10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2015

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

OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period fromto 

Commission File Number 0-53965

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

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

c/o GRAHAM CAPITAL MANAGEMENT, L.P.

40 Highland Avenue

Rowayton, CT  06853

(Address of principal executive offices) (Zip Code)

Paul Sedlack

Graham Capital Management, L.P.

40 Highland Avenue

Rowayton, CT  06853

(203) 899-3400

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of the chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes ☒  No ☐

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

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

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

Yes ☐  No ☒

As of August 1, 2015, 676,266.652 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND I LLC

BLENDED STRATEGIES PORTFOLIO

FORM 10-Q

INDEX

			Page Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Graham Alternative Investment Fund I LLC Blended Strategies Portfolio
		Statements of Financial Condition at June 30, 2015 (unaudited) and December 31, 2014 (audited)	1
		Unaudited Statements of Operations for the three and six months ended  June 30, 2015 and 2014	2
		Unaudited Statements of Changes in Members’ Capital for the six months ended June 30, 2015 and 2014	3
		Unaudited Statements of Cash Flows for the six months ended  June 30, 2015 and 2014	4
		Notes to Unaudited Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at June 30, 2015 (unaudited) and December 31, 2014 (audited)	13
		Condensed Schedules of Investments at June 30, 2015 (unaudited) and December 31, 2014 (audited)	14
		Unaudited Statements of Operations and Incentive Allocation for the three and six months ended June 30, 2015 and 2014	15
		Unaudited Statements of Changes in Members’ Capital for the six months ended June 30, 2015 and 2014	16
		Unaudited Statements of Cash Flows for the six months ended  June 30, 2015 and 2014	17
		Notes to Unaudited Financial Statements	18
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	56
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	63

	Item 4.	Controls and Procedures	64
PART II - Other Information			65

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

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Statements of Financial Condition

	June 30, 2015 (Unaudited)		December 31, 2014 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	90,737,365	$	89,185,934
Redemption receivable from Graham Alternative Investment Trading LLC		304,542		1,790,083
Total assets	$	91,041,907	$	90,976,017
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	304,542	$	1,790,083
Total liabilities		304,542		1,790,083
Members’ capital:
Class 0 Units (430,080.848 and 422,282.349 units issued and outstanding at  $149.49 and $149.37, respectively)		64,294,718		63,076,949
Class 2 Units (234,721.571 and 229,870.220 units issued and outstanding at  $112.66 and $113.58, respectively)		26,442,647		26,108,985
Total members’ capital		90,737,365		89,185,934
Total liabilities and members’ capital	$	91,041,907	$	90,976,017

See accompanying notes.

1

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Operations

	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
Net realized gain (loss) on investments	$	(3,006,604	)	$	(16,440	)	$	7,873,404		$	(6,048,650	)
Net increase (decrease) in unrealized appreciation on investments		(2,585,632	)		1,470,361			(4,834,666	)		(2,451,076	)
Brokerage commissions and fees		(145,457	)		(118,873	)		(262,251	)		(256,948	)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC		(5,737,693	)		1,335,048			2,776,487			(8,756,674	)
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
Investment income
Interest income		70,137			48,352			129,189			97,175
Expenses
Advisory fees		407,321			387,266			822,646			784,275
Sponsor fees		311,339			273,458			628,807			542,172
Professional fees and other		63,319			39,165			116,590			76,202
Administrator’s fees		32,338			30,013			65,166			59,732
Incentive allocation		-			-			1,550,824			-
Total expenses		814,317			729,902			3,184,033			1,462,381
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(744,180	)		(681,550	)		(3,054,844	)		(1,365,206	)
Net income (loss)	$	(6,481,873	)	$	653,498		$	(278,357	)	$	(10,121,880	)

See accompanying notes.

2

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Changes in Members’ Capital

For the six months ended June 30, 2015 and 2014

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2013		605,548.066		$	77,340,803			220,552.039		$	21,704,330		$	99,045,133
Subscriptions		23,805.913			2,795,079			58,712.079			5,164,210			7,959,289
Redemptions		(85,769.031	)		(9,841,385	)		(33,604.344	)		(2,974,716	)		(12,816,101	)
Net loss		–			(7,780,603	)		–			(2,341,277	)		(10,121,880	)
Members’ capital, June 30, 2014		543,584.948		$	62,513,894			245,659.774		$	21,552,547		$	84,066,441
	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2014		422,282.349		$	63,076,949			229,870.220		$	26,108,985		$	89,185,934
Subscriptions		15,027.939			2,372,000			11,496.267			1,370,000			3,742,000
Redemptions		(7,229.440	)		(1,132,890	)		(6,644.916	)		(779,322	)		(1,912,212	)
Net loss		–			(21,341	)		–			(257,016	)		(278,357	)
Members’ capital, June 30, 2015		430,080.848		$	64,294,718			234,721.571		$	26,442,647		$	90,737,365

See accompanying notes.

3

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Unaudited Statements of Cash Flows

	Six Months Ended June 30,
	2015			2014
Cash flows provided by operating activities
Net loss	$	(278,357	)	$	(10,121,880	)
Adjustments to reconcile net loss to net cash (used in) provided by operating activities:
Net loss allocated from investment in Graham Alternative Investment Trading LLC		278,357			10,121,880
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		3,397,753			13,129,641
Investments in Graham Alternative Investment Trading LLC		(3,742,000	)		(7,959,289	)
Net cash (used in) provided by operating activities		(344,247	)		5,170,352
Cash flows provided by (used in) financing activities
Subscriptions		3,742,000			7,959,289
Redemptions		(3,397,753	)		(13,129,641	)
Net cash provided by (used in) financing activities		344,247			(5,170,352	)
Net change in cash and cash equivalents		–			–
Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

4

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements

June 30, 2015

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. GAIF I has two other series in addition to the Fund, Systematic Strategies Portfolio and Discretionary Strategies Portfolio. GAIF I commenced the liquidation process for the Discretionary Strategies Portfolio on July 31, 2014. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I is registered as a commodity pool with the U.S. Commodity Futures Trading Commission (“CFTC”).

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

The Fund offers investors Class 0 and Class 2 units. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. CFTC and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund’s Units are registered under the Securities Exchange Act of 1934.

The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

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

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

The performance of the Fund is directly affected by the performance of GAIT; therefore these financial statements should be read in conjunction with the attached financial statements of GAIT.

5

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investment in Graham Alternative Investment Trading LLC

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

GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At June 30, 2015 and December 31, 2014, the Fund owned 53.43% and 52.82%, respectively of GAIT.

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.

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

6

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

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

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

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

In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2015 or the year ended December 31, 2014 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Recent Accounting Pronouncements

In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due.Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.

In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2015 and December 31, 2014 no accruals have been recorded by the Fund for indemnifications.

7

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.

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

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. There were no redemption fees paid to the Manager for the six months ended June 30, 2015 and 2014.

4. Fees and Related Party Transactions

Advisory Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

8

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Sponsor Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate
Class 0	0.75%
Class 2	2.75%

Incentive Allocation

At the end of each calendar quarter, the Manager of GAIT will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager. The total Incentive Allocation allocated to the Fund by GAIT for the six months ended June 30, 2015 and 2014 was $1,550,824 and $0, respectively.

Administrator’s Fee

For the six months ended June 30, 2015 and 2014, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the six months ended June 30, 2015 and 2014 were $65,166 and $59,732, respectively.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

5. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s revenues and expenses for income tax purposes.

9

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

5. Income Taxes (continued)

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

6. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2014	$	114.03		$	87.43
Net income:
Net investment loss		(0.76	)		(1.06	)
Net gain on investments		1.73			1.36
Net income		0.97			0.30
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net loss:
Net investment loss		(1.01	)		(1.34	)
Net loss on investments		(9.43	)		(7.12	)
Net loss		(10.44	)		(8.46	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

10

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Net investment loss before Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Total expenses before Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%

The following is the per unit operating performance calculation for the six month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2013	$	127.72		$	98.41
Net loss:
Net investment loss		(1.52	)		(2.10	)
Net loss on investments		(11.20	)		(8.58	)
Net loss		(12.72	)		(10.68	)
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income (loss):
Net investment loss		(2.05	)		(2.74	)
Net gain on investments		2.17			1.82
Net income (loss)		0.12			(0.92	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

11

Graham Alternative Investment Fund I LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the six month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		1.82	%		(9.96	)%		0.82	%		(10.85	)%
Incentive Allocation		(1.74	)		0.00			(1.63	)		0.00
Total return after Incentive Allocation		0.08	%		(9.96	)%		(0.81	)%		(10.85	)%
Net investment loss before Incentive Allocation		(1.32	)%		(1.29	)%		(2.34	)%		(2.31	)%
Incentive Allocation		(1.70	)		0.00			(1.60	)		0.00
Net investment loss after Incentive Allocation		(3.02	)%		(1.29	)%		(3.94	)%		(2.31	)%
Total expenses before Incentive Allocation		1.46	%		1.40	%		2.48	%		2.41	%
Incentive Allocation		1.70			0.00			1.60			0.00
Total expenses after Incentive Allocation		3.16	%		1.40	%		4.08	%		2.41	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and six month periods ended June 30, 2015 and 2014.

7. Subsequent Events

The Fund had subscriptions of approximately $1.8 million and redemptions of approximately $0.6 million from July 1, 2015 through August 14, 2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

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Graham Alternative Investment Trading LLC

Statements of Financial Condition

	June 30, 2015 (Unaudited)		December 31, 2014 (Audited)
Assets
Investments in Master Funds, at fair value	$	17,101,875	$	21,968,796
Investment in Graham Cash Assets LLC, at fair value		154,323,613		155,687,417
Receivable from Master Funds		76		489
Total assets	$	171,425,564	$	177,656,702
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,027,561	$	8,174,470
Accrued advisory fees		244,699		262,055
Accrued sponsor fees		182,493		195,287
Accrued professional fees		118,063		141,939
Accrued administrator’s fee		19,618		20,879
Payable to Master Funds		4		410
Total liabilities		1,592,438		8,795,040
Members’ capital:
Class 0 Units (815,608.523 and 812,590.118 units issued and outstanding at $149.49 and $149.37  per unit, respectively)		121,928,978		121,377,790
Class 2 Units (414,898.972 and 408,116.011 units issued and outstanding at $112.66 and $113.58  per unit, respectively)		46,740,601		46,354,391
Class M Units (4,671.470 units issued and outstanding at $249.08 and $241.78 per unit, respectively)		1,163,547		1,129,481
Total members’ capital		169,833,126		168,861,662
Total liabilities and members’ capital	$	171,425,564	$	177,656,702

See accompanying notes.

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Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	June 30, 2015 (Unaudited)					December 31, 2014 (Audited)
Description	Fair Value		Percentage of Members’ Capital			Fair Value		Percentage of Members’ Capital
Investments in Master Funds, at fair value
Graham Commodity Strategies LLC	$	6,412,815		3.78	%	$	9,193,522		5.44	%
Graham K4D Trading Ltd.		10,689,060		6.29	%		12,775,274		7.57	%
Total investments in Master Funds	$	17,101,875		10.07	%	$	21,968,796		13.01	%

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended June 30,						Six Months Ended June 30,
	2015			2014			2015			2014
Net (loss) gain allocated from investments in Master Funds
Net realized (loss) gain on investments	$	(5,658,562	)	$	(50,226	)	$	14,964,405		$	(11,029,658	)
Net increase (decrease) in unrealized appreciation on investments		(4,850,666	)		2,646,562			(9,127,745	)		(4,550,887	)
Brokerage commissions and fees		(273,826	)		(211,828	)		(495,307	)		(463,683	)
Net (loss) gain allocated from investments in Master Funds		(10,783,054	)		2,384,508			5,341,353			(16,044,228	)
Net investment loss allocated from investments in Master Funds		(19,495	)		(13,729	)		(43,786	)		(34,448	)
Investment income
Interest income		132,112			86,298			244,107			175,370
Total investment income		132,112			86,298			244,107			175,370
Expenses
Advisory fees		762,147			687,422			1,544,475			1,408,195
Sponsor fees		566,509			488,104			1,149,218			983,136
Administrator’s fees		60,919			53,552			123,175			107,782
Professional fees and other		99,886			56,100			176,636			102,901
Total expenses		1,489,461			1,285,178			2,993,504			2,602,014
Net investment loss of the Fund		(1,357,349	)		(1,198,880	)		(2,749,397	)		(2,426,644	)
Net (loss) income		(12,159,898	)		1,171,899			2,548,170			(18,505,320	)
Incentive allocation		–			–			2,920,022			–
Net (loss) income available for pro-rata allocation to all members	$	(12,159,898	)	$	1,171,899		$	(371,852	)	$	(18,505,320	)

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the six months ended June 30, 2015 and 2014

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2013		1,093,036.786		$	139,603,019			407,013.551		$	40,053,854			4,671.470	$	920,232		$	180,577,105
Subscriptions		27,567.625			3,233,079			82,701.099			7,392,005			–		–			10,625,084
Redemptions		(191,710.516	)		(22,020,925	)		(52,208.202	)		(4,627,519	)		–		–			(26,648,444	)
Incentive allocation		–			–			–			–			–		–			–
Net loss		–			(13,989,605	)		–			(4,434,433	)		–		(81,282	)		(18,505,320	)
Members’ capital, June 30, 2014		928,893.895		$	106,825,568			437,506.448		$	38,383,907			4,671.470	$	838,950		$	146,048,425

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2014		812,590.118		$	121,377,790			408,116.011		$	46,354,391			4,671.470	$	1,129,481		$	168,861,662
Subscriptions		25,361.574			3,999,644			20,350.418			2,416,950			–		–			6,416,594
Redemptions		(22,343.169	)		(3,461,342	)		(13,567.457	)		(1,611,936	)		–		(2,920,022	)		(7,993,300	)
Incentive allocation		–			(2,147,427	)		–			(772,595	)		–		2,920,022			–
Net income		–			2,160,313			–			353,791			–		34,066			2,548,170
Members’ capital, June 30, 2015		815,608.523		$	121,928,978			414,898.972		$	46,740,601			4,671.470	$	1,163,547		$	169,833,126

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Six Months Ended June 30,
	2015			2014
Cash flows provided by operating activities
Net income	$	2,548,170		$	(18,505,320	)
Adjustments to reconcile net income to net cash provided by operating activities:
Net (income) loss allocated from investments in Master Funds		(5,297,567	)		16,078,676
Net income allocated from investment in Graham Cash Assets LLC		(244,107	)		(175,370	)
Proceeds from sale of investments in Master Funds		92,868,066			119,195,545
Proceeds from sale of investments in Graham Cash Assets LLC		80,885,997			101,552,403
Investments in Master Funds		(82,703,571	)		(124,420,361	)
Investments in Graham Cash Assets LLC		(79,278,086	)		(80,641,752	)
Changes in assets and liabilities:
Accrued advisory fees		(17,356	)		(54,070	)
Accrued sponsor fees		(12,794	)		(28,043	)
Accrued professional fees		(23,876	)		(103,645	)
Accrued administrator’s fee		(1,261	)		(3,078	)
Net cash provided by operating activities		8,723,615			12,894,985
Cash flows used in financing activities
Subscriptions		6,416,594			10,625,084
Redemptions		(15,140,209	)		(23,520,069	)
Net cash used in financing activities		(8,723,615	)		(12,894,985	)
Net change in cash and cash equivalents		–			–
Cash and cash equivalents, beginning of period		–			–
Cash and cash equivalents, end of period	$	–		$	–

See accompanying notes.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements

June 30, 2015

1. Organization and Business

Graham Alternative Investment Trading LLC (“GAIT”) was formed on May 18, 2006, commenced operations on August 1, 2006 and is organized as a Delaware Limited Liability Company. Graham Capital Management, L.P. (the “Managing Member” or “Manager”) is the Managing Member and the sole investment advisor. The Managing Member is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. Commodity Futures Trading Commission (“CFTC”) and is a member of the National Futures Association. The Managing Member is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. GAIT is a commodity pool, and as such is subject to the oversight and jurisdiction of the U.S. CFTC.

