UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2016

 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 0-53967

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

BLENDED STRATEGIES PORTFOLIO

(Exact name of registrant as specified in its charter)

Delaware	20-4897149
(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 May 1, 2016, 554,435.729 Units of the Blended Strategies Portfolio were outstanding.

GRAHAM ALTERNATIVE INVESTMENT FUND II LLC

BLENDED STRATEGIES PORTFOLIO

FORM 10-Q

INDEX

			Page Number
PART I - Financial Information:
	Item 1.	Financial Statements:
		Graham Alternative Investment Fund II LLC Blended Strategies Portfolio
		Consolidated Statements of Financial Condition at March 31, 2016 (unaudited) and December 31, 2015 (audited)	1
		Unaudited Consolidated Statements of Operations for the three months ended March 31, 2016 and 2015	2
		Unaudited Consolidated Statements of Changes in Members’ Capital for the three months ended March 31, 2016 and 2015	3
		Unaudited Consolidated Statements of Cash Flows for the three months ended March 31, 2016 and 2015	4
		Notes to Unaudited Consolidated Financial Statements	5
		Graham Alternative Investment Trading LLC
		Statements of Financial Condition at March 31, 2016 (unaudited) and December 31, 2015 (audited)	13
		Condensed Schedules of Investments at March 31, 2016 (unaudited) and December 31, 2015 (audited)	14
		Unaudited Statements of Operations and Incentive Allocation for the three months ended March 31, 2016 and 2015	15
		Unaudited Statements of Changes in Members’ Capital for the three months ended March 31, 2016 and 2015	16
		Unaudited Statements of Cash Flows for the three months ended March 31, 2016 and 2015	17
		Notes to Unaudited Financial Statements	18
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	52
	Item 3.	Quantitative and Qualitative Disclosures about Market Risk	58
	Item 4.	Controls and Procedures	59

PART II - Other Information			60
Exhibits
	EX - 31.1	Certification
	EX - 31.2	Certification
	EX - 32.1	Certification

PART I

Item 1. Financial Statements

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Consolidated Statements of Financial Condition

	March 31, 2016 (Unaudited)		December 31, 2015 (Audited)
Assets
Investment in Graham Alternative Investment Trading LLC, at fair value	$	73,376,498	$	76,385,327
Redemption receivable from Graham Alternative Investment Trading LLC		213,689		1,092,546
Total assets	$	73,590,187	$	77,477,873
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	213,689	$	1,092,546
Total liabilities		213,689		1,092,546
Members’ capital:
Class 0 Units (383,950.356 and 390,743.099 units issued and outstanding at $143.72 and $147.34, respectively)		55,182,434		57,571,360
Class 2 Units (170,543.267 and 171,170.918 units issued and outstanding at $106.68 and $109.91, respectively)		18,194,064		18,813,967
Total members’ capital		73,376,498		76,385,327
Total liabilities and members’ capital	$	73,590,187	$	77,477,873

See accompanying notes.

1

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Operations

	Three Months Ended March 31,
	2016			2015
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC
Net realized (loss) gain on investments	$	(1,816,204	)	$	9,604,138
Net increase (decrease) in unrealized appreciation on investments		543,217			(1,998,606	)
Brokerage commissions and fees		(122,599	)		(103,194	)
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC		(1,395,586	)		7,502,338
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
Investment income
Interest income		83,390			52,187
Expenses
Advisory fees		333,245			367,004
Sponsor fees		236,951			265,241
Administrator’s fees		26,225			29,008
Professional fees and other		14,816			47,091
Incentive allocation		-			1,369,198
Total expenses		611,237			2,077,542
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC		(527,847	)		(2,025,355	)
Net (loss) income	$	(1,923,433	)	$	5,476,983

See accompanying notes.

2

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Changes in Members’ Capital

For the three months ended March 31, 2016 and 2015

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2014		390,307.769		$	58,300,841			178,245.791		$	20,245,406		$	78,546,247
Subscriptions		2,418.637			377,644			2,990.196			356,900			734,544
Redemptions		(676.320	)		(107,801	)		(5,999.518	)		(724,480	)		(832,281	)
Net income		–			4,129,634			–			1,347,349			5,476,983
Members’ capital, March 31, 2015		392,050.086		$	62,700,318			175,236.469		$	21,225,175		$	83,925,493

	Class 0 Units						Class 2 Units
	Units			Capital			Units			Capital			Total Members’ Capital
Members’ capital, December 31, 2015		390,743.099		$	57,571,360			171,170.918		$	18,813,967		$	76,385,327
Subscriptions		1,523.672			225,000			1,099.005			122,000			347,000
Redemptions		(8,316.415	)		(1,242,648	)		(1,726.656	)		(189,748	)		(1,432,396	)
Net loss		–			(1,371,278	)		–			(552,155	)		(1,923,433	)
Members’ capital, March 31, 2016		383,950.356		$	55,182,434			170,543.267		$	18,194,064		$	73,376,498

See accompanying notes.

3

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Unaudited Consolidated Statements of Cash Flows

	Three Months Ended March 31,
	2016			2015
Cash flows provided by operating activities
Net (loss) income	$	(1,923,433	)	$	5,476,983
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC		1,923,433			(5,476,983	)
Proceeds from sale of investments in Graham Alternative Investment Trading LLC		2,311,253			2,924,598
Investments in Graham Alternative Investment Trading LLC		(347,000	)		(734,544	)
Net cash provided by operating activities		1,964,253			2,190,054
Cash flows used in financing activities
Subscriptions		347,000			734,544
Redemptions		(2,311,253	)		(2,924,598	)
Net cash used in financing activities		(1,964,253	)		(2,190,054	)
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 II LLC

Blended Strategies Portfolio

Notes to Unaudited Consolidated Financial Statements

March 31, 2016

1. Organization and Business

The Blended Strategies Portfolio (the “Fund”) is a series of Graham Alternative Investment Fund II LLC (“GAIF II”), a Delaware Series Limited Liability Company established through an amendment to the certificate of formation, effective March 28, 2013. Prior to March 28, 2013, GAIF II was organized as a Delaware Limited Liability Company which was formed on May 16, 2006 and commenced operations on August 1, 2006. GAIF II has one other active series in addition to the Fund, namely the Systematic Strategies Portfolio. GAIF II is registered as a commodity pool and as such is subject to the oversight and jurisdiction of the U.S. Commodity Futures Trading Commission (“CFTC”).

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

The Fund offers members Class 0 and Class 2 units. Graham Alternative Investment Ltd. (“GAI”) is a British Virgin Islands business company which was formed on June 1, 2006 and commenced operations on August 1, 2006. The Fund invests all of its assets dedicated to trading in Graham Alternative Investment Trading LLC (“GAIT”), a Delaware LLC which was formed on May 18, 2006 and commenced operations on August 1, 2006, through an investment in GAI’s Blended Strategies Portfolio. 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 Fund is the sole owner of GAI’s Blended Strategies Portfolio and GAI’s Blended Strategies Portfolio invests all of its assets into GAIT. The Manager is the director of GAI and the sole investment advisor of GAI, GAIT and the Fund. The Manager is registered as a Commodity Pool Operator and Commodity Trading Advisor with the U.S. CFTC and is a member of the National Futures Association. The Manager is also registered with the Securities and Exchange Commission as an investment adviser. The Fund’s Units are registered under 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”).

5

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

1. Organization and Business (continued)

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

Duties of the Manager

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

2. Summary of Significant Accounting Policies

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

Principles of Consolidation

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

Investment in Graham Alternative Investment Trading LLC

The Fund records its investment in GAIT at fair value based upon the Fund’s proportionate share of GAIT’s reported net asset value in accordance with U.S. GAAP. In determining its net asset value, GAIT records its investments in 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 consolidated statements of operations. Purchases and sales of units in GAIT are recorded on a trade date basis. The accounting policies of GAIT are described in its attached financial statements.

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

At March 31, 2016 and December 31, 2015, the Fund owned 47.16% and 46.73%, respectively of GAIT.

6

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Fair Value

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

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

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

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

· Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.

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

The Fund’s investment in GAIT has been valued at net asset value using the practical expedient. According to FASB Accounting Standards Update 2015-07 – Disclosures for Investment in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”), these investments are no longer categorized in the fair value hierarchy. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2016 or the year ended December 31, 2015 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 FASB 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 which is expected to be minimal.

7

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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 March 31, 2016 and December 31, 2015, no accruals have been recorded by the Fund for indemnifications.

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 $10,000. 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.

