   |   | 518,693 |   |
| Accrued sponsor fees                                                                                                       |   |         | 384,474     |   |   |   | 259,346 |   |
| Payable to Master Funds                                                                                                    |   |         | 61          |   |   |   | - |   |
| Total liabilities                                                                                                          |   |         | 6,865,072   |   |   |   | 2,300,227 |   |
|                                                                                                                       |   |         |        |   |   |   |   |   |
| Members’ capital:                                                                                                    |   |         |        |   |   |   |   |   |
| Class 0 Units (2,685,172.128 and 1,851,259.271 units issued and outstanding at $138.96 and $135.56 per unit, respectively) |   |         | 373,121,130 |   |   |   | 250,952,480 |   |
| Class 2 Units (639,582.657 and 462,314.824 units issued and outstanding at $113.68 and $112.73 per unit, respectively)     |   |         | 72,710,381  |   |   |   | 52,116,241 |   |
| Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $188.88 and $174.08 per unit, respectively)         |   |         | 882,328     |   |   |   | 813,191 |   |
| Total members’ capital                                                                                               |   |         | 446,713,839 |   |   |   | 303,881,912 |   |
| Total liabilities and members’ capital                                                                               |   | $            | 453,578,911 |   |   | $ | 306,182,139 |   |

----

|                                        |   | December 31, 2010 |       |   | December 31, 2009                  |   |
|---------------------------------------------|--------|-------------------|------------|--------|------------------------------------|--------|
| Description                                 |   | Fair Value        |       |   | Percentage ofMembers’Capital |   |   | Fair Value |   |   | Percentage ofMembers’Capital |   |
|                                        |   |              |       |   |                               |   |   |   |   |   |   |   |
| Investments in Master Funds, at fair value  |   |              |       |   |                               |   |   |   |   |   |   |   |
| Graham Commodity Strategies LLC             |   | $                 | 7,603,525  |   |                               |   | 1.70 | % |   | $ | 763,431 |   |   |   | 0.25 | % |
| Graham Discretionary Energy Trading III LLC |   |              | 1,690,592  |   |                               |   | 0.38 | % |   |   | - |   |   |   | 0.00 | % |
| Graham Fed Policy Ltd.                      |   |              | 6,709,637  |   |                               |   | 1.50 | % |   |   | 2,649,859 |   |   |   | 0.87 | % |
| Graham Global Monetary Policy LLC           |   |              | 3,566,013  |   |                               |   | 0.80 | % |   |   | 864,633 |   |   |   | 0.28 | % |
| Graham K4D Trading Ltd.                     |   |              | 24,030,670 |   |                               |   | 5.38 | % |   |   | 11,724,671 |   |   |   | 3.86 | % |
| Graham Macro Directional LLC                |   |              | 268,357    |   |                               |   | 0.06 | % |   |   | 208,269 |   |   |   | 0.07 | % |
| Graham Short Term Global Macro LLC          |   |              | 41,992     |   |                               |   | 0.01 | % |   |   | - |   |   |   | 0.00 | % |
| Total investments in Master Funds           |   | $                 | 43,910,786 |   |                               |   | 9.83 | % |   | $ | 16,210,863 |   |   |   | 5.33 | % |

----

|                                                              |   | Years Ended December 31, |        |
|-------------------------------------------------------------------|--------|--------------------------|-------------|
|                                                              |   | 2010                     |        |   | 2009 |   |
| Net gain allocated from investments in Master Funds:              |   |                     |        |   |   |   |
| Net realized gain on investments                                  |   | $                        | 17,840,753  |   |   | $ | 22,802,624 |   |
| Net increase (decrease) in unrealized appreciation on investments |   |                     | 12,183,572  |   |   |   | (2,008,364 | ) |
| Brokerage commissions and fees                                    |   |                     | (2,566,961  | ) |   |   | (1,361,186 | ) |
| Net gain allocated from investments in Master Funds               |   |                     | 27,457,364  |   |   |   | 19,433,074 |   |
|                                                              |   |                     |        |   |   |   |   |   |
| Net investment loss allocated from investments in Master Funds    |   |                     | (77,203     | ) |   |   | (37,152 | ) |
|                                                              |   |                     |        |   |   |   |   |   |
| Investment income:                                                |   |                     |        |   |   |   |   |   |
| Interest income                                                   |   |                     | 1,901,499   |   |   |   | 1,569,719 |   |
|                                                              |   |                     |        |   |   |   |   |   |
| Expenses:                                                         |   |                     |        |   |   |   |   |   |
| Brokerage fees                                                    |   |                     | 8,578,779   |   |   |   | 6,212,118 |   |
| Advisory fees                                                     |   |                     | 7,370,466   |   |   |   | 5,366,051 |   |
| Sponsor fees                                                      |   |                     | 3,685,233   |   |   |   | 2,683,026 |   |
| Interest and other                                                |   |                     | 50,259      |   |   |   | 17,561 |   |
| Commission reimbursements                                         |   |                     | (2,566,961  | ) |   |   | (1,361,186 | ) |
| Total expenses                                                    |   |                     | 17,117,776  |   |   |   | 12,917,570 |   |
| Net investment loss of the Fund                                   |   |                     | (15,216,277 | ) |   |   | (11,347,851 | ) |
|                                                              |   |                     |        |   |   |   |   |   |
| Net income                                                        |   |                     | 12,163,884  |   |   |   | 8,048,071 |   |
|                                                              |   |                     |        |   |   |   |   |   |
| Incentive allocation                                              |   |                     | (2,474,082  | ) |   |   | (1,657,193 | ) |
|                                                              |   |                     |        |   |   |   |   |   |
| Net income available for pro-rata allocation to all members       |   | $                        | 9,689,802   |   |   | $ | 6,390,878 |   |

----

|                                      |   | Class 0 |          |   | Class 2 |   |        | Class M |   |   | Total       |   |
|-------------------------------------------|--------|---------|---------------|--------|---------|--------|-------------|---------|--------|--------|-------------|--------|
|                                      |   | Units   |          |   | Capital |   |        | Units   |   |   | Capital     |   |   | Units |   |   | Capital |   |   | Capital |   |
|                                      |   |    |          |   |    |   |        |    |   |   |        |   |   |   |   |   |   |   |   |   |   |
| Members’ capital, December 31, 2008 |   |    | 1,585,426.608 |   |    | $      | 209,463,943 |    |   |   | 276,829.231 |   |   | $ | 30,933,785 |   |   |   | 4,671.470 |   |   | $ | 748,868 |   |   | $ | 241,146,596 |   |
| Subscriptions                             |   |    | 573,793.392   |   |    |   | 76,445,740  |    |   |   | 267,418.678 |   |   |   | 29,747,711 |   |   |   | – |   |   |   | – |   |   |   | 106,193,451 |   |
| Redemptions                               |   |    | (307,960.729  | )      |    |   | (40,705,338 | )       |   |   | (81,933.085 | )      |   |   | (9,143,675 | ) |   |   | – |   |   |   | (1,657,193 | ) |   |   | (51,506,206 | ) |
| Incentive allocation                      |   |    | –       |   |    |   | (1,498,740  | )       |   |   | –     |   |   |   | (158,453 | ) |   |   | – |   |   |   | 1,657,193 |   |   |   | – |   |
| Net income                                |   |    | –       |   |    |   | 7,246,875   |    |   |   | –     |   |   |   | 736,873 |   |   |   | – |   |   |   | 64,323 |   |   |   | 8,048,071 |   |
| Members’ capital, December 31, 2009 |   |    | 1,851,259.271 |   |    |   | 250,952,480 |    |   |   | 462,314.824 |   |   |   | 52,116,241 |   |   |   | 4,671.470 |   |   |   | 813,191 |   |   |   | 303,881,912 |   |
| Subscriptions                             |   |    | 1,020,127.356 |   |    |   | 138,433,221 |    |   |   | 234,253.744 |   |   |   | 26,258,778 |   |   |   | – |   |   |   | – |   |   |   | 164,691,999 |   |
| Redemptions                               |   |    | (186,214.499  | )      |    |   | (25,203,919 | )       |   |   | (56,985.911 | )      |   |   | (6,345,955 | ) |   |   | – |   |   |   | (2,474,082 | ) |   |   | (34,023,956 | ) |
| Incentive allocation                      |   |    | –       |   |    |   | (2,284,033  | )       |   |   | –     |   |   |   | (190,049 | ) |   |   | – |   |   |   | 2,474,082 |   |   |   | – |   |
| Net income                                |   |    | –       |   |    |   | 11,223,381  |    |   |   | –     |   |   |   | 871,366 |   |   |   | – |   |   |   | 69,137 |   |   |   | 12,163,884 |   |
| Members’ capital, December 31, 2010 |   |    | 2,685,172.128 |   |    | $      | 373,121,130 |    |   |   | 639,582.657 |   |   | $ | 72,710,381 |   |   |   | 4,671.470 |   |   | $ | 882,328 |   |   | $ | 446,713,839 |   |

----

|                                                                          |   | Years Ended December 31, |         |
|-------------------------------------------------------------------------------|--------|--------------------------|--------------|
|                                                                          |   | 2010                     |         |   | 2009 |   |
| Cash flows used in operating activities                                       |   |                     |         |   |   |   |
| Net income                                                                    |   | $                        | 12,163,884   |   |   | $ | 8,048,071 |   |
| Adjustments to reconcile net income to net cash used in operating activities: |   |                     |         |   |   |   |   |   |
| Net income allocated from investment in Master Funds                          |   |                     | (27,380,161  | ) |   |   | (19,395,922 | ) |
| Net income allocated from investment in Graham Cash Assets LLC                |   |                     | (1,901,499   | ) |   |   | (1,000,696 | ) |
| Net income allocated from investment in Graham Cash Assets II LLC             |   |                     | -            |   |   |   | (569,023 | ) |
| Proceeds from sale of investments in Master Funds                             |   |                     | 370,470,219  |   |   |   | 228,050,519 |   |
| Proceeds from sale of investments in Graham Cash Assets LLC                   |   |                     | 266,204,819  |   |   |   | 268,438,472 |   |
| Proceeds from sale of investments in Graham Cash Assets II LLC                |   |                     | -            |   |   |   | 359,882,599 |   |
| Investments in Master Funds                                                   |   |                     | (370,789,981 | ) |   |   | (217,020,948 | ) |
| Investments in Graham Cash Assets LLC                                         |   |                     | (383,861,653 | ) |   |   | (557,269,099 | ) |
| Investments in Graham Cash Assets II LLC                                      |   |                     | -            |   |   |   | (112,508,973 | ) |
| Changes in assets and liabilities:                                            |   |                     |         |   |   |   |   |   |
| Accrued commission reimbursements                                             |   |                     | (141,390     | ) |   |   | (38,305 | ) |
| Accrued interest income                                                       |   |                     | -            |   |   |   | 252 |   |
| Receivable from Master Funds                                                  |   |                     | 2,825        |   |   |   | 6,718 |   |
| Accrued brokerage fees                                                        |   |                     | 286,103      |   |   |   | 121,665 |   |
| Accrued advisory fees                                                         |   |                     | 250,254      |   |   |   | 87,289 |   |
| Accrued sponsor fees                                                          |   |                     | 125,128      |   |   |   | 43,644 |   |
| Payable to Master Funds                                                       |   |                     | 61           |   |   |   | (10 | ) |
| Net cash used in operating activities                                         |   |                     | (134,571,391 | ) |   |   | (43,123,747 | ) |
|                                                                          |   |                     |         |   |   |   |   |   |
| Cash flows provided by financing activities                                   |   |                     |         |   |   |   |   |   |
| Subscriptions                                                                 |   |                     | 164,691,999  |   |   |   | 106,193,451 |   |
| Redemptions                                                                   |   |                     | (30,120,657  | ) |   |   | (63,069,850 | ) |
| Net cash provided by financing activities                                     |   |                     | 134,571,342  |   |   |   | 43,123,601 |   |
|                                                                          |   |                     |         |   |   |   |   |   |
| Net decrease in cash and cash equivalents                                     |   |                     | (49          | ) |   |   | (146 | ) |
|                                                                          |   |                     |         |   |   |   |   |   |
| Cash and cash equivalents, beginning of year                                  |   |                     | 49           |   |   |   | 195 |   |
| Cash and cash equivalents, end of year                                        |   | $                        | -            |   |   | $ | 49 |   |

----

----

|   | · | Level 1 inputs are unadjusted closing or settle prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund. |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

----

----

----

| December 31, 2010                                         |
|-----------------------------------------------------------|
| Investment – Objective                              |   | Percent of Members’ Capital |   |   | Fair Value |   |   | Net Income |
|                                                      |   |   |   |   |   |   |   |   |
| Graham K4D Trading Ltd. –  (a)            |   |   | 5.38 | % |   | $ | 24,030,670 |   |   | $ | 17,360,793 |   |
| Other Master Funds (7) –  (b) (c) (d) (e) |   |   | 4.45 | % |   |   | 19,880,116 |   |   |   | 10,019,368 |   |
|                                                      |   |   | 9.83 | % |   | $ | 43,910,786 |   |   | $ | 27,380,161 |   |

| December 31, 2009                            |   |
|----------------------------------------------|--------|
| Investment – Objective                 |   | Percent of Members’ Capital |   |   | Fair Value |   |   | Net Income |   |
|                                         |   |   |   |   |   |   |   |   |   |
| Master Funds (6) – (a) (b) (c) (d) (e) |   |   | 5.33 | % |   | $ | 16,210,863 |   |   | $ | 19,395,922 |   |
|                                         |   |   | 5.33 | % |   | $ | 16,210,863 |   |   | $ | 19,395,922 |   |

| (a) – Systematic Macro | (b) – Fixed Income | (c) – Global Macro | (d) – Energy Related | (e) – Commodities |
|------------------------------|--------------------------|--------------------------|----------------------------|-------------------------|

----

|                                            |   | Graham Commodity Strategies LLC (Delaware) |       |   | Graham Discretionary Energy Trading III LLC(Delaware) |   |       | GrahamFed Policy Ltd. (BVI) |   |   | GrahamGlobal MonetaryPolicy LLC (Delaware) |   |   | Graham K4DTrading Ltd.(BVI) |       |   | Graham Macro Directional LLC(Delaware) |   |        | Graham Short Term Global Macro LLC(Delaware) |   |
|-------------------------------------------------|--------|--------------------------------------------|------------|--------|-------------------------------------------------------|--------|------------|-----------------------------|--------|--------|--------------------------------------------|--------|--------|-----------------------------|------------|--------|----------------------------------------|--------|-------------|----------------------------------------------|--------|
| Assets:                                         |   |                                       |       |   |                                                  |   |       |                        |   |   |                                       |   |   |                        |       |   |                                   |   |        |                                         |   |
| Cash and cash equivalents                       |   | $                                          | -          |   |                                                  | $      | -          |                        |   | $      | -                                          |   |   | $                           | -          |   |                                   | $      | -           |                                         |   | $ | - |   |   | $ | - |   |
| Due from brokers                                |   |                                       | 14,527,187 |   |                                                  |   | -          |                        |   |   | 23,563,039                                 |   |   |                        | 42,869,239 |   |                                   |   | 135,887,098 |                                         |   |   | 1,286,040 |   |   |   | 246,023 |   |
| Options, at fair value                          |   |                                       | -          |   |                                                  |   | 2,165,000  |                        |   |   | 15,955,481                                 |   |   |                        | 603,151    |   |                                   |   | -           |                                         |   |   | - |   |   |   | 47,256 |   |
| Derivative financial instruments, at fair value |   |                                       | 36,971,878 |   |                                                  |   | 16,379,776 |                        |   |   | 11,613,647                                 |   |   |                        |  -    |   |                                   |   | 45,743,328  |                                         |   |   | 173,923 |   |   |   | - |   |
| Subscriptions receivable                        |   |                                       | -          |   |                                                  |   | -          |                        |   |   | 1,739                                      |   |   |                        | 340        |   |                                   |   | -           |                                         |   |   | - |   |   |   | - |   |
| Interest receivable                             |   |                                       | -          |   |                                                  |   | -          |                        |   |   | -                                          |   |   |                        | 3,056      |   |                                   |   | 9,100       |                                         |   |   | 113 |   |   |   | - |   |
| Total assets                                    |   |                                       | 51,499,065 |   |                                                  |   | 18,544,776 |                        |   |   | 51,133,906                                 |   |   |                        | 43,475,786 |   |                                   |   | 181,639,526 |                                         |   |   | 1,460,076 |   |   |   | 293,279 |   |
|                                            |   |                                       |       |   |                                                  |   |       |                        |   |   |                                       |   |   |                        |       |   |                                   |   |        |                                         |   |   |   |   |   |   |   |   |
| Liabilities:                                    |   |                                       |       |   |                                                  |   |       |                        |   |   |                                       |   |   |                        |       |   |                                   |   |        |                                         |   |   |   |   |   |   |   |   |
| Options, at fair value                          |   |                                       | -          |   |                                                  |   | 182,500    |                        |   |   | 3,958,218                                  |   |   |                        | -          |   |                                   |   | -           |                                         |   |   | - |   |   |   | - |   |
| Derivative financial instruments, at fair value |   |                                       | -          |   |                                                  |   | -          |                        |   |   | -                                          |   |   |                        | 3,185,389  |   |                                   |   | -           |                                         |   |   | - |   |   |   | 105,751 |   |
| Due to brokers                                  |   |                                       | -          |   |                                                  |   | 6,241,250  |                        |   |   | -                                          |   |   |                        | 530,100    |   |                                   |   | -           |                                         |   |   | - |   |   |   | 41,070 |   |
| Redemptions payable                             |   |                                       | -          |   |                                                  |   | -          |                        |   |   | -                                          |   |   |                        | 220        |   |                                   |   | -           |                                         |   |   | - |   |   |   | - |   |
| Total liabilities                               |   |                                       | -          |   |                                                  |   | 6,423,750  |                        |   |   | 3,958,218                                  |   |   |                        | 3,715,709  |   |                                   |   | -           |                                         |   |   | - |   |   |   | 146,821 |   |
| Net assets                                      |   | $                                          | 51,499,065 |   |                                                  | $      | 12,121,026 |                        |   | $      | 47,175,688                                 |   |   | $                           | 39,760,077 |   |                                   | $      | 181,639,526 |                                         |   | $ | 1,460,076 |   |   | $ | 146,458 |   |
|                                            |   |                                       |       |   |                                                  |   |       |                        |   |   |                                       |   |   |                        |       |   |                                   |   |        |                                         |   |   |   |   |   |   |   |   |
| Percentage of Master Fund held by the Fund      |   |                                       | 14.76      | %      |                                                  |   | 13.95      | %                           |   |   | 14.22                                      | %      |   |                        | 8.97       | %      |                                   |   | 13.23       | %                                            |   |   | 18.38 | % |   |   | 28.67 | % |

----

|                                                   |   | Graham Commodity Strategies LLC (Delaware) |        |   | Graham Discretionary Energy Trading III LLC(Delaware) |   |       | GrahamFed Policy Ltd. (BVI) |   |   | GrahamGlobal MonetaryPolicy LLC (Delaware) |   |   | GrahamGMP Securities LLC (Delaware) |       |   | Graham K4DTrading Ltd.(BVI) |   |       | Graham Macro Directional LLC(Delaware) |   |   | Graham Short Term Global Macro LLC(Delaware) |   |
|--------------------------------------------------------|--------|--------------------------------------------|-------------|--------|-------------------------------------------------------|--------|------------|-----------------------------|--------|--------|--------------------------------------------|--------|--------|-------------------------------------|------------|--------|-----------------------------|--------|------------|----------------------------------------|--------|--------|----------------------------------------------|--------|
| Net investment income (loss)                           |   | $                                          | (13,379     | )      |                                                  | $      | (132,094   | )                           |   | $      | (7,256                                     | )      |   | $                                   | (100,185   | )      |                        | $      | (261,261   | )                                      |   | $      | (204,857                                     | )      |   | $ | (37,542 | ) |   | $ | 1,306 |   |
|                                                   |   |                                       |        |   |                                                  |   |       |                        |   |   |                                       |   |   |                                |       |   |                        |   |       |                                   |   |   |                                         |   |   |   |   |   |   |   |   |   |
| Net realized gain (loss) on investments                |   |                                       | (18,227,676 | )      |                                                  |   | (6,005,356 | )                           |   |   | 27,207,221                                 |   |   |                                | 89,031,057 |   |                        |   | (6,748,828 | )                                      |   |   | 108,949,892                                  |   |   |   | 13,458,813 |   |   |   | (19,160,676 | ) |
| Net increase (decrease) in appreciation on investments |   |                                       | 36,484,541  |   |                                                  |   | 17,055,434 |                        |   |   | 11,810,565                                 |   |   |                                | (4,184,318 | )      |                        |   | 3,763,707  |                                   |   |   | 25,962,402                                   |   |   |   | 17,057 |   |   |   | 1,802,261 |   |
| Brokerage commissions and fees                         |   |                                       | (5,184,323  | )      |                                                  |   | (1,614,557 | )                           |   |   | (3,498,560                                 | )      |   |                                | (2,236,771 | )      |                        |   | (2,779     | )                                      |   |   | (6,939,638                                   | )      |   |   | (951,242 | ) |   |   | (402,548 | ) |
| Net gain (loss) on investments                         |   |                                       | 13,072,542  |   |                                                  |   | 9,435,521  |                        |   |   | 35,519,226                                 |   |   |                                | 82,609,968 |   |                        |   | (2,987,900 | )                                      |   |   | 127,972,656                                  |   |   |   | 12,524,628 |   |   |   | (17,760,963 | ) |
| Net income (loss)                                      |   | $                                          | 13,059,163  |   |                                                  | $      | 9,303,427  |                        |   | $      | 35,511,970                                 |   |   | $                                   | 82,509,783 |   |                        | $      | (3,249,161 | )                                      |   | $      | 127,767,799                                  |   |   | $ | 12,487,086 |   |   | $ | (17,759,657 | ) |

