UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-09205
Advantage Advisers Xanthus Fund, L.L.C.
(Exact name of registrant as specified in charter)
85 Broad Street
New York, NY 10004
(Address of principal executive offices) (Zip code)
Kenneth S. Gerstein, Esq.
Schulte Roth & Zabel LLP
919 3rd Avenue, 24th Floor
New York, NY 10122
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-667-4225
Date of fiscal year end:December 31
Date of reporting period:December 31, 2019
Explanatory Note:Advantage Advisers Xanthus Fund, L.L.C. is filing this amendment to its Form N-CSR for the fiscal period ended December 31, 2019, originally filed with the Securities and Exchange Commission on March 4, 2020 (Accession Number 0001104659-20-029124). The sole purpose of this amendment is to update Items 4(e)(2), 8(a)(1), 8(a)(3) and 11(b) of Form N-CSR as well as Item 4(d) in the Certifications Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act. Except as set forth above, this amendment does not amend, update or change any other items or disclosures found in the original N-CSR filing.
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Xanthus Fund, L.L.C.
with Report of Independent
Registered Public Accounting Firm
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Advantage Advisers Xanthus Fund, L.L.C.
February 27, 2020
Statement of Assets, Liabilities and Members’ Capital
| | | December 31, 2019 | | |||
Assets | | | |||||
Investments in securities, at fair value (cost $1,383,140,773) | | | | $ | 2,193,188,995 | | |
Purchased options, at fair value (cost of $124,146,211) | | | | | 126,013,990 | | |
Cash and cash equivalents (including United States Dollars of $264,331,843 and Hong Kong Dollars of $4,587,979 with a cost of $4,566,641 of which $112,860,213 is restricted cash) | | | | | 268,919,822 | | |
Due from broker (including United States Dollars of $482,874,513, Canadian Dollars of $967,068 with a cost of $943,885, Euros of $402,334 with a cost of $395,470, Hong Kong Dollars of $12,696,275 with a cost of $12,659,608 and Japanese Yen of $10,039,919 with a cost of $9,958,681) | | | | | 506,980,109 | | |
Receivable for investment securities sold | | | | | 199,331,804 | | |
Unrealized gain on total return swap contracts | | | | | 86,189,982 | | |
Dividends receivable | | | | | 3,182,996 | | |
Interest receivable | | | | | 1,357,847 | | |
Other assets | | | | | 126,971 | | |
Total assets | | | | | 3,385,292,516 | | |
Liabilities | | | |||||
Securities sold, not yet purchased, at fair value (proceeds $1,019,983,379) | | | | | 1,004,565,716 | | |
Withdrawals payable (see note 3) | | | | | 158,297,725 | | |
Payable for investment securities purchased | | | | | 119,917,270 | | |
Due to broker (including United States Dollars of $74,770,150, Euros of $4,247 with a cost of $4,247 and Japanese Yen of $1,132,776 with a cost of $1,123,377) | | | | | 75,907,173 | | |
Unrealized loss on total return swap contracts | | | | | 13,311,573 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,713,553 | | |
Accounting and investor services fees payable | | | | | 198,378 | | |
Accrued expenses | | | | | 2,706,643 | | |
Total liabilities | | | | | 1,376,618,031 | | |
Members’ Capital | | | | $ | 2,008,674,485 | | |
Members’ Capital | | | |||||
Represented by: | | | |||||
Net capital contributions | | | | $ | 975,920,336 | | |
Total earnings (loss) | | | | | 1,032,754,149 | | |
Members’ Capital | | | | $ | 2,008,674,485 | | |
Schedule of Portfolio Investments
| Shares | | | | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Investment in Securities – 109.19% | ��� | | | | | | | | | | | | |
| | | | | | | Common Stock – 109.19% | | | | ||||||||||
| | | | | | | United States – 79.92% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 5.93% | | | | | | | | | | | | | |
| | | 76,838 | | | | Northrop Grumman Corp. | | | | | | | | | | $ | 26,429,967 | | |