8

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

3. Capital Accounts (continued)

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. Redemption fees of $1,916 and $0 were paid to the Manager for the three months ended March 31, 2016 and 2015, respectively.

4. Fees and Related Party Transactions

Advisory Fees

For the three months ended March 31, 2016 and 2015, 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 ofwhich any subscription or redemption is effected with respect to Units of such Class during the month.

Sponsor Fees

For the three months ended March 31, 2016 and 2015, 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, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class of GAIT, as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced, effective as of the date of any redemption of any Units of such class, by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. The total Incentive Allocation allocated to the Fund by GAIT for the three months ended March 31, 2016 and 2015 was $0 and $1,369,198, respectively.

9

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

4. Fees and Related Party Transactions (continued)

Administrator’s Fee

For the three months ended March 31, 2016 and 2015, 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 three months ended March 31, 2016 and 2015 were $26,225 and $29,008, 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 consolidated 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 consolidated financial statements for open tax years 2013 through 2015 or expected to be taken in the Fund’s 2016 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.

10

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights

The following is the per Unit operating performance calculation for the three month periods ended March 31, 2016 and 2015:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income:
Net investment loss		(1.04	)		(1.41	)
Net gain on investments		11.60			8.95
Net income		10.56			7.54
Net asset value per unit, March 31, 2015	$	159.93		$	121.12
Net asset value per unit, December 31, 2015	$	147.34		$	109.91
Net loss:
Net investment loss		(0.84	)		(1.18	)
Net loss on investments		(2.78	)		(2.05	)
Net loss		(3.62	)		(3.23	)
Net asset value per unit, March 31, 2016	$	143.72		$	106.68

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three month periods ended March 31, 2016 and 2015:

	Class 0						Class 2
	2016			2015			2016			2015
Total return before Incentive Allocation		(2.46	)%		8.83	%		(2.94	)%		8.33	%
Incentive Allocation		0.00			(1.76	)		0.00			(1.69	)
Total return after Incentive Allocation		(2.46	)%		7.07	%		(2.94	)%		6.64	%
Net investment loss before Incentive Allocation		(0.57	)%		(0.66	)%		(1.07	)%		(1.19	)%
Incentive Allocation		0.00			(1.69	)		0.00			(1.60	)
Net investment loss after Incentive Allocation		(0.57	)%		(2.35	)%		(1.07	)%		(2.79	)%
Total expenses before Incentive Allocation		0.68	%		0.73	%		1.18	%		1.25	%
Incentive Allocation		0.00			1.69			0.00			1.60
Total expenses after Incentive Allocation		0.68	%		2.42	%		1.18	%		2.85	%

11

Graham Alternative Investment Fund II LLC

Blended Strategies Portfolio

Notes to Unaudited Financial Statements (continued)

6. Financial Highlights (continued)

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 month periods ended March 31, 2016 and 2015.

7. Subsequent Events

The Fund had subscriptions of approximately $0.4 million and redemptions of approximately $0.4 million from April 1, 2016 through May 16, 2016, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

12

Graham Alternative Investment Trading LLC

Statements of Financial Condition

	March 31, 2016 (Unaudited)		December 31, 2015 (Audited)
Assets
Investments in Master Funds, at fair value	$	15,779,226	$	17,496,603
Investment in Graham Cash Assets LLC, at fair value		141,341,337		150,532,053
Receivable from Master Funds		71		-
Total assets	$	157,120,634	$	168,028,656
Liabilities and members’ capital
Liabilities:
Accrued redemptions	$	1,053,107	$	4,031,268
Accrued advisory fees		231,103		247,886
Accrued sponsor fees		173,796		184,511
Accrued professional fees		47,743		67,250
Accrued administrator’s fee		18,272		19,747
Payable to Master Funds		27		32
Total liabilities		1,524,048		4,550,694
Members’ capital:
Class 0 Units (771,318.238 and 791,620.850 units issued and outstanding at $143.72 and $147.34  per unit, respectively)		110,856,053		116,635,944
Class 2 Units (408,693.473 and 415,606.489 units issued and outstanding at $106.68 and $109.91 per unit, respectively)		43,600,634		45,680,694
Class M Units (4,671.470 units issued and outstanding at $244.01 and $248.60 per unit, respectively)		1,139,899		1,161,324
Total members’ capital		155,596,586		163,477,962
Total liabilities and members’ capital	$	157,120,634	$	168,028,656

See accompanying notes.

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Graham Alternative Investment Trading LLC

Condensed Schedules of Investments

	March 31, 2016 (Unaudited)					December 31, 2015 (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	$	7,474,735		4.80	%	$	6,374,087		3.90	%
Graham K4D Trading Ltd.		8,304,491		5.34	%		11,122,516		6.80	%
Total investments in Master Funds	$	15,779,226		10.14	%	$	17,496,603		10.70	%

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Operations and Incentive Allocation

	Three Months Ended March 31,
	2016			2015
Net (loss) gain allocated from investments in Master Funds
Net realized (loss) gain on investments	$	(3,858,347	)	$	20,622,967
Net increase (decrease) in unrealized appreciation on investments		1,164,019			(4,277,079	)
Brokerage commissions and fees		(261,589	)		(221,481	)
Net (loss) gain allocated from investments in Master Funds		(2,955,917	)		16,124,407
Net investment loss allocated from investments in Master Funds		(3,702	)		(24,291	)
Investment income
Interest income		177,903			111,995
Expenses
Advisory fees		705,897			782,328
Sponsor fees		530,040			582,709
Administrator’s fees		55,952			62,256
Professional fees and other		27,903			76,750
Total expenses		1,319,792			1,504,043
Net investment loss of the Fund		(1,141,889	)		(1,392,048	)
Net (loss) income		(4,101,508	)		14,708,068
Incentive allocation		-			2,920,022
Net (loss) income available for pro-rata allocation to all members	$	(4,101,508	)	$	11,788,046

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Changes in Members’ Capital

For the three months ended March 31, 2016 and 2015

	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		5,771.777			899,644			9,160.212			1,091,900			–		–			1,991,544
Redemptions		(6,026.308	)		(950,968	)		(9,941.126	)		(1,199,260	)		–		(2,920,022	)		(5,070,250	)
Incentive allocation		–			(2,147,427	)		–			(772,595	)		–		2,920,022			–
Net income		–			10,737,288			–			3,863,239			–		107,541			14,708,068
Members’ capital, March 31, 2015		812,335.587		$	129,916,327			407,335.097		$	49,337,675			4,671.470	$	1,237,022		$	180,491,024

	Class 0						Class 2						Class M					Total
	Units			Capital			Units			Capital			Units		Capital			Capital
Members’ capital, December 31, 2015		791,620.850		$	116,635,944			415,606.489		$	45,680,694			4,671.470	$	1,161,324		$	163,477,962
Subscriptions		1,856.175			275,000			1,781.360			197,000			–		–			472,000
Redemptions		(22,158.787	)		(3,297,469	)		(8,694.376	)		(954,399	)		–		–			(4,251,868	)
Incentive allocation		–			–			–			–			–		–			–
Net loss		–			(2,757,422	)		–			(1,322,661	)		–		(21,425	)		(4,101,508	)
Members’ capital, March 31, 2016		771,318.238		$	110,856,053			408,693.473		$	43,600,634			4,671.470	$	1,139,899		$	155,596,586

See accompanying notes.

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Graham Alternative Investment Trading LLC

Unaudited Statements of Cash Flows

	Three Months Ended March 31,
	2016			2015
Cash flows provided by operating activities
Net (loss) income	$	(4,101,508	)	$	14,708,068
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Net loss (income) allocated from investments in Master Funds		2,959,619			(16,100,116	)
Net income allocated from investment in Graham Cash Assets LLC		(177,903	)		(111,995	)
Proceeds from sale of investments in Master Funds		39,761,345			61,383,114
Proceeds from sale of investments in Graham Cash Assets LLC		39,551,967			45,468,484
Investments in Master Funds		(41,003,663	)		(43,544,130	)
Investments in Graham Cash Assets LLC		(30,183,348	)		(54,417,686	)
Changes in assets and liabilities:
Accrued advisory fees		(16,783	)		10,815
Accrued sponsor fees		(10,715	)		8,449
Accrued professional fees		(19,507	)		(27,147	)
Accrued administrator’s fee		(1,475	)		822
Net cash provided by operating activities		6,758,029			7,378,678
Cash flows used in financing activities
Subscriptions		472,000			1,991,544
Redemptions		(7,230,029	)		(9,370,222	)
Net cash used in financing activities		(6,758,029	)		(7,378,678	)
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

March 31, 2016

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 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.