----

| Description                                     |   | Number of Contracts |   |   | Fair Value |   |        | Percentage of Members' Capital |   |
|-------------------------------------------------|--------|---------------------|--------|--------|------------|--------|-------------|--------------------------------|--------|
| Graham Commodity Strategies LLC                 |   |                |   |   |       |   |        |                           |   |
| Long contracts                                  |   |                |   |   |       |   |        |                           |   |
| Futures                                         |   |                |   |   |       |   |        |                           |   |
| Brent Crude Penultimate Financial December 2011 |   |                | 1,095  |   |       | $      | 14,633,650  |                           |   |   | 28.42 | % |
| Brent Crude Penultimate Financial June 2012     |   |                | 200    |   |       |   | 2,036,000   |                           |   |   | 3.95 | % |
| Brent Crude December 2011 - June 2011           |   |                | 1,277  |   |       |   | 3,601,460   |                           |   |   | 6.99 | % |
| Coffee March 2011                               |   |                | 396    |   |       |   | 4,360,950   |                           |   |   | 8.47 | % |
| Corn July 2011                                  |   |                | 3,991  |   |       |   | 18,055,400  |                           |   |   | 35.06 | % |
| Corn December 2011                              |   |                | 48     |   |       |   | 153,788     |                           |   |   | 0.30 | % |
| Heating Oil March 2011                          |   |                | 527    |   |       |   | 5,647,421   |                           |   |   | 10.97 | % |
| Heating Oil February 2011 - June 2011           |   |                | 397    |   |       |   | 264,810     |                           |   |   | 0.51 | % |
| LME Aluminum March 2011                         |   |                | 1,590  |   |       |   | 2,988,131   |                           |   |   | 5.80 | % |
| LME Aluminum January 2011                       |   |                | 723    |   |       |   | 2,143,550   |                           |   |   | 4.16 | % |
| LME Copper January 2011                         |   |                | 172    |   |       |   | 2,952,825   |                           |   |   | 5.73 | % |
| LME Copper March 2011                           |   |                | 359    |   |       |   | 2,598,425   |                           |   |   | 5.05 | % |
| LME Lead January 2011                           |   |                | 511    |   |       |   | 3,757,844   |                           |   |   | 7.30 | % |
| LME Lead March 2011                             |   |                | 315    |   |       |   | 641,800     |                           |   |   | 1.25 | % |
| LME Zinc March 2011                             |   |                | 1,566  |   |       |   | 4,704,131   |                           |   |   | 9.13 | % |
| LME Zinc January 2011                           |   |                | 633    |   |       |   | 2,228,906   |                           |   |   | 4.33 | % |
| Soybean July 2011                               |   |                | 613    |   |       |   | 4,537,487   |                           |   |   | 8.81 | % |
| Soybean November 2011                           |   |                | 102    |   |       |   | 280,350     |                           |   |   | 0.54 | % |
| Wheat July 2011                                 |   |                | 1,414  |   |       |   | 7,393,413   |                           |   |   | 14.36 | % |
| Wheat March 2011                                |   |                | 1,044  |   |       |   | 5,075,512   |                           |   |   | 9.86 | % |
| Wheat May 2011 - December 2011                  |   |                | 1,676  |   |       |   | 4,151,525   |                           |   |   | 8.06 | % |
| WTI Crude April 2011                            |   |                | 2,180  |   |       |   | 4,866,480   |                           |   |   | 9.45 | % |
| WTI Crude December 2012                         |   |                | 2,529  |   |       |   | 18,709,570  |                           |   |   | 36.33 | % |
| Other commodity                                 |   |                |   |   |       |   | 10,047,962  |                           |   |   | 19.51 | % |
| Total futures                                   |   |                |   |   |       |   | 125,831,390 |                           |   |   | 244.34 | % |

----

| Description                                     |   | Number of Contracts |   |   | Fair Value |   |        | Percentage of Members' Capital |   |
|-------------------------------------------------|--------|---------------------|--------|--------|------------|--------|-------------|--------------------------------|--------|
| Graham Commodity Strategies LLC (continued)     |   |                |   |   |       |   |        |                           |   |
| Short contracts                                 |   |                |   |   |       |   |        |                           |   |
| Futures                                         |   |                |   |   |       |   |        |                           |   |
| Brent Crude Penultimate Financial December 2012 |   |                | (1,295 | )      |       | $      | (13,292,950 | )                              |   |   | (25.81 | )% |
| Brent Crude Penultimate Financial June 2011     |   |                | (3     | )      |       |   | (49,020     | )                              |   |   | (0.10 | )% |
| Brent Crude December 2012                       |   |                | (1,143 | )      |       |   | (5,592,330  | )                              |   |   | (10.86 | )% |
| Coffee May 2011                                 |   |                | (338   | )      |       |   | (4,695,019  | )                              |   |   | (9.12 | )% |
| Corn March 2011                                 |   |                | (3,625 | )      |       |   | (9,012,475  | )                              |   |   | (17.50 | )% |
| Gas Oil March 2011                              |   |                | (646   | )      |       |   | (3,626,950  | )                              |   |   | (7.04 | )% |
| Gas Oil January 2011 - June 2012                |   |                | (53    | )      |       |   | (108,375    | )                              |   |   | (0.22 | )% |
| LME Aluminum January 2011 - March 2011          |   |                | (2,207 | )      |       |   | (3,806,831  | )                              |   |   | (7.39 | )% |
| LME Copper January 2011                         |   |                | (173   | )      |       |   | (2,962,525  | )                              |   |   | (5.75 | )% |
| LME Copper March 2011                           |   |                | (327   | )      |       |   | (2,328,450  | )                              |   |   | (4.52 | )% |
| LME Lead January 2011 - March 2011              |   |                | (826   | )      |       |   | (3,205,319  | )                              |   |   | (6.22 | )% |
| LME Zinc January 2011                           |   |                | (634   | )      |       |   | (4,078,794  | )                              |   |   | (7.92 | )% |
| LME Zinc March 2011                             |   |                | (1,494 | )      |       |   | (5,237,125  | )                              |   |   | (10.17 | )% |
| Wheat July 2011                                 |   |                | (2,459 | )      |       |   | (5,308,537  | )                              |   |   | (10.31 | )% |
| Wheat March 2011                                |   |                | (688   | )      |       |   | (4,981,550  | )                              |   |   | (9.67 | )% |
| Wheat May 2011                                  |   |                | (795   | )      |       |   | (849,025    | )                              |   |   | (1.65 | )% |
| WTI Crude February 2011                         |   |                | (2,758 | )      |       |   | (5,155,560  | )                              |   |   | (10.01 | )% |
| WTI Crude December 2011                         |   |                | (1,829 | )      |       |   | (7,981,680  | )                              |   |   | (15.50 | )% |
| Other commodity                                 |   |                |   |   |       |   | (6,586,997  | )                              |   |   | (12.79 | )% |
| Total futures                                   |   |                |   |   |       |   | (88,859,512 | )                              |   |   | (172.55 | )% |
|                                            |   |                |   |   |       |   |        |                           |   |   |   |   |
| Total                                           |   |                |   |   |       | $      | 36,971,878  |                           |   |   | 71.79 | % |

----

| Description                                                       |   | Number of Contracts |   |   | Fair Value |   |       | Percentage of Members' Capital |   |
|-------------------------------------------------------------------|--------|---------------------|--------|--------|------------|--------|------------|--------------------------------|--------|
| Graham Discretionary Energy Trading III LLC                       |   |                |   |   |       |   |       |                           |   |
| Long contracts                                                    |   |                |   |   |       |   |       |                           |   |
| Futures                                                           |   |                |   |   |       |   |       |                           |   |
| Brent Crude February 2011                                         |   |                | 330    |   |       | $      | 977,500    |                           |   |   | 8.07 | % |
| Brent Crude April 2011                                            |   |                | 330    |   |       |   | 974,400    |                           |   |   | 8.04 | % |
| Gasoline RBOB February 2011 – June 2011                     |   |                | 1,025  |   |       |   | 7,896,193  |                           |   |   | 65.14 | % |
| Globex Crude Oil June 2011                                        |   |                | 75     |   |       |   | 733,500    |                           |   |   | 6.05 | % |
| Globex Crude Oil December 2011                                    |   |                | 500    |   |       |   | 4,600,000  |                           |   |   | 37.95 | % |
| Globex RBOB Gasoline June 2011                                    |   |                | 475    |   |       |   | 2,643,060  |                           |   |   | 21.81 | % |
| Heating Oil December 2011                                         |   |                | 1,650  |   |       |   | 14,407,478 |                           |   |   | 118.86 | % |
| Heating Oil August 2011                                           |   |                | 500    |   |       |   | 412,012    |                           |   |   | 3.40 | % |
| Natural Gas October 2011                                          |   |                | 721    |   |       |   | 1,138,980  |                           |   |   | 9.40 | % |
| Other commodity                                                   |   |                |   |   |       |   | 594,381    |                           |   |   | 4.90 | % |
| Total futures                                                     |   |                |   |   |       |   | 34,377,504 |                           |   |   | 283.62 | % |
|                                                              |   |                |   |   |       |   |       |                           |   |   |   |   |
| Options                                                           |   |                |   |   |       |   |       |                           |   |   |   |   |
| Crude Oil Future April 2011, $100.00 Call                         |   |                | 500    |   |       |   | 1,010,000  |                           |   |   | 8.33 | % |
| Crude Oil Future, February 2011 - March 2011 $(0.50) - $85.00 Put |   |                | 3,450  |   |       |   | 1,155,000  |                           |   |   | 9.53 | % |
| Total options                                                     |   |                |   |   |       |   | 2,165,000  |                           |   |   | 17.86 | % |
|                                                              |   |                |   |   |       |   |       |                           |   |   |   |   |
| Swaps                                                             |   |                |   |   |       |   |       |                           |   |   |   |   |
| Natural Gas Swap April 2011                                       |   |                | 4,540  |   |       |   | 1,872,750  |                           |   |   | 15.45 | % |
| Natural Gas Swap October 2011                                     |   |                | 2,124  |   |       |   | 933,360    |                           |   |   | 7.70 | % |
| Natural Gas Swap November 2011                                    |   |                | 2,000  |   |       |   | 950,000    |                           |   |   | 7.84 | % |
| Total swaps                                                       |   |                |   |   |       |   | 3,756,110  |                           |   |   | 30.99 | % |

----

| Description                                             |   | Number of Contracts |   |   | Fair Value |   |        | Percentage of Members' Capital |   |
|---------------------------------------------------------|--------|---------------------|--------|--------|------------|--------|-------------|--------------------------------|--------|
| Graham Discretionary Energy Trading III LLC (continued) |   |                |   |   |       |   |        |                           |   |
| Short contracts                                         |   |                |   |   |       |   |        |                           |   |
| Futures                                                 |   |                |   |   |       |   |        |                           |   |
| Brent Crude March 2011                                  |   |                | (660   | )      |       | $      | (1,900,100  | )                              |   |   | (15.68 | )% |
| Globex Heat Oil June 2011                               |   |                | (550   | )      |       |   | (2,936,850  | )                              |   |   | (24.23 | )% |
| Heating Oil June 2011                                   |   |                | (1,325 | )      |       |   | (5,756,297  | )                              |   |   | (47.49 | )% |
| Heating Oil July 2011                                   |   |                | (1,000 | )      |       |   | (836,611    | )                              |   |   | (6.90 | )% |
| Heating Oil June 2012                                   |   |                | (75    | )      |       |   | (239,350    | )                              |   |   | (1.97 | )% |
| Natural Gas April 2011                                  |   |                | (1,135 | )      |       |   | (1,872,750  | )                              |   |   | (15.45 | )% |
| Natural Gas November 2011                               |   |                | (500   | )      |       |   | (840,220    | )                              |   |   | (6.93 | )% |
| Natural Gas January 2012 - April 2012                   |   |                | (302   | )      |       |   | (314,660    | )                              |   |   | (2.60 | )% |
| WTI Crude June 2011                                     |   |                | (775   | )      |       |   | (4,299,500  | )                              |   |   | (35.47 | )% |
| WTI Crude December 2011                                 |   |                | (500   | )      |       |   | (976,750    | )                              |   |   | (8.06 | )% |
| WTI Crude April 2011                                    |   |                | (125   | )      |       |   | (363,750    | )                              |   |   | (3.00 | )% |
| Total futures                                           |   |                |   |   |       |   | (20,336,838 | )                              |   |   | (167.78 | )% |
|                                                    |   |                |   |   |       |   |        |                           |   |   |   |   |
| Options                                                 |   |                |   |   |       |   |        |                           |   |   |   |   |
| Commodity                                               |   |                |   |   |       |   | (182,500    | )                              |   |   | (1.51 | )% |
| Total options                                           |   |                |   |   |       |   | (182,500    | )                              |   |   | (1.51 | )% |
|                                                    |   |                |   |   |       |   |        |                           |   |   |   |   |
| Swaps                                                   |   |                |   |   |       |   |        |                           |   |   |   |   |
| Natural Gas Swap January 2012                           |   |                | (1,800 | )      |       |   | (837,000    | )                              |   |   | (6.91 | )% |
| Natural Gas Swap April 2012                             |   |                | (2,000 | )      |       |   | (580,000    | )                              |   |   | (4.78 | )% |
| Total swaps                                             |   |                |   |   |       |   | (1,417,000  | )                              |   |   | (11.69 | )% |
|                                                    |   |                |   |   |       |   |        |                           |   |   |   |   |
| Total                                                   |   |                |   |   |       | $      | 18,362,276  |                           |   |   | 151.49 | % |

----

| Description                                                         |   | Number of Contracts |     |   | Fair Value |   |       | Percentage of Net Assets |   |
|---------------------------------------------------------------------|--------|---------------------|----------|--------|------------|--------|------------|--------------------------|--------|
| Graham Fed Policy Ltd.                                              |   |                |     |   |       |   |       |                     |   |
| Long contracts                                                      |   |                |     |   |       |   |       |                     |   |
| Futures                                                             |   |                |     |   |       |   |       |                     |   |
| 30 Day Fed Fund February 2011                                       |   |                | 4,831    |   |       | $      | 2,646,031  |                     |   |   | 5.61 | % |
| 30 Day Fed Fund January 2011 - June 2012                            |   |                | 50,026   |   |       |   | 8,927,649  |                     |   |   | 18.92 | % |
| Total futures                                                       |   |                |     |   |       |   | 11,573,680 |                     |   |   | 24.53 | % |
|                                                                |   |                |     |   |       |   |       |                     |   |   |   |   |
| Options                                                             |   |                |     |   |       |   |       |                     |   |   |   |   |
| Fed Fund futures February 2011, $99.75 Call                         |   |                | 11,350   |   |       |   | 3,310,682  |                     |   |   | 7.02 | % |
| Fed Fund futures January 2011 - December 2011, $99.69 - $99.81 Call |   |                | 74,106   |   |       |   | 11,797,652 |                     |   |   | 25.01 | % |
| Fed Fund futures January 2011 - February 2011, $99.63 - $99.75 Put  |   |                | 30,823   |   |       |   | 409,647    |                     |   |   | 0.87 | % |
| Other interest rate futures                                         |   |                |     |   |       |   | 437,500    |                     |   |   | 0.93 | % |
| Total options                                                       |   |                |     |   |       |   | 15,955,481 |                     |   |   | 33.83 | % |
|                                                                |   |                |     |   |       |   |       |                     |   |   |   |   |
| Short contracts                                                     |   |                |     |   |       |   |       |                     |   |   |   |   |
| Futures                                                             |   |                |     |   |       |   |       |                     |   |   |   |   |
| 30 Day Fed Fund December 2010 - July 2012                           |   |                | (2,849   | )      |       |   | 39,967     |                     |   |   | 0.08 | % |
| Total futures                                                       |   |                |     |   |       |   | 39,967     |                     |   |   | 0.08 | % |
|                                                                |   |                |     |   |       |   |       |                     |   |   |   |   |
| Options                                                             |   |                |     |   |       |   |       |                     |   |   |   |   |
| Fed Fund futures January 2011 - December 2011, $99.81 - $99.94 Call |   |                | (178,751 | )      |       |   | (3,833,213 | )                        |   |   | (8.13 | )% |
| Fed Fund futures January 2011, $99.69 Put                           |   |                | (6,000   | )      |       |   | (62,505    | )                        |   |   | (0.13 | )% |
| Other interest rate futures                                         |   |                |     |   |       |   | (62,500    | )                        |   |   | (0.13 | )% |
| Total options                                                       |   |                |     |   |       |   | (3,958,218 | )                        |   |   | (8.39 | )% |
|                                                                |   |                |     |   |       |   |       |                     |   |   |   |   |
| Total                                                               |   |                |     |   |       | $      | 23,610,910 |                     |   |   | 50.05 | % |

----

| Description                                               |   | Number ofContracts / Principal Amount |   |   | Fair Value |       |        | Percentage of Members' Capital |   |
|-----------------------------------------------------------|--------|--------------------------------------------|--------|--------|------------|------------|-------------|--------------------------------|--------|
| Graham Global Monetary Policy LLC                         |   |                                       |   |   |       |       |        |                           |   |
| Long contracts                                            |   |                                       |   |   |       |       |        |                           |   |
| Futures                                                   |   |                                       |   |   |       |       |        |                           |   |
| Commodity                                                 |   |                                       |   |   | $          | 833,980    |        |                           |   | 2.10 | % |
| Interest rate                                             |   |                                       |   |   |       | 1,570,955  |        |                           |   | 3.95 | % |
| Total futures                                             |   |                                       |   |   |       | 2,404,935  |        |                           |   | 6.05 | % |
|                                                      |   |                                       |   |   |       |       |        |                           |   |   |   |
| Options                                                   |   |                                       |   |   |       |       |        |                           |   |   |   |
| Foreign currency                                          |   |                                       |   |   |       | 603,151    |        |                           |   | 1.52 | % |
| Total options                                             |   |                                       |   |   |       | 603,151    |        |                           |   | 1.52 | % |
|                                                      |   |                                       |   |   |       |       |        |                           |   |   |   |
| Forwards                                                  |   |                                       |   |   |       |       |        |                           |   |   |   |
| Japanese Yen / U.S. Dollar 01/04/11                       |   | JPY 35,703,594,900                    |   |   |       | 2,677,452  |        |                           |   | 6.73 | % |
| Japanese Yen / U.S. Dollar 01/05/11                       |   | JPY 34,708,122,000                    |   |   |       | 2,429,135  |        |                           |   | 6.11 | % |
| Chinese Yuan / U.S. Dollar 06/17/11 - 06/27/11            |   | CNY 471,400,000                       |   |   |       | 2,318,175  |        |                           |   | 5.83 | % |
| Australian Dollar / U.S. Dollar 01/04/11 - 01/05/11       |   | AUD 550,000,000                       |   |   |       | 3,850,775  |        |                           |   | 9.68 | % |
| Other foreign currency                                    |   |                                       |   |   |       | (474,653   | )           |                           |   | (1.19 | )% |
| Total forwards                                            |   |                                       |   |   |       | 10,800,884 |        |                           |   | 27.16 | % |
|                                                      |   |                                       |   |   |       |       |        |                           |   |   |   |
| Short contracts                                           |   |                                       |   |   |       |       |        |                           |   |   |   |
| Futures                                                   |   |                                       |   |   |       |       |        |                           |   |   |   |
| Euroswiss March 2011                                      |   |                                       | (7,500 | )      |       |       | (2,070,419  | )                              |   |   | (5.21 | )% |
| Other  interest rate                            |   |                                       |   |   |       |       | (1,009,594  | )                              |   |   | (2.53 | )% |
| U.S. bond                                                 |   |                                       |   |   |       |       | (37,016     | )                              |   |   | (0.09 | )% |
| Foreign bond                                              |   |                                       |   |   |       |       | 641,195     |                           |   |   | 1.61 | % |
| Commodity                                                 |   |                                       |   |   |       |       | (770,200    | )                              |   |   | (1.94 | )% |
| Total futures                                             |   |                                       |   |   |       |       | (3,246,034  | )                              |   |   | (8.16 | )% |
|                                                      |   |                                       |   |   |       |       |        |                           |   |   |   |   |
| Forwards                                                  |   |                                       |   |   |       |       |        |                           |   |   |   |   |
| Australian Dollar / U.S. Dollar  01/04/11       |   | AUD (450,000,000)                     |   |   |       | (3,909,044 | )           |                           |   | (9.83 | )% |
| Other Australian Dollar / U.S. Dollar  01/05/11 |   | AUD (115,000,000)                     |   |   |       | (192,228   | )           |                           |   | (0.48 | )% |
| Japanese Yen / U.S. Dollar 01/04/11                       |   | JPY (35,868,141,100)                  |   |   |       | (4,709,285 | )           |                           |   | (11.84 | )% |
| Other Japanese Yen / U.S. Dollar 01/05/11                 |   | JPY (40,735,192,000)                  |   |   |       | (1,652,261 | )           |                           |   | (4.16 | )% |
| Other foreign currency                                    |   |                                       |   |   |       |       | (2,682,356  | )                              |   |   | (6.75 | )% |
| Total forwards                                            |   |                                       |   |   |       |       | (13,145,174 | )                              |   |   | (33.06 | )% |
|                                                      |   |                                       |   |   |       |       |        |                           |   |   |   |   |
| Total                                                     |   |                                       |   |   |       | $          | (2,582,238  | )                              |   |   | (6.49 | )% |