| | | 86,895 | | | | Raytheon Co. | | | | | | | | | | | 19,094,307 | | |
| | | 98,245 | | | | The Boeing Co. | | | | | (a) | | | | | | 32,004,291 | | |
| | | 74,436 | | | | Transdigm Group, Inc.* | | | | | | | | | | | 41,684,160 | | |
| | | | | | | | | | | | | | | | | | 119,212,725 | | |
| | | | | | | Applications Software – 4.85% | | | | | | | | | | | | | |
| | | 77,555 | | | | Elastic NV* | | | | | | | | | | | 4,986,787 | | |
| | | 393,530 | | | | Five9, Inc.* | | | | | | | | | | | 25,807,697 | | |
| | | 270,776 | | | | Microsoft Corp. | | | | | (a) | | | | | | 42,701,375 | | |
| | | 531,321 | | | | Smartsheet, Inc., Class A* | | | | | | | | | | | 23,866,939 | | |
| | | | | | | | | | | | | | | | | | 97,362,798 | | |
| | | | | | | Building Products - Cement / Aggregate – 2.31% | | | | | | | | | | | | | |
| | | 79,748 | | | | Martin Marietta Materials, Inc. | | | | | (a) | | | | | | 22,300,731 | | |
| | | 167,823 | | | | Vulcan Materials Co.* | | | | | | | | | | | 24,164,834 | | |
| | | | | | | | | | | | | | | | | | 46,465,565 | | |
| | | | | | | Coatings / Paint – 0.80% | | | | | | | | | | | | | |
| | | 27,557 | | | | The Sherwin – Williams Co. | | | | | | | | | | | 16,080,612 | | |
| | | | | | | Commercial Services – 0.73% | | | | | | | | | | | | | |
| | | 54,375 | | | | Cintas Corp. | | | | | | | | | | | 14,631,225 | | |
| | | | | | | Commercial Services - Finance – 4.52% | | | | | | | | | | | | | |
| | | 369,389 | | | | Avalara, Inc.* | | | | | (a) | | | | | | 27,057,744 | | |
| | | 240,950 | | | | Global Payments, Inc. | | | | | (a) | | | | | | 43,987,832 | | |
| | | 30,594 | | | | S&P Global, Inc. | | | | | | | | | | | 8,353,692 | | |
| | | 133,502 | | | | TransUnion | | | | | | | | | | | 11,429,106 | | |
| | | | | | | | | | | | | | | | | | 90,828,374 | | |
| | | | | | | Computer Aided Design – 11.21% | | | | | | | | | | | | | |
| | | 168,139 | | | | Altair Engineering, Inc., Class A* | | | | | | | | | | | 6,037,872 | | |
| | | 84,242 | | | | ANSYS, Inc.* | | | | | | | | | | | 21,684,733 | | |
| | | 384,052 | | | | Aspen Technology, Inc.* | | | | | (a) | | | | | | 46,443,408 | | |
| | | 94,323 | | | | Autodesk, Inc.* | | | | | | | | | | | 17,304,498 | | |
| | | 992,453 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 68,836,540 | | |
| | | 465,864 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 64,848,269 | | |
| | | | | | | | | | | | | | | | | | 225,155,320 | | |
| | | | | | | Computer Services – 0.48% | | | | | | | | | | | | | |
| | | 232,385 | | | | Parsons Corp.* | | | | | | | | | | | 9,592,853 | | |
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Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Computer Software – 2.02% | | | | | | | | | | | | | |
| | | 660,398 | | | | SS&C Technologies Holdings, Inc. | | | | | (a) | | | | | $ | 40,548,437 | | |
| | | | | | | Data Processing / Management – 1.01% | | | | | | | | | | | | | |
| | | 146,310 | | | | Fidelity National Information Services, Inc. | | | | | | | | | | | 20,350,258 | | |
| | | | | | | E-Commerce / Products – 3.33% | | | | | | | | | | | | | |
| | | 36,175 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 66,845,612 | | |
| | | | | | | Electronic Components - Semiconductors – 1.31% | | | | | | | | | | | | | |
| | | 270,394 | | | | Xilinx, Inc. | | | | | | | | | | | 26,436,421 | | |
| | | | | | | Enterprise Software / Services – 3.65% | | | | | | | | | | | | | |
| | | 235,046 | | | | Alteryx, Inc., Class A* | | | | | | | | | | | 23,521,053 | | |
| | | 229,749 | | | | Ceridian HCM Holding, Inc.* | | | | | | | | | | | 15,595,362 | | |
| | | 225,739 | | | | Coupa Software, Inc.* | | | | | (a) | | | | | | 33,014,329 | | |
| | | 30,405 | | | | Datadog, Inc., Class A* | | | | | | | | | | | 1,148,701 | | |
| | | | | | | | | | | | | | | | | | 73,279,445 | | |
| | | | | | | Entertainment Software – 2.55% | | | | | | | | | | | | | |
| | | 582,985 | | | | Activision Blizzard, Inc. | | | | | (a) | | | | | | 34,640,969 | | |