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 (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The preparation of these financial statements requires the Manager to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

Investments in Master Funds

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

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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. Substantially all 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 derivative instruments is included in the Master Funds’ statements of financial condition as the difference between the original purchase price and the current market value at 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. All other expenses are recorded on the accrual basis.

Brokerage Commissions and Fees

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

Foreign Currency Translation

Assets and liabilities denominated in foreign currencies are translated using the exchange rates at March 31, 2016 and December 31, 2015. 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.

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.

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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)

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

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

· Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security.

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

GAIT’s investments in Master Funds and Graham Cash Assets LLC (“Cash Assets”) have been valued at net asset value using the practical expedient. According to FASB Accounting Standards Update 2015-07 – Disclosures for Investment in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”), these investments are no longer categorized in the fair value hierarchy. GAIT’s investments in Master Funds and Cash Assets are discussed in Notes 3 and 4. There were no Level 3 assets or liabilities held at any point during the three months ended March 31, 2016 or the year ended December 31, 2015 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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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 of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Interest rate swap positions are generally valued as the present value of the net future cash flows as estimated by the Advisor using a discount curve constructed from independently obtained future interest rate assumptions.

A total return swap contract is an agreement that obligates two parties to exchange cash flows calculated by reference to changes in specified prices for a specified notional amount of the underlying assets. The payment flows are usually netted against each other, with the difference being paid by one party to another. Total return swaps are generally valued based upon the value of the underlying instruments as determined by the primary exchange on which they are traded.

Exchange traded swaps are valued based upon the last traded prices established by the primary exchange upon which they are traded. 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.

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Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

Derivative Instruments (continued)

Options

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

When purchasing options, the Master Funds are exposed to counterparty risk to the extent that a seller of an over-the-counter option does not meet its obligations under the terms of the option contract. The maximum risk of loss to the Master Funds is the unrealized 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.

Selling uncovered options may subject the Master Funds to unlimited risk of loss. As the writer of an option, the Master Funds bear the market risk of an unfavorable change in the price of the underlying instrument.

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

Credit Risk Related Contingent Features

OTC Derivative Instruments are subject to ISDA Master Agreements which generally require among other things, that the Master Funds maintain a predetermined level of net assets or rate of return, and provide limits with respect to any decline in value over 1-month, 3-month and 12-month periods. If the Master Funds were to violate such provisions, the counterparty to these instruments could demand liquidation of the outstanding positions. There were no events that occurred throughout the three months ended March 31, 2016 or for the year ended December 31, 2015 which caused any counterparty to demand liquidation of any outstanding positions. At March 31, 2016 and December 31, 2015, there were no Derivative Instruments subject to credit risk related contingent features in a net liability position for any of the Master Funds in which GAIT invests except for Graham Commodity Strategies LLC. Graham Commodity Strategies LLC had Derivative Instruments subject to credit risk related contingent features in a net liability position in the amount of $1,953,564 and $102,519 at March 31, 2016 and December 31, 2015, respectively.

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Notes to Unaudited Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)

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 March 31, 2016 and December 31, 2015, the two NYMEX memberships were valued at $315,000 and $305,000, respectively, and the 30,000 shares of CME Group were valued at $2,881,500 and $2,718,000, respectively, both of which are contained within Exchange Memberships on Graham Commodity Strategies LLC’s statements of financial condition. The NYMEX seats and shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Chicago Board of Trade Membership

Graham K4D Trading Ltd., 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 March 31, 2016 and December 31, 2015, the B-1/Full memberships were valued at $270,000 and $455,000, respectively, and the B-2/Associate memberships were valued at $61,750 and $72,500, 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 $192,500 and $224,500 at March 31, 2016 and December 31, 2015, respectively, which is also included in Exchange Membership on the statements of financial condition. The CBOT membership and shares are considered Level 1 assets as described in the Fair Value section of Note 2.

Recent Accounting Pronouncements

In August 2014, the FASB 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. Any impact is expected to be minimal.

Indemnifications

In the normal course of business, the Master Funds, Cash Assets, and GAIT enter into contracts that contain a variety of indemnifications. Such contracts may include those by Cash Assets and the Master Funds with their brokers and trading counterparties. GAIT’s maximum exposure under these arrangements is unknown; however, GAIT has not had prior claims or losses with respect to such indemnifications and considers the risk of loss to be remote. At March 31, 2016 and December 31, 2015, no accruals have been recorded by GAIT for indemnifications.

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds

As of March 31, 2016 and December 31, 2015, 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.” 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.

March 31, 2016
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Loss (three months ended)
Systematic Macro Funds
Graham K4D Trading Ltd.		5.34	%	$	8,304,491	$	(1,960,831	)
Global Macro Funds
Graham Commodity Strategies LLC		4.80	%		7,474,735		(998,788	)
		10.14	%	$	15,779,226	$	(2,959,619	)

December 31, 2015
Investment – Objective	Percent of Members’ Capital			Fair Value		Net Income (three months ended March 31, 2015)
Systematic Macro Funds
Graham K4D Trading Ltd.		6.80	%	$	11,122,516	$	8,936,822
Global Macro Funds
Graham Commodity Strategies LLC		3.90	%		6,374,087		7,163,294
		10.70	%	$	17,496,603	$	16,100,116

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the financial position of each Master Fund as of March 31, 2016:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	120,871,672		$	78,987,169
Derivative financial instruments, at fair value		15,486,120			5,349,409
Exchange membership, at fair value		3,196,500			524,250
Total assets		139,554,292			84,860,828
Liabilities:
Derivative financial instruments, at fair value		1,953,564			-
Total liabilities		1,953,564			-
Net assets	$	137,600,728		$	84,860,828
Percentage of Master Fund held by GAIT		5.43	%		9.79	%

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Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2016.

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 May 2016		3,625	$	14,492,175			10.53	%
Coffee July 2016		2,375		338,888			0.25	%
Coffee Robusta May 2016		3,000		2,645,800			1.92	%
Other commodity				3,793,898			2.76	%
Foreign index				(95,537	)		(0.07	)%
Interest rate				5,538,606			4.03	%
U.S. 10yr note June 2016		9,353		7,627,063			5.54	%
U.S. 5yr note June 2016		1,449		513,234			0.37	%
U.S. long bond January 2016		479		333,250			0.24	%
U.S. Ultra bond June 2016		101		(40,188	)		(0.03	)%
S&P 500 E-Mini June 2016		454		(161,513	)		(0.12	)%
Other U.S. index				(58,465	)		(0.04	)%
Total futures				34,927,211			25.38	%
Forwards
Chinese yuan / U.S. dollar 04/06/16 – 02/24/17	CNY 4,170,267,463			13,117,559			9.53	%
South Korean won / U.S. dollar 04/04/16 – 05/23/16	KRW 427,212,051,600			15,311,585			11.13	%
Mexican peso / U.S. dollar 04/08/16	MXN 425,169,203			72,299			0.05	%
Other foreign currency				1,157			0.00	%
Total forwards				28,502,600			20.71	%
Options (cost $119,117,480)
Coffee Robusta  July 2016, $1650.00 Call		1		290,000			0.21	%
Coffee future option May 2016, $135.00 Call		1		312,188			0.23	%
Crude Oil future option May 2016 – December 2016, $41.00 - $100.00 Call		5		2,195,000			1.60	%
Crude Oil future option May 2016 – December 2016, $28.00 - $38.00 Put		5		2,490,250			1.81	%
Other commodity future				6,943,688			5.05	%
Euro / U.S. dollar 04/04/16 – 02/24/17, $1.02 - $1.21 Call		11		9,391,825			6.83	%
Euro / U.S. dollar 04/07/16 – 01/10/17, $0.98 - $1.09 Put		4		1,074,482			0.78	%
U.S. dollar / Chinese yuan 05/25/16 - 02/24/17, $6.55 - $7.60 Call		16		12,547,444			9.12	%
U.S. dollar / Chinese yuan 04/04/16, $6.50 Put		1		550,980			0.40	%
U.S. dollar / Mexican peso 04/29/16 - 05/13/16, $17.00 - $17.50 Put		5		9,019,374			6.55	%
U.S. dollar / Euro 05/30/16, $1.05 Put		1		16,412			0.01	%
U.S. dollar / South Korean won 04/05/16 – 04/28/16, $1,225.00 - $1,250.00 Call		3		50,169			0.04	%
U.S. dollar / South Korean won 04/21/16, $1,150.00 Put		1		1,283,090			0.93	%

27

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2016.