----

| Description                                        | PrincipalAmount                                          |   | Fair Value |       |   | Percentage of Net Assets |   |
|----------------------------------------------------|----------------------------------------------------------|--------|------------|------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd.                            |                                                     |   |       |       |   |                     |   |
| Long contracts                                     |                                                     |   |       |       |   |                     |   |
| Futures                                            |                                                     |   |       |       |   |                     |   |
| U.S. bond                                          |                                                     |   | $          | 237,741    |   |                     |   | 0.13 | % |
| Foreign bond                                       |                                                     |   |       | 1,053,653  |   |                     |   | 0.58 | % |
| U.S. index                                         |                                                     |   |       | 3,010,100  |   |                     |   | 1.66 | % |
| Foreign index                                      |                                                     |   |       | (3,683,508 | )      |                     |   | (2.03 | )% |
| Commodity                                          |                                                     |   |       | 31,911,445 |   |                     |   | 17.57 | % |
| Interest rate                                      |                                                     |   |       | 325,182    |   |                     |   | 0.18 | % |
| Currency                                           |                                                     |   |       | 4,536,916  |   |                     |   | 2.50 | % |
| Total futures                                      |                                                     |   |       | 37,391,529 |   |                     |   | 20.59 | % |
|                                               |                                                     |   |       |       |   |                     |   |   |   |
| Forwards                                           |                                                     |   |       |       |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/19/11                | JPY   43,988,617,100                      |   |       | 11,186,032 |   |                     |   | 6.16 | % |
| Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY   14,270,122,339                      |   |       | 796,715    |   |                     |   | 0.44 | % |
| Swiss Franc / U.S. Dollar  01/19/11      | CHF       491,922,158 |   |       | 17,376,713 |   |                     |   | 9.57 | % |
| Other foreign currency                             |                                                     |   |       | 28,092,524 |   |                     |   | 15.46 | % |
| Total forwards                                     |                                                     |   |       | 57,451,984 |   |                     |   | 31.63 | % |

----

| Description                                        | Principal Amount                                      |   | Fair Value |        |   | Percentage of Net Assets |   |
|----------------------------------------------------|------------------------------------------------------------|--------|------------|-------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd. (continued)                |                                                       |   |       |        |   |                     |   |
| Short contracts                                    |                                                       |   |       |        |   |                     |   |
| Futures                                            |                                                       |   |       |        |   |                     |   |
| U.S. bond                                          |                                                       |   | $          | (1,546,794  | )      |                     |   | (0.85 | )% |
| Foreign bond                                       |                                                       |   |       | (540,937    | )      |                     |   | (0.30 | )% |
| Foreign index                                      |                                                       |   |       | (142,959    | )      |                     |   | (0.08 | )% |
| Commodity                                          |                                                       |   |       | (4,754,965  | )      |                     |   | (2.62 | )% |
| Interest rate                                      |                                                       |   |       | (3,790,967  | )      |                     |   | (2.09 | )% |
| Currency                                           |                                                       |   |       | 739,824     |   |                     |   | 0.41 | % |
| Total futures                                      |                                                       |   |       | (10,036,798 | )      |                     |   | (5.53 | )% |
|                                               |                                                       |   |       |        |   |                     |   |   |   |
| Forwards                                           |                                                       |   |       |        |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/19/11                | JPY   (36,043,608,800)                      |   |       | (12,993,436 | )      |                     |   | (7.15 | )% |
| Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY   (14,111,800,669)                      |   |       | (834,965    | )      |                     |   | (0.46 | )% |
| Swiss Franc / U.S. Dollar 01/19/11                 | CHF       (431,464,200) |   |       | (17,247,454 | )      |                     |   | (9.50 | )% |
| Other foreign currency                             |                                                       |   |       | (7,987,532  | )      |                     |   | (4.40 | )% |
| Total forwards                                     |                                                       |   |       | (39,063,387 | )      |                     |   | (21.51 | )% |
|                                               |                                                       |   |       |        |   |                     |   |   |   |
| Total                                              |                                                       |   | $          | 45,743,328  |   |                     |   | 25.18 | % |

----

| Description                            | Number ofContracts                     |   | Fair Value |    |   | Percentage of Members' Capital |   |
|----------------------------------------|---------------------------------------------|--------|------------|---------|--------|--------------------------------|--------|
| Graham Macro Directional LLC           |                                        |   |       |    |   |                           |   |
| Long contracts                         |                                        |   |       |    |   |                           |   |
| Futures                                |                                        |   |       |    |   |                           |   |
| Commodity                              |                                        |   | $          | 66,430  |   |                           |   | 4.55 | % |
| Total futures                          |                                        |   |       | 66,430  |   |                           |   | 4.55 | % |
|                                   |                                        |   |       |    |   |                           |   |   |   |
| Forwards                               |                                        |   |       |    |   |                           |   |   |   |
| Canadian Dollar / U.S. Dollar 01/04/11 | CAD     20,003,980 |   |       | 87,433  |   |                           |   | 5.99 | % |
| Total forwards                         |                                        |   |       | 87,433  |   |                           |   | 5.99 | % |
|                                   |                                        |   |       |    |   |                           |   |   |   |
| Short Contracts                        |                                        |   |       |    |   |                           |   |   |   |
| Futures                                |                                        |   |       |    |   |                           |   |   |   |
| Foreign bond                           |                                        |   |       | 20,060  |   |                           |   | 1.37 | % |
| Total futures                          |                                        |   |       | 20,060  |   |                           |   | 1.37 | % |
|                                   |                                        |   |       |    |   |                           |   |   |   |
| Total                                  |                                        |   | $          | 173,923 |   |                           |   | 11.91 | % |

----

| Description                                 |   | Principal Amount / Number of Contracts |   |   | Fair Value |       |       | Percentage of Members' Capital |   |
|---------------------------------------------|--------|---------------------------------------------|--------|--------|------------|------------|------------|--------------------------------|--------|
| Graham Short Term Global Macro LLC          |   |                                        |   |   |       |       |       |                           |   |
| Long contracts                              |   |                                        |   |   |       |       |       |                           |   |
| Futures                                     |   |                                        |   |   |       |       |       |                           |   |
| S&P 500 E-Mini March 2011               |   |                                        | 225    |   |       | $          | (16,875    | )                              |   |   | (11.52 | )% |
| Total futures                               |   |                                        |   |   |       |       | (16,875    | )                              |   |   | (11.52 | )% |
|                                        |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Options                                     |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| British Pound Put / Swiss Franc Call, $1.47 |   | CHF 10,000,000                         |   |   |       | 47,256     |       |                           |   | 32.27 | % |
| Total options                               |   |                                        |   |   |       |       | 47,256     |                           |   |   | 32.27 | % |
|                                        |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Forwards                                    |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Chinese Yuan / U.S. Dollar 08/19/11         |   | CNY 334,143,000                        |   |   |       | 1,385,221  |       |                           |   | 945.81 | % |
| Total forwards                              |   |                                        |   |   |       |       | 1,385,221  |                           |   |   | 945.81 | % |
|                                        |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Short Contracts                             |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Forwards                                    |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Swiss Franc / British Pound 01/05/11        |   | CHF (7,292,955)                        |   |   |       | (15,162    | )          |                           |   | (10.35 | )% |
| Chinese Yuan / U.S. Dollar 08/19/11         |   | CNY (334,143,000)                      |   |   |       | (1,458,935 | )          |                           |   | (996.15 | )% |
| Total forwards                              |   |                                        |   |   |       |       | (1,474,097 | )                              |   |   | (1,006.50 | )% |
|                                        |   |                                        |   |   |       |       |       |                           |   |   |   |   |
| Total                                       |   |                                        |   |   |       | $          | (58,495    | )                              |   |   | (39.94 | )% |

----

|                                            |   | Graham Commodity Strategies LLC (Delaware) |      |   | GrahamFed Policy Ltd.(BVI) |   |       | GrahamGlobal MonetaryPolicy LLC (Delaware) |   |   | Graham K4DTrading Ltd.(BVI) |   |   | Graham Macro Directional LLC(Delaware) |        |
|-------------------------------------------------|--------|--------------------------------------------|-----------|--------|---------------------------------|--------|------------|--------------------------------------------|--------|--------|-----------------------------|--------|--------|----------------------------------------|-------------|
| Assets:                                         |   |                                       |      |   |                            |   |       |                                       |   |   |                        |   |   |                                   |        |
| Cash and cash equivalents                       |   | $                                          | 1,000     |   |                            | $      | 218        |                                       |   | $      | 661                         |   |   | $                                      | 425         |   |   | $ | 644 |   |
| Due from brokers                                |   |                                       | 9,338,086 |   |                            |   | 15,446,856 |                                       |   |   | 4,369,612                   |   |   |                                   | 99,865,289  |   |   |   | 1,504,495 |   |
| Options, at fair value                          |   |                                       | -         |   |                            |   | 13,752,876 |                                       |   |   | 4,562,737                   |   |   |                                   | -           |   |   |   | - |   |
| Derivative financial instruments, at fair value |   |                                       | 487,337   |   |                            |   | 2,862,031  |                                       |   |   | 1,507,026                   |   |   |                                   | 17,929,174  |   |   |   | 115,018 |   |
| Subscriptions receivable                        |   |                                       | 1,288     |   |                            |   | 9,630      |                                       |   |   | 4,169                       |   |   |                                   | 4,331       |   |   |   | 2,017 |   |
| Interest receivable                             |   |                                       | -         |   |                            |   | -          |                                       |   |   | 105                         |   |   |                                   | 293         |   |   |   | - |   |
| Total assets                                    |   |                                       | 9,827,711 |   |                            |   | 32,071,611 |                                       |   |   | 10,444,310                  |   |   |                                   | 117,799,512 |   |   |   | 1,622,174 |   |
|                                            |   |                                       |      |   |                            |   |       |                                       |   |   |                        |   |   |                                   |        |   |   |   |   |   |
| Liabilities:                                    |   |                                       |      |   |                            |   |       |                                       |   |   |                        |   |   |                                   |        |   |   |   |   |   |
| Options, at fair value                          |   |                                       | -         |   |                            |   | 9,228,344  |                                       |   |   | 1,568,611                   |   |   |                                   | -           |   |   |   | - |   |
| Derivative financial instruments, at fair value |   |                                       | -         |   |                            |   | -          |                                       |   |   | 186,163                     |   |   |                                   | -           |   |   |   | - |   |
| Due to brokers                                  |   |                                       | -         |   |                            |   | 48,333     |                                       |   |   | -                           |   |   |                                   | -           |   |   |   | - |   |
| Redemptions payable                             |   |                                       | 1,288     |   |                            |   | 9,772      |                                       |   |   | 13,305                      |   |   |                                   | 4,331       |   |   |   | 2,017 |   |
| Total liabilities                               |   |                                       | 1,288     |   |                            |   | 9,286,449  |                                       |   |   | 1,768,079                   |   |   |                                   | 4,331       |   |   |   | 2,017 |   |
| Net assets                                      |   | $                                          | 9,826,423 |   |                            | $      | 22,785,162 |                                       |   | $      | 8,676,231                   |   |   | $                                      | 117,795,181 |   |   | $ | 1,620,157 |   |
|                                            |   |                                       |      |   |                            |   |       |                                       |   |   |                        |   |   |                                   |        |   |   |   |   |   |
| Percentage of Master Fund held by the Fund      |   |                                       | 7.77      | %      |                            |   | 11.63      | %                                          |   |   | 9.97                        | %      |   |                                   | 9.95        | % |   |   | 12.85 | % |

----

|                                                   |   | Graham Commodity Strategies LLC (Delaware) |       |   | GrahamFed Policy Ltd.(BVI) |   |        | Graham Global Macro Focus LLC *(Delaware) |   |   | GrahamGlobal MonetaryPolicy LLC (Delaware) |   |   | Graham K4DTrading Ltd.(BVI) |       |   | Graham Macro Directional LLC(Delaware) |   |
|--------------------------------------------------------|--------|--------------------------------------------|------------|--------|----------------------------|--------|-------------|------------------------------------------------|--------|--------|--------------------------------------------|--------|--------|-----------------------------|------------|--------|----------------------------------------|--------|
|                                                   |   |                                       |       |   |                       |   |        |                                           |   |   |                                       |   |   |                        |       |   |                                   |   |
| Net investment income (loss)                           |   | $                                          | (9,981     | )      |                       | $      | (8,870      | )                                              |   | $      | 33                                         |   |   | $                           | (39,353    | )      |                                   | $      | (273,559 | ) |   | $ | (19,168 | ) |
|                                                   |   |                                       |       |   |                       |   |        |                                           |   |   |                                       |   |   |                        |       |   |                                   |   |   |   |   |   |   |   |
| Net realized gain (loss) on investments                |   |                                       | (5,490,440 | )      |                       |   | 112,874,186 |                                           |   |   | (299,050                                   | )      |   |                        | 41,140,064 |   |                                   |   | 29,543,937 |   |   |   | 8,772,796 |   |
| Net increase (decrease) in appreciation on investments |   |                                       | 12,801,182 |   |                       |   | (70,495,746 | )                                              |   |   | 299,050                                    |   |   |                        | 1,196,761  |   |                                   |   | 14,277,666 |   |   |   | 15,620 |   |
| Brokerage commissions and fees                         |   |                                       | (3,313,058 | )      |                       |   | (1,664,646  | )                                              |   |   | -                                          |   |   |                        | (998,666   | )      |                                   |   | (6,918,710 | ) |   |   | (570,673 | ) |
| Net gain on investments                                |   |                                       | 3,997,684  |   |                       |   | 40,713,794  |                                           |   |   | -                                          |   |   |                        | 41,338,159 |   |                                   |   | 36,902,893 |   |   |   | 8,217,743 |   |
| Net income                                             |   | $                                          | 3,987,703  |   |                       | $      | 40,704,924  |                                           |   | $      | 33                                         |   |   | $                           | 41,298,806 |   |                                   | $      | 36,629,334 |   |   | $ | 8,198,575 |   |

----

| Description                     |   | Number of Contracts |   |   | Fair Value |   |        | Percentage of Members' Capital |   |
|---------------------------------|--------|--------------------------|--------|--------|------------|--------|-------------|--------------------------------|--------|
| Graham Commodity Strategies LLC |   |                     |   |   |       |   |        |                           |   |
| Long contracts                  |   |                     |   |   |       |   |        |                           |   |
| Futures                         |   |                     |   |   |       |   |        |                           |   |
| Copper May 2010                 |   |                     | 678    |   |       | $      | 4,041,813   |                           |   |   | 41.13 | % |
| Copper July 2010                |   |                     | 630    |   |       |   | 4,188,413   |                           |   |   | 42.63 | % |
| Cotton # 2 May 2010             |   |                     | 1,162  |   |       |   | 2,942,250   |                           |   |   | 29.94 | % |
| Globex Crude Oil June 2010      |   |                     | 300    |   |       |   | 1,768,950   |                           |   |   | 18.00 | % |
| Natural Gas March 2010          |   |                     | 1,000  |   |       |   | 505,000     |                           |   |   | 5.14 | % |
| Natural Gas September 2010      |   |                     | 250    |   |       |   | (537,500    | )                              |   |   | (5.47 | )% |
| Sugar #11 May 2010              |   |                     | 1,505  |   |       |   | 4,489,755   |                           |   |   | 45.69 | % |
| Wheat July 2010                 |   |                     | 1,092  |   |       |   | (716,838    | )                              |   |   | (7.29 | )% |
| Other commodity                 |   |                     |   |   |       |   | (1,041,637  | )                              |   |   | (10.60 | )% |
| Total futures                   |   |                     |   |   |       |   | 15,640,206  |                           |   |   | 159.17 | % |
|                            |   |                     |   |   |       |   |        |                           |   |   |   |   |
| Short contracts                 |   |                     |   |   |       |   |        |                           |   |   |   |   |
| Futures                         |   |                     |   |   |       |   |        |                           |   |   |   |   |
| Copper March 2010               |   |                     | (1,308 | )      |       |   | (7,146,138  | )                              |   |   | (72.72 | )% |
| Cotton # 2 March 2010           |   |                     | (1,162 | )      |       |   | (1,987,760  | )                              |   |   | (20.23 | )% |
| Globex Crude Oil December 2010  |   |                     | (300   | )      |       |   | (1,957,100  | )                              |   |   | (19.92 | )% |
| Natural Gas March 2010          |   |                     | (980   | )      |       |   | (1,292,520  | )                              |   |   | (13.15 | )% |
| Natural Gas April 2010          |   |                     | (250   | )      |       |   | 612,500     |                           |   |   | 6.23 | % |
| Sugar #11 March 2010            |   |                     | (1,305 | )      |       |   | (4,665,416  | )                              |   |   | (47.48 | )% |
| WTI Crude March 2010            |   |                     | (3,172 | )      |       |   | 840,170     |                           |   |   | 8.55 | % |
| Other commodity                 |   |                     |   |   |       |   | 443,395     |                           |   |   | 4.51 | % |
| Total futures                   |   |                     |   |   |       |   | (15,152,869 | )                              |   |   | (154.21 | )% |
|                            |   |                     |   |   |       |   |        |                           |   |   |   |   |
| Total                           |   |                     |   |   |       | $      | 487,337     |                           |   |   | 4.96 | % |

----

| Description                                 |   | Number of Contracts |    |   | Fair Value |   |       | Percentage of Net Assets |   |
|---------------------------------------------|--------|--------------------------|---------|--------|------------|--------|------------|--------------------------|--------|
| Graham Fed Policy Ltd.                      |   |                     |    |   |       |   |       |                     |   |
| Long contracts                              |   |                     |    |   |       |   |       |                     |   |
| Futures                                     |   |                     |    |   |       |   |       |                     |   |
| 30 Day Fed Fund February 2010               |   |                     | 5,483   |   |       | $      | 2,388,691  |                     |   |   | 10.48 | % |
| Other interest rate                         |   |                     |    |   |       |   | 473,340    |                     |   |   | 2.08 | % |
| Total futures                               |   |                     |    |   |       |   | 2,862,031  |                     |   |   | 12.56 | % |
|                                        |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Options                                     |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Fed Fund futures February 2010, $99.75 Call |   |                     | 8,715   |   |       |   | 3,631,540  |                     |   |   | 15.94 | % |
| Fed Fund futures May 2010, $99.75 Call      |   |                     | 23,150  |   |       |   | 4,823,303  |                     |   |   | 21.17 | % |
| Eurodollar futures March 2010, $99.63 Call  |   |                     | 10,100  |   |       |   | 1,893,750  |                     |   |   | 8.31 | % |
| Other interest rate futures                 |   |                     |    |   |       |   | 3,404,283  |                     |   |   | 14.94 | % |
| Total options                               |   |                     |    |   |       |   | 13,752,876 |                     |   |   | 60.36 | % |
|                                        |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Short contracts                             |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Options                                     |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Fed Fund futures February 2010, $99.81 Call |   |                     | (13,080 | )      |       |   | (2,452,696 | )                        |   |   | (10.76 | )% |
| Fed Fund futures May 2010, $99.81 Call      |   |                     | (19,850 | )      |       |   | (1,654,299 | )                        |   |   | (7.26 | )% |
| Eurodollar futures March 2011, $99.63 Call  |   |                     | (42,350 | )      |       |   | (1,323,438 | )                        |   |   | (5.81 | )% |
| Other interest rate futures                 |   |                     |    |   |       |   | (3,797,911 | )                        |   |   | (16.67 | )% |
| Total options                               |   |                     |    |   |       |   | (9,228,344 | )                        |   |   | (40.50 | )% |
|                                        |   |                     |    |   |       |   |       |                     |   |   |   |   |
|                                        |   |                     |    |   |       |   |       |                     |   |   |   |   |
| Total                                       |   |                     |    |   |       | $      | 7,386,563  |                     |   |   | 32.42 | % |

