The fund posted slim net income of roughly $275,000 for the year while navigating a significant shift in its senior investment leadership.

March 27, 2026

Graham Alternative Investment Fund II LLC’s Core Macro Portfolio, managed by Rowayton, Connecticut-based Graham Capital Management, reported net income of approximately $274,917 for the fiscal year ended December 31, 2025 — a sharp decline from the prior year’s $1.6 million gain. The annual report provides a detailed look at how the multi-strategy macro hedge fund navigated a mixed trading environment while undergoing a significant change at the top of its leadership structure.

The fund’s total members’ capital fell to roughly $30.7 million at year-end 2025, down from approximately $35.5 million at the close of 2024 — a decline of about 13.5%. That drop was driven largely by net redemptions of roughly $7.1 million, which far outpaced new subscriptions of about $2 million. The modest net income for the year was not enough to offset the capital outflows.

Leadership Changes

As previously reported, Pablo Calderini departed the firm in early 2026 after serving as Co-Chief Investment Officer. However, the annual report reflects that as of December 31, 2025, Calderini still held the title of Vice Chairman and Co-Chief Investment Officer and remained a member of the firm’s Investment Committee. The report also reveals that Jens Foehrenbach joined Graham Capital in February 2025 as President and Co-Chief Investment Officer, sharing oversight responsibilities with Calderini for the firm’s discretionary and systematic portfolio management teams. Foehrenbach previously spent over 16 years at Man Group, most recently serving as Head of Public Markets within Discretionary Investments. His addition to the Investment Committee was made effective February 7, 2025.

Brian Douglas continues to serve as Chief Executive Officer of Graham Capital Management, a role he has held since October 2021. The firm, founded by Kenneth G. Tropin in 1994, reported approximately 252 personnel and over $20 billion in managed assets as of March 2026.

Trading Performance by Sector

The Core Macro Portfolio’s 2025 trading results were mixed across sectors. The strongest contributor was precious metals, which generated gains of approximately $2.55 million, driven primarily by long positions. Base metals also contributed positively, adding roughly $400,000. On the other side, the portfolio suffered notable losses in foreign exchange — about $1.9 million — resulting from mixed currency positions across the Swiss franc, euro, Australian dollar, and British pound. Energy trading also produced losses of roughly $935,000, while fixed income positions in the U.S., U.K., and Canada detracted by approximately $338,000.

This sector performance stood in contrast to the prior year, when the portfolio earned over $1.4 million in trading gains, with foreign exchange serving as the leading profit center at roughly $1.6 million. In 2024, long positions in the U.S. dollar against various global currencies were the primary driver, while fixed income was again a source of losses.

Strategy and Portfolio Allocation

The Core Macro Portfolio targets a roughly 50/50 split between Graham Capital’s Discretionary Trading Program and its systematic K4D Program. The manager retains full discretion to alter these allocations without notice to investors. As of year-end 2025, the fund’s sector distribution showed the largest allocation in short-term rates at approximately 42.9%, followed by precious metals at 14.8%, equities at 11.1%, and long-term/intermediate rates at 11.0%.

The fund’s investment vehicle structure remained unchanged. GAIF II invests through Graham Alternative Investment Ltd., an offshore feeder entity, into Graham Alternative Investment Trading LLC, which in turn allocates capital across several master funds — Graham Commodity Strategies LLC, Graham Derivatives Strategies LLC, and Graham K4D Trading Ltd. — as well as Graham Cash Assets LLC for cash management.

Fees, Expenses, and Interest Income

Interest income earned on free cash totaled roughly $1.36 million for 2025, down from approximately $1.61 million in 2024, reflecting a decline in the average annualized yield from about 4.97% to 4.21%. Total fund expenses, including advisory fees of approximately $556,000, sponsor fees of about $219,000, and professional fees of roughly $269,000, consumed a significant portion of investment returns. The incentive allocation to Graham Capital LLC dropped sharply to about $27,700, down from roughly $191,000 in 2024, due to lower trading profits.

AI Adoption and Risk Disclosure

The report includes new disclosure regarding the firm’s use of artificial intelligence. Graham Capital noted that as of January 2026, AI tools — including large language models and machine learning — have been implemented to varying degrees to improve employee productivity and automate routine tasks. The firm acknowledged that AI is being used to a more limited extent in research and investment processes, though it cautioned that the outputs of such tools could contain errors and that any use subjects the fund to inherent risks.

Outlook and Subsequent Activity

Margin requirements for the Core Macro Portfolio increased to approximately 13.77% for 2025, up from 11.17% in 2024. As of March 1, 2026, 157,893.710 units were outstanding across four classes with a combined 178 holders. Class 0 units posted a total return of 1.15% for the year, Class 2 returned 0.40%, Class 3-A returned 1.26%, and Class 3-B returned 0.58% after incentive allocations.

Subsequent to year-end, the fund reported additional subscriptions of roughly $190,000 and redemptions of approximately $1 million through March 26, 2026, signaling that the trend of net capital outflows continued into the new year. The audited financial statements were reviewed by Ernst & Young LLP, which issued an unqualified opinion and identified no critical audit matters.