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)
Other currency				$	21,519,775			15.64	%
Foreign bond					979,282			0.71	%
IMM Euro Future Option April 2016 – December 2016, $98.38 - $99.13 Put		6			7,912,500			5.75	%
Other interest rate futures					758,933			0.55	%
U.S. 10yr note May 2016 - June 2016, $130.00 - $137.00 Call		2			1,703,125			1.24	%
U.S. bond future June 2016, $151.00 - $155.00 Put		2			515,625			0.37	%
S&P 500 E-Mini April 2016 – September 2016, $2,055.00 - $2,245.00 Call		3			5,259,375			3.82	%
Total options					84,813,517			61.64	%
Short contracts
Futures
Coffee December 2016		(5,700	)		(16,345,819	)		(11.88	)%
Other commodity					(85,975	)		(0.06	)%
Interest rate					(1,749,135	)		(1.27	)%
U.S. 2yr - 5yr note June 2016		(1,204	)		(352,039	)		(0.26	)%
U.S. Ultra bond June 2016		(249	)		(98,563	)		(0.07	)%
Total futures					(18,631,531	)		(13.54	)%
Forwards
U.S. dollar / Chinese yuan 04/06/16 – 03/02/17	CNY (5,741,950,032)				(21,974,958	)		(15.97	)%
U.S. dollar / South Korean won 04/04/16 – 05/23/16	KRW(388,484,203,250)				(14,901,219	)		(10.83	)%
Other foreign currency					367,832			0.27	%
Total forwards					(36,508,345	)		(26.53	)%

28

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2016.

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 (proceeds $111,485,864)
Coffee future May 2016, $140.00 - $145.00 Call	(2		)	$	(37,594	)		(0.03	)%
Crude oil future December 2016, $40.00 Put		(1	)		(9,825,000	)		(7.14	)%
Crude oil future May 2016 – December 2016, $41.00 - $120.00 Call		(5	)		(5,211,000	)		(3.79	)%
Crude oil future May 2016 – December 2016, $23.00 - $37.00 Put		(7	)		(6,209,500	)		(4.51	)%
Other commodity futures					(9,838,125	)		(7.14	)%
Euro / U.S. dollar 04/29/16, $1.16 Call		(1	)		(1,120,825	)		(0.81	)%
Euro / U.S. dollar 04/06/16 - 01/10/17, $0.95 - $1.07 Put		(3	)		(596,499	)		(0.43	)%
U.S. dollar / Chinese yuan 05/03/16 - 02/24/17, $6.75 - $7.40 Call		(12	)		(9,848,829	)		(7.16	)%
U.S. dollar / Chinese yuan 08/26/16, $6.37 Put		(1	)		(1,019,206	)		(0.74	)%
U.S. dollar / Mexican peso 05/13/16, $16.75 - $17.50 Put		(4	)		(4,135,860	)		(3.01	)%
U.S. dollar / South Korean won 04/12/16 – 04/29/16, $1,195.00 - $1,275.00 Call		(4	)		(169,655	)		(0.12	)%
U.S. dollar / South Korean won 04/21/16 – 04/28/16, $1,123.25 - $1,170.00 Put		(2	)		(2,011,990	)		(1.46	)%
Other currency					(13,884,284	)		(10.10	)%
Foreign bond					(592,124	)		(0.43	)%
IMM Euro future April 2016 – December 2016, $98.50 - $99.00 Put		(5	)		(5,568,750	)		(4.05	)%
Other interest rate futures					(294,155	)		(0.21	)%
U.S. 10yr note May 2016, $131.00 Call		(1	)		(656,250	)		(0.48	)%
U.S. bond future June 2016, $149.00 - $154.00 Put		(2	)		(406,250	)		(0.30	)%
S&P 500 E-Mini September 2016, $2,100.00 Call		(1	)		(8,100,000	)		(5.89	)%
S&P 500 E-Mini April 2016, $2,100.00 Call		(1	)		(45,000	)		(0.03	)%
Total options					(79,570,896	)		(57.83	)%
Total derivative financial instruments				$	13,532,556			9.83	%

29

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of March 31, 2016.

Description	Number of Contracts/Notional Amounts		Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Commodity			$	(1,581,306	)		(1.86	)%
Currency				(16,445	)		(0.02	)%
Foreign bond				(2,677,709	)		(3.16	)%
Foreign index				1,976,301			2.33	%
Interest rate				4,144,259			4.88	%
U.S. bond				599,716			0.71	%
U.S. index				4,789,762			5.64	%
Total futures				7,234,578			8.52	%
Forwards
Swiss franc / U.S. dollar 06/15/16	CHF	40,680,000		433,881			0.51	%
Other foreign currency				15,970,795			18.82	%
Total forwards				16,404,676			19.33	%
Short contracts
Futures
Commodity				(2,075,700	)		(2.45	)%
Currency				446,617			0.53	%
Foreign bond				(312,420	)		(0.37	)%
Foreign index				(1,276,912	)		(1.50	)%
Interest rate				(311,967	)		(0.37	)%
U.S. bond				(1,362,894	)		(1.61	)%
U.S. index				17,715			0.02	%
Total futures				(4,875,561	)		(5.75	)%
Forwards
U.S. dollar / Swiss franc 06/15/16	CHF	(152,222,000)		(4,433,200	)		(5.22	)%
Other foreign currency				(8,981,084	)		(10.58	)%
Total forwards				(13,414,284	)		(15.80	)%
Total derivative financial instruments			$	5,349,409			6.30	%

30

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table shows the fair value classification of each investment type by Master Fund as of March 31, 2016:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	24,950,861		$	5,014,885
Commodity futures options		12,231,126			-
Currency futures		-			866,053
Foreign bond futures		-			602,482
Foreign bond futures options		979,282			-
Foreign index futures		8,887			2,605,796
Interest rate futures		5,677,159			4,144,259
Interest rate futures options		8,671,433			-
U.S. bond futures		8,487,132			599,716
U.S. bond futures options		2,218,750			-
U.S. index futures		-			4,813,051
U.S. index futures options		5,259,375			-
Total Level 1		68,484,005			18,646,242
Level 2:
Foreign currency forwards		30,823,430			16,631,065
Foreign currency options		55,453,551			-
Total Level 2		86,276,981			16,631,065
Total investment related assets	$	154,760,986		$	35,277,307
Liabilities
Level 1:
Commodity futures	$	(20,111,894	)	$	(8,671,891	)
Commodity futures options		(31,121,219	)		-
Currency futures		-			(435,881	)
Foreign bond futures		-			(3,592,611	)
Foreign bond futures options		(592,124	)		-
Foreign index futures		(104,424	)		(1,906,407	)
Interest rate futures		(1,887,688	)		(311,967	)
Interest rate futures options		(5,862,905	)		-
U.S. bond futures		(504,375	)		(1,362,894	)
U.S. bond futures options		(1,062,500	)		-
U.S. index futures		(219,978	)		(5,574	)
U.S. index futures options		(8,145,000	)		-
Total Level 1		(69,612,107	)		(16,287,225	)
Level 2:
Foreign currency forwards		(38,829,175	)		(13,640,673	)
Foreign currency options		(32,787,148	)		-
Total Level 2		(71,616,323	)		(13,640,673	)
Total investment related liabilities	$	(141,228,430	)	$	(29,927,898	)

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 three months ended March 31, 2016. The table also displays the fair value of derivative contracts held by the Master Funds at March 31, 2016 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	$	564,781,193		14,537	$	(467,509,125	)		(12,171	)	$	24,950,861	$	(20,111,894	)
Options(a)		710,407,439		22,300		(390,515,230	)		(17,100	)		12,231,126		(31,121,219	)
		1,275,188,632		36,837		(858,024,355	)		(29,271	)		37,181,987		(51,233,113	)
Equity price
Futures		94,174,532		1,082		-			-			8,887		(324,402	)
Options(a)		32,777,841		10,250		(5,226,196	)		(500	)		5,259,375		(8,145,000	)
		126,952,373		11,332		(5,226,196	)		(500	)		5,268,262		(8,469,402	)
Foreign currency exchange rate
Forwards		11,845,016,341		N/A		(2,367,126,276	)		N/A			30,823,430		(38,829,175	)
Options(a)		1,803,202,100		66		(1,372,921,674	)		(56	)		55,453,551		(32,787,148	)
		13,648,218,441		66		(3,740,047,950	)		(56	)		86,276,981		(71,616,323	)
Interest rate
Futures		10,238,794,597		45,094		(2,803,924,166	)		(10,859	)		14,164,291		(2,392,063	)
Options(a)		4,743,549,474		168,000		(5,354,332,617	)		(139,500	)		11,869,465		(7,517,529	)
		14,982,344,071		213,094		(8,158,256,783	)		(150,359	)		26,033,756		(9,909,592	)
Total	$	30,032,703,517		261,329	$	(12,761,555,284	)		(180,186	)	$	154,760,986	$	(141,228,430	)