----

| Description                               |   | Principal Amount   |         |   | Fair Value |       |       | Percentage of Members' Capital |   |
|-------------------------------------------|--------|-------------------------|--------------|--------|------------|------------|------------|--------------------------------|--------|
| Graham Global Monetary Policy LLC         |   |                    |         |   |       |       |       |                           |   |
| Long contracts                            |   |                    |         |   |       |       |       |                           |   |
| Futures                                   |   |                    |         |   |       |       |       |                           |   |
| Commodity                                 |   |                    |         |   | $          | 29,025     |       |                           |   | 0.33 | % |
| Total futures                             |   |                    |         |   |       | 29,025     |       |                           |   | 0.33 | % |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |
| Options                                   |   |                    |         |   |       |       |       |                           |   |   |   |
| Euro / Swiss Franc 03/04/10, $1.50 Put    |   |                    | 100,000,000  |   |       |       | 2,245,923  |                           |   |   | 25.89 | % |
| Euro / Swiss Franc 03/11/10, $1.50 Put    |   |                    | 100,000,000  |   |       |       | 2,304,314  |                           |   |   | 26.56 | % |
| U.S. index                                |   |                    |         |   |       |       | 12,500     |                           |   |   | 0.14 | % |
| Total options                             |   |                    |         |   |       |       | 4,562,737  |                           |   |   | 52.59 | % |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Forwards                                  |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Australian Dollar / Japanese Yen 01/04/10 |   | AUD 60,000,000     |         |   |       | 919,592    |       |                           |   | 10.60 | % |
| Australian Dollar / U.S. Dollar 01/04/10  |   | AUD 80,000,000     |         |   |       | 495,440    |       |                           |   | 5.71 | % |
| Japanese Yen / U.S. Dollar 01/04/10       |   | JPY 11,025,114,000 |         |   |       | (1,513,453 | )          |                           |   | (17.44 | )% |
| Other foreign currency                    |   |                    |         |   |       |       | 554,290    |                           |   |   | 6.38 | % |
| Total forwards                            |   |                    |         |   |       |       | 455,869    |                           |   |   | 5.25 | % |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Short contracts                           |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Futures                                   |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Foreign bond                              |   |                    |         |   |       |       | 373,824    |                           |   |   | 4.31 | % |
| Interest rate                             |   |                    |         |   |       |       | (253,871   | )                              |   |   | (2.93 | )% |
| Total futures                             |   |                    |         |   |       |       | 119,953    |                           |   |   | 1.38 | % |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Options                                   |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Euro / Swiss Franc 03/04/10, $1.46 Put    |   |                    | (100,000,000 | )      |       |       | (651,902   | )                              |   |   | (7.51 | )% |
| Euro / Swiss Franc 03/11/10, $1.47 Put    |   |                    | (100,000,000 | )      |       |       | (916,709   | )                              |   |   | (10.57 | )% |
| Total options                             |   |                    |         |   |       |       | (1,568,611 | )                              |   |   | (18.08 | )% |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Forwards                                  |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Japanese Yen / U.S. Dollar 01/04/10       |   | JPY (11,047,096,000)    |         |   |       | 1,582,181  |       |                           |   | 18.24 | % |
| Euro / Japanese Yen 01/04/10              |   | EUR (40,000,000)   |         |   |       | (434,683   | )          |                           |   | (5.01 | )% |
| Australian Dollar / Japanese Yen 01/04/10 |   | AUD (60,000,000)   |         |   |       | (930,489   | )          |                           |   | (10.72 | )% |
| Other foreign currency                    |   |                    |         |   |       |       | 499,007    |                           |   |   | 5.75 | % |
| Total forwards                            |   |                    |         |   |       |       | 716,016    |                           |   |   | 8.26 | % |
|                                      |   |                    |         |   |       |       |       |                           |   |   |   |   |
| Total                                     |   |                    |         |   |       | $          | 4,314,989  |                           |   |   | 49.73 | % |

----

| Description                           |   | Number of Contracts/Principal Amount |   |   | Fair Value |        |       | Percentage of Net Assets |   |
|---------------------------------------|--------|-------------------------------------------|--------|--------|------------|-------------|------------|--------------------------|--------|
| Graham K4D Trading Ltd.               |   |                                      |   |   |       |        |       |                     |   |
| Long contracts                        |   |                                      |   |   |       |        |       |                     |   |
| Futures                               |   |                                      |   |   |       |        |       |                     |   |
| LME Aluminum January 2010             |   |                                      | 1,302  |   |       | $           | 6,972,938  |                     |   |   | 5.92 | % |
| LME Copper January 2010               |   |                                      | 366    |   |       |        | 6,743,091  |                     |   |   | 5.72 | % |
| Other commodity                       |   |                                      |   |   |       |        | 21,454,287 |                     |   |   | 18.21 | % |
| U.S. bond                             |   |                                      |   |   |       |        | (4,526,734 | )                        |   |   | (3.84 | )% |
| Foreign bond                          |   |                                      |   |   |       |        | (6,607,015 | )                        |   |   | (5.61 | )% |
| U.S. index                            |   |                                      |   |   |       |        | 5,331,432  |                     |   |   | 4.53 | % |
| Foreign index                         |   |                                      |   |   |       |        | 8,908,434  |                     |   |   | 7.56 | % |
| Interest rate                         |   |                                      |   |   |       |        | (8,722,161 | )                        |   |   | (7.40 | )% |
| Currency                              |   |                                      |   |   |       |        | 355,993    |                     |   |   | 0.30 | % |
| Total futures                         |   |                                      |   |   |       |        | 29,910,265 |                     |   |   | 25.39 | % |
|                                  |   |                                      |   |   |       |        |       |                     |   |   |   |   |
| Forwards                              |   |                                      |   |   |       |        |       |                     |   |   |   |   |
| British Pound / Japanese Yen 01/20/10 |   | GBP 224,750,683                      |   |   |       | 11,529,834  |       |                     |   | 9.79 | % |
| Euro / U.S. Dollar 01/20/10           |   | EUR593,968,247                            |   |   |       | (12,238,099 | )          |                     |   | (10.39 | )% |
| Japanese Yen / U.S. Dollar 01/20/10   |   | JPY 51,561,122,880                   |   |   |       | (17,479,840 | )          |                     |   | (14.84 | )% |
| Other foreign currency                |   |                                      |   |   |       |        | 9,230,717  |                     |   |   | 7.84 | % |
| Total forwards                        |   |                                      |   |   |       |        | (8,957,388 | )                        |   |   | (7.60 | )% |

----

| Description                           | Number of Contracts/Principal Amount |   | Fair Value |        |   | Percentage of Net Assets |   |
|---------------------------------------|-------------------------------------------|--------|------------|-------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd. (continued)   |                                      |   |       |        |   |                     |   |
| Short contracts                       |                                      |   |       |        |   |                     |   |
| Futures                               |                                      |   |       |        |   |                     |   |
| U.S. bond                             |                                      |   | $          | 1,217,531   |   |                     |   | 1.03 | % |
| Foreign bond                          |                                      |   |       | 2,267,786   |   |                     |   | 1.93 | % |
| U.S. index                            |                                      |   |       | (2,810,098  | )      |                     |   | (2.39 | )% |
| Foreign index                         |                                      |   |       | (3,726,222  | )      |                     |   | (3.16 | )% |
| Commodity                             |                                      |   |       | (14,721,246 | )      |                     |   | (12.50 | )% |
| Interest rate                         |                                      |   |       | 2,493,009   |   |                     |   | 2.12 | % |
| Currency                              |                                      |   |       | (32,595     | )      |                     |   | (0.03 | )% |
| Total futures                         |                                      |   |       | (15,311,835 | )      |                     |   | (13.00 | )% |
|                                  |                                      |   |       |        |   |                     |   |   |   |
| Forwards                              |                                      |   |       |        |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/20/10   | JPY(52,960,960,701)                       |   |       | 18,321,239  |   |                     |   | 15.55 | % |
| Euro / U.S. Dollar 01/20/10           | EUR   (604,603,018)        |   |       | 12,851,322  |   |                     |   | 10.91 | % |
| British Pound / Japanese Yen 01/20/10 | GBP    (207,438,849)  |   |       | (11,260,219 | )      |                     |   | (9.56 | )% |
| Other foreign currency                |                                      |   |       | (7,624,210  | )      |                     |   | (6.47 | )% |
| Total forwards                        |                                      |   |       | 12,288,132  |   |                     |   | 10.43 | % |
|                                  |                                      |   |       |        |   |                     |   |   |   |
| Total                                 |                                      |   | $          | 17,929,174  |   |                     |   | 15.22 | % |

----

| Description                               | Principal Amount                                   |   | Fair Value |     |   | Percentage of Members' Capital |   |
|-------------------------------------------|---------------------------------------------------------|--------|------------|----------|--------|--------------------------------|--------|
| Graham Macro Directional LLC              |                                                    |   |       |     |   |                           |   |
| Long contracts                            |                                                    |   |       |     |   |                           |   |
| Forwards                                  |                                                    |   |       |     |   |                           |   |
| New Zealand Dollar / U.S. Dollar 01/05/10 | NZD       25,000,000 |   | $          | 168,512  |   |                           |   | 10.40 | % |
| Japanese Yen / U.S. Dollar 01/05/10       | JPY    2,773,860,000                |   |       | (189,105 | )      |                           |   | (11.67 | )% |
| Japanese Yen / U.S. Dollar 01/04/10       | JPY    2,300,065,000                |   |       | (285,387 | )      |                           |   | (17.62 | )% |
| Total forwards                            |                                                    |   |       | (305,980 | )      |                           |   | (18.89 | )% |
|                                      |                                                    |   |       |     |   |                           |   |   |   |
| Short Contracts                           |                                                    |   |       |     |   |                           |   |   |   |
| Forwards                                  |                                                    |   |       |     |   |                           |   |   |   |
| Japanese Yen / U.S. Dollar 01/05/10       | JPY  (4,620,210,000)                          |   |       | 346,235  |   |                           |   | 21.37 | % |
| Japanese Yen / U.S. Dollar 01/04/10       |  JPY  (2,300,065,000)                    |   |       | 281,275  |   |                           |   | 17.36 | % |
| New Zealand Dollar / U.S. Dollar 01/05/10 | NZD      (25,000,000)     |   |       | (206,512 | )      |                           |   | (12.74 | )% |
| Total forwards                            |                                                    |   |       | 420,998  |   |                           |   | 25.99 | % |
|                                      |                                                    |   |       |     |   |                           |   |   |   |
| Total                                     |                                                    |   | $          | 115,018  |   |                           |   | 7.10 | % |

----

|                              |   | Graham Commodity Strategies LLC |        |   | Graham Discretionary Energy Trading III LLC |   |        | Graham Fed Policy Ltd. |   |   | Graham Global Monetary Policy LLC |   |   | Graham K4D Trading Ltd. |        |   | Graham Macro Directional LLC |   |        | Graham Short Term Global Macro LLC |   |
|-----------------------------------|--------|---------------------------------|-------------|--------|---------------------------------------------|--------|-------------|------------------------|--------|--------|-----------------------------------|--------|--------|-------------------------|-------------|--------|------------------------------|--------|-------------|------------------------------------|--------|
| Long Contracts                    |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |
| Level 1:                          |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |
| Commodity futures                 |   | $                               | 125,831,390 |   |                                        | $      | 34,377,504  |                   |   | $      | -                                 |   |   | $                       | 833,980     |   |                         | $      | 31,911,445  |                               |   | $ | 66,430 |   |   | $ | - |   |
| Commodity futures options         |   |                            | -           |   |                                        |   | 2,165,000   |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| Commodity swaps                   |   |                            | -           |   |                                        |   | 3,756,110   |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| Currency futures                  |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | 4,536,916   |                               |   |   | - |   |   |   | - |   |
| Foreign bond futures              |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | 1,053,653   |                               |   |   | - |   |   |   | - |   |
| Foreign index futures             |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | (3,683,508  | )                                  |   |   | - |   |   |   | - |   |
| Interest rate futures             |   |                            | -           |   |                                        |   | -           |                   |   |   | 11,573,680                        |   |   |                    | 1,570,955   |   |                         |   | 325,182     |                               |   |   | - |   |   |   | - |   |
| Interest rate futures options     |   |                            | -           |   |                                        |   | -           |                   |   |   | 15,955,481                        |   |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| U.S. bond futures                 |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | 237,741     |                               |   |   | - |   |   |   | - |   |
| U.S. index futures                |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | 3,010,100   |                               |   |   | - |   |   |   | (16,875 | ) |
| Total Level 1                     |   |                            | 125,831,390 |   |                                        |   | 40,298,614  |                   |   |   | 27,529,161                        |   |   |                    | 2,404,935   |   |                         |   | 37,391,529  |                               |   |   | 66,430 |   |   |   | (16,875 | ) |
|                              |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Level 2:                          |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Foreign currency forwards         |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | 10,800,884  |   |                         |   | 57,451,984  |                               |   |   | 87,433 |   |   |   | 1,385,221 |   |
| Foreign currency forwards options |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | 603,151     |   |                         |   | -           |                               |   |   | - |   |   |   | 47,256 |   |
| Total Level 2                     |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | 11,404,035  |   |                         |   | 57,451,984  |                               |   |   | 87,433 |   |   |   | 1,432,477 |   |
| Total long contracts              |   | $                               | 125,831,390 |   |                                        | $      | 40,298,614  |                   |   | $      | 27,529,161                        |   |   | $                       | 13,808,970  |   |                         | $      | 94,843,513  |                               |   | $ | 153,863 |   |   | $ | 1,415,602 |   |
|                              |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Short Contracts                   |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Level 1:                          |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Commodity futures                 |   | $                               | (88,859,512 | )      |                                        | $      | (20,336,838 | )                      |   | $      | -                                 |   |   | $                       | (770,200    | )      |                         | $      | (4,754,965  | )                                  |   | $ | - |   |   | $ | - |   |
| Commodity futures options         |   |                            | -           |   |                                        |   | (182,500    | )                      |   |   | -                                 |   |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| Commodity swaps                   |   |                            | -           |   |                                        |   | (1,417,000  | )                      |   |   | -                                 |   |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| Currency futures                  |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | 739,824     |                               |   |   | - |   |   |   | - |   |
| Foreign bond futures              |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | 641,195     |   |                         |   | (540,937    | )                                  |   |   | 20,060 |   |   |   | - |   |
| Foreign index futures             |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | -           |   |                         |   | (142,959    | )                                  |   |   | - |   |   |   | - |   |
| Interest rate futures             |   |                            | -           |   |                                        |   | -           |                   |   |   | 39,967                            |   |   |                    | (3,080,013  | )      |                         |   | (3,790,967  | )                                  |   |   | - |   |   |   | - |   |
| Interest rate futures options     |   |                            | -           |   |                                        |   | -           |                   |   |   | (3,958,218                        | )      |   |                    | -           |   |                         |   | -           |                               |   |   | - |   |   |   | - |   |
| U.S. bond futures                 |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | (37,016     | )      |                         |   | (1,546,794  | )                                  |   |   | - |   |   |   | - |   |
| Total Level 1                     |   |                            | (88,859,512 | )      |                                        |   | (21,936,338 | )                      |   |   | (3,918,251                        | )      |   |                    | (3,246,034  | )      |                         |   | (10,036,798 | )                                  |   |   | 20,060 |   |   |   | - |   |
|                              |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Level 2:                          |   |                            |        |   |                                        |   |        |                   |   |   |                              |   |   |                    |        |   |                         |   |        |                               |   |   |   |   |   |   |   |   |
| Foreign currency forwards         |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | (13,145,174 | )      |                         |   | (39,063,387 | )                                  |   |   | - |   |   |   | (1,474,097 | ) |
| Total Level 2                     |   |                            | -           |   |                                        |   | -           |                   |   |   | -                                 |   |   |                    | (13,145,174 | )      |                         |   | (39,063,387 | )                                  |   |   | - |   |   |   | (1,474,097 | ) |
| Total short contracts             |   | $                               | (88,859,512 | )      |                                        | $      | (21,936,338 | )                      |   | $      | (3,918,251                        | )      |   | $                       | (16,391,208 | )      |                         | $      | (49,100,185 | )                                  |   | $ | 20,060 |   |   | $ | (1,474,097 | ) |

----

|                              |   | Graham Commodity Strategies LLC |        |   | Graham Fed Policy Ltd. |   |       | Graham Global Monetary Policy LLC |   |   | Graham K4D Trading Ltd. |   |   | Graham Macro Directional LLC |        |
|-----------------------------------|--------|---------------------------------|-------------|--------|------------------------|--------|------------|-----------------------------------|--------|--------|-------------------------|--------|--------|------------------------------|-------------|
| Long Contracts                    |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |
| Level 1:                          |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |
| Commodity futures                 |   | $                               | 15,640,206  |   |                   | $      | -          |                              |   | $      | 29,025                  |   |   | $                            | 35,170,316  |   |   | $ | - |   |
| Currency futures                  |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | 355,993     |   |   |   | - |   |
| Foreign bond futures              |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | (6,607,015  | ) |   |   | - |   |
| Foreign index futures             |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | 8,908,434   |   |   |   | - |   |
| U.S. index futures options        |   |                            | -           |   |                   |   | -          |                              |   |   | 12,500                  |   |   |                         | -           |   |   |   | - |   |
| Interest rate futures             |   |                            | -           |   |                   |   | 2,862,031  |                              |   |   | -                       |   |   |                         | (8,722,161  | ) |   |   | - |   |
| Interest rate futures options     |   |                            | -           |   |                   |   | 13,752,876 |                              |   |   | -                       |   |   |                         | -           |   |   |   | - |   |
| U.S. bond futures                 |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | (4,526,734  | ) |   |   | - |   |
| U.S. index futures                |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | 5,331,432   |   |   |   | - |   |
| Total Level 1                     |   |                            | 15,640,206  |   |                   |   | 16,614,907 |                              |   |   | 41,525                  |   |   |                         | 29,910,265  |   |   |   | - |   |
|                              |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Level 2:                          |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Foreign currency forwards         |   |                            | -           |   |                   |   | -          |                              |   |   | 455,869                 |   |   |                         | (8,957,388  | ) |   |   | (305,980 | ) |
| Foreign currency forwards options |   |                            | -           |   |                   |   | -          |                              |   |   | 4,550,237               |   |   |                         | -           |   |   |   | - |   |
| Total Level 2                     |   |                            | -           |   |                   |   | -          |                              |   |   | 5,006,106               |   |   |                         | (8,957,388  | ) |   |   | (305,980 | ) |
| Total long contracts              |   | $                               | 15,640,206  |   |                   | $      | 16,614,907 |                              |   | $      | 5,047,631               |   |   | $                            | 20,952,877  |   |   | $ | (305,980 | ) |
|                              |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Short Contracts                   |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Level 1:                          |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Commodity futures                 |   | $                               | (15,152,869 | )      |                   | $      | -          |                              |   | $      | -                       |   |   | $                            | (14,721,246 | ) |   | $ | - |   |
| Currency futures                  |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | (32,595     | ) |   |   | - |   |
| Foreign bond futures              |   |                            | -           |   |                   |   | -          |                              |   |   | 373,824                 |   |   |                         | 2,267,786   |   |   |   | - |   |
| Foreign index futures             |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | (3,726,222  | ) |   |   | - |   |
| Interest rate futures             |   |                            | -           |   |                   |   | -          |                              |   |   | (253,871                | )      |   |                         | 2,493,009   |   |   |   | - |   |
| Interest rate futures options     |   |                            | -           |   |                   |   | (9,228,344 | )                                 |   |   | -                       |   |   |                         | -           |   |   |   | - |   |
| U.S. bond futures                 |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | 1,217,531   |   |   |   | - |   |
| U.S. index futures                |   |                            | -           |   |                   |   | -          |                              |   |   | -                       |   |   |                         | (2,810,098  | ) |   |   | - |   |
| Total Level 1                     |   |                            | (15,152,869 | )      |                   |   | (9,228,344 | )                                 |   |   | 119,953                 |   |   |                         | (15,311,835 | ) |   |   | - |   |
|                              |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Level 2:                          |   |                            |        |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Foreign currency forwards         |   |                            | -           |   |                   |   | -          |                              |   |   | 716,016                 |   |   |                         | 12,288,132  |   |   |   | 420,998 |   |
| Foreign currency forwards options |   |                            | -           |   |                   |   | -          |                              |   |   | (1,568,611              | )      |   |                         | -           |   |   |   | - |   |
| Total Level 2                     |   |                            | -           |   |                   |   | -          |                              |   |   | (852,595                | )      |   |                         | 12,288,132  |   |   |   | 420,998 |   |
| Total short contracts             |   | $                               | (15,152,869 | )      |                   | $      | (9,228,344 | )                                 |   | $      | (732,642                | )      |   | $                            | (3,023,703  | ) |   | $ | 420,998 |   |