The investment objective of GAIT is to achieve long-term capital appreciation through professionally managed trading through its investment in various master trading vehicles (“Master Funds”). As more fully described in Notes 2 and 3, these Master Funds invest in a broad range of derivative instruments such as currency forward and futures contracts; bond, interest rate, and index futures contracts; commodity forward and futures contracts, and options and swaps thereon traded on U.S. and foreign exchanges, as well as over-the-counter.

Graham Alternative Investment Fund I LLC Blended Strategies Portfolio and Graham Alternative Investment Fund II LLC Blended Strategies Portfolio are the primary investors of GAIT. Graham Alternative Investment III Ltd. was an investor of GAIT for the period from January 1, 2014 through June 30, 2014.

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

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

Duties of the Managing Member

Subject to the terms and conditions of the LLC Agreement, the Managing Member has complete and exclusive responsibility for managing and administering the affairs of GAIT and for directing the investment and reinvestment of the assets of GAIT.

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. GAIT is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

GAIT invests in various Master Funds which are managed by the Managing Member. These investments are valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of the Master Funds’ reported net asset values. Gains and losses are allocated monthly by each Master Fund to GAIT based upon GAIT’s proportionate share of the net asset value of each Master Fund and are included in the statements of operations and incentive allocation.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Investments in Master Funds (continued)

During the year ended December 31, 2014 certain Master Funds in which GAIT invested consolidated their assets under Graham Commodity Strategies LLC, ceased operations, and were dissolved. The amount of assets that were transferred in-kind in connection with this consolidation totals $6,005,778. The dates of the consolidation and dissolution were as follows:

Master Fund	Consolidation Date	Dissolution Date
Graham Macro Directional LLC	August 21, 2014	October 30, 2014
Graham Global Monetary Policy LLC	August 26, 2014	October 30, 2014

Due from Brokers

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

Revenue Recognition

All financial instruments are recorded on the trade date at fair value. Net unrealized gain or loss on open positions is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at the end of the period. Any change in net unrealized gain or loss from the preceding period is reported in the Master Funds’ statements of operations. Interest income and expense are recorded on the accrual basis. Dividends are recorded on the ex-dividend date and are net of related withholding taxes.

Brokerage Commissions and Fees

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

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at June 30, 2015 and December 31, 2014. Gains and losses resulting from foreign currency transactions are calculated using daily exchange rates prevailing on the transaction date. The Master Funds do not isolate the portion of results of operations from changes in foreign exchange rates on investments and cash from fluctuations arising from changes in market prices held. Currency translation gains and losses are included in the statement of operations within net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments.

Fair Value

The fair value of GAIT’s assets and liabilities, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations and incentive allocation.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value (continued)

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

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

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

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

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

In accordance with this hierarchy, GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been classified as Level 2. These investments are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2015 or the year ended December 31, 2014 by GAIT, the Master Funds, or Cash Assets, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Derivative Instruments

In the normal course of business, the Master Funds utilize derivative financial instruments in connection with their trading activities. Derivative instruments derive their value from underlying assets, indices, reference rates or a combination of these factors. Investments in derivative financial instruments are subject to additional risks that can result in a loss of all or part of an investment. The Master Funds’ derivative financial instruments are classified by the following primary underlying risks: interest rate, foreign currency exchange rate, commodity price, and equity price risks. These risks can be in excess of the amounts recognized in the statements of financial condition. In addition, the Master Funds are also subject to additional counterparty risk should their counterparties fail to meet the terms of their contracts. Management of counterparty risk involves a number of considerations, such as the financial profile of the counterparty, specific terms and duration of the contractual agreement, and the value of collateral held, if any. The Master Funds have established initial credit approval, credit limits, and collateral requirements and may reduce their exposure to any counterparties they deem necessary. Trading in non-U.S. dollar denominated derivative instruments may subject the value of, and gains and losses associated with, such contracts to additional risks related to adverse changes in the applicable exchange rates.

Unrealized gains and losses from derivative financial instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Futures Contracts

The Master Funds use futures contracts in an attempt to take advantage of changes in the value of equities, commodities, interest rates, bonds and foreign currencies. Futures contracts are valued based upon the closing price as of the valuation date established by the primary exchange upon which they are traded.

A futures contract represents a commitment for the future purchase or sale of an asset or cash settlement based on the value of an asset on a specified date. The purchase and sale of futures contracts are executed on an exchange which requires margin deposits with a Futures Commission Merchant (“FCM”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter derivative financial instruments, futures contracts provide reduced counterparty risk to the Master Funds since futures are exchange-traded and the exchanges’ clearing house guarantees the futures against default. However some non-U.S. exchanges are “principals’ markets” in which no common clearing facility exists and the Master Funds may look only to the clearing broker for performance of the contract. The U.S. Commodity Exchange Act requires an FCM to segregate all funds received from such FCM’s customers in respect of regulated futures transactions. If the FCM were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the FCM. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the FCM’s combined customer accounts, even though certain property specifically traceable to the Master Funds was held by the FCM. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds might experience a loss of funds deposited through its FCM as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions.

Forward Contracts

The Master Funds enter into foreign currency forward contracts in an attempt to take advantage of changes in exchange rates. Forward currency transactions are contracts or agreements for delivery of specific currencies or the cash equivalent value at a specified future date and an agreed upon price. Forward contracts are not guaranteed by an exchange or clearing house and therefore the risks include the inability of counterparties to meet their obligations under the terms of the contracts as well as the risks associated with movements in fair value.

Exchange traded forward contracts are valued based upon the settlement prices as of the valuation date, established by the primary exchange upon which they are traded. All other forward contracts are valued based upon a forward curve constructed using independently quoted forward points. Changes in fair value of each forward contract are recognized as unrealized gains or losses.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Swap Contracts

The Master Funds may enter into various swap contracts in an attempt to take advantage of changes in interest rates and asset values. Exchange traded interest rate swap contracts are executed on an exchange which requires margin deposits with a Central Clearing Counterparty (“CCP”). Subsequent payments are made or received by the Master Funds each day, depending on the daily fluctuations in the value of the contract. These changes in valuation are recorded for financial statement purposes as unrealized gains or losses by the Master Funds. Relative to over-the-counter interest rate swap contracts, exchange traded interest rate swap contracts provide reduced counterparty risk since they are exchange-traded and the exchange’s clearinghouse guarantees against default. The Commodity Exchange Act requires a CCP to segregate all funds received from such CCP’s customers in respect of exchange traded interest rate swaps. If the CCP were not to do so to the full extent required by law, the assets of the Master Funds might not be fully protected in the event of the bankruptcy or insolvency of the CCP. In that case, the Master Funds would be limited to recovering only a pro rata share of all available funds segregated on behalf of the CCP’s combined customer accounts, even though certain property specifically traceable to the Master Funds is held by the CCP. In addition, in the event of bankruptcy or insolvency of an exchange or an affiliated clearing house, the Master Funds could experience a loss of funds deposited through its CCP as margin with such exchange or affiliated clearing house, the loss of unrealized profits on its open positions, and the loss of funds owed to it as realized profits on closed positions. All funds deposited with both U.S. and non-U.S. CCPs are included in due from brokers on the statements of financial condition. Over the counter swap contracts are not guaranteed by an exchange or an affiliated clearing house or regulated by any U.S. or foreign government authorities. Failure of a counterparty to meet its obligation under the terms of the swap contract could result in the loss of any unrealized gains on open positions. It may not be possible to dispose of or close out a swap position without the consent of the counterparty, and the Master Funds may not be able to enter into an offsetting contract in order to cover its risk.

An interest rate swap contract is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified rates for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to another.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another.

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

Options

The Master Funds may buy and sell covered and uncovered exchange traded and over-the-counter options on futures, foreign currencies, commodities, interest rates and equities to take advantage of the price movements of the financial instrument underlying the option or to hedge positions in the underlying assets. Option contracts give one party the right, but not the obligation, to buy or sell within a limited time or on a specified date, a financial instrument, commodity or currency at a contracted price. Options may also be settled in cash, based on differentials between specified indices or prices.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options (continued)

The Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the unrealized gains of the contracts and the premiums paid to purchase its open option contracts. Relative to over-the-counter options, exchange traded options provide reduced counterparty risk to the Master Funds since the exchanges’ clearinghouse guarantees the option against default.

Exchange traded options are valued based upon the settlement prices published as of the valuation date by the principal exchange upon which they are traded. In the absence of an exchange published settlement price, the option will be valued using the last reported sales price reported on the exchange for the valuation date. Over-the-counter options and exchange traded options with no reported sales price on the valuation date will generally be valued at the average of last reported bid and offer quotes from independent brokers or from the exchange, respectively.

Credit Risk Related Contingent Features

OTC Derivative Instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets, and provide limits with respect to any decline in the Master Funds’ net asset value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. During the six months ended June 30, 2015 and 2014 no events occurred which caused the Master Funds to violate any of these provisions. At June 30, 2015 the amount of Derivative Instruments subject to credit risk related contingent features in a net liability position for Graham K4D Trading Ltd. and Graham Commodity Strategies LLC, two Master Funds in which GAIT invests, was $18,333,440 and $106,386, respectively. There were no Derivative Instruments subject to credit risk related contingent features in a net liability position for any of the Master Funds at December 31, 2014.

New York Mercantile Exchange Corporate Membership

Graham Commodity Strategies LLC, a Master Fund in which GAIT invests, is a member of the New York Mercantile Exchange (“NYMEX”). As a result of its membership, Graham Commodity Strategies LLC owns two NYMEX seats and 30,000 shares of the CME Group. Graham Commodity Strategy LLC’s policy is to value the NYMEX memberships and the shares of the CME Group at fair value. As of June 30, 2015 and December 31, 2014, the two NYMEX memberships were valued at $385,000 and $480,000, respectively, and the 30,000 shares of CME Group were valued at $2,791,800 and $2,659,500, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Chicago Board of Trade Membership

Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B-2/Associate seat. Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of June 30, 2015 and December 31, 2014, the B-1/Full memberships were valued at $505,000 and $570,000, respectively, and the B-2/Associate memberships were valued at $81,250 and $97,500, respectively, both of which are included in CME Membership on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange seat valued at $263,000 and $390,000 at June 30, 2015 and December 31, 2014, respectively, which is also included in Exchange Membership on the statements of financial condition.

Recent Accounting Pronouncements

In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of GAIT’s ability to continue as a going concern even if GAIT’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about GAIT’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that GAIT will be unable to meet its obligations as they become due.Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.

In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2015 and December 31, 2014 no accruals have been recorded by GAIT for indemnifications.

24

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of June 30, 2015 and December 31, 2014, GAIT invested in various Master Funds, all of which were managed by the Manager. GAIT’s investments in these Master Funds, as well as the investment objectives of each Master Fund, are summarized below. Master Funds in which GAIT invested 5% or more of its members’ capital are individually identified, while smaller investments are aggregated under the caption “Other Global Macro Funds.” The number of Master Funds included for the period in each aggregated category is disclosed parenthetically next to each name. All of the Master Funds and GAIT are related parties. The Master Funds do not charge management or incentive fees and all offer monthly subscriptions and redemptions.

June 30, 2015
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income
Systematic Macro Funds
Graham K4D Trading Ltd.		6.29	%	$	10,689,060	$	4,250,708
Global Macro Funds
Graham Commodity Strategies LLC		3.78	%		6,412,815		1,046,859
		10.07	%	$	17,101,875	$	5,297,567

December 31, 2014
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (six months ended June 30, 2014)
Systematic Macro Funds
Graham K4D Trading Ltd.		7.57	%	$	12,775,274	$	(2,217,635	)
Global Macro Funds
Graham Commodity Strategies LLC		5.44	%		9,193,522		(7,734,590	)
Other Global Macro Funds (2)		0.00	%		-		(6,126,451	)
		13.01	%	$	21,968,796	$	(16,078,676	)

25

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of June 30, 2015:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	61,503,155		$	121,335,749
Derivative financial instruments, at fair value		46,787,653			3,605,484
Exchange membership, at fair value		3,176,800			849,250
Total assets		111,467,608			125,790,483
Liabilities:
Derivative financial instruments, at fair value		106,386			18,333,440
Total liabilities		106,386			18,333,440
Net assets	$	111,361,222		$	107,457,043
Percentage of Master Fund held by GAIT		5.76	%		9.95	%

26

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2015.