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

32

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 three months ended March 31, 2016. The table also displays the fair value of derivative contracts held by the Master Funds at March 31, 2016 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	$	313,047,006		6,059	$	(267,861,911	)		(7,681	)	$	5,014,885	$	(8,671,891	)
		313,047,006		6,059		(267,861,911	)		(7,681	)		5,014,885		(8,671,891	)
Equity price
Futures		417,868,362		4,564		(209,076,898	)		(2,894	)		7,418,847		(1,911,981	)
		417,868,362		4,564		(209,076,898	)		(2,894	)		7,418,847		(1,911,981	)
Foreign currency exchange rate
Forwards		885,951,838		N/A		(777,252,090	)		N/A			16,631,065		(13,640,673	)
Futures		5,669,654		57		(114,622,018	)		(1,185	)		866,053		(435,881	)
		891,621,492		57		(891,874,108	)		(1,185	)		17,497,118		(14,076,554	)
Interest rate
Futures		4,089,467,497		23,843		(686,550,410	)		(3,353	)		5,346,457		(5,267,472	)
		4,089,467,497		23,843		(686,550,410	)		(3,353	)		5,346,457		(5,267,472	)
Total	$	5,712,004,357		34,523	$	(2,055,363,327	)		(15,113	)	$	35,277,307	$	(29,927,898	)

33

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at March 31, 2016 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	$	154,760,986		$	(139,274,866	)	$	15,486,120		$	-	$	15,486,120
Derivative liabilities		(141,228,430	)		139,274,866			(1,953,564	)		1,953,564		-
Graham K4D Trading Ltd.2
Derivative assets	$	35,277,307		$	(29,927,898	)	$	5,349,409		$	-	$	5,349,409
Derivative liabilities		(29,927,898	)		29,927,898			-			-		-

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 those counterparties as of March 31, 2016. At March 31, 2016, additional collateral pledged in the amount of $118,905,508 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 of these counterparties that may have been used to offset these derivative amounts as of March 31, 2016. At March 31, 2016, additional collateral pledged in the amount of $78,987,169 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

34

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table summarizes the results of operations of each Master Fund for the three months ended March 31, 2016:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income	$	20,543		$	1,873
Net realized loss on investments		(35,186,715	)		(18,599,317	)
Net increase (decrease) in unrealized appreciation on investments		23,511,621			(1,948,151	)
Brokerage commissions and fees		(4,684,580	)		(235,010	)
Net loss on investments		(16,359,674	)		(20,782,478	)
Net loss	$	(16,339,131	)	$	(20,780,605	)

The following table shows the gains and losses on all financial instruments held by the Master Funds reported in net realized 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 March 31, 2016:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	7,320,688		$	(15,844,394	)
Options		38,440,134			-
		45,760,822			(15,844,394	)
Equity price
Equities		173,500			(227,750	)
Futures		(3,487,679	)		(9,992,811	)
Options		(2,889,839	)		-
		(6,204,018	)		(10,220,561	)
Foreign currency exchange rate
Forwards		(24,643,256	)		(3,810,275	)
Futures		-			(4,775,719	)
Options		(5,195,380	)		-
		(29,838,636	)		(8,585,994	)
Interest rate
Futures		(17,247,561	)		14,103,481
Options		(3,420,474	)		-
Swaps		(725,227	)		-
		(21,393,262	)		14,103,481
Total	$	(11,675,094	)	$	(20,547,468	)

35

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, 2015:

	Graham Commodity Strategies LLC (Delaware)			Graham K4D Trading Ltd. (BVI)
Assets:
Due from brokers	$	63,952,987		$	100,917,683
Derivative financial instruments, at fair value		57,737,935			6,923,751
Exchange membership, at fair value		3,023,000			752,000
Total assets		124,713,922			108,593,434
Liabilities:
Derivative financial instruments, at fair value		102,519			-
Interest payable		202,114			-
Total liabilities		304,633			-
Net assets	$	124,409,289		$	108,593,434
Percentage of Master Fund held by GAIT		5.12	%		10.24	%

36

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 2015.

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
Natural gas February 2016		750	$	204,090			0.16	%
Other commodity				(591,587	)		(0.48	)%
Foreign bond				41,429			0.03	%
Foreign index				(796,068	)		(0.64	)%
Interest rate				(3,047,734	)		(2.45	)%
U.S. bond				246,594			0.21	%
U.S. index				(312,175	)		(0.25	)%
Total futures				(4,255,451	)		(3.42	)%
Swaps
Interest rate				(499,166	)		(0.40	)%
Total swaps				(499,166	)		(0.40	)%
Forwards
U.S. dollar / Chinese yuan 02/22/2016 - 12/15/2016	CNY	1,614,278,056		(6,542,494	)		(5.26	)%
Euro / U.S. dollar 01/04/2016 - 01/05/2016	EUR	285,331,324		(953,787	)		(0.77	)%
British pound / U.S. dollar 01/04/2016 - 01/05/2016	GBP	268,236,160		(2,252,472	)		(1.81	)%
Other foreign currency				(499,290	)		(0.40	)%
Total forwards				(10,248,043	)		(8.24	)%
Options (cost $121,828,281)
U.S. dollar / Chinese yuan 11/15/16, $6.60 Call		1		8,120,680			6.53	%
U.S. dollar / Chinese yuan 01/11/16 - 02/15/16, $6.18 - $6.25 Put		4		4,635			0.00	%
Other U.S. dollar / Chinese yuan 01/25/16 - 12/19/16, $6.30 - $7.40 Call		15		24,331,188			19.56	%
British pound / U.S. dollar 01/04/2016 - 02/01/2016, $1.47 - 1.49 Put		2		3,374,745			2.71	%
U.S. dollar / British pound 02/22/2016 - 06/17/2016, $1.41 - 1.47 Put		2		719,822			0.58	%
Other currency options				8,427,213			6.78	%
Copper LME January 2016 - May 2016, $3,200.00 - $4,800.00 Put		6		10,243,625			8.23	%
Crude oil February 2016 - December 2016, $40.00 - $100.00 Call		3		2,771,500			2.23	%
Crude oil February 2016 - March 2016, $35.00 - $40.00 Put		7		13,856,000			11.14	%
Natural gas Euro February 2016, $2.30 Call		1		3,296,000			2.65	%
Natural gas Euro March 2016, $1.90 - $2.10 Put		4		3,223,500			2.59	%
Other commodity futures				6,569,952			5.28	%

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, 2015.

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)
IMM Eurodollar March 2016, $99.38 Put		1		$	9,646,875			7.75	%
IMM Eurodollar January 2016, $99.50 Call		1			234,375			0.19	%
Other IMM Eurodollar January 2016 - March 2016, $99.00 - $99.50 Put		3			821,875			0.66	%
Eurodollar 1 year mid-curve January 2016, $98.25 - $98.63 Put		2			412,500			0.33	%
Other interest rate futures					6,083,820			4.89	%
Foreign index					1,144			0.00	%
U.S. bond futures					3,414,313			2.74	%
U.S. index futures					207,500			0.17	%
Total options					105,761,262			85.01	%
Short contracts
Futures
Natural gas April 2016		(875	)		(684,460	)		(0.55	)%
Other commodity					326,918			0.26	%
Foreign index					(1,076,645	)		(0.87	)%
90 day Eurodollar June 2016 – March 2017		(29,354	)		6,085,350			4.90	%
Other interest rate					785,538			0.63	%
U.S. bond					162,945			0.13	%
U.S. index					(526,262	)		(0.42	)%
Total futures					5,073,384			4.08	%
Swaps
Interest rate					724,715			0.58	%
Total swaps					724,715			0.58	%
Forwards
U.S. dollar / Chinese yuan 02/22/2016 - 12/30/2016	CNY	(1,920,932,849)			7,210,013			5.80	%
Euro / U.S. dollar 01/04/2016 - 01/05/2016	EUR	(860,881,820)			3,806,611			3.06	%
British pound / U.S. dollar 01/04/2016 - 01/05/2016	GBP	(405,231,605)			3,408,977			2.74	%
Other foreign currency					(21,670	)		(0.02	)%
Total forwards					14,403,931			11.58	%