----

|                                                    |   | Graham Commodity Strategies LLC |          |   | Graham Discretionary Energy Trading III LLC |   |
|---------------------------------------------------------|--------|---------------------------------|---------------|--------|---------------------------------------------|--------|
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                    |   | Long exposure                   |          |   | Short exposure                              |   |   |   |   |   |   |   |   | Long exposure |   |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notional amounts                |          |   | Number of contracts                         |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |   | Notional amounts |   |   | Number of contracts |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                               | 2,051,527,235 |   |                                        |   | 30,976 |   |   | $ | (1,894,621,560 | ) |   |   | (29,206 | ) |   | $ | 126,128,889 |   |   | $ | (89,157,011 | ) |   | $ | 670,612,370 |   |   |   | 6,981 |   |   | $ | (598,798,245 | ) |   |   | (6,947 | ) |   | $ | 34,377,504 |   |   | $ | (20,336,838 | ) |
| Swaps                                                   |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 98,880,020 |   |   |   | 8,664 |   |   |   | (48,003,000 | ) |   |   | (3,800 | ) |   |   | 3,756,110 |   |   |   | (1,417,000 | ) |
|                                                    |   |                            | 2,051,527,235 |   |                                        |   | 30,976 |   |   |   | (1,894,621,560 | ) |   |   | (29,206 | ) |   |   | 126,128,889 |   |   |   | (89,157,011 | ) |   |   | 769,492,390 |   |   |   | 15,645 |   |   |   | (646,801,245 | ) |   |   | (10,747 | ) |   |   | 38,133,614 |   |   |   | (21,753,838 | ) |
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Forwards                                                |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Interest rate swaps                                     |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -             |   |                                        |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Total                                                   |   | $                               | 2,051,527,235 |   |                                        |   | 30,976 |   |   | $ | (1,894,621,560 | ) |   |   | (29,206 | ) |   | $ | 126,128,889 |   |   | $ | (89,157,011 | ) |   | $ | 796,492,390 |   |   |   | 15,645 |   |   | $ | (646,801,245 | ) |   |   | (10,747 | ) |   | $ | 38,133,614 |   |   | $ | (21,753,838 | ) |
|                                                    |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                            |          |   |                                        |   |   |   |   |   |   |   |   |   |   |   |   | $ | 14,527,187 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | (6,241,250 | ) |

----

|                                                    |   | Graham Fed Policy Ltd. |           |   | Graham Global Monetary Policy LLC |   |
|---------------------------------------------------------|--------|------------------------|----------------|--------|-----------------------------------|--------|
|                                                    |   | Long exposure          |           |   | Short exposure                    |   |   |   |   |   |   |   |   | Long exposure |   |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notional amounts       |           |   | Number of contracts               |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |   | Notional amounts |   |   | Number of contracts |   |   | Notionalamounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                      | -              |   |                              |   | - |   |   | $ | - |   |   |   | - |   |   | $ | - |   |   | $ | - |   |   | $ | 38,619,000 |   |   |   | 600 |   |   | $ | (24,200,000 | ) |   |   | (500 | ) |   | $ | 833,980 |   |   | $ | (770,200 | ) |
|                                                    |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 38,619,000 |   |   |   | 600 |   |   |   | (24,200,000 | ) |   |   | (500 | ) |   |   | 833,980 |   |   |   | (770,200 | ) |
|                                                    |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Forwards                                                |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 56,025,637,522 |   |   |   | - |   |   |   | (46,698,002,524 | ) |   |   | - |   |   |   | 15,230,468 |   |   |   | (17,574,758 | ) |
|                                                    |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 56,025,637,522 |   |   |   | - |   |   |   | (46,698,002,524 | ) |   |   | - |   |   |   | 15,230,468 |   |   |   | (17,574,758 | ) |
|                                                    |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                   | 22,811,918,666 |   |                              |   | 54,857 |   |   |   | (1,184,445,024 | ) |   |   | (2,849 | ) |   |   | 12,217,514 |   |   |   | (603,867 | ) |   |   | 1,740,487,175 |   |   |   | 5,000 |   |   |   | (2,788,603,000 | ) |   |   | (14,950 | ) |   |   | 2,212,150 |   |   |   | (3,117,029 | ) |
| Interest rate swaps                                     |   |                   | -              |   |                              |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                   | 22,811,918,666 |   |                              |   | 54,857 |   |   |   | (1,184,445,024 | ) |   |   | (2,849 | ) |   |   | 12,217,514 |   |   |   | (603,867 | ) |   |   | 1,740,487,175 |   |   |   | 5,000 |   |   |   | (2,788,603,000 | ) |   |   | (14,950 | ) |   |   | 2,212,150 |   |   |   | (3,117,029 | ) |
| Total                                                   |   | $                      | 22,811,918,666 |   |                              |   | 54,857 |   |   | $ | (1,184,445,024 | ) |   |   | (2,849 | ) |   | $ | 12,217,514 |   |   | $ | (603,867 | ) |   | $ | 57,804,743,697 |   |   |   | 5,600 |   |   | $ | (49,510,805,524 | ) |   |   | (15,450 | ) |   | $ | 18,276,598 |   |   | $ | (21,461,987 | ) |
|                                                    |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                   |           |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 23,563,039 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 42,339,139 |   |

----

|                                                    |   | Graham K4D Trading Ltd. |            |   | Graham Macro Directional LLC |   |
|---------------------------------------------------------|--------|-------------------------|-----------------|--------|------------------------------|--------|
|                                                    |   | Long exposure           |            |   | Short exposure               |   |   |   |   |   |   |   |   | Long exposure |   |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notionalamounts         |            |   | Number of contracts          |   |   | Notionalamounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |   | Notionalamounts |   |   | Number of contracts |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                       | 810,106,878     |   |                         |   | 10,782 |   |   | $ | (53,034,444 | ) |   |   | (926 | ) |   | $ | 32,742,543 |   |   | $ | (5,586,063 | ) |   | $ | 10,660,500 |   |   |   | 75 |   |   | $ | - |   |   |   | - |   |   | $ | 66,430 |   |   | $ | - |   |
|                                                    |   |                    | 810,106,878     |   |                         |   | 10,782 |   |   |   | (53,034,444 | ) |   |   | (926 | ) |   |   | 32,742,543 |   |   |   | (5,586,063 | ) |   |   | 10,660,500 |   |   |   | 75 |   |   |   | - |   |   |   | - |   |   |   | 66,430 |   |   |   | - |   |
|                                                    |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 16,008,395,340  |   |                         |   | 15,303 |   |   |   | (968,631,180 | ) |   |   | (671 | ) |   |   | 4,935,403 |   |   |   | (5,751,770 | ) |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                    | 16,008,395,340  |   |                         |   | 15,303 |   |   |   | (968,631,180 | ) |   |   | (671 | ) |   |   | 4,935,403 |   |   |   | (5,751,770 | ) |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 340,454,690     |   |                         |   | 2,852 |   |   |   | (86,152,236 | ) |   |   | (957 | ) |   |   | 5,633,114 |   |   |   | (356,374 | ) |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Forwards                                                |   |                    | 90,870,643,000  |   |                         |   | - |   |   |   | (87,109,470,216 | ) |   |   | - |   |   |   | 78,339,927 |   |   |   | (59,951,330 | ) |   |   | 19,920,873 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 87,433 |   |   |   | - |   |
|                                                    |   |                    | 91,211,097,690  |   |                         |   | 2,852 |   |   |   | (87,195,622,452 | ) |   |   | (957 | ) |   |   | 83,973,041 |   |   |   | (60,307,704 | ) |   |   | 19,920,873 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 87,433 |   |   |   | - |   |
|                                                    |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 2,044,200,093   |   |                         |   | 8,454 |   |   |   | (63,261,455,459 | ) |   |   | (23,095 | ) |   |   | 2,729,784 |   |   |   | (6,991,906 | ) |   |   | - |   |   |   | - |   |   |   | (12,531,000 | ) |   |   | (100 | ) |   |   | 20,060 |   |   |   | - |   |
| Interest rate swaps                                     |   |                    | -               |   |                         |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                    | 2,044,200,093   |   |                         |   | 8,454 |   |   |   | (63,261,455,459 | ) |   |   | (23,095 | ) |   |   | 2,729,784 |   |   |   | (6,991,906 | ) |   |   | - |   |   |   | - |   |   |   | (12,531,000 | ) |   |   | (100 | ) |   |   | 20,060 |   |   |   | - |   |
| Total                                                   |   | $                       | 110,073,800,001 |   |                         |   | 37,391 |   |   | $ | (151,478,743,535 | ) |   |   | (25,649 | ) |   | $ | 124,380,771 |   |   | $ | (78,637,443 | ) |   | $ | 30,581,373 |   |   |   | 75 |   |   | $ | (12,531,000 | ) |   |   | (100 | ) |   | $ | 173,923 |   |   | $ | - |   |
|                                                    |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                    |            |   |                         |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 135,887,098 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 1,286,040 |   |

----

|                                                    |   | Graham Short Term Global Macro LLC |       |
|---------------------------------------------------------|--------|------------------------------------|------------|
|                                                    |   | Long exposure                      |       |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notionalamounts                    |       |   | Number of contracts |   |   | Notionalamounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                                  | -          |   |   |   | - |   |   | $ | - |   |   |   | - |   |   | $ | - |   |   | $ | - |   |
|                                                    |   |                               | -          |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                               | 14,096,250 |   |   |   | 225 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | (16,875 | ) |
|                                                    |   |                               | 14,096,250 |   |   |   | 225 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | (16,875 | ) |
|                                                    |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                               | -          |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Forwards                                                |   |                               | 51,458,935 |   |   |   | - |   |   |   | (56,468,659 | ) |   |   | - |   |   |   | 1,385,221 |   |   |   | (1,474,097 | ) |
|                                                    |   |                               | 51,458,935 |   |   |   | - |   |   |   | (56,468,659 | ) |   |   | - |   |   |   | 1,385,221 |   |   |   | (1,474,097 | ) |
|                                                    |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                               | -          |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Interest rate swaps                                     |   |                               | -          |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                               | -          |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Total                                                   |   | $                                  | 65,555,185 |   |   |   | 225 |   |   | $ | (56,468,659 | ) |   |   | - |   |   | $ | 1,385,221 |   |   | $ | (1,490,972 | ) |
|                                                    |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                               |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 204,953 |   |

----

|                                                    |   | Graham Commodity Strategies LLC |        |   | Graham Fed Policy Ltd. |   |
|---------------------------------------------------------|--------|---------------------------------|-------------|--------|------------------------|--------|
|                                                    |   | Long exposure                   |        |   |                   |   |   | Short exposure |   |   |   |   |   | Long exposure |   |   |   |   |   | Short exposure |   |   |   |   |
|                                                    |   | Notional amounts                |        |   | Number of contracts    |   |   | Derivative Assets |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Liabilities |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Liabilities |   |
|                                                    |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                               | 883,506,418 |   |                   |   | 15,628 |   |   | $ | 20,799,665 |   |   | $ | (880,556,002 | ) |   |   | (14,732 | ) |   | $ | (20,312,328 | ) |   | $ | - |   |   |   | - |   |   | $ | - |   |   | $ | - |   |   |   | - |   |   | $ | - |   |
|                                                    |   |                            | 883,506,418 |   |                   |   | 15,628 |   |   |   | 20,799,665 |   |   |   | (880,556,002 | ) |   |   | (14,732 | ) |   |   | (20,312,328 | ) |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Forwards                                                |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 8,430,422,879 |   |   |   | 20,666 |   |   |   | 3,336,902 |   |   |   | - |   |   |   | - |   |   |   | (474,871 | ) |
| Interest rate swaps                                     |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                    |   |                            | -           |   |                   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 8,430,422,879 |   |   |   | 20,666 |   |   |   | 3,336,902 |   |   |   | - |   |   |   | - |   |   |   | (474,871 | ) |
| Total                                                   |   | $                               | 883,506,418 |   |                   |   | 15,628 |   |   | $ | 20,799,665 |   |   | $ | (880,556,002 | ) |   |   | (14,732 | ) |   | $ | (20,312,328 | ) |   | $ | 8,430,422,879 |   |   |   | 20,666 |   |   | $ | 3,336,902 |   |   | $ | - |   |   |   | - |   |   | $ | (474,871 | ) |
|                                                    |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                            |        |   |                   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 9,338,086 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 15,446,856 |   |

----

|                                                    |   | Graham Global Monetary Policy LLC |        |   | Graham K4D Trading Ltd. |   |
|---------------------------------------------------------|--------|-----------------------------------|-------------|--------|-------------------------|--------|
|                                                    |   | Long exposure                     |        |   |                    |   |   | Short exposure |   |   |   |   |   | Long exposure |   |   |   |   |   | Short exposure |   |   |   |   |
|                                                    |   | Notional amounts                  |        |   | Number of contracts     |   |   | Derivative Assets |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Liabilities |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Liabilities |   |
|                                                    |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                                 | 2,072,500   |   |                    |   | 100 |   |   | $ | 29,025 |   |   | $ | - |   |   |   | - |   |   | $ | - |   |   | $ | 1,281,924,053 |   |   |   | 21,625 |   |   | $ | 42,918,544 |   |   | $ | (699,668,279 | ) |   |   | (11,135 | ) |   | $ | (22,469,474 | ) |
|                                                    |   |                              | 2,072,500   |   |                    |   | 100 |   |   |   | 29,025 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 1,281,924,053 |   |   |   | 21,625 |   |   |   | 42,918,544 |   |   |   | (699,668,279 | ) |   |   | (11,135 | ) |   |   | (22,469,474 | ) |
|                                                    |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                              | -           |   |                    |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 6,321,952,643 |   |   |   | 16,319 |   |   |   | 14,812,534 |   |   |   | (3,918,741,020 | ) |   |   | (5,980 | ) |   |   | (7,108,988 | ) |
|                                                    |   |                              | -           |   |                    |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 6,321,952,643 |   |   |   | 16,319 |   |   |   | 14,812,534 |   |   |   | (3,918,741,020 | ) |   |   | (5,980 | ) |   |   | (7,108,988 | ) |
|                                                    |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                              | -           |   |                    |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 30,156,168 |   |   |   | 359 |   |   |   | 757,620 |   |   |   | (108,869,583 | ) |   |   | (1,006 | ) |   |   | (434,222 | ) |
| Forwards                                                |   |                              | 478,798,928 |   |                    |   | - |   |   |   | 4,643,816 |   |   |   | (575,969,539 | ) |   |   | - |   |   |   | (3,471,931 | ) |   |   | 6,096,436,526 |   |   |   | - |   |   |   | 78,435,771 |   |   |   | (5,707,147,861 | ) |   |   | - |   |   |   | (75,105,027 | ) |
|                                                    |   |                              | 478,798,928 |   |                    |   | - |   |   |   | 4,643,816 |   |   |   | (575,969,539 | ) |   |   | - |   |   |   | (3,471,931 | ) |   |   | 6,126,592,694 |   |   |   | 359 |   |   |   | 79,193,391 |   |   |   | (5,816,017,444 | ) |   |   | (1,006 | ) |   |   | (75,539,249 | ) |
|                                                    |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                              | -           |   |                    |   | - |   |   |   | 489,449 |   |   |   | (8,760,546,779 | ) |   |   | (4,450 | ) |   |   | (369,496 | ) |   |   | 66,489,448,610 |   |   |   | 25,046 |   |   |   | 7,611,075 |   |   |   | (83,222,672,828 | ) |   |   | (13,820 | ) |   |   | (21,488,659 | ) |
|                                                    |   |                              | -           |   |                    |   | - |   |   |   | 489,449 |   |   |   | (8,760,546,779 | ) |   |   | (4,450 | ) |   |   | (369,496 | ) |   |   | 66,489,448,610 |   |   |   | 25,046 |   |   |   | 7,611,075 |   |   |   | (83,222,672,828 | ) |   |   | (13,820 | ) |   |   | (21,488,659 | ) |
| Total                                                   |   | $                                 | 480,871,428 |   |                    |   | 100 |   |   | $ | 5,162,290 |   |   | $ | (9,336,516,318 | ) |   |   | (4,450 | ) |   | $ | (3,841,427 | ) |   | $ | 80,219,918,000 |   |   |   | 63,349 |   |   | $ | 144,535,544 |   |   | $ | (93,657,099,571 | ) |   |   | (31,941 | ) |   | $ | (126,606,370 | ) |
|                                                    |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                              |        |   |                    |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 4,257,152 |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 99,865,289 |   |

----

|                                                    |   | Graham Macro Directional LLC |       |
|---------------------------------------------------------|--------|------------------------------|------------|
|                                                    |   | Long exposure                |       |   |   |   |   | Short exposure |   |   |   |   |
|                                                    |   | Notional amounts             |       |   | Number of contracts |   |   | Derivative Assets |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Liabilities |   |
|                                                    |   |                         |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                         |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Forwards                                                |   | $                            | 72,680,881 |   |   |   | - |   |   | $ | 796,022 |   |   | $ | (92,523,752 | ) |   |   | - |   |   | $ | (681,004 | ) |
| Total                                                   |   | $                            | 72,680,881 |   |   |   | - |   |   | $ | 796,022 |   |   | $ | (92,523,752 | ) |   |   | - |   |   | $ | (681,004 | ) |
|                                                    |   |                         |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                         |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 1,504,495 |   |