| | | 94,407 | | | | Electronic Arts, Inc.* | | | | | | | | | | | 10,149,696 | | |
| | | 52,428 | | | | Take-Two Interactive Software, Inc.* | | | | | | | | | | | 6,418,760 | | |
| | | | | | | | | | | | | | | | | | 51,209,425 | | |
| | | | | | | Finance - Credit Card – 4.09% | | | | | | | | | | | | | |
| | | 139,756 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 41,729,744 | | |
| | | 214,759 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 40,353,216 | | |
| | | | | | | | | | | | | | | | | | 82,082,960 | | |
| | | | | | | Finance - Investment Banker / Broker – 0.65% | | | | | | | | | | | | | |
| | | 282,758 | | | | Tradeweb Markets, Inc., Class A | | | | | | | | | | | 13,105,833 | | |
| | | | | | | Finance - Other Services – 3.59% | | | | | | | | | | | | | |
| | | 73,982 | | | | CME Group, Inc. | | | | | | | | | | | 14,849,667 | | |
| | | 618,304 | | | | Intercontinental Exchange Group, Inc. | | | | | (a) | | | | | | 57,224,035 | | |
| | | | | | | | | | | | | | | | | | 72,073,702 | | |
| | | | | | | Human Resources – 0.73% | | | | | | | | | | | | | |
| | | 122,300 | | | | Paylocity Holding Corp.* | | | | | | | | | | | 14,776,286 | | |
| | | | | | | Internet Application Software – 2.72% | | | | | | | | | | | | | |
| | | 478,885 | | | | Anaplan, Inc.* | | | | | | | | | | | 25,093,574 | | |
| | | 256,531 | | | | Okta, Inc.* | | | | | | | | | | | 29,595,982 | | |
| | | | | | | | | | | | | | | | | | 54,689,556 | | |
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Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Internet Content - Entertainment – 3.36% | | | | | | | | | | | | | |
| | | 328,467 | | | | Facebook, Inc. – Class A* | | | | | (a) | | | | | $ | 67,417,852 | | |
| | | | | | | Internet Telephony – 3.05% | | | | | | | | | | | | | |
| | | 363,015 | | | | RingCentral, Inc., Class A* | | | | | (a) | | | | | | 61,229,740 | | |
| | | | | | | Linen Supply & Related Items – 0.11% | | | | | | | | | | | | | |
| | | 11,346 | | | | UniFirst Corp/MA | | | | | | | | | | | 2,291,665 | | |
| | | | | | | Medical - Biomedical / Genetics – 2.70% | | | | | | | | | | | | | |
| | | 108,551 | | | | Acceleron Pharma, Inc.* | | | | | | | | | | | 5,755,374 | | |
| | | 83,084 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 1,844,049 | | |
| | | 80,728 | | | | Alnylam Pharmaceuticals, Inc.* | | | | | | | | | | | 9,297,444 | | |
| | | 83,185 | | | | Applied Therapeutics, Inc.* | | | | | | | | | | | 2,269,287 | | |
| | | 63,789 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 5,110,137 | | |
| | | 79,766 | | | | Deciphera Pharmaceuticals, Inc.* | | | | | | | | | | | 4,964,636 | | |
| | | 518,053 | | | | Immunomedics, Inc.* | | | | | | | | | | | 10,962,002 | | |
| | | 113,402 | | | | Magenta Therapeutics, Inc.* | | | | | | | | | | | 1,719,174 | | |
| | | 113,213 | | | | Stemline Therapeutics, Inc.* | | | | | | | | | | | 1,203,454 | | |
| | | 258,548 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | (a) | | | | | | 11,042,585 | | |
| | | | | | | | | | | | | | | | | | 54,168,142 | | |
| | | | | | | Medical - Drugs – 0.57% | | | | | | | | | | | | | |
| | | 187,114 | | | | TG Therapeutics, Inc.* | | | | | | | | | | | 2,076,965 | | |
| | | 139,709 | | | | Tricida, Inc.* | | | | | | | | | | | 5,272,618 | | |
| | | 66,339 | | | | Turning Point Therapeutics, Inc.* | | | | | | | | | | | 4,132,256 | | |
| | | | | | | | | | | | | | | | | | 11,481,839 | | |
| | | | | | | REITs - Diversified – 3.84% | | | | | | | | | | | | | |
| | | 152,563 | | | | American Tower Corp. | | | | | | | | | | | 35,062,029 | | |
| | | 71,964 | | | | Equinix, Inc. | | | | | | | | | | | 42,005,387 | | |
| | | | | | | | | | | | | | | | | | 77,067,416 | | |
| | | | | | | Retail - Restaurants – 2.06% | | | | | | | | | | | | | |
| | | 33,425 | | | | Chipotle Mexican Grill, Inc.* | | | | | (a) | | | | | | 27,980,402 | | |