Description	Number of Contracts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Soybean August 2015		3,405	$	10,819,488			9.72	%
Soybean November 2015		70		215,263			0.19	%
Wheat September 2015		6,100		14,990,988			13.46	%
Other commodity				(3,063,805	)		(2.75	)%
Foreign bond				88,411			0.08	%
Foreign index				(468,400	)		(0.42	)%
Interest rate				5,777,987			5.19	%
U.S. bond				(63,211	)		(0.06	)%
Total futures				28,296,721			25.41	%
Forwards
Foreign currency				(1,416,204	)		(1.27	)%
Total forwards				(1,416,204	)		(1.27	)%
Options (cost $155,803,343)
Natural gas European future 09/30/15 $3.10 Call		1		1,389,000			1.25	%
Natural gas European future 08/31/15 - 10/31/2015, $2.50 - $2.75 Put		7		13,101,000			11.76	%
Other commodity futures				12,323,806			11.07	%
Euro / British pound 08/10/15 - 11/11/15, $0.65 - $0.71 Put		7		8,915,831			8.01	%
Euro / U.S. dollar 07/03/15 - 01/04/16, $1.12 - $1.35 Call		2		737,875			0.66	%
Euro / U.S. dollar 07/03/15 - 01/10/17, $0.95 - $1.11 Put		17		13,507,592			12.13	%
U.S. dollar / Chinese yuan 10/09/15 - 05/03/16, $6.18 - $6.25 Put		8		7,693,013			6.91	%
U.S. dollar / Japanese yen 07/14/15 $120.40 Put		1		376,965			0.34	%
U.S. dollar / Japanese yen 07/07/15 – 11/25/15, $122.00 - $132.00 Call		18		13,716,365			12.32	%
Other currency				17,585,910			15.78	%
IMM Euro future 12/31/15, $99.00 - $99.63 Call		4		24,143,750			21.68	%
IMM Euro future 12/31/15 – 03/31/16, $98.63 - $99.13 Put		4		778,125			0.70	%
Other interest rate futures				3,027,528			2.72	%
U.S. index				1,025,000			0.92	%
Total options				118,321,760			106.25	%

27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as June 30, 2015.

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts
Futures
Soybean November 2015		(3,005	)	$	(12,534,213	)		(11.26	)%
Wheat December 2015		(4,000	)		(21,246,850	)		(19.08	)%
Wheat March 2016		(2,000	)		(3,519,350	)		(3.16	)%
Other commodity					5,176,988			4.65	%
Foreign bond					(381	)		(0.00	)%
Foreign index					89,883			0.08	%
Interest rate					(5,407,257	)		(4.86	)%
U.S. bond					(123,875	)		(0.11	)%
U.S. index					1,242,113			1.12	%
Total futures					(36,322,942	)		(32.62	)%
Forwards
Foreign currency					1,194,711			1.07	%
Total forwards					1,194,711			1.07	%
Options (proceeds $101,985,125)
Natural gas European future 09/30/15 $3.00 Call		1			(1,860,000	)		(1.67	)%
Natural gas European future 08/31/15 - 01/31/2016, $1.75 - $2.50 Put		8			(5,274,500	)		(4.74	)%
Other commodity futures					(7,359,550	)		(6.61	)%
Euro / British pound 08/10/15 - 11/11/15, $0.65 - $0.68 Put		5			(5,011,340	)		(4.50	)%
Euro / U.S. dollar 07/03/15 - 01/04/16, $1.12 - $1.25 Call		7			(1,838,775	)		(1.65	)%
Euro / U.S. dollar 07/03/15 - 12/17/17, $0.97 - $1.11 Put		6			(5,376,795	)		(4.83	)%
U.S. dollar / Chinese yuan 10/09/15 - 05/03/16, $6.11 - $6.12 Put		2			(334,760	)		(0.30	)%
U.S. dollar / Japanese yen 07/24/15 - 11/19/15, $122.50 - $130.00 Call		11			(6,683,788	)		(6.00	)%
U.S. dollar / Japanese yen 07/29/15 – 09/23/15, $111.96 - $116.05 Put		2			(304,765	)		(0.27	)%
Other currency					(5,517,251	)		(4.95	)%
IMM Euro future 12/31/15, $99.13 Call		1			(13,125,000	)		(11.79	)%
IMM Euro future 12/31/15, $99.25 Call		1			(9,000,000	)		(8.08	)%
IMM Euro future 12/31/15, $99.75 Call		1			(31,250	)		(0.03	)%
IMM Euro future 12/31/15 - 03/31/16, $98.88 - $99.13 Put		4			(590,625	)		(0.53	)%
Other interest rate futures					(534,380	)		(0.48	)%
U.S. index					(550,000	)		(0.49	)%
Total options					(63,392,779	)		(56.92	)%
Total derivative financial instruments				$	46,681,267			41.92	%

28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of June 30, 2015.

Description	Number of Contracts			Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Corn December 2015		47		$	118,516			0.11	%
Soybean November 2015		2			5,187			0.00	%
Other commodity					(6,146,541	)		(5.72	)%
Currency					259,297			0.24	%
Foreign bond					579,541			0.54	%
Foreign index					(3,175,471	)		(2.96	)%
Interest rate					941,648			0.88	%
U.S. bond					1,673,340			1.56	%
U.S. index					(4,265,129	)		(3.97	)%
Total futures					(10,009,612	)		(9.32	)%
Forwards
Foreign currency					(78,461	)		(0.07	)%
Total forwards					(78,461	)		(0.07	)%
Short contracts
Futures
Corn December 2015		(2,038	)		(5,494,493	)		(5.12	)%
Soybean November 2015		(1,005	)		(5,978,646	)		(5.56	)%
Other commodity					(547,394	)		(0.51	)%
Currency					(163,224	)		(0.15	)%
Foreign bond					1,717,739			1.60	%
Foreign index					2,320,705			2.16	%
Interest rate					(114,916	)		(0.11	)%
U.S. bond					(249,112	)		(0.23	)%
U.S. index					185,375			0.17	%
Total futures					(8,323,966	)		(7.75	)%
Forwards
Foreign currency					3,684,083			3.43	%
Total forwards					3,684,083			3.43	%
Total derivative financial instruments				$	(14,727,956	)		(13.71	)%

29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of June 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	36,575,047		$	14,735,807
Commodity futures options		26,813,806			-
Currency futures		-			436,853
Foreign bond futures		142,683			2,753,462
Foreign index futures		127,834			3,131,878
Interest rate futures		5,825,212			1,134,650
Interest rate futures options		27,949,403			-
U.S. bond futures		18,101			3,004,784
U.S. index futures		1,242,113			193,608
U.S. index futures options		1,025,000			-
Total Level 1		99,719,199			25,391,042
Level 2:
Foreign currency forwards		7,073,664			9,380,321
Foreign currency options		62,533,551			-
Total Level 2		69,607,215			9,380,321
Total investment related assets	$	169,326,414		$	34,771,363
Liabilities
Level 1:
Commodity futures	$	(45,736,538	)	$	(32,779,178	)
Commodity futures options		(14,494,050	)		-
Currency futures		-			(340,780	)
Foreign bond futures		(54,653	)		(456,182	)
Foreign index futures		(506,351	)		(3,986,644	)
Interest rate futures		(5,454,482	)		(307,918	)
Interest rate futures options		(23,281,255	)		-
U.S. bond futures		(205,187	)		(1,580,556	)
U.S. index futures		-			(4,273,362	)
U.S. index futures options		(550,000	)		-
Total Level 1		(90,282,516	)		(43,724,620	)
Level 2:
Foreign currency forwards		(7,295,157	)		(5,774,699	)
Foreign currency options		(25,067,474	)		-
Total Level 2		(32,362,631	)		(5,774,699	)
Total investment related liabilities	$	(122,645,147	)	$	(49,499,319	)

30

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the six months ended June 30, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at June 30, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Graham Commodity Strategies LLC
	Long exposure					Short exposure
	Notional amounts		Number of contracts			Notional amounts			Number of  contracts			Derivative Assets		Derivative Liabilities
Commodity price
Futures	$	428,223,315		13,275		$	(478,800,677	)		(13,711	)	$	36,575,047	$	(45,736,538	)
Options(a)		308,272,791		75,514			(399,118,240	)		(39,128	)		26,813,806		(14,494,050	)
Swaps		-		-			(14,009,625	)		(1,800	)		-		-
		736,496,106		88,789			(891,928,542	)		(54,639	)		63,388,853		(60,230,588	)
Equity price
Futures		88,789,036		1,186			(102,360,188	)		(1,126	)		1,369,947		(506,351	)
Options(a)		22,241,158		1,000			(18,166,917	)		(500	)		1,025,000		(550,000	)
		111,030,194		2,186			(120,527,105	)		(1,626	)		2,394,947		(1,056,351	)
Foreign currency exchange rate
Forwards		988,365,693		N/	A		(2,023,363,045	)		N/	A		7,073,664		(7,295,157	)
Options(a)		2,093,434,207		69			(2,508,381,302	)		(81	)		62,533,551		(25,067,474	)
		3,081,799,900		69			(4,531,744,347	)		(81	)		69,607,215		(32,362,631	)
Interest rate
Futures		9,432,603,617		35,271			(6,184,602,576	)		(25,766	)		5,985,996		(5,714,322	)
Options(a)		4,681,901,309		69,900			(4,521,444,134	)		(60,250	)		27,949,403		(23,281,255	)
Swaps		322,328,885		2			(322,328,885	)		(2	)		-		-
		14,436,833,811		105,173			(11,028,375,595	)		(86,018	)		33,935,399		(28,995,577	)
Total	$	18,366,160,011		196,217		$	(16,572,575,589	)		(142,364	)	$	169,326,414	$	(122,645,147	)

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

31

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the six months ended June 30, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at June 30, 2015 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	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	$	269,007,298		4,876	$	(652,146,226	)		(13,528	)	$	14,735,807	$	(32,779,178	)
		269,007,298		4,876		(652,146,226	)		(13,528	)		14,735,807		(32,779,178	)
Equity price
Futures		814,492,843		8,277		(93,312,995	)		(1,053	)		3,325,486		(8,260,006	)
		814,492,843		8,277		(93,312,995	)		(1,053	)		3,325,486		(8,260,006	)
Foreign currency exchange rate
Forwards		632,778,456		N/A		(947,071,181	)		N/A			9,380,321		(5,774,699	)
Futures		49,668,255		509		(52,974,582	)		(550	)		436,853		(340,780	)
		682,446,711		509		(1,000,045,763	)		(550	)		9,817,174		(6,115,479	)
Interest rate
Futures		5,256,002,338		27,121		(930,042,146	)		(5,689	)		6,892,896		(2,344,656	)
		5,256,002,338		27,121		(930,042,146	)		(5,689	)		6,892,896		(2,344,656	)
Total	$	7,021,949,190		40,783	$	(2,675,547,130	)		(20,820	)	$	34,771,363	$	(49,499,319	)

32

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at June 30, 2015 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition. Actual collateral pledged or received by the Master Funds may exceed these amounts.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition			Collateral (Received) / Pledged		Net Amount
Graham Commodity Strategies LLC1
Derivative assets	$	169,326,414		$	(122,538,761	)	$	46,787,653		$	-	$	46,787,653
Derivative liabilities		(122,645,147	)		122,538,761			(106,386	)		106,386		-
Graham K4D Trading Ltd.2
Derivative assets		34,771,363			(31,165,879	)		3,605,484			-		3,605,484
Derivative liabilities		(49,499,319	)		31,165,879			(18,333,440	)		18,333,440		-

¹ Net derivative asset and liability amounts presented in the statement of financial condition are held with three counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of June 30, 2015. At June 30, 2015 additional collateral pledged in the amount of $61,396,769 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

² Net derivative asset and liability amounts presented in the statement of financial condition are held with two counterparties. The Master Fund has pledged offsetting collateral to one of these counterparties that is eligible to offset the derivative liability amount as of June 30, 2015. At June 30, 2015 additional collateral pledged in the amount of $103,002,309 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

33

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended June 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income (loss)	$	9,754		$	(29,446	)
Net realized loss on investments		(63,760,870	)		(20,365,467	)
Net decrease in unrealized appreciation on investments		(37,877,797	)		(26,213,545	)
Brokerage commissions and fees		(4,489,047	)		(326,095	)
Net loss on investments		(106,127,714	)		(46,905,107	)
Net loss	$	(106,117,960	)	$	(46,934,553	)

The following table summarizes the results of operations of each Master Fund for the six months ended June 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment loss	$	(8,596	)	$	(40,475	)
Net realized gain on investments		60,633,224			109,657,874
Net decrease in unrealized appreciation on investments		(37,443,313	)		(69,294,062	)
Brokerage commissions and fees		(8,092,399	)		(638,312	)
Net gain on investments		15,097,512			39,725,500
Net income	$	15,088,916		$	39,685,025

34

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three months ended June 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(3,401,907	)	$	(33,112,235	)
Options		(16,637,951	)		-
Swaps		440,250			-
		(19,599,608	)		(33,112,235	)
Equity price
Equities		(20,500	)		(40,750	)
Futures		(11,037,557	)		23,542,168
Options		(1,074,298	)		-
		(12,132,355	)		23,501,418
Foreign currency exchange rate
Forwards		(28,124,450	)		1,087,301
Futures		-			(3,598,905	)
Options		(36,571,526	)		-
		(64,695,976	)		(2,511,604	)
Interest rate
Futures		(6,213,402	)		(34,456,591	)
Options		666,871			-
Swaps		335,803			-
		(5,210,728	)		(34,456,591	)
Total	$	(101,638,667	)	$	(46,579,012	)

35

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the six months ended June 30, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	(14,849,955	)	$	(40,908,403	)
Options		(13,465,954	)		-
Swaps		3,572,250			-
		(24,743,659	)		(40,908,403	)
Equity price
Equities		37,300			(208,250	)
Futures		8,713,503			53,143,352
Options		1,325,193			-
		10,075,996			52,935,102
Foreign currency exchange rate
Forwards		29,003,011			25,814,888
Futures		-			5,804,931
Options		10,742,416			-
		39,745,427			31,619,819
Interest rate
Futures		(1,569,955	)		(3,282,706	)
Options		1,356,539			-
Swaps		(1,674,437	)		-
		(1,887,853	)		(3,282,706	)
Total	$	23,189,911		$	40,363,812

36

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of December 31, 2014:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	83,528,234		$	66,195,100
Derivative financial instruments, at fair value		68,381,520			54,146,429
Exchange membership, at fair value		3,139,500			1,057,500
Dividends receivable		51,870			-
Total assets		155,101,124			121,399,029
Liabilities:
Derivative financial instruments, at fair value		-			-
Due to brokers		-			-
Total liabilities		-			-
Net assets	$	155,101,124		$	121,399,029
Percentage of Master Fund held by GAIT		5.93	%		10.52	%

37

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2014.