----

|                           |   | Graham Commodity Strategies LLC |       |   | Graham Discretionary Energy Trading III LLC |   |       | Graham Fed Policy Ltd. |   |   | Graham Global Monetary Policy LLC |   |   | Graham GMP Securities LLC |        |   | Graham K4D Trading Ltd. |   |       | Graham Macro Directional LLC |   |   | Graham Short Term Global Macro LLC |   |
|--------------------------------|--------|---------------------------------|------------|--------|---------------------------------------------|--------|------------|------------------------|--------|--------|-----------------------------------|--------|--------|---------------------------|-------------|--------|-------------------------|--------|------------|------------------------------|--------|--------|------------------------------------|--------|
| Commodity price                |   |                            |       |   |                                        |   |       |                   |   |   |                              |   |   |                      |        |   |                    |   |       |                         |   |   |                               |   |
| Futures                        |   | $                               | 18,256,865 |   |                                        | $      | 14,747,463 |                   |   | $      | -                                 |   |   | $                         | 11,750,476  |   |                    | $      | -          |                         |   | $      | 10,473,704                         |   |   | $ | 301,920 |   |   | $ | (1,144,561 | ) |
| Options                        |   |                            | -          |   |                                        |   | (3,416,940 | )                      |   |   | -                                 |   |   |                      | -           |   |                    |   | -          |                         |   |   | -                                  |   |   |   | - |   |   |   | - |   |
| Swaps                          |   |                            | -          |   |                                        |   | (280,445   | )                      |   |   | -                                 |   |   |                      | -           |   |                    |   | -          |                         |   |   | -                                  |   |   |   | - |   |   |   | - |   |
|                           |   |                            | 18,256,865 |   |                                        |   | 11,050,078 |                   |   |   | -                                 |   |   |                      | 11,750,476  |   |                    |   | -          |                         |   |   | 10,473,704                         |   |   |   | 301,920 |   |   |   | (1,144,561 | ) |
| Equity price                   |   |                            |       |   |                                        |   |       |                   |   |   |                              |   |   |                      |        |   |                    |   |       |                         |   |   |                               |   |   |   |   |   |   |   |   |   |
| Futures                        |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | 2,068,744   |   |                    |   | -          |                         |   |   | (33,752,013                        | )      |   |   | (1,845,800 | ) |   |   | 214,815 |   |
|                           |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | 2,068,744   |   |                    |   | -          |                         |   |   | (33,752,013                        | )      |   |   | (1,845,800 | ) |   |   | 214,815 |   |
| Foreign currency exchange rate |   |                            |       |   |                                        |   |       |                   |   |   |                              |   |   |                      |        |   |                    |   |       |                         |   |   |                               |   |   |   |   |   |   |   |   |   |
| Futures                        |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | -           |   |                    |   | -          |                         |   |   | 15,009,579                         |   |   |   | - |   |   |   | - |   |
| Forwards                       |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | 71,946,197  |   |                    |   | 141,986    |                         |   |   | 34,676,693                         |   |   |   | 13,193,889 |   |   |   | 698,858 |   |
| Options                        |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | (25,480,776 | )      |                    |   | -          |                         |   |   | -                                  |   |   |   | - |   |   |   | (17,653,484 | ) |
|                           |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | 46,465,421  |   |                    |   | 141,986    |                         |   |   | 49,686,272                         |   |   |   | 13,193,889 |   |   |   | (16,954,626 | ) |
| Interest rate                  |   |                            |       |   |                                        |   |       |                   |   |   |                              |   |   |                      |        |   |                    |   |       |                         |   |   |                               |   |   |   |   |   |   |   |   |   |
| Bonds                          |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | -           |   |                    |   | 1,702,990  |                         |   |   | -                                  |   |   |   | - |   |   |   | - |   |
| Futures                        |   |                            | -          |   |                                        |   | -          |                   |   |   | 72,752,132                        |   |   |                      | 27,109,698  |   |                    |   | -          |                         |   |   | 108,504,331                        |   |   |   | 1,825,861 |   |   |   | 525,957 |   |
| Interest rate swaps            |   |                            | -          |   |                                        |   | -          |                   |   |   | -                                 |   |   |                      | (403,000    | )      |                    |   | (4,830,097 | )                            |   |   | -                                  |   |   |   | - |   |   |   | - |   |
| Options                        |   |                            | -          |   |                                        |   | -          |                   |   |   | (33,734,346                       | )      |   |                      | (2,144,600  | )      |                    |   | -          |                         |   |   | -                                  |   |   |   | - |   |   |   | - |   |
|                           |   |                            | -          |   |                                        |   | -          |                   |   |   | 39,017,786                        |   |   |                      | 24,562,098  |   |                    |   | (3,127,107 | )                            |   |   | 108,504,331                        |   |   |   | 1,825,861 |   |   |   | 525,957 |   |
| Total                          |   | $                               | 18,256,865 |   |                                        | $      | 11,050,078 |                   |   | $      | 39,017,786                        |   |   | $                         | 84,846,739  |   |                    | $      | (2,985,121 | )                            |   | $      | 134,912,294                        |   |   | $ | 13,475,870 |   |   | $ | (17,358,415 | ) |

----

|                           |   | Graham Commodity Strategies LLC |      |   | Graham Fed Policy Ltd. |   |       | Graham Global Monetary Policy LLC |   |   | Graham K4D Trading Ltd. |   |   | Graham Macro Directional LLC |        |
|--------------------------------|--------|---------------------------------|-----------|--------|------------------------|--------|------------|-----------------------------------|--------|--------|-------------------------|--------|--------|------------------------------|-------------|
| Commodity price                |   |                            |      |   |                   |   |       |                              |   |   |                    |   |   |                         |        |
| Futures                        |   | $                               | 7,310,742 |   |                   | $      | -          |                              |   | $      | 8,049,745               |   |   | $                            | (643,123    | ) |   | $ | 4,986,908 |   |
|                           |   |                            | 7,310,742 |   |                   |   | -          |                              |   |   | 8,049,745               |   |   |                         | (643,123    | ) |   |   | 4,986,908 |   |
| Equity price                   |   |                            |      |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Futures                        |   |                            | -         |   |                   |   | -          |                              |   |   | (582,790                | )      |   |                         | 89,597,187  |   |   |   | (241,228 | ) |
|                           |   |                            | -         |   |                   |   | -          |                              |   |   | (582,790                | )      |   |                         | 89,597,187  |   |   |   | (241,228 | ) |
| Foreign currency exchange rate |   |                            |      |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Futures                        |   |                            | -         |   |                   |   | -          |                              |   |   | 425,330                 |   |   |                         | (3,152,242  | ) |   |   | - |   |
| Forwards                       |   |                            | -         |   |                   |   | -          |                              |   |   | 35,477,434              |   |   |                         | 32,153,188  |   |   |   | 5,724,440 |   |
| Options                        |   |                            | -         |   |                   |   | -          |                              |   |   | (2,571,773              | )      |   |                         | -           |   |   |   | (275,879 | ) |
|                           |   |                            | -         |   |                   |   | -          |                              |   |   | 33,330,991              |   |   |                         | 29,000,946  |   |   |   | 5,448,561 |   |
| Interest rate                  |   |                            |      |   |                   |   |       |                              |   |   |                    |   |   |                         |        |   |   |   |   |   |
| Futures                        |   |                            | -         |   |                   |   | 34,056,080 |                              |   |   | 3,289,980               |   |   |                         | (74,133,407 | ) |   |   | (1,405,825 | ) |
| Options                        |   |                            | -         |   |                   |   | 8,322,360  |                              |   |   | (1,751,101              | )      |   |                         | -           |   |   |   | - |   |
|                           |   |                            | -         |   |                   |   | 42,378,440 |                              |   |   | 1,538,879               |   |   |                         | (74,133,407 | ) |   |   | (1,405,825 | ) |
| Total                          |   | $                               | 7,310,742 |   |                   | $      | 42,378,440 |                              |   | $      | 42,336,825              |   |   | $                            | 43,821,603  |   |   | $ | 8,788,416 |   |

----

|                                                         |   | December 31, |          |
|--------------------------------------------------------------|--------|--------------|---------------|
|                                                         |   | 2010         |          |   | 2009 |   |
| Assets:                                                      |   |         |          |   |   |   |
| Cash and cash equivalents                                    |   | $            | 750,098,151   |   |   | $ | 485,846,462 |   |
| Investments in fixed income securities (cost $2,215,622,512) |   |         | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Accrued interest income                                      |   |         | 6,547,074     |   |   |   | 4,848,122 |   |
| Total assets                                                 |   |         | 2,972,267,737 |   |   |   | 1,912,608,386 |   |
|                                                         |   |         |          |   |   |   |   |   |
| Liabilities:                                                 |   |         |          |   |   |   |   |   |
| Other liabilities                                            |   |         | 20,000        |   |   |   | - |   |
| Total liabilities                                            |   |         | 20,000        |   |   |   | - |   |
| Net assets                                                   |   | $            | 2,972,247,737 |   |   | $ | 1,912,608,386 |   |

|                    |   | 2010   |       |   | 2009   |   |
|-------------------------|--------|--------|------------|--------|--------|--------|
| Investment income       |   |   |       |   |   |   |
| Interest income         |   | $      | 13,099,691 |   |   | $      | 6,997,221 |   |
| Total investment income |   |   | 13,099,691 |   |   |   | 6,997,221 |   |
|                    |   |   |       |   |   |   |   |   |
| Expenses:               |   |   |       |   |   |   |   |   |
| Bank fee expense        |   |   | 230,380    |   |   |   | - |   |
| Total expenses          |   |   | 230,380    |   |   |   | - |   |
| Net investment income   |   |   | 12,869,311 |   |   |   | 6,997,221 |   |
| Net income              |   | $      | 12,869,311 |   |   | $      | 6,997,221 |   |

----

| Description                                                                      |   |  PrincipalAmount |        |   | Fair Value |   |          | Percentage ofMembers’Capital |   |
|----------------------------------------------------------------------------------|--------|-----------------------|-------------|--------|------------|--------|---------------|------------------------------------|--------|
| Graham Cash Assets LLC                                                           |   |                  |        |   |       |   |          |                               |   |
| Investments in Fixed Income Securities (cost $2,215,622,512)  United States |   |                  |        |   |       |   |          |                               |   |
| FDIC Guaranteed Bonds (cost $1,101,463,404)                                      |   |                  |        |   |       |   |          |                               |   |
| Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12                       |   | $                     | 350,000,000 |   |       | $      | 351,915,163   |                               |   |   | 11.84 | % |
| Other FDIC guaranteed bonds                                                      |   |                  |        |   |       |   | 749,548,241   |                               |   |   | 25.22 | % |
| Total FDIC Guaranteed Bonds                                                      |   |                  |        |   |       |   | 1,101,463,404 |                               |   |   | 37.06 | % |
|                                                                             |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Government Bonds (cost $1,114,159,108)                                           |   |                  |        |   |       |   |          |                               |   |   |   |   |
| U.S. Treasury 0.88% due 04/30/11                                                 |   |                  | 150,000,000 |   |       |   | 150,213,724   |                               |   |   | 5.05 | % |
| Other U.S. Treasury 0.75% –  1.13% due 01/31/11 – 04/30/12 |   |                  |        |   |       |   | 963,945,384   |                               |   |   | 32.43 | % |
| Total Government Bonds                                                           |   |                  |        |   |       |   | 1,114,159,108 |                               |   |   | 37.48 | % |
|                                                                             |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Total Investments in Fixed Income Securities                                     |   |                  |        |   |       | $      | 2,215,622,512 |                               |   |   | 74.54 | % |

| Description                                                                     |   |  PrincipalAmount |        |   | Fair Value |   |          | Percentage ofMembers’Capital |   |
|---------------------------------------------------------------------------------|--------|-----------------------|-------------|--------|------------|--------|---------------|------------------------------------|--------|
| Graham Cash Assets LLC                                                          |   |                  |        |   |       |   |          |                               |   |
| Investments in Fixed Income Securities (cost $1,421,913,802) United States      |   |                  |        |   |       |   |          |                               |   |
| FDIC Guaranteed Bonds (cost $667,900,290)                                       |   |                  |        |   |       |   |          |                               |   |
| Bank of America 0.28% Floating Rate Note due 09/13/10                           |   | $                     | 100,000,000 |   |       | $      | 100,177,559   |                               |   |   | 5.24 | % |
| Other Bank of America 0.63% - 1.70% Floating Rate Notes due 12/23/10 - 06/22/12 |   |                  | 75,000,000  |   |       |   | 75,931,110    |                               |   |   | 3.97 | % |
| Citibank 1.25% - 1.63%  due 03/30/11 - 11/15/11                       |   |                  | 125,000,000 |   |       |   | 125,481,266   |                               |   |   | 6.56 | % |
| JPMorgan Chase 1.65% - 2.63% due 12/01/10 - 02/23/11                            |   |                  | 125,000,000 |   |       |   | 126,280,415   |                               |   |   | 6.60 | % |
| Other FDIC guaranteed bonds                                                     |   |                  |        |   |       |   | 240,029,940   |                               |   |   | 12.55 | % |
| Total FDIC Guaranteed Bonds                                                     |   |                  |        |   |       |   | 667,900,290   |                               |   |   | 34.92 | % |
|                                                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Government Bonds (cost $754,013,512)                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| U.S. Treasury 0.00% - 2.75% due 01/31/10 - 06/30/11                             |   |                  | 750,000,000 |   |       |   | 754,013,512   |                               |   |   | 39.42 | % |
| Total Government Bonds                                                          |   |                  |        |   |       |   | 754,013,512   |                               |   |   | 39.42 | % |
|                                                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Total Investments in Fixed Income Securities                                    |   |                  |        |   |       | $      | 1,421,913,802 |                               |   |   | 74.34 | % |

----

|                          |   | December 31, |          |
|-------------------------------|--------|--------------|---------------|
|                          |   | 2010         |          |   | 2009 |   |
| Long positions                |   |         |          |   |   |   |
| Level 2:                      |   |         |          |   |   |   |
| Fixed income securities       |   |         |          |   |   |   |
| FDIC Guaranteed Bonds         |   | $            | 1,101,463,404 |   |   | $ | 667,900,290 |   |
| Government Bonds              |   |         | 1,114,159,108 |   |   |   | 754,013,512 |   |
| Total fixed income securities |   |         | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Total Level 2                 |   |         | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Total long positions          |   | $            | 2,215,622,512 |   |   | $ | 1,421,913,802 |   |

----

| Class   |   | Annual Rate |   |
|---------|--------|-------------|--------|
|    |   |        |   |
| Class 0 |   |        | 2%     |   |
| Class 2 |   |        | 4%     |   |

----

|                                        |   | Class 0 |   |   | Class 2 |   |
|---------------------------------------------|--------|---------|--------|--------|---------|--------|
| Per unit operating performance:             |   |    |   |   |    |   |
| Net asset value per unit, December 31, 2008 |   | $       | 132.12 |   |    | $      | 111.74 |   |
| Net income:                                 |   |    |   |   |    |   |   |   |
| Net investment loss                         |   |    | (5.90  | )      |    |   | (4.38 | ) |
| Net gain on investments                     |   |    | 9.34   |   |    |   | 5.37 |   |
| Net income                                  |   |    | 3.44   |   |    |   | 0.99 |   |
| Net asset value per unit, December 31, 2009 |   |    | 135.56 |   |    |   | 112.73 |   |
| Net income (loss):                          |   |    |   |   |    |   |   |   |
| Net investment loss                         |   |    | (6.92  | )      |    |   | (6.34 | ) |
| Net gain on investments                     |   |    | 10.32  |   |    |   | 7.29 |   |
| Net income                                  |   |    | 3.40   |   |    |   | 0.95 |   |
| Net asset value per unit, December 31, 2010 |   | $       | 138.96 |   |    | $      | 113.68 |   |

----

|                                            |   | Class 0 |   |   | Class 2 |   |
|-------------------------------------------------|--------|---------|--------|--------|---------|--------|
|                                            |   | 2010    |   |   | 2009    |   |   | 2010 |   |   | 2009 |   |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |
| Total return before Incentive Allocation        |   |    | 3.27   | %      |    |   | 3.28 | % |   |   | 1.17 | % |   |   | 1.28 | % |
| Incentive Allocation                            |   |    | (0.76  | )      |    |   | (0.68 | ) |   |   | (0.32 | ) |   |   | (0.39 | ) |
| Total return after Incentive Allocation         |   |    | 2.51   | %      |    |   | 2.60 | % |   |   | 0.85 | % |   |   | 0.89 | % |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss before Incentive Allocation |   |    | (4.45  | )%     |    |   | (3.79 | )% |   |   | (6.50 | )% |   |   | (5.96 | )% |
| Incentive Allocation                            |   |    | (0.76  | )      |    |   | (0.68 | ) |   |   | (0.32 | ) |   |   | (0.39 | ) |
| Net investment loss after Incentive Allocation  |   |    | (5.21  | )%     |    |   | (4.47 | )% |   |   | (6.82 | )% |   |   | (6.35 | )% |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |
| Total expenses before Incentive Allocation      |   |    | 4.43   | %      |    |   | 5.13 | % |   |   | 6.48 | % |   |   | 7.33 | % |
| Incentive Allocation                            |   |    | 0.76   |   |    |   | 0.68 |   |   |   | 0.32 |   |   |   | 0.39 |   |
| Total expenses after Incentive Allocation       |   |    | 5.19   | %      |    |   | 5.81 | % |   |   | 6.80 | % |   |   | 7.72 | % |

----

|   | Financial Statements                                               |
|--------|--------------------------------------------------------------------|
|   | Graham Alternative Investment Trading II LLC                       |
|   | For the years ended December 31, 2010 and 2009                     |
|   | with Report of  Independent Registered Public Accounting Firm |

----

----

|                                                                                                                        |   | December 31, |       |
|-----------------------------------------------------------------------------------------------------------------------------|--------|--------------|------------|
| Assets                                                                                                                      |   | 2010         |       |   | 2009 |   |
| Cash and cash equivalents                                                                                                   |   | $            | -          |   |   | $ | 770 |   |
| Investment in Graham K4D Trading Ltd., at fair value                                                                        |   |         | 7,411,468  |   |   |   | 3,256,884 |   |
| Investment in Graham Cash Assets LLC, at fair value                                                                         |   |         | 64,089,936 |   |   |   | 34,112,305 |   |
| Accrued commission reimbursements                                                                                           |   |         | 28,795     |   |   |   | 15,286 |   |
| Total assets                                                                                                                |   | $            | 71,530,199 |   |   | $ | 37,385,245 |   |
|                                                                                                                        |   |         |       |   |   |   |   |   |
| Liabilities and members’ capital                                                                                      |   |         |       |   |   |   |   |   |
| Liabilities:                                                                                                                |   |         |       |   |   |   |   |   |
| Accrued redemptions                                                                                                         |   | $            | 1,393,281  |   |   | $ | 479 |   |
| Accrued brokerage fees                                                                                                      |   |         | 170,942    |   |   |   | 88,838 |   |
| Accrued advisory fees                                                                                                       |   |         | 121,404    |   |   |   | 63,502 |   |
| Accrued sponsor fees                                                                                                        |   |         | 60,702     |   |   |   | 31,751 |   |
| Payable to Graham K4D Trading Ltd.                                                                                          |   |         | -          |   |   |   | 343 |   |
| Total liabilities                                                                                                           |   |         | 1,746,329  |   |   |   | 184,913 |   |
|                                                                                                                        |   |         |       |   |   |   |   |   |
| Members’ capital:                                                                                                     |   |         |       |   |   |   |   |   |
| Class 0 Units (397,859.944 and 222,427.212 units issued and outstanding at $102.92 and $100.59 per unit, respectively) |   |         | 40,945,899 |   |   |   | 22,373,766 |   |
| Class 2 Units (288,630.496 and 149,683.130 units issued and outstanding at $99.72 and $99.05 per unit, respectively)   |   |         | 28,783,191 |   |   |   | 14,826,566 |   |
| Class M Units (500.000 and 0.000 units issued and outstanding at $109.56 and $0.00 per unit, respectively)                  |   |         | 54,780     |   |   |   | - |   |
| Total members’ capital                                                                                                |   |         | 69,783,870 |   |   |   | 37,200,332 |   |
| Total liabilities and members’ capital                                                                                |   | $            | 71,530,199 |   |   | $ | 37,385,245 |   |

----

|                                                                            |   | Years Ended December 31, |       |
|---------------------------------------------------------------------------------|--------|--------------------------|------------|
|                                                                            |   | 2010                     |       |   | 2009 |   |
| Net gain (loss) allocated from investment in Graham K4D Trading Ltd.:           |   |                     |       |   |   |   |
| Net realized gain on investments                                                |   | $                        | 5,056,021  |   |   | $ | 1,597,719 |   |
| Net increase (decrease) in unrealized appreciation on investments               |   |                     | 924,728    |   |   |   | (317,172 | ) |
| Brokerage commissions and fees                                                  |   |                     | (252,861   | ) |   |   | (73,268 | ) |
| Net gain (loss) allocated from investment  in Graham K4D Trading Ltd. |   |                     | 5,727,888  |   |   |   | 1,207,279 |   |
|                                                                            |   |                     |       |   |   |   |   |   |
| Net investment loss allocated from investment in Graham K4D Trading Ltd.        |   |                     | (7,377     | ) |   |   | (3,646 | ) |
|                                                                            |   |                     |       |   |   |   |   |   |
| Investment income:                                                              |   |                     |       |   |   |   |   |   |
| Interest income                                                                 |   |                     | 275,694    |   |   |   | 65,306 |   |
|                                                                            |   |                     |       |   |   |   |   |   |
| Expenses:                                                                       |   |                     |       |   |   |   |   |   |
| Brokerage fees                                                                  |   |                     | 1,510,595  |   |   |   | 380,422 |   |
| Advisory fees                                                                   |   |                     | 1,086,976  |   |   |   | 255,991 |   |
| Sponsor fees                                                                    |   |                     | 543,488    |   |   |   | 127,996 |   |
| Interest and other                                                              |   |                     | 9,783      |   |   |   | 3,878 |   |
| Commission reimbursements                                                       |   |                     | (252,861   | ) |   |   | (73,268 | ) |
| Total expenses                                                                  |   |                     | 2,897,981  |   |   |   | 695,019 |   |
| Net investment loss of the Fund                                                 |   |                     | (2,622,287 | ) |   |   | (629,713 | ) |
|                                                                            |   |                     |       |   |   |   |   |   |
| Net income                                                                      |   |                     | 3,098,224  |   |   |   | 573,920 |   |
|                                                                            |   |                     |       |   |   |   |   |   |
| Incentive allocation                                                            |   |                     | (538,766   | ) |   |   | (213,910 | ) |
|                                                                            |   |                     |       |   |   |   |   |   |
| Net income available for pro-rata allocation to all members                     |   | $                        | 2,559,458  |   |   | $ | 360,010 |   |

