Quarterly Report for Quarter Ending September 30, 2025 (Form 10-Q)

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, including the risks and uncertainties described in our Annual Report on Form 10-K for the year ended December 31, 2024 and in this Quarterly Report under the headings "Risk Factors" and "Management's Discussion and Analysis of Financial Condition and Results of Operations." We undertake no obligation to update publicly or review any forward-looking statement, whether as a result of new information, future developments or otherwise.

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

The following is a discussion of our current financial position and results of operations. This discussion should be read together with our annual financial statements and the notes thereto for the fiscal year ended December 31, 2024 included in our Annual Report on Form 10-K, as filed with the Securities and Exchange Commission on March 26, 2025. This discussion should also be read in conjunction with "Item 1: Financial Statements", included in this Quarterly Report on Form 10-Q. 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 Core Macro Portfolio of GAIF I, GAIT, and the Master Funds in which they invest, unless the context implies otherwise. The Fund does not engage in the sale of goods or services. The Fund's capital consists of capital contributions of the members, as increased or decreased by gains and losses from its investments in the Master Funds, interest, expenses, and redemptions. Its only assets are its investments in the Master Funds. The Master Funds do not engage in the sale of goods or services. Their assets are comprised of fixed income positions, 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 September 30, 2025, the Core Macro Portfolio's Members' Capital decreased by $754,621 or -2.5%. The net decrease in the Core Macro Portfolio was attributable to net loss of $857,934 or -2.9% and redemptions totaling $860,664 or -2.8%, offset by subscriptions of $963,977 or 3.2% for the period.

For the nine months ended September 30, 2025, the Core Macro Portfolio's Members' Capital increased by $1,475,281 or 5.2%. The net increase in the Core Macro Portfolio was attributable to subscriptions of $4,448,977 or 15.7%, offset by net loss of $169,877 or -0.6% and redemptions totaling $2,803,819 or -9.9% for the period.

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For the three months ended September 30, 2024, the Core Macro Portfolio's Members' Capital increased by $151,931 or 0.5%. The net increase in the Core Macro Portfolio was attributable to subscriptions of $1,810,000 or 6.5%, offset by redemptions totaling $285,594 or -1.0% and a net loss of $1,372,475 or -5.0%, for the period.

For the nine months ended September 30, 2024, the Core Macro Portfolio's Members' Capital decreased by $472,462 or -1.7%. The net decrease in the Core Macro Portfolio was attributable to redemptions totaling $3,695,313 or -12.9% offset by net income of $815,851 or 2.8% and subscriptions of $2,407,000 or 8.4%, 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.

2025 Summary

Three Months Ended September 30, 2025

For the three months ended September 30, 2025, the Core Macro Portfolio experienced a net trading loss of $898,358. The trading results are attributable to the following sectors:

The Core Macro Portfolio recorded trading losses in the third quarter of 2025. In fixed income, curve steepener positions in the U.S. and long positions on the front end and belly of the European yield curve led to losses. The portfolio experienced losses in currencies mainly from long exposure to the euro versus the U.S. dollar. In equities, long positions in European benchmark indices and short positions in the S&P 500 led to losses, which were partially offset by gains from long positions in the Hang Seng Index and U.K. benchmark indices. The portfolio delivered gains in commodities from long positions in precious metals and coffee, with additional gains from short positions in grains.

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 September 30, 2025, Advisory Fees increased by $12,604 or 11.7%, Sponsor Fees decreased by $6,716 or -12.8%, and Administrator's Fees increased by $2,490 or 28.5% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $6,376 or 2.2%. Interest was earned on free cash at an average annualized yield of 4.16% for the three months ended September 30, 2025 compared to 4.24% for the same period in 2024.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the three months ended September 30, 2025 and 2024, the Incentive Allocation was $0 and $0, respectively. For the three months ended September 30, 2025 and 2024, the portfolio has not yet recovered previous losses.

The following table illustrates the sector distribution of the Fund's investments in Master Funds as of September 30, 2025 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.

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Nine Months Ended September 30, 2025

For the nine months ended September 30, 2025, the Core Macro Portfolio experienced a net trading loss of $261,278. The trading results are attributable to the following sectors:

The Core Macro Portfolio recorded modest trading losses during the first three quarters of 2025. Most of the losses were concentrated in currencies due to short positions in the Swiss franc versus the U.S. dollar during the first half of the year, short positions in the euro versus the U.S. dollar during the first quarter, long positions in the euro versus the U.S. dollar in the third quarter, mixed positions in the Japanese yen and the Australian dollar versus the U.S. dollar, and short positions in the British pound sterling, the Chinese yuan, and the Canadian dollar versus the U.S. dollar. In fixed income, curve steepener positions in the U.S., mixed positions in U.K. gilts, and short positions in Japanese government bonds led to losses. The portfolio recorded modest gains in equities due to long positions in the Hang Seng Index, U.K. benchmark indices, and U.S. benchmark indices. In commodities, long positions in precious metals and copper resulted in gains, which were partially offset by losses from positions in energy, particularly in early April following the U.S. tariff announcements and in mid-June when conflict between Israel and Iran drove significant volatility in energy markets.