Description	Number of Contracts / Notional Amounts		Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC
Derivative financial instruments
Long contracts
Futures
Coffee March 2015		700	$	(8,553,900	)		(5.52	)%
Other commodity				(8,001,987	)		(5.16	)%
Foreign bond				2,283,244			1.47	%
Foreign index				179,085			0.12	%
Interest rate				31,106			0.02	%
U.S. bond				471,562			0.30	%
U.S. index				256,188			0.17	%
Total futures				(13,334,702	)		(8.60	)%
Swaps
Interest rate				(8,099,610	)		(5.22	)%
Total swaps				(8,099,610	)		(5.22	)%
Forwards
Swiss franc / U.S. dollar 03/02/15	CHF	182,595,000		(16,076,171	)		(10.36	)%
Other Swiss franc / U.S. dollar 01/05/15 - 01/06/15	CHF	114,126,268		(414,594	)		(0.27	)%
Euro / U.S. dollar 04/09/15	EUR	100,000,000		(14,993,597	)		(9.67	)%
Other Euro / U.S. dollar 01/02/15 - 02/23/15	EUR	1,037,300,000		(5,915,527	)		(3.81	)%
Mexican peso / U.S. dollar 01/02/15	MXN	6,999,980,000		(25,268,297	)		(16.29	)%
Other foreign currency				(3,007,519	)		(1.94	)%
Total forwards				(65,675,705	)		(42.34	)%
Options (cost $34,120,840)
U.S. dollar / Japanese yen 01/23/15, $110.00 Call		1		8,225,790			5.30	%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call		1		13,585,305			8.76	%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call		1		10,454,850			6.74	%
Other U.S. dollar / Japanese yen 01/05/15 - 12/15/15, $110.50 - $150.00 Call		13		29,792,846			19.21	%
Euro / U.S. dollar 01/16/15, $1.24 Put		2		13,814,595			8.91	%
Other Euro / U.S. dollar 01/09/15 - 08/17/15, $1.15 - $1.33 Put		17		38,010,122			24.50	%
Australian dollar / U.S. dollar 02/05/15 - 05/27/15, $0.81 - $0.83 Put		5		11,440,031			7.38	%
Other currency				15,269,762			9.85	%
Eurodollar future December 2015, $98.75 - $99.25 Put		2		10,187,500			6.57	%
Eurodollar future June 2015, $99.38  - $99.75 Put		2		350,000			0.23	%
Other interest rate futures				2,875,000			1.85	%

38

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as December 31, 2014.

Description	Number of Contracts / Notional Amounts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Long contracts (continued)
Options (continued)
Coffee future February 2015, $167.50 Put		1		$	23,344			0.02	%
Coffee future March 2015, $250.00 Call		1			20,250			0.01	%
Commodity futures					11,346,439			7.31	%
Total options					165,395,834			106.64	%
Short contracts
Futures
Coffee July 2015		(965	)		11,849,513			7.64	%
Other commodity					14,805,620			9.54	%
Foreign index					(639,795	)		(0.41	)%
Interest rate					709,760			0.46	%
U.S. bond					(433,813	)		(0.28	)%
U.S. index					(274,750	)		(0.18	)%
Total futures					26,016,535			16.77	%
Swaps
Interest rate					1,056,548			0.68	%
Total swaps					1,056,548			0.68	%
Forwards
U.S. dollar / Swiss franc 03/02/15	$	(189,700,000	)		8,919,465			5.75	%
Other U.S. dollar / Swiss franc 01/05/15 - 01/06/15		(178,277,512	)		711,835			0.46	%
U.S. dollar / Euro 04/09/15		(100,000,000	)		15,093,067			9.73	%
Other U.S. dollar / Euro 01/02/15 - 01/05/15		(1,822,601,926	)		9,029,043			5.82	%
Other foreign currency					29,453,365			18.99	%
Total forwards					63,206,775			40.75	%
Options (proceeds $15,318,750)
U.S. dollar / Japanese yen 01/23/15, $110.00 Call		(1	)		(8,225,790	)		(5.30	)%
U.S. dollar / Japanese yen 01/23/15, $109.00 Call		(1	)		(13,585,305	)		(8.76	)%
U.S. dollar / Japanese yen 01/23/15, $115.00 Call		(1	)		(10,454,850	)		(6.74	)%
Other U.S. dollar / Japanese yen 01/05/15 - 05/01/15, $110.50 - $130.00 Call		(8	)		(14,193,955	)		(9.15	)%
U.S. dollar / Japanese yen 03/23/15 - 05/12/15, $104.20 - $109.80 Put		(1	)		(54,928	)		(0.04	)%
Euro / U.S. dollar 01/09/15 - 05/01/15, $1.12 - $1.30 Put		(12	)		(19,853,521	)		(12.80	)%

39

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as December 31, 2014.

Description	Number of Contracts			Fair Value			Percentage of Members’ Capital of Master Fund
Graham Commodity Strategies LLC (continued)
Derivative financial instruments (continued)
Short contracts (continued)
Options (continued)
Other currency				$	(14,091,653	)		(9.09	)%
Coffee futures February 2015, $162.50 Put		(1	)		(211,500	)		(0.14	)%
Coffee futures March 2015, $275.00 Call		(1	)		(4,594	)		(0.00	)%
Other commodity futures					(7,758,059	)		(5.00	)%
Eurodollar future December 2015, $99.00 Put		(1	)		(9,000,000	)		(5.80	)%
Eurodollar future June 2015, $99.63 Call		(1	)		(500,000	)		(0.32	)%
Eurodollar future June 2015, $99.00 Put		(1	)		(50,000	)		(0.03	)%
Other interest rate futures					(2,200,000	)		(1.42	)%
Total options					(100,184,155	)		(64.59	)%
Total derivative financial instruments				$	68,381,520			44.09	%

40

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2014.

Description	Number of Contracts	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Commodity		$	(7,717,424	)		(6.36	)%
Currency			1,154,672			0.95	%
Foreign bond			20,545,048			16.92	%
Foreign index			(1,731,587	)		(1.43	)%
Interest rate			1,060,406			0.87	%
U.S. bond			3,368,832			2.78	%
U.S. index			5,498,375			4.53	%
Total futures			22,178,322			18.26	%
Forwards
Foreign currency			(573,341	)		(0.47	)%
Total forwards			(573,341	)		(0.47	)%
Short contracts
Futures
Commodity			26,804,210			22.08	%
Currency			911,143			0.75	%
Foreign bond			(447,050	)		(0.37	)%
Foreign index			(1,618,985	)		(1.33	)%
Interest rate			38,574			0.03	%
U.S. bond			(157,336	)		(0.13	)%
U.S. index			(353,135	)		(0.29	)%
Total futures			25,177,421			20.74	%
Forwards
Foreign currency			7,364,027			6.07	%
Total forwards			7,364,027			6.07	%
Total derivative financial instruments		$	54,146,429			44.60	%

41

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of December 31, 2014:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	27,633,798		$	29,282,344
Commodity futures options		11,390,033			-
Currency futures		-			2,171,127
Foreign bond futures		2,283,244			20,545,048
Foreign index futures		645,049			1,864,196
Interest rate futures		2,497,781			1,665,293
Interest rate futures options		13,412,500			-
U.S. bond futures		471,562			4,244,516
U.S. index futures		261,001			5,559,393
Total Level 1		58,594,968			65,331,917
Level 2:
Foreign currency forwards		76,278,028			8,077,680
Foreign currency options		140,593,301			-
Interest rate swaps		1,056,548			-
Total Level 2		217,927,877			8,077,680
Total investment related assets	$	276,522,845		$	73,409,597
Liabilities
Level 1:
Commodity futures	$	(17,534,552	)	$	(10,195,558	)
Commodity futures options		(7,974,153	)		-
Currency futures		-			(105,312	)
Foreign bond futures		-			(447,050	)
Foreign index futures		(1,105,759	)		(5,214,768	)
Interest rate futures		(1,756,915	)		(566,313	)
Interest rate futures options		(11,750,000	)		-
U.S. bond futures		(433,813	)		(1,033,020	)
U.S. index futures		(279,563	)		(414,153	)
Total Level 1		(40,834,755	)		(17,976,174	)
Level 2:
Foreign currency forwards		(78,746,958	)		(1,286,994	)
Foreign currency options		(80,460,002	)		-
Interest rate swaps		(8,099,610	)		-
Total Level 2		(167,306,570	)		(1,286,994	)
Total investment related liabilities	$	(208,141,325	)	$	(19,263,168	)

42

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2014 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	Graham Commodity Strategies LLC
	Long exposure				Short exposure
	Notional amounts		Number of contracts		Notional amounts			Number of contracts			Derivative Assets		Derivative  Liabilities
Commodity price
Futures	$	183,681,221		3,188	$	(212,148,221	)		(4,366	)	$	27,633,798	$	(17,534,552	)
Options(a)		160,621,354		9,042		(179,833,578	)		(9,615	)		11,390,033		(7,974,153	)
Swaps		7,604,787		800		(15,483,911	)		(1,762	)		-		-
		351,907,362		13,030		(407,465,710	)		(15,743	)		39,023,831		(25,508,705	)
Equity price
Futures		106,188,081		1,836		(135,709,856	)		(1,482	)		906,050		(1,385,322	)
Options(a)		18,988,942		2,550		(30,681,556	)		(2,550	)		-		-
		125,177,023		4,386		(166,391,412	)		(4,032	)		906,050		(1,385,322	)
Foreign currency exchange rate
Forwards		2,537,892,170		N/A		(3,436,406,268	)		N/A			76,278,028		(78,746,958	)
Futures		2,374,377		30		-			-			-		-
Options(a)		3,464,244,621		82		(3,405,730,397	)		(54	)		140,593,301		(80,460,002	)
		6,004,511,168		112		(6,842,136,665	)		(54	)		216,871,329		(159,206,960	)
Interest rate
Futures		3,679,302,974		15,235		(2,440,223,091	)		(10,578	)		5,252,587		(2,190,728	)
Options(a)		1,976,567,695		44,656		(2,517,178,746	)		(47,875	)		13,412,500		(11,750,000	)
Swaps		840,593,936		5		(826,080,726	)		(4	)		1,056,548		(8,099,610	)
		6,496,464,605		59,896		(5,783,482,563	)		(58,457	)		19,721,635		(22,040,338	)
Total	$	12,978,060,158		77,424	$	(13,199,476,350	)		(78,286	)	$	276,522,845	$	(208,141,325	)

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

43

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2014. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 2014 categorized by primary underlying risk. Derivatives denominated in foreign currencies have been converted to U.S. dollars. Derivative asset and liability balances are presented on a gross basis, prior to the application of counterparty netting. The Master Funds trade derivative instruments on a leveraged basis. Due to the low margin deposits normally required for trading these derivative financial instruments, the gross notional exposure as displayed in the tables below may exceed the net asset value of the Master Funds by a significant amount. As a result, a relatively small price movement in an underlying derivative financial instrument may result in immediate and substantial effect on the net income and net asset value of the Master Funds and GAIT.

	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	$	398,132,519		5,751	$	(464,713,344	)		(8,537	)	$	29,282,344	$	(10,195,558	)
		398,132,519		5,751		(464,713,344	)		(8,537	)		29,282,344		(10,195,558	)
Equity price
Futures		848,537,897		8,854		(74,316,710	)		(875	)		7,423,589		(5,628,921	)
		848,537,897		8,854		(74,316,710	)		(875	)		7,423,589		(5,628,921	)
Foreign currency exchange rate
Forwards		809,287,149		N/A		(850,132,838	)		N/A			8,077,680		(1,286,994	)
Futures		107,908,942		1,119		(129,233,377	)		(1,352	)		2,171,127		(105,312	)
		917,196,091		1,119		(979,366,215	)		(1,352	)		10,248,807		(1,392,306	)
Interest rate
Futures		5,696,623,466		28,567		(1,199,073,059	)		(6,297	)		26,454,857		(2,046,383	)
		5,696,623,466		28,567		(1,199,073,059	)		(6,297	)		26,454,857		(2,046,383	)
Total	$	7,860,489,973		44,291	$	(2,717,469,328	)		(17,061	)	$	73,409,597	$	(19,263,168	)

44

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investmentsin Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 2014 by which the fair values of both derivative assets and derivative liabilities were reduced within the Master Funds’ statements of financial condition as a result of this netting. Gross amounts below correspond to the total derivative asset and derivative liability balances categorized by primary underlying risk and product type in the preceding tables. Collateral pledged (received) for derivative assets and liabilities represent the cash amounts which are included in due from brokers on the statements of financial condition.  Actual collateral pledged or received by the Master Funds may exceed these amounts.