----

|                                      |   | Class 0 |        |   | Class 2 |   |       | Class M |   |   | Total       |   |
|-------------------------------------------|--------|---------|-------------|--------|---------|--------|------------|---------|--------|--------|-------------|--------|
|                                      |   | Units   |        |   | Capital |   |       | Units   |   |   | Capital     |   |   | Units |   |   | Capital |   |   | Capital |   |
|                                      |   |    |        |   |    |   |       |    |   |   |        |   |   |   |   |   |   |   |   |   |   |
| Members’ capital, January 4, 2009   |   |    | –     |   |    | $      | –    |    |   |   | –     |   |   | $ | – |   |   |   | – |   |   | $ | – |   |   | $ | – |   |
| Initial subscriptions                     |   |    | 2,240.000   |   |    |   | 224,000    |    |   |   | 5,750.000   |   |   |   | 575,000 |   |   |   | – |   |   |   | – |   |   |   | 799,000 |   |
| Subscriptions                             |   |    | 220,702.443 |   |    |   | 22,096,494 |    |   |   | 145,225.344 |   |   |   | 14,125,771 |   |   |   | – |   |   |   | – |   |   |   | 36,222,265 |   |
| Redemptions                               |   |    | (515.231    | )      |    |   | (50,670    | )       |   |   | (1,292.214  | )      |   |   | (130,273 | ) |   |   | – |   |   |   | (213,910 | ) |   |   | (394,853 | ) |
| Incentive allocation                      |   |    | –     |   |    |   | (103,755   | )       |   |   | –     |   |   |   | (110,155 | ) |   |   | – |   |   |   | 213,910 |   |   |   | – |   |
| Net income                                |   |    | –     |   |    |   | 207,697    |    |   |   | –     |   |   |   | 366,223 |   |   |   | – |   |   |   | – |   |   |   | 573,920 |   |
| Members’ capital, December 31, 2009 |   |    | 222,427.212 |   |    |   | 22,373,766 |    |   |   | 149,683.130 |   |   |   | 14,826,566 |   |   |   | – |   |   |   | – |   |   |   | 37,200,332 |   |
| Subscriptions                             |   |    | 200,939.089 |   |    |   | 19,294,582 |    |   |   | 154,708.307 |   |   |   | 14,716,456 |   |   |   | 500.000 |   |   |   | 50,000 |   |   |   | 34,061,038 |   |
| Redemptions                               |   |    | (25,506.357 | )      |    |   | (2,546,012 | )       |   |   | (15,760.941 | )      |   |   | (1,490,946 | ) |   |   |  – |   |   |   | (538,766 | ) |   |   | (4,575,724 | ) |
| Incentive allocation                      |   |    | –     |   |    |   | (386,102   | )       |   |   | –     |   |   |   | (152,664 | ) |   |   | – |   |   |   | 538,766 |   |   |   | – |   |
| Net  income                     |   |    | –     |   |    |   | 2,209,665  |    |   |   | –     |   |   |   | 883,779 |   |   |   | – |   |   |   | 4,780 |   |   |   | 3,098,224 |   |
| Members’ capital, December 31, 2010 |   |    | 397,859.944 |   |    | $      | 40,945,899 |    |   |   | 288,630.496 |   |   | $ | 28,783,191 |   |   |   | 500.000 |   |   | $ | 54,780 |   |   | $ | 69,783,870 |   |

----

|                                                                          |   | Years Ended December 31, |        |
|-------------------------------------------------------------------------------|--------|--------------------------|-------------|
|                                                                          |   | 2010                     |        |   | 2009 |   |
| Cash flows used in operating activities                                       |   |                     |        |   |   |   |
| Net income                                                                    |   | $                        | 3,098,224   |   |   | $ | 573,920 |   |
| Adjustments to reconcile net income to net cash used in operating activities: |   |                     |        |   |   |   |   |   |
| Net income allocated from investment in Graham K4D Trading Ltd.               |   |                     | (5,720,511  | ) |   |   | (1,203,633 | ) |
| Net income allocated from investment in Graham Cash Assets LLC                |   |                     | (275,694    | ) |   |   | (61,822 | ) |
| Net income allocated from investment in Graham Cash Assets II LLC             |   |                     | -           |   |   |   | (3,484 | ) |
| Proceeds from sale of investments in Graham K4D Trading Ltd.                  |   |                     | 52,276,600  |   |   |   | 14,696,360 |   |
| Proceeds from sale of investments in Graham Cash Assets LLC                   |   |                     | 58,905,784  |   |   |   | 18,116,431 |   |
| Proceeds from sale of investments in Graham Cash Assets II LLC                |   |                     | -           |   |   |   | 4,786,415 |   |
| Investments in Graham K4D Trading Ltd.                                        |   |                     | (50,710,673 | ) |   |   | (16,749,611 | ) |
| Investments in Graham Cash Assets LLC                                         |   |                     | (88,607,721 | ) |   |   | (52,166,914 | ) |
| Investments in Graham Cash Assets II LLC                                      |   |                     | -           |   |   |   | (4,782,931 | ) |
| Changes in assets and liabilities:                                            |   |                     |        |   |   |   |   |   |
| Accrued commission reimbursements                                             |   |                     | (13,509     | ) |   |   | (15,286 | ) |
| Accrued brokerage fees                                                        |   |                     | 82,104      |   |   |   | 88,838 |   |
| Accrued advisory fees                                                         |   |                     | 57,902      |   |   |   | 63,502 |   |
| Accrued sponsor fees                                                          |   |                     | 28,951      |   |   |   | 31,751 |   |
| Payable to Graham K4D Trading Ltd.                                            |   |                     | (343        | ) |   |   | 343 |   |
| Net cash used in operating activities                                         |   |                     | (30,878,886 | ) |   |   | (36,626,121 | ) |
|                                                                          |   |                     |        |   |   |   |   |   |
| Cash flows provided by financing activities                                   |   |                     |        |   |   |   |   |   |
|       Subscriptions                             |   |                     | 34,061,038  |   |   |   | 37,021,265 |   |
|       Redemptions                               |   |                     | (3,182,922  | ) |   |   | (394,374 | ) |
| Net cash provided by financing activities                                     |   |                     | 30,878,116  |   |   |   | 36,626,891 |   |
|                                                                          |   |                     |        |   |   |   |   |   |
| Net (decrease) increase in cash and cash equivalents                          |   |                     | (770        | ) |   |   | 770 |   |
|                                                                          |   |                     |        |   |   |   |   |   |
| Cash and cash equivalents, beginning of year                                  |   |                     | 770         |   |   |   | – |   |
| Cash and cash equivalents, end of year                                        |   | $                        | –     |   |   | $ | 770 |   |

----

----

|   | · | Level 1 inputs are unadjusted closing or settle prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | · | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT II’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund. |
|--------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

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

----

----

----

| December 31, 2010            |   |
|------------------------------|--------|
| Investment – Objective |   | Percent of Members’ Capital |   |   | Fair Value |   |   | Net Income |   |
|                         |   |   |   |   |   |   |   |   |   |
| Graham K4D Trading Ltd. (a)  |   |   | 10.62 | % |   | $ | 7,411,468 |   |   | $ | 5,720,511 |   |
|                         |   |   | 10.62 | % |   | $ | 7,411,468 |   |   | $ | 5,720,511 |   |

| December 31, 2009            |   |
|------------------------------|--------|
| Investment – Objective |   | Percent of Members’ Capital |   |   | Fair Value |   |   | Net Income |   |
|                         |   |   |   |   |   |   |   |   |   |
| Graham K4D Trading Ltd. (a)  |   |   | 8.75 | % |   | $ | 3,256,884 |   |   | $ | 1,203,633 |   |
|                         |   |   | 8.75 | % |   | $ | 3,256,884 |   |   | $ | 1,203,633 |   |

----

|                                            |   | December 31, |        |
|-------------------------------------------------|--------|--------------|-------------|
|                                            |   | 2010         |        |   | 2009 |   |
| Assets:                                         |   |         |        |   |   |   |
| Cash and cash equivalents                       |   | $            | -           |   |   | $ | 425 |   |
| Due from brokers                                |   |         | 135,887,098 |   |   |   | 99,865,289 |   |
| Derivative financial instruments, at fair value |   |         | 45,743,328  |   |   |   | 17,929,174 |   |
| Subscriptions receivable                        |   |         | -           |   |   |   | 4,331 |   |
| Interest receivable                             |   |         | 9,100       |   |   |   | 293 |   |
| Total assets                                    |   |         | 181,639,526 |   |   |   | 117,799,512 |   |
|                                            |   |         |        |   |   |   |   |   |
| Liabilities:                                    |   |         |        |   |   |   |   |   |
| Redemptions payable                             |   |         | -           |   |   |   | 4,331 |   |
| Total liabilities                               |   |         | -           |   |   |   | 4,331 |   |
| Net assets                                      |   | $            | 181,639,526 |   |   | $ | 117,795,181 |   |
|                                            |   |         |        |   |   |   |   |   |
| Percentage of Master Fund held by the Fund      |   |         | 4.08        | % |   |   | 2.76 | % |

|                                        |   | 2010   |        |   | 2009   |   |
|---------------------------------------------|--------|--------|-------------|--------|--------|--------|
|                                        |   |   |        |   |   |   |
| Net investment loss                         |   | $      | (204,857    | )      |   | $      | (273,559 | ) |
|                                        |   |   |        |   |   |   |   |   |
| Net realized gain on investments            |   |   | 108,949,892 |   |   |   | 29,543,937 |   |
| Net increase in appreciation on investments |   |   | 25,962,402  |   |   |   | 14,277,666 |   |
| Brokerage commissions and fees              |   |   | (6,939,638  | )      |   |   | (6,918,710 | ) |
| Net gain on investments                     |   |   | 127,972,656 |   |   |   | 36,902,893 |   |
| Net income                                  |   | $      | 127,767,799 |   |   | $      | 36,629,334 |   |

----

|   Description                                 |   PrincipalAmount                                   |   | Fair Value |       |   | Percentage of Net Assets |   |
|----------------------------------------------------|----------------------------------------------------------|--------|------------|------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd.                            |                                                     |   |       |       |   |                     |   |
| Long contracts                                     |                                                     |   |       |       |   |                     |   |
| Futures                                            |                                                     |   |       |       |   |                     |   |
| U.S. bond                                          |                                                     |   | $          | 237,741    |   |                     |   | 0.13 | % |
| Foreign bond                                       |                                                     |   |       | 1,053,653  |   |                     |   | 0.58 | % |
| U.S. index                                         |                                                     |   |       | 3,010,100  |   |                     |   | 1.66 | % |
| Foreign index                                      |                                                     |   |       | (3,683,508 | )      |                     |   | (2.03 | )% |
| Commodity                                          |                                                     |   |       | 31,911,445 |   |                     |   | 17.57 | % |
| Interest rate                                      |                                                     |   |       | 325,182    |   |                     |   | 0.18 | % |
| Currency                                           |                                                     |   |       | 4,536,916  |   |                     |   | 2.50 | % |
| Total futures                                      |                                                     |   |       | 37,391,529 |   |                     |   | 20.59 | % |
|                                               |                                                     |   |       |       |   |                     |   |   |   |
| Forwards                                           |                                                     |   |       |       |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/19/11                | JPY   43,988,617,100                      |   |       | 11,186,032 |   |                     |   | 6.16 | % |
| Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY   14,270,122,339                      |   |       | 796,715    |   |                     |   | 0.44 | % |
| Swiss Franc / U.S. Dollar  01/19/11      | CHF       491,922,158 |   |       | 17,376,713 |   |                     |   | 9.57 | % |
| Other foreign currency                             |                                                     |   |       | 28,092,524 |   |                     |   | 15.46 | % |
| Total forwards                                     |                                                     |   |       | 57,451,984 |   |                     |   | 31.63 | % |

----

| Description                                        | Principal Amount                                      |   | Fair Value |        |   | Percentage of Net Assets |   |
|----------------------------------------------------|------------------------------------------------------------|--------|------------|-------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd. (continued)                |                                                       |   |       |        |   |                     |   |
| Short contracts                                    |                                                       |   |       |        |   |                     |   |
| Futures                                            |                                                       |   |       |        |   |                     |   |
| U.S. bond                                          |                                                       |   | $          | (1,546,794  | )      |                     |   | (0.85 | )% |
| Foreign bond                                       |                                                       |   |       | (540,937    | )      |                     |   | (0.30 | )% |
| Foreign index                                      |                                                       |   |       | (142,959    | )      |                     |   | (0.08 | )% |
| Commodity                                          |                                                       |   |       | (4,754,965  | )      |                     |   | (2.62 | )% |
| Interest rate                                      |                                                       |   |       | (3,790,967  | )      |                     |   | (2.09 | )% |
| Currency                                           |                                                       |   |       | 739,824     |   |                     |   | 0.41 | % |
| Total futures                                      |                                                       |   |       | (10,036,798 | )      |                     |   | (5.53 | )% |
|                                               |                                                       |   |       |        |   |                     |   |   |   |
| Forwards                                           |                                                       |   |       |        |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/19/11                | JPY   (36,043,608,800)                      |   |       | (12,993,436 | )      |                     |   | (7.15 | )% |
| Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY   (14,111,800,669)                      |   |       | (834,965    | )      |                     |   | (0.46 | )% |
| Swiss Franc / U.S. Dollar 01/19/11                 | CHF       (431,464,200) |   |       | (17,247,454 | )      |                     |   | (9.50 | )% |
| Other foreign currency                             |                                                       |   |       | (7,987,532  | )      |                     |   | (4.40 | )% |
| Total forwards                                     |                                                       |   |       | (39,063,387 | )      |                     |   | (21.51 | )% |
|                                               |                                                       |   |       |        |   |                     |   |   |   |
| Total                                              |                                                       |   | $          | 45,743,328  |   |                     |   | 25.18 | % |

----

| Description                           |   | Number of Contracts/Principal Amount     |   |   | Fair Value |        |       | Percentage of Net Assets |   |
|---------------------------------------|--------|-----------------------------------------------|--------|--------|------------|-------------|------------|--------------------------|--------|
| Graham K4D Trading Ltd.               |   |                                          |   |   |       |        |       |                     |   |
| Long contracts                        |   |                                          |   |   |       |        |       |                     |   |
| Futures                               |   |                                          |   |   |       |        |       |                     |   |
| LME Aluminum January 2010             |   |                                          | 1,302  |   |       | $           | 6,972,938  |                     |   |   | 5.92 | % |
| LME Copper January 2010               |   |                                          | 366    |   |       |        | 6,743,091  |                     |   |   | 5.72 | % |
| Other commodity                       |   |                                          |   |   |       |        | 21,454,287 |                     |   |   | 18.21 | % |
| U.S. bond                             |   |                                          |   |   |       |        | (4,526,734 | )                        |   |   | (3.84 | )% |
| Foreign bond                          |   |                                          |   |   |       |        | (6,607,015 | )                        |   |   | (5.61 | )% |
| U.S. index                            |   |                                          |   |   |       |        | 5,331,432  |                     |   |   | 4.53 | % |
| Foreign index                         |   |                                          |   |   |       |        | 8,908,434  |                     |   |   | 7.56 | % |
| Interest rate                         |   |                                          |   |   |       |        | (8,722,161 | )                        |   |   | (7.40 | )% |
| Currency                              |   |                                          |   |   |       |        | 355,993    |                     |   |   | 0.30 | % |
| Total futures                         |   |                                          |   |   |       |        | 29,910,265 |                     |   |   | 25.39 | % |
|                                  |   |                                          |   |   |       |        |       |                     |   |   |   |   |
| Forwards                              |   |                                          |   |   |       |        |       |                     |   |   |   |   |
| British Pound / Japanese Yen 01/20/10 |   | GBP      224,750,683 |   |   |       | 11,529,834  |       |                     |   | 9.79 | % |
| Euro / U.S. Dollar 01/20/10           |   | EUR      593,968,247      |   |   |       | (12,238,099 | )          |                     |   | (10.39 | )% |
| Japanese Yen / U.S. Dollar 01/20/10   |   | JPY  51,561,122,880                      |   |   |       | (17,479,840 | )          |                     |   | (14.84 | )% |
| Other foreign currency                |   |                                          |   |   |       |        | 9,230,717  |                     |   |   | 7.84 | % |
| Total forwards                        |   |                                          |   |   |       |        | (8,957,388 | )                        |   |   | (7.60 | )% |

----

| Description                           | Principal Amount                    |   | Fair Value |        |   | Percentage of Net Assets |   |
|---------------------------------------|------------------------------------------|--------|------------|-------------|--------|--------------------------|--------|
| Graham K4D Trading Ltd. (continued)   |                                     |   |       |        |   |                     |   |
| Short contracts                       |                                     |   |       |        |   |                     |   |
| Futures                               |                                     |   |       |        |   |                     |   |
| U.S. bond                             |                                     |   | $          | 1,217,531   |   |                     |   | 1.03 | % |
| Foreign bond                          |                                     |   |       | 2,267,786   |   |                     |   | 1.93 | % |
| U.S. index                            |                                     |   |       | (2,810,098  | )      |                     |   | (2.39 | )% |
| Foreign index                         |                                     |   |       | (3,726,222  | )      |                     |   | (3.16 | )% |
| Commodity                             |                                     |   |       | (14,721,246 | )      |                     |   | (12.50 | )% |
| Interest rate                         |                                     |   |       | 2,493,009   |   |                     |   | 2.12 | % |
| Currency                              |                                     |   |       | (32,595     | )      |                     |   | (0.03 | )% |
| Total futures                         |                                     |   |       | (15,311,835 | )      |                     |   | (13.00 | )% |
|                                  |                                     |   |       |        |   |                     |   |   |   |
| Forwards                              |                                     |   |       |        |   |                     |   |   |   |
| Japanese Yen / U.S. Dollar 01/20/10   | JPY(52,960,960,701)                      |   |       | 18,321,239  |   |                     |   | 15.55 | % |
| Euro / U.S. Dollar 01/20/10           | EUR    (604,603,018) |   |       | 12,851,322  |   |                     |   | 10.91 | % |
| British Pound / Japanese Yen 01/20/10 | GBP    (207,438,849) |   |       | (11,260,219 | )      |                     |   | (9.56 | )% |
| Other foreign currency                |                                     |   |       | (7,624,210  | )      |                     |   | (6.47 | )% |
| Total forwards                        |                                     |   |       | 12,288,132  |   |                     |   | 10.43 | % |
|                                  |                                     |   |       |        |   |                     |   |   |   |
| Total                                 |                                     |   | $          | 17,929,174  |   |                     |   | 15.22 | % |

----

|                      |   | December 31, |        |
|---------------------------|--------|--------------|-------------|
|                      |   | 2010         |        |   | 2009 |   |
| Long Contracts            |   |         |        |   |   |   |
| Level 1:                  |   |         |        |   |   |   |
| U.S. bond futures         |   | $            | 237,741     |   |   | $ | (4,526,734 | ) |
| Foreign bond futures      |   |         | 1,053,653   |   |   |   | (6,607,015 | ) |
| U.S. index futures        |   |         | 3,010,100   |   |   |   | 5,331,432 |   |
| Foreign index futures     |   |         | (3,683,508  | ) |   |   | 8,908,434 |   |
| Commodity futures         |   |         | 31,911,445  |   |   |   | 35,170,316 |   |
| Interest rate futures     |   |         | 325,182     |   |   |   | (8,722,161 | ) |
| Currency futures          |   |         | 4,536,916   |   |   |   | 355,993 |   |
| Total Level 1             |   |         | 37,391,529  |   |   |   | 29,910,265 |   |
|                      |   |         |        |   |   |   |   |   |
| Level 2:                  |   |         |        |   |   |   |   |   |
| Foreign currency forwards |   |         | 57,451,984  |   |   |   | (8,957,388 | ) |
| Total Level 2             |   |         | 57,451,984  |   |   |   | (8,957,388 | ) |
| Total long contracts      |   | $            | 94,843,513  |   |   | $ | 20,952,877 |   |
|                      |   |         |        |   |   |   |   |   |
| Short Contracts           |   |         |        |   |   |   |   |   |
| Level 1:                  |   |         |        |   |   |   |   |   |
| U.S. bond futures         |   | $            | (1,546,794  | ) |   | $ | 1,217,531 |   |
| Foreign bond futures      |   |         | (540,937    | ) |   |   | 2,267,786 |   |
| U.S. index futures        |   |         | -           |   |   |   | (2,810,098 | ) |
| Foreign index futures     |   |         | (142,959    | ) |   |   | (3,726,222 | ) |
| Commodity futures         |   |         | (4,754,965  | ) |   |   | (14,721,246 | ) |
| Interest rate futures     |   |         | (3,790,967  | ) |   |   | 2,493,009 |   |
| Currency futures          |   |         | 739,824     |   |   |   | (32,595 | ) |
| Total Level 1             |   |         | (10,036,798 | ) |   |   | (15,311,835 | ) |
|                      |   |         |        |   |   |   |   |   |
| Level 2:                  |   |         |        |   |   |   |   |   |
| Foreign currency forwards |   |         | (39,063,387 | ) |   |   | 12,288,132 |   |
| Total Level 2             |   |         | (39,063,387 | ) |   |   | 12,288,132 |   |
| Total short contracts     |   | $            | (49,100,185 | ) |   | $ | (3,023,703 | ) |