| | | 132,577 | | | | Yum! Brands, Inc. | | | | | | | | | | | 13,354,481 | | |
| | | | | | | | | | | | | | | | | | 41,334,883 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 1.85% | | | | | | | | ||||||
| | | 312,166 | | | | Analog Devices, Inc. | | | | | (a) | | | | | | 37,097,807 | | |
| | | | | | | Semiconductor Equipment – 5.68% | | | | | | | | | | | | | |
| | | 296,902 | | | | Applied Materials, Inc. | | | | | | | | | | | 18,122,898 | | |
| | | 171,163 | | | | KLA Corp. | | | | | (a) | | | | | | 30,496,112 | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Semiconductor Equipment – (continued) | | | | ||||||||||
| | | 121,593 | | | | Lam Research Corp. | | | | | (a) | | | | | $ | 35,553,793 | | |
| | | 438,453 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 29,898,110 | | |
| | | | | | | | | | | | | | | | | | 114,070,913 | | |
| | | | | | | Therapeutics – 0.22% | | | | | | | | | | | | | |
| | | 93,303 | | | | Agios Pharmaceuticals, Inc.* | | | | | | | | | | | 4,455,218 | | |
| | | | | | | Total United States (Cost $951,212,743) | | | | | | | | | | $ | 1,605,342,882 | | |
| | | | | | | Brazil – 0.16% | | | | | | | | | | | | | |
| | | | | | | Investment Management / Advisory Services – 0.16% | | | | | | | | | | | | | |
| | | 83,107 | | | | XP, Inc., Class A* | | | | | | | | | | | 3,201,282 | | |
| | | | | | | Total Brazil (Cost $2,680,151) | | | | | | | | | | $ | 3,201,282 | | |
| | | | | | | Canada – 2.89% | | | | | | | | | | | | | |
| | | | | | | Retail - Restaurants – 0.73% | | | | | | | | | | | | | |
| | | 230,486 | | | | Restaurant Brands International, Inc. | | | | | (a) | | | | | | 14,698,092 | | |
| | | | | | | Web Hosting / Design – 2.16% | | | | | | | | | | | | | |
| | | 108,837 | | | | Shopify, Inc., Class A* | | | | | | | | | | | 43,271,415 | | |
| | | | | | | Total Canada (Cost $53,185,785) | | | | | | | | | | $ | 57,969,507 | | |
| | | | | | | China – 10.02% | | | | | | | | | | | | | |
| | | | | | | Coffee – 1.48% | | | | | | | | | | | | | |
| | | 754,092 | | | | Luckin Coffee, Inc. - Sponsored ADR* | | | | | | | | | | | 29,681,061 | | |
| | | | | | | E-Commerce / Products – 5.32% | | | | | | | | | | | | | |
| | | 161,775 | | | | Alibaba Group Holding, Ltd. - Sponsored ADR* | | | | | | | | | | | 34,312,478 | | |
| | | 708,397 | | | | JD.com, Inc. - Sponsored ADR* | | | | | | | | | | | 24,956,826 | | |
| | | 3,645,100 | | | | Meituan Dianping, Class B* | | | | | | | | | | | 47,670,075 | | |
| | | | | | | | | | | | | | | | | | 106,939,379 | | |
| | | | | | | Entertainment Software – 0.32% | | | | | | | | | | | | | |
| | | 344,561 | | | | Bilibili, Inc. - Sponsored ADR* | | | | | | | | | | | 6,415,726 | | |
| | | | | | | Internet Content - Entertainment – 0.22% | | | | | | | | | | | | | |
| | | 83,820 | | | | JOYY, Inc. - Sponsored ADR* | | | | | | | | | | | 4,424,858 | | |
| | | | | | | Internet Content - Information / Networks – 1.50% | | | | | | | | | | | | | |
| | | 626,000 | | | | Tencent Holdings, Ltd. | | | | | | | | | | | 30,176,031 | | |
| | | | | | | Schools – 1.18% | | | | | | | | | | | | | |
| | | 195,158 | | | | New Oriental Education & Technology Group, Inc. - Sponsored ADR* | | | | | | | | | | | 23,662,907 | | |
| | | | | | | Total China (Cost $132,310,212) | | | | | | | | | | $ | 201,299,962 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | France – 4.03% | | | | | | | | | | |
| | | | | | | Aerospace / Defense - Equipment – 3.55% | | | | | | | | | | |
| | | 349,078 | | | | Airbus SE | | | | | | | $ | 51,127,290 | | |
| | | 130,628 | | | | Safran SA | | | | | | | | 20,183,610 | | |
| | | | | | | | | | | | | | | 71,310,900 | | |
| | | | | | | Entertainment Software – 0.48% | | | | | | | | | | |
| | | 139,778 | | | | UBISOFT Entertainment SA* | | | | | | | | 9,661,952 | | |
| | | | | | | Total France (Cost $66,525,033) | | | | | | | $ | 80,972,852 | | |
| | | | | | | Germany – 2.20% | | | | | | |||||