38

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following schedules display the condensed schedules of investments for the Master Funds as of December 31, 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 (continued)
Options (proceeds $50,339,273)
U.S. dollar / Chinese yuan 11/15/16, $6.80 Call		(1	)	$	(10,761,400	)		(8.65	)%
Other U.S. dollar / Chinese yuan 03/2/16 - 12/1/16, $6.90 - $7.40 Call		(9	)		(14,075,595	)		(11.31	)%
British pound / U.S dollar 02/01/2016, $1.47 Put		(1	)		(1,394,550	)		(1.12	)%
British pound / U.S dollar 12/23/2016, $1.60 Call		(1	)		(3,141,080	)		(2.53	)%
Other currency options					(2,016,995	)		(1.62	)%
Copper LME May 2016 - May 2016, $4,000.00 - $4,200.00 Put		(2	)		(817,625	)		(0.66	)%
Crude oil February 2016 - December 2016, $42.50 - $120.00 Call		(3	)		(710,000	)		(0.57	)%
Crude oil February 2016 - December 2016, $32.50 - $40.00 Put		(4	)		(5,177,500	)		(4.16	)%
Natural gas Euro February 2016, $2.55 Call		(1	)		(1,390,000	)		(1.12	)%
Natural gas Euro March 2016, $1.75 Put		(1	)		(1,235,000	)		(0.99	)%
Other commodity futures					(686,120	)		(0.55	)%
IMM Eurodollar January 2016 - March 2016, $99.13 - $99.38 Put		(3	)		(4,118,750	)		(3.31	)%
Eurodollar 1 year mid-curve January 2016 $98.38 Put		(1	)		(37,500	)		(0.03	)%
Other interest rate futures					(6,083,820	)		(4.89	)%
U.S. bond futures					(1,679,281	)		(1.35	)%
Total options					(53,325,216	)		(42.86	)%
Total derivative financial instruments				$	57,635,416			46.33	%

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 of December 31, 2015.

Description	Number of Contracts	Fair Value			Percentage of Net Assets of Master Fund
Graham K4D Trading Ltd.
Derivative financial instruments
Long contracts
Futures
Commodity		$	(71,393	)		(0.06	)%
Currency			(182,430	)		(0.17	)%
Foreign bond			200,068			0.18	%
Foreign index			389,224			0.36	%
Interest rate			(2,410,691	)		(2.22	)%
U.S. bond			(522,563	)		(0.48	)%
U.S. index			(638,527	)		(0.59	)%
Total futures			(3,236,312	)		(2.98	)%
Forwards
Foreign currency			692,077			0.64	%
Total forwards			692,077			0.64	%
Short contracts
Futures
Commodity			4,567,007			4.20	%
Currency			(564	)		(0.00	)%
Foreign bond			557,382			0.51	%
Foreign index			(2,950,714	)		(2.72	)%
Interest rate			616,252			0.57	%
U.S. bond			1,667,893			1.54	%
U.S. index			(24,607	)		(0.02	)%
Total futures			4,432,649			4.08	%
Forwards
Foreign currency			5,035,337			4.64	%
Total forwards			5,035,337			4.64	%
Total derivative financial instruments		$	6,923,751			6.38	%

40

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, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Assets
Level 1:
Commodity futures	$	6,018,377		$	13,861,420
Commodity futures options		39,960,577			-
Currency futures		-			166,602
Foreign bond futures		41,429			2,152,576
Foreign index futures		10,826			1,011,173
Foreign index futures options		1,144			-
Interest rate futures		7,030,695			616,252
Interest rate futures options		17,199,445			-
U.S. bond futures		490,008			1,752,773
U.S. bond futures options		3,414,313			-
U.S. index futures		-			124,748
U.S. index futures options		207,500			-
Total Level 1		74,374,314			19,685,544
Level 2:
Foreign currency forwards		22,920,961			8,963,340
Foreign currency options		44,978,283			-
Interest rate swaps		907,901			-
Total Level 2		68,807,145			8,963,340
Total investment related assets	$	143,181,459		$	28,648,884
Liabilities
Level 1:
Commodity futures	$	(6,763,416	)	$	(9,365,806	)
Commodity futures options		(10,016,245	)		-
Currency futures		-			(349,596	)
Foreign bond futures		-			(1,395,126	)
Foreign index futures		(1,883,539	)		(3,572,663	)
Interest rate futures		(3,207,541	)		(2,410,691	)
Interest rate futures options		(10,240,070	)		-
U.S. bond futures		(80,469	)		(607,443	)
U.S. bond futures options		(1,679,281	)		-
U.S. index futures		(838,437	)		(787,882	)
Total Level 1		(34,708,998	)		(18,489,207	)
Level 2:
Foreign currency forwards		(18,765,073	)		(3,235,926	)
Foreign currency options		(31,389,620	)		-
Interest rate swaps		(682,352	)		-
Total Level 2		(50,837,045	)		(3,235,926	)
Total investment related liabilities	$	(85,546,043	)	$	(21,725,133	)

41

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

The following table displays the gross volume of derivative activities categorized by primary underlying risk of the Master Funds based on their average quarterly notional amounts and number of contracts for the year ended December 31, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 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	$	374,094,637		11,953	$	(400,639,986	)		(11,145	)	$	6,018,377	$	(6,763,416	)
Options(a)		419,679,848		61,923		(560,582,580	)		(40,277	)		39,960,577		(10,016,245	)
Swaps		-		-		(7,004,813	)		(900	)		-		-
		793,774,485		73,876		(968,227,379	)		(52,322	)		45,978,954		(16,779,661	)
Equity price
Futures		80,444,841		1,095		(138,921,627	)		(1,506	)		10,826		(2,721,976	)
Options(a)		34,956,652		2,925		(52,961,326	)		(1,775	)		208,644		-
		115,401,493		4,020		(191,882,953	)		(3,281	)		219,470		(2,721,976	)
Foreign currency exchange rate
Forwards		4,187,793,131		N/A		(2,243,675,487	)		N/A			22,920,961		(18,765,073	)
Options(a)		1,552,206,971		60		(1,838,491,889	)		(72	)		44,978,283		(31,389,620	)
		5,740,000,102		60		(4,082,167,376	)		(72	)		67,899,244		(50,154,693	)
Interest rate
Futures		10,679,789,830		41,186		(7,598,613,188	)		(30,243	)		7,562,132		(3,288,010	)
Options(a)		4,829,112,681		78,236		(5,279,221,415	)		(61,411	)		20,613,758		(11,919,351	)
Swaps		1,364,481,610		2		(1,364,481,610	)		(1	)		907,901		(682,352	)
		16,873,384,121		119,424		(14,242,316,213	)		(91,655	)		29,083,791		(15,889,713	)
Total	$	23,522,560,201		197,380	$	(19,484,593,921	)		(147,330	)	$	143,181,459	$	(85,546,043	)

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

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, 2015. The table also displays the fair value of derivative contracts held by the Master Funds at December 31, 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	$	225,300,324		4,501	$	(684,987,830	)		(14,693	)	$	13,861,420	$	(9,365,806	)
		225,300,324		4,501		(684,987,830	)		(14,693	)		13,861,420		(9,365,806	)
Equity price
Futures		535,501,752		5,523		(142,703,218	)		(1,788	)		1,135,921		(4,360,545	)
		535,501,752		5,523		(142,703,218	)		(1,788	)		1,135,921		(4,360,545	)
Foreign currency exchange rate
Forwards		478,599,115		N/A		(987,923,598	)		N/A			8,963,340		(3,235,926	)
Futures		56,520,291		586		(42,152,570	)		(452	)		166,602		(349,596	)
		535,119,406		586		(1,030,076,168	)		(452	)		9,129,942		(3,585,522	)
Interest rate
Futures		5,306,913,703		27,893		(1,300,665,767	)		(7,096	)		4,521,601		(4,413,260	)
		5,306,913,703		27,893		(1,300,665,767	)		(7,096	)		4,521,601		(4,413,260	)
Total	$	6,602,835,185		38,503	$	(3,158,432,983	)		(24,029	)	$	28,648,884	$	(21,725,133	)

43

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

3. Investments in Master Funds (continued)

When multiple derivative contracts are held with the same counterparty, the Master Funds will net the contracts in an asset position with the contracts in a liability position when covered by a master netting agreement or similar arrangements, for presentation in the statements of financial condition. The table below displays the amounts at December 31, 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	$	143,181,459		$	(85,443,524	)	$	57,737,935		$	-	$	57,737,935
Derivative liabilities		(85,546,043	)		85,443,524			(102,519	)		102,519		-
Graham K4D Trading Ltd.2
Derivative assets	$	28,648,884		$	(21,725,133	)	$	6,923,751		$	-	$	6,923,751
Derivative liabilities		(21,725,133	)		21,725,133			-			-		-

¹ Net derivative asset and liability amounts presented in the statement of financial condition are held with five counterparties. The Master Fund has pledged offsetting collateral to one of those counterparties as of December 31, 2015. At December 31, 2015, additional collateral pledged in the amount of $63,779,068 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 of these counterparties that may have been used to offset these derivative amounts as of December 31, 2015. At December 31, 2015 additional collateral pledged in the amount of $100,917,683 was posted in support of derivative positions and is included in due from brokers on the statement of financial condition.