----

|                                                    |   | Graham K4D Trading Ltd. |            |
|---------------------------------------------------------|--------|-------------------------|-----------------|
|                                                    |   | Long exposure           |            |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notional amounts        |            |   | Number of contracts |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                       | 810,106,878     |   |   |   | 10,782 |   |   | $ | (53,034,444 | ) |   |   | (926 | ) |   | $ | 32,742,543 |   |   | $ | (5,586,063 | ) |
|                                                    |   |                    | 810,106,878     |   |   |   | 10,782 |   |   |   | (53,034,444 | ) |   |   | (926 | ) |   |   | 32,742,543 |   |   |   | (5,586,063 | ) |
|                                                    |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 16,008,395,340  |   |   |   | 15,303 |   |   |   | (968,631,180 | ) |   |   | (671 | ) |   |   | 4,935,403 |   |   |   | (5,751,770 | ) |
|                                                    |   |                    | 16,008,395,340  |   |   |   | 15,303 |   |   |   | (968,631,180 | ) |   |   | (671 | ) |   |   | 4,935,403 |   |   |   | (5,751,770 | ) |
|                                                    |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 340,454,690     |   |   |   | 2,852 |   |   |   | (86,152,236 | ) |   |   | (957 | ) |   |   | 5,633,114 |   |   |   | (356,374 | ) |
| Forwards                                                |   |                    | 90,870,643,000  |   |   |   | - |   |   |   | (87,109,470,216 | ) |   |   | - |   |   |   | 78,339,927 |   |   |   | (59,951,330 | ) |
|                                                    |   |                    | 91,211,097,690  |   |   |   | 2,852 |   |   |   | (87,195,622,452 | ) |   |   | (957 | ) |   |   | 83,973,041 |   |   |   | (60,307,704 | ) |
|                                                    |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 2,044,200,093   |   |   |   | 8,454 |   |   |   | (63,261,455,459 | ) |   |   | (23,095 | ) |   |   | 2,729,784 |   |   |   | (6,991,906 | ) |
|                                                    |   |                    | 2,044,200,093   |   |   |   | 8,454 |   |   |   | (63,261,455,459 | ) |   |   | (23,095 | ) |   |   | 2,729,784 |   |   |   | (6,991,906 | ) |
| Total                                                   |   | $                       | 110,073,800,001 |   |   |   | 37,391 |   |   | $ | (151,478,743,535 | ) |   |   | (25,649 | ) |   | $ | 124,380,771 |   |   | $ | (78,637,443 | ) |
|                                                    |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                    |            |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 135,887,098 |   |

----

|                                                    |   | Graham K4D Trading Ltd. |           |
|---------------------------------------------------------|--------|-------------------------|----------------|
|                                                    |   | Long exposure           |           |   | Short exposure |   |   |   |   |   |   |   |
|                                                    |   | Notional amounts        |           |   | Number of contracts |   |   | Notional amounts |   |   | Number of contracts |   |   | Derivative Assets |   |   | Derivative Liabilities |   |
|                                                    |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Commodity price                                         |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   | $                       | 1,281,924,053  |   |   |   | 21,625 |   |   | $ | (699,668,279 | ) |   |   | (11,135 | ) |   | $ | 42,918,544 |   |   | $ | (22,469,474 | ) |
|                                                    |   |                    | 1,281,924,053  |   |   |   | 21,625 |   |   |   | (699,668,279 | ) |   |   | (11,135 | ) |   |   | 42,918,544 |   |   |   | (22,469,474 | ) |
|                                                    |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Equity price                                            |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 6,321,952,643  |   |   |   | 16,319 |   |   |   | (3,918,741,020 | ) |   |   | (5,980 | ) |   |   | 14,812,534 |   |   |   | (7,108,988 | ) |
|                                                    |   |                    | 6,321,952,643  |   |   |   | 16,319 |   |   |   | (3,918,741,020 | ) |   |   | (5,980 | ) |   |   | 14,812,534 |   |   |   | (7,108,988 | ) |
|                                                    |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Foreign currency exchange rate                          |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 30,156,168     |   |   |   | 359 |   |   |   | (108,869,583 | ) |   |   | (1,006 | ) |   |   | 757,620 |   |   |   | (434,222 | ) |
| Forwards                                                |   |                    | 6,096,436,526  |   |   |   | - |   |   |   | (5,707,147,861 | ) |   |   | - |   |   |   | 78,435,771 |   |   |   | (75,105,027 | ) |
|                                                    |   |                    | 6,126,592,694  |   |   |   | 359 |   |   |   | (5,816,017,444 | ) |   |   | (1,006 | ) |   |   | 79,193,391 |   |   |   | (75,539,249 | ) |
|                                                    |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Interest rate                                           |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Futures                                                 |   |                    | 66,489,448,610 |   |   |   | 25,046 |   |   |   | (83,222,672,828 | ) |   |   | (13,820 | ) |   |   | 7,611,075 |   |   |   | (21,488,659 | ) |
|                                                    |   |                    | 66,489,448,610 |   |   |   | 25,046 |   |   |   | (83,222,672,828 | ) |   |   | (13,820 | ) |   |   | 7,611,075 |   |   |   | (21,488,659 | ) |
| Total                                                   |   | $                       | 80,219,918,000 |   |   |   | 63,349 |   |   | $ | (93,657,099,571 | ) |   |   | (31,941 | ) |   | $ | 144,535,544 |   |   | $ | (126,606,370 | ) |
|                                                    |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Collateral balances supporting all derivative positions |   |                    |           |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   | $ | 99,865,289 |   |

----

|                           |   | 2010   |        |   | 2009   |   |
|--------------------------------|--------|--------|-------------|--------|--------|--------|
|                           |   |   |        |   |   |   |
| Commodity price                |   |   |        |   |   |   |
| Futures                        |   | $      | 10,473,704  |   |   | $      | (643,123 | ) |
|                           |   |   | 10,473,704  |   |   |   | (643,123 | ) |
|                           |   |   |        |   |   |   |   |   |
| Equity price                   |   |   |        |   |   |   |   |   |
| Futures                        |   |   | (33,752,013 | )      |   |   | 89,597,187 |   |
|                           |   |   | (33,752,013 | )      |   |   | 89,597,187 |   |
|                           |   |   |        |   |   |   |   |   |
| Foreign currency exchange rate |   |   |        |   |   |   |   |   |
| Futures                        |   |   | 15,009,579  |   |   |   | (3,152,242 | ) |
| Forwards                       |   |   | 34,676,693  |   |   |   | 32,153,188 |   |
|                           |   |   | 49,686,272  |   |   |   | 29,000,946 |   |
|                           |   |   |        |   |   |   |   |   |
| Interest rate                  |   |   |        |   |   |   |   |   |
| Futures                        |   |   | 108,504,331 |   |   |   | (74,133,407 | ) |
|                           |   |   | 108,504,331 |   |   |   | (74,133,407 | ) |
| Total                          |   | $      | 134,912,294 |   |   | $      | 43,821,603 |   |

----

|                                                         |   | December 31, |          |
|--------------------------------------------------------------|--------|--------------|---------------|
|                                                         |   | 2010         |          |   | 2009 |   |
| Assets:                                                      |   |         |          |   |   |   |
| Cash and cash equivalents                                    |   | $            | 750,098,151   |   |   | $ | 485,846,462 |   |
| Investments in fixed income securities (cost $2,215,622,512) |   |         | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Accrued interest income                                      |   |         | 6,547,074     |   |   |   | 4,848,122 |   |
| Total assets                                                 |   |         | 2,972,267,737 |   |   |   | 1,912,608,386 |   |
|                                                         |   |         |          |   |   |   |   |   |
| Liabilities:                                                 |   |         |          |   |   |   |   |   |
| Other liabilities                                            |   |         | 20,000        |   |   |   | - |   |
| Total liabilities                                            |   |         | 20,000        |   |   |   | - |   |
| Net assets                                                   |   | $            | 2,972,247,737 |   |   | $ | 1,912,608,386 |   |

|                    |   | 2010   |       |   | 2009   |   |
|-------------------------|--------|--------|------------|--------|--------|--------|
| Investment income       |   |   |       |   |   |   |
| Interest income         |   | $      | 13,099,691 |   |   | $      | 6,997,221 |   |
| Total investment income |   |   | 13,099,691 |   |   |   | 6,997,221 |   |
|                    |   |   |       |   |   |   |   |   |
| Expenses:               |   |   |       |   |   |   |   |   |
| Bank fee expense        |   |   | 230,380    |   |   |   | - |   |
| Total expenses          |   |   | 230,380    |   |   |   | - |   |
| Net investment income   |   |   | 12,869,311 |   |   |   | 6,997,221 |   |
| Net income              |   | $      | 12,869,311 |   |   | $      | 6,997,221 |   |

----

| Description                                                                |   |  PrincipalAmount |        |   | Fair Value |   |          | Percentage ofMembers’Capital |   |
|----------------------------------------------------------------------------|--------|-----------------------|-------------|--------|------------|--------|---------------|------------------------------------|--------|
| Graham Cash Assets LLC                                                     |   |                  |        |   |       |   |          |                               |   |
| Investments in Fixed Income Securities (cost $2,215,622,512) United States |   |                  |        |   |       |   |          |                               |   |
| FDIC Guaranteed Bonds (cost $1,101,463,404)                                |   |                  |        |   |       |   |          |                               |   |
| Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12                 |   | $                     | 350,000,000 |   |       | $      | 351,915,163   |                               |   |   | 11.84 | % |
| Other FDIC guaranteed bonds                                                |   |                  |        |   |       |   | 749,548,241   |                               |   |   | 25.22 | % |
| Total FDIC Guaranteed Bonds                                                |   |                  |        |   |       |   | 1,101,463,404 |                               |   |   | 37.06 | % |
|                                                                       |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Government Bonds (cost $1,114,159,108)                                     |   |                  |        |   |       |   |          |                               |   |   |   |   |
| U.S. Treasury 0.88% due 04/30/11                                           |   |                  | 150,000,000 |   |       |   | 150,213,724   |                               |   |   | 5.05 | % |
| Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12      |   |                  |        |   |       |   | 963,945,384   |                               |   |   | 32.43 | % |
| Total Government Bonds                                                     |   |                  |        |   |       |   | 1,114,159,108 |                               |   |   | 37.48 | % |
|                                                                       |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Total Investments in Fixed Income Securities                               |   |                  |        |   |       | $      | 2,215,622,512 |                               |   |   | 74.54 | % |

| Description                                                                     |   |  PrincipalAmount |        |   | Fair Value |   |          | Percentage ofMembers’Capital |   |
|---------------------------------------------------------------------------------|--------|-----------------------|-------------|--------|------------|--------|---------------|------------------------------------|--------|
| Graham Cash Assets LLC                                                          |   |                  |        |   |       |   |          |                               |   |
| Investments in Fixed Income Securities (cost 1,421,913,802)United States        |   |                  |        |   |       |   |          |                               |   |
| FDIC Guaranteed Bonds (cost $667,900,290)                                       |   |                  |        |   |       |   |          |                               |   |
| Bank of America 0.28% Floating Rate Note due 09/13/10                           |   | $                     | 100,000,000 |   |       | $      | 100,177,559   |                               |   |   | 5.24 | % |
| Other Bank of America 0.63% - 1.70% Floating Rate Notes due 12/23/10 - 06/22/12 |   |                  | 75,000,000  |   |       |   | 75,931,110    |                               |   |   | 3.97 | % |
| Citibank 1.25% - 1.63%  due 03/30/11 - 11/15/11                       |   |                  | 125,000,000 |   |       |   | 125,481,266   |                               |   |   | 6.56 | % |
| JPMorgan Chase 1.65% - 2.63%  due 12/01/10 - 02/23/11                 |   |                  | 125,000,000 |   |       |   | 126,280,415   |                               |   |   | 6.60 | % |
| Other FDIC guaranteed bonds                                                     |   |                  |        |   |       |   | 240,029,940   |                               |   |   | 12.55 | % |
| Total FDIC Guaranteed Bonds                                                     |   |                  |        |   |       |   | 667,900,290   |                               |   |   | 34.92 | % |
|                                                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Government Bonds (cost $754,013,512)                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| U.S. Treasury 0.00% - 2.75% due 01/31/10 - 06/30/11                             |   |                  | 750,000,000 |   |       |   | 754,013,512   |                               |   |   | 39.42 | % |
| Total Government Bonds                                                          |   |                  |        |   |       |   | 754,013,512   |                               |   |   | 39.42 | % |
|                                                                            |   |                  |        |   |       |   |          |                               |   |   |   |   |
| Total Investments in Fixed Income Securities                                    |   |                  |        |   |       | $      | 1,421,913,802 |                               |   |   | 74.34 | % |

----

|                    |   | 2010   |          |   | 2009   |   |
|-------------------------|--------|--------|---------------|--------|--------|--------|
| Long positions          |   |   |          |   |   |   |
| Level 2:                |   |   |          |   |   |   |
| Fixed income securities |   |   |          |   |   |   |
| FDIC Guaranteed Bonds   |   | $      | 1,101,463,404 |   |   | $      | 667,900,290 |   |
| Government Bonds        |   |   | 1,114,159,108 |   |   |   | 754,013,512 |   |
| Fixed income securities |   |   | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Total Level 2           |   |   | 2,215,622,512 |   |   |   | 1,421,913,802 |   |
| Total long positions    |   | $      | 2,215,622,512 |   |   | $      | 1,421,913,802 |   |

----

| Class   |   | Annual Rate |   |
|---------|--------|-------------|--------|
|    |   |        |   |
| Class 0 |   |        | 2%     |   |
| Class 2 |   |        | 4%     |   |

----

|                                              |   | Class 0 |   |   | Class 2 |   |
|---------------------------------------------------|--------|---------|--------|--------|---------|--------|
| Per unit operating performance:                   |   |    |   |   |    |   |
| Initial net asset value per unit, January 4, 2009 |   | $       | 100.00 |   |    | $      | 100.00 |   |
| Net income:                                       |   |    |   |   |    |   |   |   |
| Net investment (loss) income                      |   |    | (1.95  | )      |    |   | 1.71 |   |
| Net gain on investments                           |   |    | 2.54   |   |    |   | (2.66 | ) |
| Net income                                        |   |    | 0.59   |   |    |   | (0.95 | ) |
| Net asset value per unit, December 31, 2009       |   |    | 100.59 |   |    |   | 99.05 |   |
| Net loss:                                         |   |    |   |   |    |   |   |   |
| Net investment loss                               |   |    | (2.62  | )      |    |   | (1.49 | ) |
| Net gain on investments                           |   |    | 4.95   |   |    |   | 2.16 |   |
| Net loss                                          |   |    | 2.33   |   |    |   | 0.67 |   |
| Net asset value per unit, December 31, 2010       |   | $       | 102.92 |   |    | $      | 99.72 |   |

----

|                                            |   | Class 0 |   |   | Class 2 |   |
|-------------------------------------------------|--------|---------|--------|--------|---------|--------|
|                                            |   | 2010    |   |   | 2009    |   |   | 2010 |   |   | 2009 |   |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |
| Total return before Incentive Allocation        |   |    | 3.53   | %      |    |   | 2.19 | % |   |   | 1.43 | % |   |   | 0.85 | % |
| Incentive Allocation                            |   |    | (1.21  | )      |    |   | (1.60 | ) |   |   | (0.75 | ) |   |   | (1.80 | ) |
| Total return after Incentive Allocation         |   |    | 2.32   | %      |    |   | 0.59 | % |   |   | 0.68 | % |   |   | (0.95 | )% |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |
| Net investment loss before Incentive Allocation |   |    | (4.74  | )%     |    |   | (3.71 | )% |   |   | (6.82 | )% |   |   | (5.75 | )% |
| Incentive Allocation                            |   |    | (1.21  | )      |    |   | (1.60 | ) |   |   | (0.75 | ) |   |   | (1.80 | ) |
| Net investment loss after Incentive Allocation  |   |    | (5.95  | )%     |    |   | (5.31 | )% |   |   | (7.57 | )% |   |   | (7.55 | )% |
|                                            |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |
| Total expenses before Incentive Allocation      |   |    | 4.72   | %      |    |   | 5.08 | % |   |   | 6.78 | % |   |   | 7.11 | % |
| Incentive Allocation                            |   |    | 1.21   |   |    |   | 1.60 |   |   |   | 0.75 |   |   |   | 1.80 |   |
| Total expenses after Incentive Allocation       |   |    | 5.93   | %      |    |   | 6.68 | % |   |   | 7.53 | % |   |   | 8.91 | % |

----

|   | Investment Advisor                            |
|--------|-----------------------------------------------|
|   | Graham Capital Management, L.P.               |
|   | 40 Highland Avenue                            |
|   | Rowayton, CT  06853                 |
|   | U.S.A.                                        |
|   |                                          |
|   | Administrator                                 |
|   | SEI Global Services Inc.                      |
|   | 1 Freedom Valley Drive                        |
|   | Oaks, PA  19456                     |
|   | U.S.A.                                        |
|   |                                          |
|   | Legal and Tax Advisors                        |
|   | Proskauer Rose LLP                            |
|   | 1585 Broadway                                 |
|   | New York, NY  10036                 |
|   | U.S.A.                                        |
|   |                                          |
|   | Registered Address                            |
|   | Corporation Service Company                   |
|   | 2711 Centerville Road                         |
|   | Suite 400                                     |
|   | Wilmington, DE 19808                          |
|   | U.S.A.                                        |
|   |                                          |
|   | Independent Registered Public Accounting Firm |
|   | Ernst & Young LLP                         |
|   | 300 First Stamford Place                      |
|   | Stamford, CT 06902                            |
|   | U.S.A.                                        |

----

----

| FEE CATEGORY       |   | 2010   |    |   | 2009   |   |
|--------------------|--------|--------|---------|--------|--------|--------|
|               |   |   |    |   |   |   |
| Audit Fees         |   | $      | 69,819  | *      |   | $      | 41,000 |   |
| Audit-Related Fees |   |   | – |   |   |   | – |   |
| Tax Fees           |   |   | 84,750  | *      |   |   | 55,250 |   |
| All Other Fees     |   |   | – |   |   |   | – |   |
| Total Fees         |   | $      | 154,569 | *      |   | $      | 96,250 |   |

|   | * | Amount expected to be billed for 2010 services. |
|--------|---|-------------------------------------------------|

|   | (b) | Audit-Related Fees |
|--------|-----|--------------------|

|   | (c) | Tax Fees |
|--------|-----|----------|

|   | (d) | All Other Fees |
|--------|-----|----------------|

----

|   | (a) | Financial Statements |
|--------|-----|----------------------|

| Exhibit Designation | Description                                                                                          |
|---------------------|------------------------------------------------------------------------------------------------------|
| * 3.1               | Certificate of Formation of Graham Alternative Investment Fund I LLC                                 |
| * 4.1               | Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC |
| * 10.1              | Form of Subscription Agreement                                                                       |
| * 10.2              | Form of Placement Agreement                                                                          |
| **10.10             | Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A.               |

31.1

31.2

32.1

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| Dated:  March 30, 2011 | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC |
|----------------------------------|------------------------------------------|
|                             |                                     |
|                             | By:                                      | GRAHAM CAPITAL MANAGEMENT, L.P. |
|                             |                                     | its Manager |
|                             |                                     |
|                             |                                     |
|                             |                                     | By: | /s/ Paul Sedlack |
|                             |                                     |   | Paul Sedlack, Chief Executive Officer |

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