| | | | | | | Athletic Footwear – 2.20% | | | | | | |||||
| | | 135,518 | | | | adidas AG | | | | | | | | 44,084,073 | | |
| | | | | | | Total Germany (Cost $29,817,817) | | | | | | | $ | 44,084,073 | | |
| | | | | | | Japan – 6.01% | | | | | | |||||
| | | | | | | Audio / Video Products – 2.91% | | | | | | |||||
| | | 375,200 | | | | Panasonic Corp. | | | | | | | | 3,554,345 | | |
| | | 806,100 | | | | Sony Corp. | | | | | | | | 54,897,134 | | |
| | | | | | | | | | | | | | | 58,451,479 | | |
| | | | | | | Cosmetics & Toiletries – 0.39% | | | | | | |||||
| | | 109,000 | | | | Shiseido Co., Ltd. | | | | | | | | 7,805,273 | | |
| | | | | | | Finance - Other Services – 1.17% | | | | | | |||||
| | | 1,328,678 | | | | Japan Exchange Group, Inc. | | | | | | | | 23,596,490 | | |
| | | | | | | Metal Products - Distribution – 0.49% | | | | | | |||||
| | | 395,853 | | | | MISUMI Group, Inc. | | | | | | | | 9,914,993 | | |
| | | | | | | Web Portals / ISP – 1.05% | | | | | | |||||
| | | 4,960,403 | | | | Z Holdings Corp. | | | | | | | | 21,042,059 | | |
| | | | | | | Total Japan (Cost $92,075,973) | | | | | | | $ | 120,810,294 | | |
| | | | | | | Netherlands – 0.60% | | | | | | |||||
| | | | | | | Semiconductor Components - Integrated Circuits – 0.60% | | | | | | |||||
| | | 94,501 | | | | NXP Semiconductor NV | | | | | | | | 12,026,197 | | |
| | | | | | | Total Netherlands (Cost $10,492,466) | | | | | | | $ | 12,026,197 | | |
| | | | | | | Singapore – 2.12% | | | | | | |||||
| | | | | | | Entertainment Software – 2.12% | | | | | | |||||
| | | 1,060,870 | | | | Sea, Ltd. - Sponsored ADR* | | | | | | | | 42,668,191 | | |
| | | | | | | Total Singapore (Cost $23,176,022) | | | | | | | $ | 42,668,191 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Taiwan – 1.24% | | | | | | |||||
| | | | | | | Semiconductor Components – Integrated Circuits – 1.24% | | | | | | |||||
| | | 427,087 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. - Sponsored ADR | | | | | | | $ | 24,813,755 | | |
| | | | | | | Total Taiwan (Cost $21,664,571) | | | | | | | $ | 24,813,755 | | |
| | | | | | | Total Common Stock (Cost $1,383,140,773) | | | | | | | $ | 2,193,188,995 | | |
| | | | | | | Total Investments in Securities (Cost $1,383,140,773) – 109.19% | | | | | | | $ | 2,193,188,995 | | |
| | | | | | | Total Purchased Options (Cost $124,146,211) – 6.27% | | | | | | | | 126,013,990 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,019,983,379) – (50.01)% | | | | | | | | (1,004,565,716) | | |
| | | | | | | Other Assets, in Excess of Liabilities – 34.55%** | | | | | | | | 694,037,216 | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | $ | 2,008,674,485 | | |
|
Schedule of Portfolio Investments (concluded)
Investments in Securities – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 5.93 | | |
Aerospace / Defense - Equipment | | | | | 3.55 | | |
Applications Software | | | | | 4.85 | | |
Athletic Footwear | | | | | 2.20 | | |
Audio / Video Products | | | | | 2.91 | | |
Building Products - Cement / Aggregate | | | | | 2.31 | | |
Coatings / Paint | | | | | 0.80 | | |
Coffee | | | | | 1.48 | | |
Commercial Services - Finance | | | | | 4.52 | | |
Commercial Services | | | | | 0.73 | | |
Computer Aided Design | | | | | 11.21 | | |
Computer Services | | | | | 0.48 | | |
Computer Software | | | | | 2.02 | | |
Cosmetics & Toiletries | | | | | 0.39 | | |
Data Processing/Management | | | | | 1.01 | | |
E-Commerce / Products | | | | | 8.65 | | |
Electronic Components - Semiconductors | | | | | 1.31 | | |
Enterprise Software / Services | | | | | 3.65 | | |
Entertainment Software | | | | | 5.47 | | |
Finance - Credit Card | | | | | 4.09 | | |
Finance - Investment Banker / Broker | | | | | 0.65 | | |
Investments in Securities – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Finance - Other Services | | | | | 4.76 | | |
Human Resources | | | | | 0.73 | | |
Internet Application Software | | | | | 2.72 | | |