44

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 year ended December 31, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Net investment income (loss)	$	18,652		$	(124,700	)
Net realized gain on investments		70,189,877			91,533,151
Net decrease in unrealized appreciation on investments		(50,162,298	)		(50,295,170	)
Brokerage commissions and fees		(17,331,586	)		(1,159,521	)
Net gain on investments		2,695,993			40,078,460
Net income	$	2,714,645		$	39,953,760

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 year ended December 31, 2015:

	Graham Commodity Strategies LLC			Graham K4D Trading Ltd.
Commodity price
Futures	$	7,461,370		$	34,713,887
Options		(16,246,281	)		-
Swaps		(79,938	)		-
		(8,864,849	)		34,713,887
Equity price
Equities		(116,500	)		(305,500	)
Futures		29,023,886			695,389
Options		(8,300,588	)		-
		20,606,798			389,889
Foreign currency exchange rate
Forwards		40,840,293			23,190,075
Futures		-			442,172
Options		(4,923,365	)		-
		35,916,928			23,632,247
Interest rate
Futures		(22,648,710	)		(17,498,042	)
Options		(168,603	)		-
Swaps		(4,813,985	)		-
		(27,631,298	)		(17,498,042	)
Total	$	20,027,579		$	41,237,981

45

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-four 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 months ended March 31, 2016 and 2015, the total amount recognized by GAIT with respect to its investment in Cash Assets was $177,903 and $111,995, respectively. These amounts are included in interest income in the statements of operations and incentive allocation. At March 31, 2016 and December 31, 2015, GAIT owned approximately 3.49% and 4.02%, respectively, of Cash Assets. The following table summarizes the financial position of Cash Assets as of March 31, 2016 and December 31, 2015:

	March 31, 2016		December 31, 2015
Assets:
Cash and cash equivalents	$	585,441,829	$	850,874,164
Investments in fixed income securities (cost $3,457,711,074 and $2,885,317,424, respectively)		3,457,711,074		2,885,317,424
Accrued interest receivable		6,331,645		5,861,018
Total assets		4,049,484,548		3,742,052,606
Net assets	$	4,049,484,548	$	3,742,052,606

The following table summarizes the results of operations of Cash Assets for the three months ended March 31, 2016 and 2015:

	2016		2015
Investment income
Interest income	$	4,682,200	$	2,332,063
Total investment income		4,682,200		2,332,063
Expenses:
Bank fee expense		23,318		9,854
Total expenses		23,318		9,854
Net investment income		4,658,882		2,322,209
Net income	$	4,658,882	$	2,322,209

46

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

4. Graham Cash Assets LLC (continued)

The following represents the condensed schedule of investments of Cash Assets as of March 31, 2016:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $3,457,711,074)
United States
Government Bonds (cost $3,457,711,074)
U.S. Treasury 0.25% – 3.25% due 04/07/16 – 03/31/18	$	3,450,000,000	$	3,457,711,074		85.39	%
Total Government Bonds				3,457,711,074		85.39	%
Total United States				3,457,711,074		85.39	%
Total Investments in Fixed Income Securities			$	3,457,711,074		85.39	%

The following represents the condensed schedule of investments of Cash Assets as of December 31, 2015:

Description	Principal Amount		Fair Value		Percentage of Members’ Capital
Investments in Fixed Income Securities (cost $2,885,317,424)
United States
Government Bonds (cost $2,885,317,424)
U.S. Treasury 0.25% – 3.25% due 01/15/16 – 12/31/17	$	2,875,000,000	$	2,885,317,424		77.11	%
Total Government Bonds				2,885,317,424		77.11	%
Total United States				2,885,317,424		77.11	%
Total Investments in Fixed Income Securities			$	2,885,317,424		77.11	%

Cash Assets reports the fair value of its investment related assets and liabilities in accordance with the hierarchy established under U.S. GAAP. The following table shows the fair value classification of each investment type held by Cash Assets as of March 31, 2016 and December 31, 2015:

	March 31, 2016		December 31, 2015
Assets
Level 2:
Fixed income securities
Government Bonds	$	3,457,711,074	$	2,885,317,424
Total fixed income securities		3,457,711,074		2,885,317,424
Total Level 2		3,457,711,074		2,885,317,424
Total assets	$	3,457,711,074	$	2,885,317,424

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.

47

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

5. Capital Accounts (continued)

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 three months ended March 31, 2016 and 2015, 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.

Sponsor Fees

For the three months ended March 31, 2016 and 2015, 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%

48

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

6. Fees and Related Party Transactions (continued)

Incentive Allocation

At the end of each calendar quarter, Graham Capital LLC, an affiliate of the Manager, will receive a special allocation of net profits (the “Incentive Allocation”) in an amount equal to 20% of the New High Net Trading Profits of each Class as defined in the LLC Agreement. The Incentive Allocation is also accrued and allocable on the date of redemption with respect to any Units that are redeemed prior to the end of a calendar quarter. Additionally, any loss carryforward attributable to any class of GAIT shall be proportionately reduced effective as of the date of any redemption of any Units of such class by multiplying the loss carryforward by the ratio that the amount of assets redeemed from such class bears to the net assets of such class immediately prior to such redemption. The loss carryforward of a class must be recouped before any subsequent Incentive Allocation can be made. The Incentive Allocation was $0 and $2,920,022 for the three months ended March 31, 2016 and 2015, respectively.

Administrator’s Fee

For the three months ended March 31, 2016 and 2015, 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 three months ended March 31, 2016 and 2015 were $55,952 and $62,256, respectively, of which $18,272 and $21,701 was accrued as of March 31, 2016 and 2015, 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.

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 2013 through 2015 or expected to be taken in GAIT’s 2016 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.

49

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

8. Financial Highlights

The following is the per Unit operating performance calculation for the three months ended March 31, 2016 and 2015:

	Class 0			Class 2
Per unit operating performance
Net asset value per unit, December 31, 2014	$	149.37		$	113.58
Net income:
Net investment loss		(1.04	)		(1.41	)
Net gain on investments		11.60			8.95
Net income		10.56			7.54
Net asset value per unit, March 31, 2015	$	159.93		$	121.12

Net asset value per unit, December 31, 2015	$	147.34		$	109.91
Net loss:
Net investment loss		(0.84	)		(1.18	)
Net loss on investments		(2.78	)		(2.05	)
Net loss		(3.62	)		(3.23	)
Net asset value per unit, March 31, 2016	$	143.72		$	106.68

The following represents ratios to average members’ capital, excluding the Managing Member, and total return for the three months ended March 31, 2016 and 2015:

	Class 0						Class 2
	2016			2015			2016			2015
Total return before Incentive Allocation		(2.46	)%		8.84	%		(2.94	)%		8.31	%
Incentive Allocation		0.00			(1.77	)		0.00			(1.67	)
Total return after Incentive Allocation		(2.46	)%		7.07	%		(2.94	)%		6.64	%
Net investment loss before Incentive Allocation		(0.57	)%		(0.67	)%		(1.07	)%		(1.18	)%
Incentive Allocation		0.00			(1.69	)		0.00			(1.60	)
Net investment loss after Incentive Allocation		(0.57	)%		(2.36	)%		(1.07	)%		(2.78	)%
Total expenses before Incentive Allocation		0.68	%		0.73	%		1.18	%		1.25	%
Incentive Allocation		0.00			1.69			0.00			1.60
Total expenses after Incentive Allocation		0.68	%		2.42	%		1.18	%		2.85	%

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 months ended March 31, 2016 and 2015.