Description	Gross Amount			Gross Amount Offset in the Statements of Financial Condition			Net Amount Presented in the Statements of Financial Condition		Collateral (Received) / Pledged		Net Amount
Graham Commodity Strategies LLC1
Derivative assets	$	276,522,845		$	(208,141,325	)	$	68,381,520	$	-	$	68,381,520
Derivative liabilities		(208,141,325	)		208,141,325			-		-		-
Graham K4D Trading Ltd.2
Derivative assets		73,409,597			(19,263,168	)		54,146,429		-		54,146,429
Derivative liabilities		(19,263,168	)		19,263,168			-		-		-

¹ Net derivative asset amounts presented in the statement of financial condition are held with three counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2014. At December 31, 2014 additional collateral pledged in the amount of $83,528,234 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

² Net derivative asset amounts presented in the statement of financial condition are held with two counterparties. The Master Fund did not receive collateral from these counterparties that may have been used to offset these derivative amounts as of December 31, 2014. At December 31, 2014 additional collateral pledged in the amount of $66,195,100 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

45

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three and six month periods ended June 30, 2014:

	Three Months Ended June 30, 2014
	Graham Commodity Strategies LLC				Graham Global Monetary Policy LLC				Graham K4D Trading Ltd.				Graham Macro Directional LLC
Net investment loss		$	(8,263	)		$	(4,838	)		$	(9,122	)		$	(6,594	)
Net realized gain (loss) on investments			(17,770,582	)			(24,442,350	)			30,579,837				(51,380,248	)
Net increase (decrease) in unrealized appreciation on investments			(21,318,667	)			(8,041,306	)			33,961,241				13,556,276
Brokerage commissions and fees			(2,410,821	)			(1,348,581	)			(276,260	)			(575,164	)
Net gain (loss) on investments			(41,500,070	)			(33,832,237	)			64,264,818				(38,399,136	)
Net income (loss)		$	(41,508,333	)		$	(33,837,075	)		$	64,255,696			$	(38,405,730	)

	Six Months Ended June 30, 2014
	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Net investment loss	$	(25,167	)	$	(20,189	)	$	(38,834	)	$	(9,300	)
Net realized loss on investments		(78,448,483	)		(54,349,024	)		(18,627,897	)		(85,335,043	)
Net decrease in unrealized appreciation on investments		(46,141,879	)		(26,596,419	)		(7,591,697	)		(9,632,937	)
Brokerage commissions and fees		(5,107,727	)		(3,032,881	)		(612,513	)		(877,889	)
Net loss on investments		(129,698,089	)		(83,978,324	)		(26,832,107	)		(95,845,869	)
Net loss	$	(129,723,256	)	$	(83,998,513	)	$	(26,870,941	)	$	(95,855,169	)

46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized gain (loss) and net increase (decrease) in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the three month period ended June 30, 2014:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Commodity price
Futures	$	(669,971	)	$	(2,077,230	)	$	(12,054,748	)	$	(748,235	)
Options		6,784,110			-			-			(70,500	)
Swaps		1,189,119			-			-			-
		7,303,258			(2,077,230	)		(12,054,748	)		(818,735	)
Equity price
Equities		(69,800	)		-			64,000			-
Futures		(1,494,509	)		(9,539,809	)		27,809,919			(1,790,835	)
Options		(9,955,785	)		-			-			-
		(11,520,094	)		(9,539,809	)		27,873,919			(1,790,835	)
Foreign currency exchange rate
Forwards		(8,864,052	)		1,995,771			4,838,703			(34,460,893	)
Futures		347,869			-			1,025,685			-
Options		(24,970,474	)		(1,425,623	)		-			(977,482	)
		(33,486,657	)		570,148			5,864,388			(35,438,375	)
Interest rate
Futures		6,235,283			(18,698,482	)		42,857,519			(71,340	)
Options		(8,923,023	)		(2,738,283	)		-			295,313
Swaps		1,301,984			-			-			-
		(1,385,756	)		(21,436,765	)		42,857,519			223,973
Total	$	(39,089,249	)	$	(32,483,656	)	$	64,541,078		$	(37,823,972	)

47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the gross gains and losses on all financial instruments held by the Master Funds reported in net realized loss and net decrease in unrealized appreciation on investments in their statements of operations segregated by primary underlying risk and contract type for the six month period ended June 30, 2014:

	Graham Commodity Strategies LLC			Graham Global Monetary Policy LLC			Graham K4D Trading Ltd.			Graham Macro Directional LLC
Commodity price
Futures	$	(11,643,119	)	$	(2,947,823	)	$	(72,184,162	)	$	2,030,823
Options		5,557,738			-			-			66,406
Swaps		(739,008	)		-			-			-
		(6,824,389	)		(2,947,823	)		(72,184,162	)		2,097,229
Equity price
Equities		(235,800	)		-			39,750			-
Futures		1,553,574			(25,484,480	)		(16,142,601	)		(7,096,413	)
Options		(18,378,430	)		-			-			-
		(17,060,656	)		(25,484,480	)		(16,102,851	)		(7,096,413	)
Foreign currency exchange rate
Forwards		3,567,825			(36,469,062	)		16,967,155			(79,806,383	)
Futures		347,869			-			(1,600,003	)		-
Options		(89,782,907	)		5,502,129			-			(1,889,306	)
		(85,867,213	)		(30,966,933	)		15,367,152			(81,695,689	)
Interest rate
Futures		(3,795,048	)		(18,176,065	)		46,700,267			(8,568,420	)
Options		(8,744,800	)		(3,370,142	)		-			295,313
Swaps		(2,298,256	)		-			-			-
		(14,838,104	)		(21,546,207	)		46,700,267			(8,273,107	)
Total	$	(124,590,362	)	$	(80,945,443	)	$	(26,219,594	)	$	(94,967,980	)

48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC

GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. Cash Assets commenced operations on June 22, 2005, and was formed as a Delaware Limited Liability Company for the purpose of consolidating investment activity of multiple funds managed by the Manager. Its objective is to preserve capital while enhancing return on cash balances and providing daily liquidity. It invests in debt obligations guaranteed by the U.S. federal government which range in maturity from one to twenty-seven months. Cash Assets also maintains cash and cash equivalents on deposit with major U.S. institutions. Cash Assets values all fixed income securities at amortized cost which approximates fair value. GAIT’s investment in Cash Assets is valued in the accompanying statements of financial condition at fair value in accordance with U.S. GAAP based upon GAIT’s proportionate share of Cash Assets’ reported net asset value. GAIT records its proportionate share of Cash Assets’ investment income and expenses on a monthly basis. For the three and six months ended June 30, 2015, the total amount recognized by GAIT with respect to its investment in Cash Assets was $132,112 and $244,107, respectively. For the three and six months ended June 30, 2014, the total amount recognized by GAIT with respect to its investment in Cash Assets was $86,298 and $175,370, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At June 30, 2015 and December 31, 2014, GAIT owned approximately 5.66% and 4.79%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of June 30, 2015 and December 31, 2014:

	June 30, 2015		December 31, 2014
Assets:
Cash and cash equivalents	$	868,271,260	$	1,074,800,890
Investments in fixed income securities (cost $1,856,251,163 and $2,173,381,831, respectively)		1,856,251,163		2,173,381,831
Accrued interest receivable		3,612,140		4,912,030
Total assets		2,728,134,563		3,253,094,751
Liabilities:
Other liabilities		-		-
Total liabilities		-		-
Net assets	$	2,728,134,563	$	3,253,094,751

The following table summarizes the results of operations of Cash Assets for the three and six month periods ended June 30, 2015 and 2014:

	Three Months Ended June 30,				Six Months Ended June 30,
	2015		2014		2015		2014
Investment income
Interest income	$	2,486,964	$	1,731,457	$	4,819,027	$	3,654,826
Total investment income		2,486,964		1,731,457		4,819,027		3,654,826
Expenses:
Bank fee expense		7,386		15,931		17,240		27,216
Total expenses		7,386		15,931		17,240		27,216
Net investment income		2,479,578		1,715,526		4,801,787		3,627,610
Net income	$	2,479,578	$	1,715,526	$	4,801,787	$	3,627,610

49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of June 30, 2015:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $1,856,251,163)
United States
Government Bonds (cost $1,856,251,163)
U.S. Treasury 0.25% – 2.75% due 07/15/15 – 09/30/17	$	1,850,000,000	$	1,856,251,163		68.04	%
Total Government Bonds				1,856,251,163		68.04	%
Total United States				1,856,251,163		68.04	%
Total Investments in Fixed Income Securities			$	1,856,251,163		68.04	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2014:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,173,381,831)
United States
Government Bonds (cost $2,173,381,831)
U.S. Treasury 0.25% – 4.00% due 01/15/15 – 1/31/17	$	2,165,000,000	$	2,173,381,831		66.81	%
Total Government Bonds				2,173,381,831		66.81	%
Total United States				2,173,381,831		66.81	%
Total Investments in Fixed Income Securities			$	2,173,381,831		66.81	%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of June 30, 2015 and December 31, 2014:

	June 30, 2015		December 31, 2014
Assets
Level 2:
Fixed income securities
Government Bonds	$	1,856,251,163	$	2,173,381,831
Total fixed income securities		1,856,251,163		2,173,381,831
Total Level 2		1,856,251,163		2,173,381,831
Total assets	$	1,856,251,163	$	2,173,381,831

50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts

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

A separate Capital Account is maintained for each member with respect to each Class of Units held by such member. The initial balance of each member’s Capital Account is equal to the initial contribution to GAIT with respect to the Class to which such Capital Account relates. Each member’s Capital Account is increased by any additional subscription, and decreased by any redemption by such member of Units of such Class to which the Capital Account relates. All income and expenses of GAIT are allocated among the Capital Accounts of the members in proportion to the balance that each Capital Account bears to the balance of all Capital Accounts as of the beginning of such fiscal period.

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day, as defined in the LLC Agreement. There is no minimum subscription amount.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemptions

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of the last business day of each month upon not less than three business days’ prior written notice to the administrator.

6. Fees and Related Party Transactions

Advisory Fees

For the six months ended June 30, 2015 and 2014 each Class of GAIT other than Class M pays the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

51

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Sponsor Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate
Class 0		0.75	%
Class 2		2.75	%

Incentive Allocation

At the end of each calendar quarter, the Manager will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager. The Incentive Allocation was $2,920,022 and $0 for the six months ended June 30, 2015 and 2014, respectively.

Administrator’s Fee

For the six months ended June 30, 2015 and 2014, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, incurred by GAIT for the six months ended June 30, 2015 and 2014 were $123,175 and $107,782, respectively, of which $19,618 and $17,636 was accrued as of June 30, 2015 and 2014, respectively

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with GAIT.

7. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of GAIT’s revenues and expenses for income tax purposes.

52

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

7. Income Taxes (continued)

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing GAIT’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and GAIT identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in GAIT’s 2015 tax returns. The Manager has evaluated GAIT’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

8. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2014	$	114.03		$	87.43
Net income:
Net investment loss		(0.76	)		(1.05	)
Net gain on investments		1.73			1.35
Net income		0.97			0.30
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net loss:
Net investment loss		(1.01	)		(1.34	)
Net loss on investments		(9.43	)		(7.12	)
Net loss		(10.44	)		(8.46	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

53

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Net investment loss before Incentive Allocation		(0.65	)%		(0.67	)%		(1.15	)%		(1.20	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.65	)%		(0.67	)%		(1.15	)%		(1.20	)%
Total expenses before Incentive Allocation		0.73	%		0.72	%		1.22	%		1.25	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.73	%		0.72	%		1.22	%		1.25	%

The following is the per unit operating performance calculation for the six month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2013	$	127.72		$	98.41
Net loss:
Net investment loss		(1.53	)		(2.08	)
Net loss on investments		(11.19	)		(8.60	)
Net loss		(12.72	)		(10.68	)
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income (loss):
Net investment loss		(2.05	)		(2.74	)
Net gain on investments		2.17			1.82
Net income (loss)		0.12			(0.92	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

54

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights (continued)

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the six month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		1.85	%		(9.96	)%		0.83	%		(10.85	)%
Incentive Allocation		(1.77	)		0.00			(1.64	)		0.00
Total return after Incentive Allocation		0.08	%		(9.96	)%		(0.81	)%		(10.85	)%
Net investment loss before Incentive Allocation		(1.32	)%		(1.29	)%		(2.34	)%		(2.31	)%
Incentive Allocation		(1.70	)		0.00			(1.61	)		0.00
Net investment loss after Incentive Allocation		(3.02	)%		(1.29	)%		(3.95	)%		(2.31	)%
Total expenses before Incentive Allocation		1.46	%		1.40	%		2.48	%		2.41	%
Incentive Allocation		1.70			0.00			1.61			0.00
Total expenses after Incentive Allocation		3.16	%		1.40	%		4.09	%		2.41	%

Total return is calculated for Class 0 and Class 2 units taken as a whole. Total return is calculated as the change in total members’ capital, excluding that of the Managing Member, adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for the Class 0 and Class 2 units taken as a whole and include amounts from GAIT and net investment loss and expenses allocated from Master Funds and investment income from Cash Assets. The computation of such ratios is based on the amount of net investment loss, total expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital of GAIT, excluding that of the Managing Member, for the three and six month periods ended June 30, 2015 and 2014.

9. Subsequent Events

GAIT had subscriptions of approximately $3.1 million and redemptions of approximately $0.7 million from July 1, 2015 through August 14, 2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

55

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

Forward-Looking Statements

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

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

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2014 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2015. This discussion should also be read in conjunction with “Item 1: Financial Statements.” The information contained therein is essential to, and should be read in conjunction with, the following analysis. For the purposes of this filing beginning with Item 2, the term “Fund” shall include the Blended Strategies Portfolio of GAIF I, GAIT and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund’s capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of the equity in their accounts with clearing brokers and OTC counterparties, in each case consisting of cash, open trade equity on derivatives and the net option premium paid or received. In the case of Graham Cash Assets LLC (“Cash Assets”), the assets consist of investments in debt obligations guaranteed by the U.S. federal government, as well as cash and cash equivalents.

For the three months ended June 30, 2015 the Blended Strategies Portfolio’s net asset value decreased by $4,591,138 or -4.8%.  The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $2,485,000 or 2.6% offset by redemptions totaling $594,265 or -0.6% and a net loss of $6,481,873 or -6.8%, for the period.

For the six months ended June 30, 2015 the Blended Strategies Portfolio’s net asset value increased by $1,551,431 or 1.7%.  The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $3,742,000 or 4.2% offset by redemptions totaling $1,912,212 or -2.1% and a net loss of $278,357 or -0.3%, for the period.