Internet Content - Entertainment | | | | | 3.58 | | |
Internet Content - Information / Networks | | | | | 1.50 | | |
Internet Telephony | | | | | 3.05 | | |
Investment Management / Advisory Services | | | | | 0.16 | | |
Linen Supply & Related Items | | | | | 0.11 | | |
Medical - Biomedical / Genetics | | | | | 2.70 | | |
Medical - Drugs | | | | | 0.57 | | |
Metal Products - Distribution | | | | | 0.49 | | |
REITs - Diversified | | | | | 3.84 | | |
Retail - Restaurants | | | | | 2.79 | | |
Schools | | | | | 1.18 | | |
Semiconductor Components - Integrated Circuits | | | | | 3.69 | | |
Semiconductor Equipment | | | | | 5.68 | | |
Therapeutics | | | | | 0.22 | | |
Web Hosting / Design | | | | | 2.16 | | |
Web Portals / ISP | | | | | 1.05 | | |
Total Investments in Securities | | | | | 109.19% | | |
|
Schedule of Purchased Options
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2019 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – 6.27% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 6.24% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Call Options – 3.99% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 3.27% | | | | | | | |
| | | | | | | | | | | | | | | | Advertising Services – 0.34% | | | | | | | |
| | $ | 50,625,000 | | | | | | 1,875 | | | | 07/17/2020 $270 | | | The Trade Desk, Inc. | | | | $ | 6,750,000 | | |
| | | | | | | | | | | | | | | | Aerospace / Defense – 0.01% | | | | | | | |
| | | 13,230,000 | | | | | | 378 | | | | 03/20/2020 $350 | | | The Boeing Co. | | | | | 281,610 | | |
| | | | | | | | | | | | | | | | Aerospace / Defense - Equipment – 0.26% | | | | | | | |
| | | 22,704,000 | | | | | | 1,892 | | | | 02/21/2020 $120 | | | United Technologies Corp. | | | | | 5,278,680 | | |
| | | | | | | | | | | | | | | | Auto - Cars / Light Trucks – 0.05% | | | | | | | |
| | | 18,756,000 | | | | | | 18,756 | | | | 01/15/2021 $10 | | | Ford Motor Co. | | | | | 1,050,336 | | |
| | | | | | | | | | | | | | | | Beverages - Non-Alcoholic – 0.16% | | | | | | | |
| | | 18,940,500 | | | | | | 1,403 | | | | 06/19/2020 $135 | | | PepsiCo, Inc. | | | | | 918,965 | | |
| | | 29,799,000 | | | | | | 5,676 | | | | 06/19/2020 $52.50 | | | The Coca-Cola Co. | | | | | 2,253,372 | | |
| | | | | | | | | | | | | | | | | | | | | 3,172,337 | | |
| | | | | | | | | | | | | | | | Commercial Services - Finance – 0.02% | | | | | | | |
| | | 28,312,500 | | | | | | 3,775 | | | | 03/20/2020 $75 | | | Square, Inc., Class A | | | | | 358,625 | | |
| | | | | | | | | | | | | | | | Computers – 0.50% | | | | | | | |
| | | 108,157,500 | | | | | | 3,933 | | | | 03/20/2020 $275 | | | Apple, Inc. | | | | | 10,092,078 | | |
| | | | | | | | | | | | | | | | Consumer Products - Miscellaneous – 0.02% | | | | | | | |
| | | 27,550,000 | | | | | | 1,900 | | | | 04/17/2020 $145 | | | Kimberly-Clark Corp. | | | | | 399,000 | | |
| | | | | | | | | | | | | | | | Cosmetics & Toiletries – 0.33% | | | | | | | |
| | | 67,260,000 | | | | | | 5,605 | | | | 01/15/2021 $120 | | | The Procter & Gamble Co. | | | | | 6,529,825 | | |
| | | | | | | | | | | | | | | | Diversified Manufacturing Operations – 0.03% | | | | | | | |
| | | 11,352,000 | | | | | | 9,460 | | | | 06/19/2020 $12 | | | General Electric Co. | | | | | 681,120 | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 0.21% | | | | | | | |
| | | 31,185,000 | | | | | | 189 | | | | 03/20/2020 $1,650 | | | Amazon.com, Inc. | | | | | 4,180,680 | | |
|
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2019 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | E-Commerce / Services – 0.03% | | | | | | | |
| | $ | 9,799,250 | | | | | | 2,063 | | | | 04/17/2020 $47.50 | | | Lyft, Inc., Class A | | | | $ | 536,380 | | |
| | | | | | | | | | | | | | | | Electronic Components - Semiconductors – 0.15% | | | | | | | |
| | | 20,790,000 | | | | | | 945 | | | | 06/19/2020 $220 | | | NVIDIA Corp. | | | | | 3,042,900 | | |