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 nine months ended September 30, 2025, Advisory Fees increased by $28,328 or 8.7%, Sponsor Fees decreased by $28,665 or -17.2%, and Administrator's Fees increased by $6,494 or 24.3% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income decreased by $103,895 or -10.5%. Interest was earned on free cash at an average annualized yield of 4.19% for the nine months ended September 30, 2025 compared to 4.73% for the same period in 2024.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2025 and 2024, the Incentive Allocation was $20,502 and $141,677, respectively. The decrease was the result of a lower New High Trading Profits before incentive allocation for the nine months ended September 30, 2025 compared to the nine months ended September 30, 2024.

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2024 Summary

Three Months Ended September 30, 2024

For the three months ended September 30, 2024, the Core Macro Portfolio experienced a net trading loss of $1,444,016. The trading results are attributable to the following sectors:

The Core Macro Portfolio posted trading losses in the third quarter of 2024, particularly during July and early August when global markets experienced significant short-term volatility and sharp reversals. Currencies were the weakest performing sector due to long exposure to the U.S. dollar versus several global counterparts, including the euro, Chinese yuan, Japanese yen, and Swiss franc. In equities, mixed long and short positioning in U.S. benchmark indices and long positions in Japanese and European benchmark indices led to losses. The portfolio recorded losses in fixed income from trading long and short across the yield curves in the U.S. and Europe. In commodities, long positions in metals and coffee drove gains, which were partially offset by losses from mixed long and short positions in various energy markets.

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 September 30, 2024, Advisory Fees decreased by $6,880 or -6.0%, Sponsor Fees decreased by $10,924 or -17.3%, and Administrator's Fees decreased by $885 or -9.2% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income decreased by $30,802 or -9.5%. Interest was earned on free cash at an average annualized yield of 4.24% for the three months ended September 30, 2024 compared to 4.49% for the same period in 2023.

The following table illustrates the sector distribution of the Fund's investments in Master Funds as of September 30, 2024 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.

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Nine Months Ended September 30, 2024

For the nine months ended September 30, 2024, the Core Macro Portfolio experienced a net trading gain of $693,194. The trading results are attributable to the following sectors:

The Core Macro Portfolio recorded trading gains year-to-date through Q3 2024. Commodities were the top performing sector due to long positions in gold, copper, and soft commodities. In equities, long positions in Japanese benchmark indices and the NASDAQ Index led to gains. Mixed long and short positions across the U.S. yield curve led to profits in fixed income, which were partially offset by losses from mixed positions across the European yield curve. In currencies, losses resulted mainly from long exposure to the U.S. dollar versus the euro and the Chinese yuan during the third quarter, as well as from long positions in the Mexican peso versus the U.S. dollar and mixed positions in the New Zealand dollar and Australian dollar.

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 nine months ended September 30, 2024, Advisory Fees decreased by $3,677 or -1.1%, Sponsor Fees decreased by $16,457 or -9.0%, and Administrator's Fees decreased by $1,113 or -4.0% in the Fund over the corresponding period of the preceding year. The movements are consistent with the timing of profit and loss and capital activity during the quarter. During the same period, interest income increased by $233,489 or 30.9%. Interest was earned on free cash at an average annualized yield of 4.73% for the nine months ended September 30, 2024 compared to 3.52% for the same period in 2023.

The Incentive Allocation is based on the New High Net Trading Profits of the portfolio. For the nine months ended September 30, 2024 and 2023, the Incentive Allocation was $141,677 and $302,450, respectively. The decrease was the result of a lower New High Trading Profits before incentive allocation for the nine months ended September 30, 2024 compared to the nine months ended September 30, 2023.

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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 fixed income positions, 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.

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:

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 September 30, 2025, the Fund experienced no meaningful periods of illiquidity in any of the markets traded by the Manager on behalf of the Fund.

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(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 Estimates

Presentation- Graham Alternative Investment Fund I LLC is a series Limited Liability Company under Delaware law. The financial statements and corresponding footnotes are presented solely for the Core Macro 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.

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 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 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 Master Funds record all their financial instruments at fair value, which is derived in accordance with U.S. GAAP. Unrealized appreciation and depreciation 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 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 Codification Topic 946 Update 2013-08, Financial Services - Investment Companies, 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.

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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 all open tax years. The Manager is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will change materially in the next twelve months. Tax years which are considered open by the relevant jurisdiction are subject to potential examination.

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