For the three months ended June 30, 2014 the Blended Strategies Portfolio’s net asset value decreased by $2,390,979 or -2.8%.  The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $5,268,000 or 6.1% and net income of $653,498 of 0.7% offset by redemptions totaling $8,312,477 or -9.6%, for the period.

For the six months ended June 30, 2014 the Blended Strategies Portfolio’s net asset value decreased by $14,978,692 or -15.1%.  The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $7,959,289 or 8.0% offset by redemptions totaling $12,816,101 or -12.9% and a net loss of $10,121,880 or -10.2%, for the period.

56

(i)  Results of Operations

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

2015 Summary

Three Months Ended June 30, 2015

For the three months ended June 30, 2015, the Blended Strategies Portfolio experienced net trading losses of $5,592,236. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(582,181	)
Base metals		(518,850	)
Energy		(704,162	)
Equities		805,376
Foreign exchange		(2,084,147	)
Long term / Intermediate rates		(1,577,542	)
Precious metals		(466,286	)
Short term rates		(464,444	)
	$	(5,592,236	)

The Blended Strategies Portfolio recorded a net loss for the second quarter of 2015. The portfolio recorded losses from positions in commodity futures, particularly in agriculture/softs, metals, and energy. The portfolio recorded losses in fixed income futures from positions on the long end of the yield curve in the U.S., Australia and Europe. Losses also resulted from the foreign exchange sector, as gains from trading the Japanese yen and New Zealand dollar versus the U.S dollar were offset by losses in the euro, British pound sterling and Australian dollar. Gains in equity index futures, most notably in Asian benchmark indices, offset a portion of the portfolio’s losses for the quarter.

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

For the three months ended June 30, 2015, Advisory Fees increased by $20,055 or 5.2%, Sponsor Fees increased by $37,881 or 13.9%, and Administrator’s Fees increased by $2,325 or 7.7% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio when compared to the same period in 2014. During the same period, interest income increased by $21,785 or 45.1%. Interest was earned on free cash at an average annualized yield of 0.34% for the three months ended June 30, 2015 compared to 0.25% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended June 30, 2015 the portfolio experienced net trading losses. For the three months ended June 30, 2014 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

57

Six Months Ended June 30, 2015

For the six months ended June 30, 2015, the Blended Strategies Portfolio experienced net trading gains of $3,038,738. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(397,908	)
Base metals		(614,617	)
Energy		(1,112,861	)
Equities		3,338,333
Foreign exchange		3,231,969
Long term / Intermediate rates		(474,203	)
Precious metals		(1,034,534	)
Short term rates		102,559
	$	3,038,738

The Blended Strategies Portfolio posted a net gain for the first half of 2015. The portfolio recorded gains from foreign exchange, most notably from a long bias in the U.S. dollar versus the euro and commodity currencies. Gains also resulted from positions in equity index futures, particularly in Asia and Europe as equities rallied during the first half of the year. Profits in European fixed income futures were offset by losses in the U.S. The portfolio recorded losses in metals, energy and agricultural commodities, which offset a portion of the gains.

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

For the six months ended June 30, 2015, Advisory Fees increased by $38,371 or 4.9%, Sponsor Fees increased by $86,635 or 16.0%, and Administrator’s Fees increased by $5,434 or 9.1% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio as compared to the same period in 2014. During the same period, interest income increased by $32,014 or 32.9%. Interest was earned on free cash at an average annualized yield of 0.32% for the six months ended June 30, 2015 compared to 0.25% for the same period in 2014.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2015 the Incentive Allocation increased by $1,550,824. This was the result of a higher net gain before incentive allocation for the six months ended June 30, 2015 compared to the six months ended June 30, 2014. For the six months ended June 30, 2014, the portfolio had not yet recovered previous losses. As a result, there was no Incentive Allocation for that period.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of June 30, 2015 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	69.1	%
Base metals	14.8	%
Energy	6.9	%
Equities	22.0	%
Foreign exchange	14.2	%
Long term / Intermediate rates	(12.1	)%
Precious metals	(11.7	)%
Short term rates	(3.2	)%
	100.0	%

58

2014 Summary

Three Months Ended June 30, 2014

For the three months ended June 30, 2014, the Blended Strategies Portfolio experienced net trading gains of $1,453,921. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(105,551	)
Base metals		(424,218	)
Energy		278,190
Equities		1,217,786
Foreign exchange		(1,495,909	)
Long term / Intermediate rates		2,016,285
Precious metals		(345,118	)
Short term rates		312,456
	$	1,453,921

The Blended Strategies Portfolio recorded a net gain for the second quarter of 2014. The portfolio recorded gains primarily from positions in fixed income futures, particularly in Europe and, to a lesser extent, Australia and Canada. Positions in global equity index futures also led to gains, most notably in the U.S. and Europe. Smaller gains resulted from positions in energy, including crude oil and gasoline. The portfolio experienced losses in foreign exchange, primarily from trading the Japanese yen, euro and Canadian dollar versus the U.S. dollar. Smaller losses resulted from positions in metals and agricultural commodities.

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

For the three months ended June 30, 2014, Advisory Fees decreased by $248,097 or -39.0%, Sponsor Fees decreased by $127,266 or -31.8%, and Administrator’s Fees decreased by $17,373 or -36.7% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions offset by redemptions and a net loss for the period. During the same period, interest income decreased by $16,320 or -25.2%. Interest was earned on free cash at an average annualized yield of 0.25% for the three months ended June 30, 2014 compared to 0.23% for the same period in 2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended June 30, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

Six Months Ended June 30, 2014

For the six months ended June 30, 2014, the Blended Strategies Portfolio experienced net trading losses of $8,499,726. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(1,655,632	)
Base metals		(463,132	)
Energy		(1,079,074	)
Equities		(1,818,482	)
Foreign exchange		(3,860,021	)
Long term / Intermediate rates		1,422,841
Precious metals		(1,147,465	)
Short term rates		101,239
	$	(8,499,726	)

59

The Blended Strategies Portfolio posted a net loss for the first two quarters of 2014. Losses in foreign exchange resulted primarily from trading the Japanese yen versus the U.S. dollar as well as trading various European currency crosses. Losses also resulted from trading commodities, including coffee, silver, gold, copper, crude oil and heating oil. Smaller losses resulted from positions in global equity index futures, particularly in Asia. The portfolio profited from positions in European fixed income futures, which offset a portion of the losses during the period.

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

For the six months ended June 30, 2014, Advisory Fees decreased by $551,350 or -41.3%, Sponsor Fees decreased by $282,209 or -34.2%, and Administrator’s Fees decreased by $39,754 or -40.0% in the Fund over the corresponding period of the preceding year. These decreases are all attributable to lower net assets of the portfolio resulting from subscriptions offset by redemptions and a net loss for the period. During the same period, interest income decreased by $45,570 or -31.9%. Interest was earned on free cash at an average annualized yield of 0.25% for the six months ended June 30, 2014 compared to 0.23% for the same period in 2013.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the six months ended June 30, 2014 and 2013 the portfolio has not yet recovered previous losses. As a result, there was no Incentive Allocation for those periods.

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of June 30, 2014 based on the fair value of the underlying assets and liabilities in each master fund including both long and short positions. Positive percentages represent net assets whereas negative percentages represent a net liability.

Agriculture / Softs	(6.6	)%
Base metals	(4.8	)%
Energy	13.6	%
Equities	(2.0	)%
Foreign exchange	56.1	%
Long term / Intermediate rates	20.9	%
Precious metals	(1.1	)%
Short term rates	23.9	%
	100.0	%

Variables Affecting Performance

The Fund’s performance is affected by net profitability resulting from the trading operations of the Master Funds, the fees charged by the Fund, and interest income earned on cash and cash equivalents. The Master Funds acquire and liquidate long and short positions in futures contracts, forwards contracts, spot currency contracts and associated derivative instruments such as options and swaps. These instruments are carried at fair value, which is heavily influenced by a wide variety of factors including but not limited to, the level and volatility of exchange rates, interest rates, equity prices, and commodity prices as well as global macro political events. These factors generate market movements affecting the fair value of these instruments and in turn the net gains and losses allocated from the Master Funds.

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

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

60

(ii) Liquidity

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

A portion of the Fund’s assets is generally held as cash or cash equivalents, which are used to margin the Fund’s investments.  It is expected that the average margin the Fund will be required to post to support the Fund’s trading may range between 10% and 30% of the Fund’s total assets, which will be segregated or secured by the futures brokers in accordance with the CEA and with CFTC regulations or be maintained on deposit with over-the-counter counterparties. In exceptional market conditions, this amount could increase. The Master Funds are subject to margin calls on a constant daily and intra-day basis, whether in connection with initiating new investment positions or as a result of changes in the value of current investment positions. These margin requirements are met through the posting of additional margin with the applicable futures or FX clearing broker, on an almost daily basis. The Manager generally expresses its margin requirements for the portfolios in terms of the aggregate of the margin requirements for the underlying strategies plus the net option premium costs for the underlying strategies. The following table shows these amounts as of the date indicated:

	Blended Strategies Portfolio
June 30, 2015		10.15	%
December 31, 2014		12.51	%
June 30, 2014		14.74	%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through June 30, 2015, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

(iii) Capital Resources

The Fund raises additional capital through the sale of Units and capital is increased through trading profits (if any) and interest income. The Fund may borrow money from brokers or their affiliates and other lenders. Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month. The amount of capital raised for the Fund should not have a significant impact on its operations, as the Fund has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and expenses.

The Fund participates in the speculative trading of commodity futures contracts, substantially all of which are subject to margin requirements. The minimum amount of margin required for each contract is set from time to time in response to various market factors by the respective exchanges. Further, the Fund’s brokers may require margin in excess of minimum exchange requirements. The Fund bears the risk of financial failure of the brokers through which it clears trades and maintains margin in respect of any such trades and of its counterparties for its foreign exchange and swap trades with whom it also maintains margin.

(iv) Critical Accounting Policies

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

61

Use of Estimates – The Fund’s financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars except where noted. The preparation of the financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 2 of the financial statements.

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

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

The Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized gains and losses from these instruments are recorded based on changes in their fair value. Realized gains and losses are recorded when the positions are closed. All unrealized and realized gains and losses related to derivative financial instruments are included in net gain (loss) on investments in the Master Funds’ statements of operations.

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

Cash Assets – GAIT invests a portion of its excess liquidity in Cash Assets, an entity for which the Manager is also the sole investment advisor. The financial information of Cash Assets is included in the notes to the Financial Statements of GAIT.

Income Taxes – No provision for income taxes has been made in the Fund’s financial statements, as each member is responsible for reporting income or loss based upon the member’s respective share of the Fund’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

(v)           Off-Balance Sheet Arrangements

The Fund does not engage in off-balance sheet arrangements with other entities.

62

Item 3. Quantitative and Qualitative Disclosures about Market Risk

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

63

Item 4. Controls and Procedures

Evaluation of Disclosure Control and Procedures

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

Based on their evaluation as of June 30, 2015, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Manager’s disclosure controls and procedures with respect to the Fund (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal controls over financial reporting during the second quarter of 2015 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal controls over financial reporting.

64

PART II. OTHER INFORMATION

Item 1. Legal Proceedings

None

Item 1A.  Risk Factors

Not Required

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

For the three months ended June 30, 2015, the Fund issued 17,001.050 Units in exchange for $2,485,000 with respect to the Blended Strategies Portfolio, in each case in a transaction that was not registered under the Securities Act of 1933, as amended (the “Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(a)(2) of the Act and Rule 506 of Regulation D promulgated thereunder. All purchasers of the Units were accredited investors, as that term is defined under Rule 501 of Regulation D.

The following chart sets forth the purchases of Units of the Fund.

Period (as of)	Blended Strategies Portfolio Total Number of Units Issued
April 1, 2015		11,393.375
May 1, 2015		3,904.140
June 1, 2015		1,703.535

Issuer Purchases of Units

Date	(a)Total Number of Units Purchased1		(b)Average Price Paid per Unit		(c)Total Number of Units Purchased as Part of Publicly Announced Plans  or Programs			(d)Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs
April 30, 2015		1,783.290		154.05		N/	A		N/	A
May 31, 2015		96.162		155.99		N/	A		N/	A
June 30, 2015		2,703.308		112.66		N/	A		N/	A
TOTAL		4,582.760		129.68		N/	A		N/	A

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

Item 3. Defaults Upon Senior Securities – None

Item 4. Mine Safety Disclosures – None

Item 5. Other Information – None

65

Item 6. Exhibits

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

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

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

*** Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010

**** Filed herewith

66

SIGNATURES

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

Dated:  August 14, 2015	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
	BLENDED STRATEGIES PORTFOLIO
	By:	GRAHAM CAPITAL MANAGEMENT, L.P. its Manager

By:  /s/ Paul Sedlack

Paul Sedlack, Principal Executive Officer

By:  /s/ Brian Douglas

Brian Douglas, Chief Financial Officer

67

EX-31.1

Exhibit 31.1

CERTIFICATION

I, Paul Sedlack, certify that:

1. I have reviewed this quarterly report on Form 10-Q of Graham Alternative Investment Fund I LLC Blended Strategies Portfolio (the “registrant”);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15(d)-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.  The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 14, 2015

/s/ Paul Sedlack

Paul Sedlack

Principal Executive Officer

Graham Capital Management L.P.

EX-31.2

Exhibit 31.2

CERTIFICATION

I, Brian Douglas, certify that:

1.  I have reviewed this quarterly report on Form 10-Q of Graham Alternative Investment Fund I LLC Blended Strategies Portfolio (the “registrant”);

 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

 4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15(d)-15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 5. The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 14, 2015

/s/ Brian Douglas

Brian Douglas

Chief Financial Officer

Graham Capital Management L.P.

EX-32.1

Exhibit 32.1

CERTIFICATION

PURSUANT TO

SECTION 1350 OF CHAPTER 63 OF TITLE 18 OF THE UNITED STATES CODE

I, Brian Douglas, Chief Financial Officer of Graham Capital Management L.P. and I, Paul Sedlack, Chief Operating Officer of Graham Capital Management L.P., certify, pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, that:

1. The Quarterly Report on Form 10-Q of Graham Alternative Investment Fund I LLC Blended Strategies Portfolio (the “registrant”) for the period ended June 30, 2015 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the registrant.