| | | | | | | | | | | | | | | | Food - Miscellaneous / Diversified – 0.14% | | | | | | | |
| | | 7,504,000 | | | | | | 938 | | | | 08/21/2020 $80 | | | Beyond Meat, Inc. | | | | | 1,111,530 | | |
| | | 14,130,000 | | | | | | 2,826 | | | | 01/15/2021 $50 | | | General Mills, Inc. | | | | | 1,653,210 | | |
| | | | | | | | | | | | | | | | | | | | | 2,764,740 | | |
| | | | | | | | | | | | | | | | Internet Content - Entertainment – 0.40% | | | | | | | |
| | | 21,135,500 | | | | | | 1,031 | | | | 03/20/2020 $205 | | | Facebook, Inc., Class A | | | | | 1,144,410 | | |
| | | 42,778,500 | | | | | | 1,501 | | | | 03/20/2020 $285 | | | Netflix, Inc. | | | | | 6,858,069 | | |
| | | | | | | | | | | | | | | | | | | | | 8,002,479 | | |
| | | | | | | | | | | | | | | | Medical - Biomedical / Genetics – 0.21% | | | | | | | |
| | | 28,150,000 | | | | | | 1,126 | | | | 06/19/2020 $250 | | | Amgen, Inc. | | | | | 1,064,070 | | |
| | | 29,326,000 | | | | | | 946 | | | | 03/20/2020 $310 | | | Illumina, Inc. | | | | | 3,197,480 | | |
| | | | | | | | | | | | | | | | | | | | | 4,261,550 | | |
| | | | | | | | | | | | | | | | REITs - Storage – 0.00% | | | | | | | |
| | | 33,960,000 | | | | | | 1,415 | | | | 03/20/2020 $240 | | | Public Storage | | | | | 70,750 | | |
| | | | | | | | | | | | | | | | Retail - Building Products – 0.38% | | | | | | | |
| | | 37,320,000 | | | | | | 3,732 | | | | 04/17/2020 $100 | | | Lowe’s Cos., Inc. | | | | | 7,721,508 | | |
| | | | | | | | | | | | | | | | Web Portals / ISP – 0.03% | | | | | | | |
| | | 6,086,500 | | | | | | 47 | | | | 06/19/2020 $1,295 | | | Alphabet, Inc., Class A | | | | | 517,000 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $59,416,048) | | | | $ | 65,691,598 | | |
|
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2019 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Argentina – 0.56% | | | | | | | |
| | | | | | | | | | | | | | | | E-Commerce / Services – 0.56% | | | | | | | |
| | $ | 70,992,000 | | | | | | 1,392 | | | | 03/20/2020 $510 | | | MercadoLibre, Inc. | | | | $ | 11,275,200 | | |
| | | | | | | | | | | | | | | | Total Argentina (Cost $12,573,990) | | | | $ | 11,275,200 | | |
| | | | | | | | | | | | | | | | Canada – 0.16% | | | | | | | |
| | | | | | | | | | | | | | | | Medical-Drugs – 0.03% | | | | | | | |
| | | 4,710,000 | | | | | | 1,884 | | | | 06/19/2020 $25 | | | Canopy Growth Corp. | | | | | 357,960 | | |
| | | 5,181,000 | | | | | | 1,884 | | | | 06/19/2020 $27.50 | | | Canopy Growth Corp. | | | | | 263,760 | | |
| | | | | | | | | | | | | | | | | | | | | 621,720 | | |
| | | | | | | | | | | | | | | | Web Hosting / Design – 0.13% | | | | | | | |
| | | 5,184,000 | | | | | | 192 | | | | 02/21/2020 $270 | | | Shopify, Inc. | | | | | 2,482,752 | | |
| | | | | | | | | | | | | | | | Total Canada (Cost $2,503,088) | | | | $ | 3,104,472 | | |
| | | | | | | | | | | | | | | | Total Equity Call Options (Cost $74,493,126) | | | | $ | 80,071,270 | | |
| | | | | | | | | | | | | | | | Equity Put Options – 2.25% | | | |||||
| | | | | | | | | | | | | | | | United States – 2.21% | | | | | | | |
| | | | | | | | | | | | | | | | Growth & Income - Large Cap – 2.21% | | | | | | | |
| | | 907,536,000 | | | | | | 32,412 | | | | 06/19/2020 $280 | | | SPDR S&P 500 ETF Trust | | | | | 11,700,732 | | |
| | | 1,078,608,500 | | | | | | 36,563 | | | | 09/18/2020 $295 | | | SPDR S&P 500 ETF Trust | | | | | 32,723,885 | | |
| | | | | | | | | | | | | | | | | | | | | 44,424,617 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $47,405,641) | | | | $ | 44,424,617 | | |
| | | | | | | | | | | | | | | | China – 0.04% | | | |||||
| | | | | | | | | | | | | | | | Internet Contenet - Entertainment – 0.04% | | | | | | | |
| | | 7,060,000 | | | | | | 1,412 | | | | 04/17/2020 $50 | | | Weibo Corp. | | | | | 875,440 | | |