50

Graham Alternative Investment Trading LLC

Notes to Unaudited Financial Statements (continued)

9. Subsequent Events

GAIT had subscriptions of approximately $1.4 million and redemptions of approximately $1.4 million from April 1, 2016 through May 16, 2016, the date through which subsequent events were evaluated by management. These amounts have not been included in the financial statements.

51

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

Forward-Looking Statements

Certain statements within this Quarterly Report on Form 10-Q may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 (“PSLRA”). These statements are being made pursuant to the PSLRA, with the intention of obtaining the benefits of the “safe harbor” provisions of the PSLRA, and, other than as required by law, we assume no obligation to update or supplement such statements. Forward-looking statements are those that do not relate solely to historical facts. They include, but are not limited to, any statement that may predict, forecast, indicate or imply future results, performance, achievements or events. You can identify these statements by the use of words such as “may,” “will,” “could,” “anticipate,” “believe,” “estimate,” “expect,” “intend,” “predict,” “continue,” “further,” “seek,” “plan,” or “project” and variations of these words or comparable words or phrases of similar meaning. These forward-looking statements reflect our current beliefs and expectations with respect to future events and are based on assumptions and are subject to risks and uncertainties and other factors outside our control that may cause actual results to differ materially from those projected. 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 consolidated financial statements and the notes thereto for the fiscal year ended December 31, 2015 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 30, 2016. 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 II, 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 March 31, 2016, the Blended Strategies Portfolio’s net asset value decreased by $3,008,829 or -3.9% over the corresponding period of the preceding year. The net decrease in the Blended Strategies Portfolio was attributable to total subscriptions of $347,000 or 0.5% offset by redemptions totaling $1,432,396 or -1.9% and a net loss of $1,923,433 or -2.5%, for the period.

For the three months ended March 31, 2015, the Blended Strategies Portfolio’s net asset value increased by $5,379,246 or 6.8% over the corresponding period of the preceding year. The net increase in the Blended Strategies Portfolio was attributable to total subscriptions of $734,544 or 0.9% and net income of $5,476,983 or 7.0% partially offset by redemptions totaling $832,281 or -1.1% for the period.

(i) Results of Operations

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

52

2016 Summary

Three Months Ended March 31, 2016

For the three months ended March 31, 2016, the Blended Strategies Portfolio experienced net trading losses of $1,272,987. The trading results are attributable to the following sectors:

Agriculture / Softs	$	(417,278	)
Base metals		(300,838	)
Energy		1,327,254
Equities		(599,313	)
Foreign exchange		(1,068,773	)
Long term / Intermediate rates		17,966
Precious metals		(265,453	)
Short term rates		33,448
	$	(1,272,987	)

The Blended Strategies Portfolio recorded a net loss for the first quarter of 2016. The majority of the losses resulted from positions in foreign exchange, particularly from a long bias in the U.S. dollar versus the euro with smaller losses in the Swiss franc, Japanese yen, New Zealand dollar, and emerging market currencies. Smaller losses resulted in equity index futures, particularly in the U.S. and Asia as prices reversed during the period. The portfolio finished the period relatively flat in fixed income futures as gains in European bonds were offset by losses in the U.S. In commodities, the Blended Strategies Portfolio recorded profits in the energy complex, primarily due to positions in crude oil and natural gas.

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

For the three months ended March 31, 2016, Advisory Fees decreased by $33,759 or -9.2%, Sponsor Fees decreased by $28,290 or -10.7%, and Administrator’s Fees decreased by $2,783 or -9.6% 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 redemptions and a net loss partially offset by subscriptions for the period. During the same period, interest income increased by $31,203 or 59.8%. Interest was earned on free cash at an average annualized yield of 0.48% for the three months ended March 31, 2016 compared to 0.30% for the same period in 2015.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2016, the Incentive Allocation decreased by $1,369,198 over the corresponding period of the preceding year. This was the result of a net loss before incentive allocation for the three months ended March 31, 2016 compared to a net gain before incentive allocation for the three months ended March 31, 2015.

53

The following table illustrates the sector distribution of the Fund’s investments in Master Funds as of March 31, 2016 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	40.0	%
Base metals	(55.3	)%
Energy	(75.2	)%
Equities	52.2	%
Foreign exchange	75.7	%
Long term / Intermediate rates	(4.9	)%
Precious metals	5.3	%
Short term rates	62.2	%
	100.0	%

2015 Summary

Three Months Ended March 31, 2015

For the three months ended March 31, 2015, the Blended Strategies Portfolio experienced net trading gains of $7,605,532. The trading results are attributable to the following sectors:

Agriculture / Softs	$	203,561
Base metals		(32,697	)
Energy		(273,917	)
Equities		2,014,310
Foreign exchange		4,563,462
Long term / Intermediate rates		1,049,016
Precious metals		(426,479	)
Short term rates		508,276
	$	7,605,532

The Blended Strategies Portfolio recorded a net gain for the first quarter of 2015. The portfolio recorded gains from positions in foreign exchange, particularly from a long bias in the U.S. dollar versus the Euro, Canadian dollar, British sterling and Australian dollar. Additional gains resulted from long positions in Asian and European equity index futures as prices rallied during the quarter. In long term / intermediate rates, the portfolio recorded more gains from positions in European, Canadian and Australian bond futures. The portfolio experienced losses in commodities as gains from trading natural gas, copper and wheat were offset by losses in precious metals, gas oil and heating oil.

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

For the three months ended March 31, 2015, Advisory Fees increased by $58,986 or 19.2%, Sponsor Fees increased by $45,671 or 20.8%, and Administrator’s Fees increased by $5,951 or 25.8% in the Fund over the corresponding period of the preceding year. These increases are all attributable to higher net assets of the portfolio resulting from subscriptions and net income partially offset by redemptions for the period. During the same period, interest income increased by $14,325 or 37.8%. Interest was earned on free cash at an average annualized yield of 0.30% for the three months ended March 31, 2015 compared to 0.26% for the same period in 2014.

54

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended March 31, 2015 the Incentive Allocation increased by $1,369,198 over the corresponding period of the preceding year. This was the result of a higher net gain before incentive allocation for the three months ended March 31, 2015 compared to the three months ended March 31, 2014. For the three months ended March 31, 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 March 31, 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	14.6	%
Base metals	(6.6	)%
Energy	26.7	%
Equities	32.8	%
Foreign exchange	(26.1	)%
Long term / Intermediate rates	54.3	%
Precious metals	(4.7	)%
Short term rates	9.0	%
	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.

(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.

55

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

	Blended Strategies  Portfolio
March 31, 2016	10.08%
December 31, 2015	10.48%
March 31, 2015	11.28%

Other than any potential market-imposed limitations on liquidity, the Fund’s assets are highly liquid and are expected to remain so. Market-imposed limitations, when they occur, can be due to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Fund’s futures trading. Through March 31, 2016, 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 II LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Blended Strategies Portfolio, except where otherwise noted.

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

56

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 2013 through 2015 or expected to be taken in the Fund’s 2016 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.

57

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.

58

Item 4. Controls and Procedures

Evaluation of Disclosure Control and Procedures

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

Based on their evaluation as of March 31, 2016, the Manager, along with the Manager’s principal executive officer and principal financial officer, has concluded that the Fund’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended) were effective.

Changes in Internal Control Over Financial Reporting

There were no changes to the Fund’s internal control over financial reporting during the first quarter of 2016 that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

59

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 March 31, 2016, the Fund issued 2,622.677 Units in exchange for $347,000 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 during each month of the quarter covered by this report.

Period (as of)	Blended Strategies Portfolio Total Number of Units Issued
January 2016		1,821.423
February 2016		0.000
March 2016		801.254

Issuer Purchases of Units

Date	(a) Total Number of Units Purchased1		(b) Average Price Paid per Unit		(c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs		(d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs
January 1 - January 31, 2016		2,644.649		147.95		N/A		N/A
February 1 - February 29, 2016		5,746.434		143.99		N/A		N/A
March 1 - March 31, 2016		1,651.988		129.35		N/A		N/A
TOTAL		10,043.071		142.63		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

60

Item 6. Exhibits

** 3.1	Certificate of Formation of Graham Alternative Investment Fund II LLC
* 3.2	Amendment to Certificate of Formation of Graham Alternative Investment Fund II LLC
* 4.1	Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II 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

61

SIGNATURES

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

Dated:  May 16, 2016		GRAHAM ALTERNATIVE INVESTMENT FUND II 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

62