Date: August 14, 2015

/s/ Brian Douglas

Brian Douglas

Chief Financial Officer

Graham Capital Management L.P.

/s/ Paul Sedlack

Paul Sedlack

Principal Executive Officer

Graham Capital Management L.P.

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Capital Accounts

6 Months Ended

Jun. 30, 2015

Capital Accounts [Abstract]

Capital Accounts

3. Capital Accounts

The Fund offers two classes (each a “Class”) of Units (collectively the “Units”), being Class 0 Units and Class 2 Units. The Fund may issue additional Classes in the future subject to different fees, expenses or other terms, or to invest in other investment programs or combinations of investment programs managed by the Manager.

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

Subscriptions

Units may be purchased at a price equal to the Net Asset Value per Unit of the relevant Class as of the immediately preceding Valuation Day as defined in the LLC Agreement. The minimum initial subscription from each investor in each Class is $10,000. Members may subscribe for additional Units in a minimum amount of not less than $5,000.

Units are available for subscription as of the first business day of each month upon written notice of at least three business days prior to the last business day of the preceding month.

Redemption of Units

Units are not subject to any minimum holding period. Members may redeem Units at the Net Asset Value thereof as of each Valuation Day, as defined in the LLC Agreement, upon not less than three business days’ prior written notice to the administrator. A partial redemption request for an amount less than $10,000 will not be accepted, nor will a redemption request be accepted to the extent that it would result in an investor owning less than $25,000. The redemption proceeds will normally be remitted within 15 days after the Valuation Day, without interest for the period from the Valuation Day to the payment date.

Redemption Fees

Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee. Redemption fees are payable to the Manager upon redemption of Units from the proceeds of such redemption. There were no redemption fees paid to the Manager for the six months ended June 30, 2015 and 2014.

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Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2015

Summary of Significant Accounting Policies [Abstract]

Summary of Significant Accounting Policies

2. Summary of Significant Accounting Policies

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investment in Graham Alternative Investment Trading LLC

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

GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At June 30, 2015 and December 31, 2014, the Fund owned 53.43% and 52.82%, respectively of GAIT.

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.

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

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

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

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

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

In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2015 or the year ended December 31, 2014 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Recent Accounting Pronouncements

In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due.Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.

In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.

Indemnifications

In the normal course of business, the Master Funds, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2015 and December 31, 2014 no accruals have been recorded by the Fund for indemnifications.

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Statements of Financial Condition (Unaudited) - USD ($)	Jun. 30, 2015	Dec. 31, 2014
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$ 90,737,365	$ 89,185,934
Redemption receivable from Graham Alternative Investment Trading LLC	304,542	1,790,083
Total assets	91,041,907	90,976,017
Liabilities:
Accrued redemptions	304,542	1,790,083
Total liabilities	304,542	1,790,083
Members' capital:
Members' capital	90,737,365	89,185,934
Total liabilities and members' capital	91,041,907	90,976,017
Class 0 Units [Member]
Members' capital:
Members' capital	64,294,718	63,076,949
Class 2 Units [Member]
Members' capital:
Members' capital	$ 26,442,647	$ 26,108,985

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Statements of Cash Flows (Unaudited) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Cash flows provided by operating activities
Net loss	$ (6,481,873)	$ 653,498	$ (278,357)	$ (10,121,880)
Adjustments to reconcile net loss to net cash (used in) provided by operating activities:
Net cash (used in) provided by operating activities			(344,247)	5,170,352
Cash flows provided by (used in) financing activities
Subscriptions			3,742,000	7,959,289
Redemptions			(3,397,753)	(13,129,641)
Net cash provided by (used in) financing activities			344,247	(5,170,352)
Net change in cash and cash equivalents			0	0
Cash and cash equivalents, beginning of period			0	0
Cash and cash equivalents, end of period	$ 0	$ 0	0	0
Graham Alternative Investment Trading LLC [Member]
Cash flows provided by operating activities
Net loss			278,357	10,121,880
Adjustments to reconcile net loss to net cash (used in) provided by operating activities:
Proceeds from sale of investments in Graham Alternative Investment Trading LLC			3,397,753	13,129,641
Investments in Graham Alternative Investment Trading LLC			$ (3,742,000)	$ (7,959,289)

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Subsequent Events (Details) - Subsequent Event [Member] $ in Millions	1 Months Ended
	Aug. 14, 2015 USD ($)
Subsequent event [Line Items]
Fund subscriptions	$ 1.8
Fund redemptions	$ 0.6

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Organization and Business

6 Months Ended

Jun. 30, 2015

Organization and Business [Abstract]

Organization and Business

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund I LLC (“GAIF I”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. GAIF I has two other series in addition to the Fund, Systematic Strategies Portfolio and Discretionary Strategies Portfolio. GAIF I commenced the liquidation process for the Discretionary Strategies Portfolio on July 31, 2014. Prior to March 28, 2013, GAIF I was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF I is registered as a commodity pool with the U.S. Commodity Futures Trading Commission (“CFTC”).

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

The Fund offers investors Class 0 and Class 2 units. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware Limited Liability Company which was formed on May 18, 2006 and commenced operations on August 1, 2006. GAIT invests in various master trading vehicles (“Master Funds”), all of which are managed by Graham Capital Management, L.P. (the “Advisor” or “Manager”). The Manager is the manager and the sole investment advisor of GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. CFTC and is a member of the National Futures Association. The Manager is also registered as a Registered Investment Advisor with the Securities and Exchange Commission. The Fund’s Units are registered under the Securities Exchange Act of 1934.

The investment objective of the Fund is to achieve long-term capital appreciation through professionally managed trading in both U.S. and foreign markets primarily in futures contracts, forwards contracts, spot currency contracts, and associated derivative instruments, such as options and swaps, through its investment in GAIT, which in turn invests in various Master Funds. The Master Funds seek to profit from opportunities in the global financial markets, including interest rate futures, foreign exchange, global stock indices and energy, metals and agricultural futures, as professionally managed multi-strategy investment vehicles. Each of the investment programs consists of multiple trading strategies of the Manager, which the Manager has combined in an effort to diversify the Fund’s investment exposure and to make the Fund’s performance returns less volatile and more consistently profitable.

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

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

The performance of the Fund is directly affected by the performance of GAIT; therefore these financial statements should be read in conjunction with the attached financial statements of GAIT.

Duties of the Manager

Subject to the terms and conditions of the LLC Agreement, the Manager has complete and exclusive responsibility for managing and administering the affairs of the Fund and for directing the investment and reinvestment of the assets of the Fund and GAIT.

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Statements of Financial Condition (Unaudited) (Parenthetical)	Jun. 30, 2015 $ / shares shares	Dec. 31, 2014 $ / shares shares
Class 0 Units [Member]
Members' capital:
Capital units, issued (in units)	430,080.848	422,282.349
Capital units, outstanding (in units)	430,080.848	422,282.349
Capital units, value (in dollars per unit) | $ / shares	149.49	149.37
Class 2 Units [Member]
Members' capital:
Capital units, issued (in units)	234,721.571	229,870.220
Capital units, outstanding (in units)	234,721.571	229,870.220
Capital units, value (in dollars per unit) | $ / shares	112.66	113.58

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Organization and Business (Details)	6 Months Ended
	Jun. 30, 2015 Investment
Organization and Business [Abstract]
Other series owned by entity	2

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Document and Entity Information - shares	6 Months Ended
	Jun. 30, 2015	Aug. 01, 2015
Document and Entity Information [Abstract]
Entity Registrant Name	GRAHAM ALTERNATIVE INVESTMENT FUND I LLC
Entity Central Index Key	0001461219
Current Fiscal Year End Date	--12-31
Entity Well-known Seasoned Issuer	No
Entity Voluntary Filers	No
Entity Current Reporting Status	Yes
Entity Filer Category	Smaller Reporting Company
Entity Common Stock, Shares Outstanding		676,266.652
Document Fiscal Year Focus	2015
Document Fiscal Period Focus	Q2
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Jun. 30, 2015

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Summary of Significant Accounting Policies (Details)	Jun. 30, 2015	Dec. 31, 2014
Graham Alternative Investment Fund LLC [Member]
Schedule of Equity Method Investments [Line Items]
Ownership percentage (in hundredths)	53.43%	52.82%

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Statements of Operations (Unaudited) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
Net realized gain (loss) on investments	$ (3,006,604)	$ (16,440)	$ 7,873,404	$ (6,048,650)
Net increase (decrease) in unrealized appreciation on investments	(2,585,632)	1,470,361	(4,834,666)	(2,451,076)
Brokerage commissions and fees	(145,457)	(118,873)	(262,251)	(256,948)
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC	(5,737,693)	1,335,048	2,776,487	(8,756,674)
Investment income
Interest income	70,137	48,352	129,189	97,175
Expenses
Advisory fees	407,321	387,266	822,646	784,275
Sponsor fees	311,339	273,458	628,807	542,172
Professional fees and other	63,319	39,165	116,590	76,202
Administrator's fees	32,338	30,013	65,166	59,732
Incentive allocation	0	0	1,550,824	0
Total expenses	814,317	729,902	3,184,033	1,462,381
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC	(744,180)	(681,550)	(3,054,844)	(1,365,206)
Net income (loss)	$ (6,481,873)	$ 653,498	$ (278,357)	$ (10,121,880)

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Financial Highlights

6 Months Ended

Jun. 30, 2015

Financial Highlights [Abstract]

Financial Highlights

6. Financial Highlights

The following is the per unit operating performance calculation for the three month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2014	$	114.03		$	87.43
Net income:
Net investment loss		(0.76	)		(1.06	)
Net gain on investments		1.73			1.36
Net income		0.97			0.30
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net loss:
Net investment loss		(1.01	)		(1.34	)
Net loss on investments		(9.43	)		(7.12	)
Net loss		(10.44	)		(8.46	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Net investment loss before Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Total expenses before Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%

The following is the per unit operating performance calculation for the six month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2013	$	127.72		$	98.41
Net loss:
Net investment loss		(1.52	)		(2.10	)
Net loss on investments		(11.20	)		(8.58	)
Net loss		(12.72	)		(10.68	)
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income (loss):
Net investment loss		(2.05	)		(2.74	)
Net gain on investments		2.17			1.82
Net income (loss)		0.12			(0.92	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the six month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		1.82	%		(9.96	)%		0.82	%		(10.85	)%
Incentive Allocation		(1.74	)		0.00			(1.63	)		0.00
Total return after Incentive Allocation		0.08	%		(9.96	)%		(0.81	)%		(10.85	)%
Net investment loss before Incentive Allocation		(1.32	)%		(1.29	)%		(2.34	)%		(2.31	)%
Incentive Allocation		(1.70	)		0.00			(1.60	)		0.00
Net investment loss after Incentive Allocation		(3.02	)%		(1.29	)%		(3.94	)%		(2.31	)%
Total expenses before Incentive Allocation		1.46	%		1.40	%		2.48	%		2.41	%
Incentive Allocation		1.70			0.00			1.60			0.00
Total expenses after Incentive Allocation		3.16	%		1.40	%		4.08	%		2.41	%

Total return is calculated for Class 0 and Class 2 Units taken as a whole. Total return is calculated as the change in total members’ capital adjusted for subscriptions or redemptions during the period. An individual member’s return may vary from these returns based on the timing of capital transactions and the applicability of Advisory Fees, Sponsor Fees, Administrator’s Fees, and the Incentive Allocation. The net investment loss and total expense ratios (including Incentive Allocation) are calculated for Class 0 and Class 2 Units taken as a whole and include net amounts allocated from GAIT. The computation of such ratios is based on the amount of net investment loss, expenses and Incentive Allocation. Net investment loss and total expense ratios are computed based upon the weighted average of members’ capital for Class 0 and Class 2 Units of the Fund for the three and six month periods ended June 30, 2015 and 2014.

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Income Taxes

6 Months Ended

Jun. 30, 2015

Income Taxes [Abstract]

Income Taxes

5. Income Taxes

No provision for income taxes has been made in the accompanying financial statements, as members are individually responsible for reporting income or loss based upon their respective share of the Fund’s revenues and expenses for income tax purposes.

U.S. GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. U.S. GAAP requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet a more-likely-than-not threshold would be recorded as a tax expense in the current year and the Fund identifies its major tax jurisdictions as U.S. Federal and Connecticut State. The Manager has evaluated the Fund’s tax positions and has concluded that there are no significant tax positions requiring recognition, measurement or disclosure in the financial statements for open tax years 2011 through 2014 or expected to be taken in the Fund’s 2015 tax returns. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

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Capital Accounts (Details)	6 Months Ended
	Jun. 30, 2015 USD ($) Class	Jun. 30, 2014 USD ($)
Capital Accounts [Abstract]
Number of classes of units offered by Fund | Class	2
Minimum initial subscription amount	$ 10,000
Minimum cost for additional units	$ 5,000
Minimum notice period for units subscription	3 days
Minimum notice period for units redemption	3 days
Minimum amount for partial redemption request	$ 10,000
Minimum holding post partial redemption	$ 25,000
Period of remittance for redemption proceeds	15 days
Capital unit redemptions [Line Items]
Redemption and conversion policies	Class 2 Units are subject to a redemption fee equal to 2% of their Net Asset Value if redeemed within six months from their subscription date and a redemption fee equal to 1% of their Net Asset Value if redeemed more than six and less than twelve months from their subscription date. Class 0 Units are not subject to a redemption fee.
Fees paid to manager for redemptions	$ 0	$ 0
Class 2 Units [Member]
Capital unit redemptions [Line Items]
Maximum applicable redemption fee - holding period, description	within six months from their subscription date
Minimum applicable redemption fee - holding period, description	more than six and less than twelve months from their subscription date
Class 2 Units [Member] | Minimum [Member]
Capital unit redemptions [Line Items]
Redemption fee (in hundredths)	1.00%
Class 2 Units [Member] | Maximum [Member]
Capital unit redemptions [Line Items]
Redemption fee (in hundredths)	2.00%

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Fees and Related Party Transactions (Tables)

6 Months Ended

Jun. 30, 2015

Fees and Related Party Transactions [Abstract]

Sponsor Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate
Class 0	0.75%
Class 2	2.75%

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Subsequent Events

6 Months Ended

Jun. 30, 2015

Subsequent Events [Abstract]

Subsequent Events

7. Subsequent Events

The Fund had subscriptions of approximately $1.8 million and redemptions of approximately $0.6 million from July 1, 2015 through August 14, 2015, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

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Summary of Significant Accounting Policies (Policies)

6 Months Ended

Jun. 30, 2015

Summary of Significant Accounting Policies [Abstract]

Basis of Accounting

These financial statements have been prepared in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and all amounts are stated in U.S. dollars. The Fund is an investment company and applies specialized accounting guidance as outlined in Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investment in Graham Alternative Investment Trading LLC

Investment in Graham Alternative Investment Trading LLC

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

GAIT charges its investors, including the Fund, an advisory fee, sponsor fee, and incentive allocation, all of which are described in detail in Note 4. The Fund does not charge any additional fees; however each investor in the Fund indirectly bears a portion of the advisory fee, sponsor fee, and incentive allocation charged by GAIT.

At June 30, 2015 and December 31, 2014, the Fund owned 53.43% and 52.82%, respectively of GAIT.

Fair Value

Fair Value

The fair value of the assets and liabilities of the Fund and GAIT, which qualify as financial instruments under U.S. GAAP, approximates the carrying amounts presented in the statements of financial condition. Changes in these carrying amounts are included in the statements of operations.

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

The fair value hierarchy categorizes asset and liability positions into one of three levels, as summarized below, based on the inputs and assumptions used in deriving fair value.

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

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

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

In accordance with this hierarchy, the Fund’s investment in GAIT has been classified as a Level 2 valuation. There were no Level 3 assets or liabilities held at any point during the six months ended June 30, 2015 or the year ended December 31, 2014 by the Fund, GAIT, or the Master Funds, and there were no transfers between levels during those periods. Transfers between levels, if any, are recognized on the actual date of the event or change in circumstances that cause the transfer.

Recent Accounting Pronouncement

Recent Accounting Pronouncements

In August 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-15 – Presentation of Financial Statements – Going Concern (Subtopic 205-40). The pronouncement determines management’s responsibility regarding the assessment of the Fund’s ability to continue as a going concern even if the Fund’s liquidation is not imminent. Under this guidance, during each period in which financial statements are prepared, management will need to evaluate whether there are conditions or events that, in the aggregate, raise substantial doubt about the Fund’s ability to continue as a going concern within one year after the date the financial statements are issued. Substantial doubt would exist if conditions or events indicate that the Fund will be unable to meet its obligations as they become due.Accounting Standards Update 2014-15 is effective for annual periods ending after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact, if any, that this pronouncement will have on the disclosures within the financial statements.

In May 2015, the Financial Accounting Standards Board issued Accounting Standards Update 2015-07 – Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (Topic 820). The pronouncement removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share (or its equivalent) practical expedient. Additionally, the pronouncement also removes the requirement to make certain disclosures for all investments that are eligible to be measured at fair value using the net asset value per share practical expedient. Accounting Standards Update 2015-07 is effective for fiscal years beginning after December 15, 2016, however early adoption is permitted. The Manager is currently assessing the impact that this pronouncement will have on the financial statements.

Indemnifications

Indemnifications

In the normal course of business, the Master Funds, GAIT, Graham Cash Assets LLC (“Cash Assets”), and the Fund enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. The Fund’s maximum exposure under these arrangements is unknown; however, the Fund has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At June 30, 2015 and December 31, 2014 no accruals have been recorded by the Fund for indemnifications.

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Financial Highlights (Tables)

6 Months Ended

Jun. 30, 2015

Financial Highlights [Abstract]

Unit Operating Performance

The following is the per unit operating performance calculation for the three month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, March 31, 2014	$	114.03		$	87.43
Net income:
Net investment loss		(0.76	)		(1.06	)
Net gain on investments		1.73			1.36
Net income		0.97			0.30
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net loss:
Net investment loss		(1.01	)		(1.34	)
Net loss on investments		(9.43	)		(7.12	)
Net loss		(10.44	)		(8.46	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

The following is the per unit operating performance calculation for the six month periods ended June 30, 2015 and 2014:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2013	$	127.72		$	98.41
Net loss:
Net investment loss		(1.52	)		(2.10	)
Net loss on investments		(11.20	)		(8.58	)
Net loss		(12.72	)		(10.68	)
Net asset value per unit, June 30, 2014	$	115.00		$	87.73
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income (loss):
Net investment loss		(2.05	)		(2.74	)
Net gain on investments		2.17			1.82
Net income (loss)		0.12			(0.92	)
Net asset value per unit, June 30, 2015	$	149.49		$	112.66

Ratios to Average Members' Capital and Total Return

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total return after Incentive Allocation		(6.52	)%		0.85	%		(6.99	)%		0.35	%
Net investment loss before Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Incentive Allocation		0.00			0.00			0.00			0.00
Net investment loss after Incentive Allocation		(0.65	)%		(0.66	)%		(1.15	)%		(1.21	)%
Total expenses before Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%
Incentive Allocation		0.00			0.00			0.00			0.00
Total expenses after Incentive Allocation		0.72	%		0.72	%		1.22	%		1.26	%

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the six month periods ended June 30, 2015 and 2014:

	Class 0						Class 2
	2015			2014			2015			2014
Total return before Incentive Allocation		1.82	%		(9.96	)%		0.82	%		(10.85	)%
Incentive Allocation		(1.74	)		0.00			(1.63	)		0.00
Total return after Incentive Allocation		0.08	%		(9.96	)%		(0.81	)%		(10.85	)%
Net investment loss before Incentive Allocation		(1.32	)%		(1.29	)%		(2.34	)%		(2.31	)%
Incentive Allocation		(1.70	)		0.00			(1.60	)		0.00
Net investment loss after Incentive Allocation		(3.02	)%		(1.29	)%		(3.94	)%		(2.31	)%
Total expenses before Incentive Allocation		1.46	%		1.40	%		2.48	%		2.41	%
Incentive Allocation		1.70			0.00			1.60			0.00
Total expenses after Incentive Allocation		3.16	%		1.40	%		4.08	%		2.41	%

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Financial Highlights (Details) - $ / shares	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Class 0 Units [Member]
Per unit operating performance [Abstract]
Net asset value per unit, beginning of period (in dollars per unit)	$ 159.93	$ 114.03	$ 149.37	$ 127.72
Net income (loss) [Abstract]
Net investment loss (in dollars per unit)	(1.01)	(0.76)	(2.05)	(1.52)
Net gain (loss) on investments (in dollars per unit)	(9.43)	1.73	2.17	(11.20)
Net income (loss) (in dollars per unit)	(10.44)	0.97	0.12	(12.72)
Net asset value per unit, end of period (in dollars per unit)	$ 149.49	$ 115.00	$ 149.49	$ 115.00
Ratios to average members capital and total return [Abstract]
Total return before Incentive Allocation (in hundredths)	(6.52%)	0.85%	1.82%	(9.96%)
Incentive Allocation (in hundredths)	0.00%	0.00%	(1.74%)	0.00%
Total return after Incentive Allocation (in hundredths)	(6.52%)	0.85%	0.08%	(9.96%)
Net investment loss before Incentive Allocation (in hundredths)	(0.65%)	(0.66%)	(1.32%)	(1.29%)
Incentive Allocation (in hundredths)	0.00%	0.00%	(1.70%)	0.00%
Net investment loss after Incentive Allocation (in hundredths)	(0.65%)	(0.66%)	(3.02%)	(1.29%)
Total expenses before Incentive Allocation (in hundredths)	0.72%	0.72%	1.46%	1.40%
Incentive Allocation (in hundredths)	0.00%	0.00%	1.70%	0.00%
Total expenses after Incentive Allocation (in hundredths)	0.72%	0.72%	3.16%	1.40%
Class 2 Units [Member]
Per unit operating performance [Abstract]
Net asset value per unit, beginning of period (in dollars per unit)	$ 121.12	$ 87.43	$ 113.58	$ 98.41
Net income (loss) [Abstract]
Net investment loss (in dollars per unit)	(1.34)	(1.06)	(2.74)	(2.10)
Net gain (loss) on investments (in dollars per unit)	(7.12)	1.36	1.82	(8.58)
Net income (loss) (in dollars per unit)	(8.46)	0.30	(0.92)	(10.68)
Net asset value per unit, end of period (in dollars per unit)	$ 112.66	$ 87.73	$ 112.66	$ 87.73
Ratios to average members capital and total return [Abstract]
Total return before Incentive Allocation (in hundredths)	(6.99%)	0.35%	0.82%	(10.85%)
Incentive Allocation (in hundredths)	0.00%	0.00%	(1.63%)	0.00%
Total return after Incentive Allocation (in hundredths)	(6.99%)	0.35%	(0.81%)	(10.85%)
Net investment loss before Incentive Allocation (in hundredths)	(1.15%)	(1.21%)	(2.34%)	(2.31%)
Incentive Allocation (in hundredths)	0.00%	0.00%	(1.60%)	0.00%
Net investment loss after Incentive Allocation (in hundredths)	(1.15%)	(1.21%)	(3.94%)	(2.31%)
Total expenses before Incentive Allocation (in hundredths)	1.22%	1.26%	2.48%	2.41%
Incentive Allocation (in hundredths)	0.00%	0.00%	1.60%	0.00%
Total expenses after Incentive Allocation (in hundredths)	1.22%	1.26%	4.08%	2.41%

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Statements of Changes in Members' Capital (Unaudited) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Class 0 Units [Member]
Increase (Decrease) in Partners' Capital [Roll Forward]
Members' capital, beginning			$ 63,076,949	$ 77,340,803
Members' capital, beginning (in units)			422,282.349	605,548.066
Subscriptions			$ 2,372,000	$ 2,795,079
Subscriptions (in units)			15,027.939	23,805.913
Redemptions			$ (1,132,890)	$ (9,841,385)
Redemptions (in units)			(7,229.440)	(85,769.031)
Net loss			$ (21,341)	$ (7,780,603)
Members' capital, ending	$ 64,294,718	$ 62,513,894	$ 64,294,718	$ 62,513,894
Members' capital, ending (in units)	430,080.848	543,584.948	430,080.848	543,584.948
Class 2 Units [Member]
Increase (Decrease) in Partners' Capital [Roll Forward]
Members' capital, beginning			$ 26,108,985	$ 21,704,330
Members' capital, beginning (in units)			229,870.220	220,552.039
Subscriptions			$ 1,370,000	$ 5,164,210
Subscriptions (in units)			11,496.267	58,712.079
Redemptions			$ (779,322)	$ (2,974,716)
Redemptions (in units)			(6,644.916)	(33,604.344)
Net loss			$ (257,016)	$ (2,341,277)
Members' capital, ending	$ 26,442,647	$ 21,552,547	$ 26,442,647	$ 21,552,547
Members' capital, ending (in units)	234,721.571	245,659.774	234,721.571	245,659.774
Members' capital, beginning			$ 89,185,934	$ 99,045,133
Subscriptions			3,742,000	7,959,289
Redemptions			(1,912,212)	(12,816,101)
Net loss	$ (6,481,873)	$ 653,498	(278,357)	(10,121,880)
Members' capital, ending	$ 90,737,365	$ 84,066,441	$ 90,737,365	$ 84,066,441

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Fees and Related Party Transactions

6 Months Ended

Jun. 30, 2015

Fees and Related Party Transactions [Abstract]

Fees and Related Party Transactions

4. Fees and Related Party Transactions

Advisory Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager an advisory fee (the “Advisory Fee”) at an aggregate annual rate equal to 1.75% of the Net Asset Value of such Class. The Advisory Fee is payable monthly in arrears calculated as of the last business day of each month and any other date the Manager may permit, in its sole and absolute discretion, as of which any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

For the six months ended June 30, 2015 and 2014, each Class of GAIT other than Class M paid the Manager a sponsor fee (the “Sponsor Fee”) at an annual rate of the Net Asset Value specified in the table below. The Sponsor Fee is payable monthly in arrears calculated as of the last business day of each month in the same manner as the Advisory Fee.

Class	Annual Rate
Class 0	0.75%
Class 2	2.75%

Incentive Allocation

At the end of each calendar quarter, the Manager of GAIT will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made to the Manager. The total Incentive Allocation allocated to the Fund by GAIT for the six months ended June 30, 2015 and 2014 was $1,550,824 and $0, respectively.

Administrator’s Fee

For the six months ended June 30, 2015 and 2014, GAIT paid SEI a monthly administrator’s fee based on GAIT’s net asset value, calculated as of the last business day of each month. In addition, GAIT reimbursed SEI for reasonable out-of-pocket expenses incurred on behalf of GAIT. The total administrator’s fees, including out-of-pocket expenses, allocated to the Fund by GAIT for the six months ended June 30, 2015 and 2014 were $65,166 and $59,732, respectively.

Any portion of any of the above fees, including the Incentive Allocation, may be paid by the Manager to third parties as compensation for selling activities in connection with the Fund.

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Fees and Related Party Transactions (Details) - USD ($)	3 Months Ended		6 Months Ended
	Jun. 30, 2015	Jun. 30, 2014	Jun. 30, 2015	Jun. 30, 2014
Fees and Related Party Transactions [Abstract]
Advisory fees at annual rate of net assets value of fund (in hundredths)			1.75%	1.75%
Sponsor Fees [Abstract]
Percentage of incentive allocation (in hundredths)			20.00%	20.00%
Incentive allocation	$ 0	$ 0	$ 1,550,824	$ 0
Administrative fees [Abstract]
Administrator's fees allocated to the Fund	$ 32,338	$ 30,013	$ 65,166	$ 59,732
Class 0 Units [Member]
Sponsor Fees [Abstract]
Sponsor fees at annual rate of net assets value of fund (in hundredths)			0.75%
Class 2 Units [Member]
Sponsor Fees [Abstract]
Sponsor fees at annual rate of net assets value of fund (in hundredths)			2.75%