| | | | | | | | | | | | | | | | Total China (Cost $1,324,511) | | | | $ | 875,440 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Cost $48,730,152) | | | | $ | 45,300,057 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Cost $123,223,278) | | | | $ | 125,371,327 | | |
|
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2019 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Currency Put Options – 0.03% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.03% | | | | | | | |
| | $ | 9,629,523 | | | | | | 133,743,372 | | | | 06/19/2020 $7.20 | | | USD-CNH | | | | $ | 642,663 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $922,933) | | | | $ | 642,663 | | |
| | | | | | | | | | | | | | | | Total Currency Put Options (Cost $922,933) | | | | $ | 642,663 | | |
| | | | | | | | | | | | | | | | Total Purchased Options (Cost $124,146,211) | | | | $ | 126,013,990 | | |
|
Schedule of Purchased Options (concluded)
Purchased Options – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Advertising Services | | | | | 0.34 | | |
Aerospace / Defense | | | | | 0.01 | | |
Aerospace / Defense - Equipment | | | | | 0.26 | | |
Auto - Cars / Light Trucks | | | | | 0.05 | | |
Beverages - Non-Alcoholic | | | | | 0.16 | | |
Commercial Services -Finance | | | | | 0.02 | | |
Computers | | | | | 0.50 | | |
Consumer Products - Miscellaneous | | | | | 0.02 | | |
Cosmetics & Toiletries | | | | | 0.33 | | |
Currency | | | | | 0.03 | | |
Diversified Manufacturing Operations | | | | | 0.03 | | |
E-Commerce / Products | | | | | 0.21 | | |
Purchased Options – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
E-Commerce / Services | | | | | 0.59 | | |
Electronic Components - Semiconductors | | | | | 0.15 | | |
Food -Miscellaneous / Diversified | | | | | 0.14 | | |
Growth & Income - Large Cap | | | | | 2.21 | | |
Internet Content - Entertainment | | | | | 0.44 | | |
Medical - Biomedical / Genetics | | | | | 0.21 | | |
Medical - Drugs | | | | | 0.03 | | |
REITs - Storage | | | | | 0.00 | | |
Retail - Building Products | | | | | 0.38 | | |
Web Hosting / Design | | | | | 0.13 | | |
Web Portals / ISP | | | | | 0.03 | | |
Total Purchased Options | | | | | 6.27% | | |
|
Schedule of Securities Sold, Not Yet Purchased
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 50.01% | | | |||||
| | | | | | | Common Stock – 50.01% | | ||||||
| | | | | | | United States – 38.29% | | ||||||
| | | | | | | Advertising Agencies – 0.99% | | | |||||
| | | 201,270 | | | | Omnicom Group, Inc. | | | | $ | 16,306,895 | | |
| | | 157,575 | | | | The Interpublic Group of Cos, Inc. | | | | | 3,639,983 | | |
| | | | | | | | | | | | 19,946,878 | | |
| | | | | | | Advertising Services – 1.36% | | | |||||
| | | 104,976 | | | | The Trade Desk, Inc.* | | | | | 27,270,665 | | |
| | | | | | | Apparel Manufacturers – 0.73% | | | |||||
| | | 732,227 | | | | Hanesbrands, Inc. | | | | | 10,873,571 | | |
| | | 138,700 | | | | Tapestry, Inc. | | | | | 3,740,739 | | |
| | | | | | | | | | | | 14,614,310 | | |
| | | | | | | Auto - Cars / Light Trucks – 0.37% | | | | | | | |
| | | 806,975 | | | | Ford Motor Co. | | | | | 7,504,868 | | |
| | | | | | | Beverages - Non-alcoholic – 1.65% | | | | | | | |
| | | 82,840 | | | | PepsiCo, Inc. | | | | | 11,321,743 | | |
| | | 392,775 | | | | The Coca-Cola Co. | | | | | 21,740,096 | | |
| | | | | | | | | | | | 33,061,839 | | |
| | | | | | | Commercial Services - Finance – 0.85% | | | | | | | |
| | | 210,483 | | | | H&R Block, Inc. | | | | | 4,942,141 | | |
| | | 195,351 | | | | Square, Inc., Class A* | | | | | 12,221,158 | | |
| | | | | | | | | | | | 17,163,299 | | |
| | | | | | | Communications Software – 0.12% | | | | | | | |
| | | 106,270 | | | | Slack Technologies, Inc., Class A* | | | | | 2,388,950 | | |
| | | | | | | Computer Data Security – 0.38% | | | | | | | |
| | | 57,159 | | | | Qualys, Inc.* | | | | | 4,765,346 | | |
| | | 37,705 | | | | Varonis Systems, Inc.* | | | | | 2,930,055 | | |
| | | | | | | | | | | | 7,695,401 | | |
| | | | | | | Computer Software – 1.82% | | | | | | | |
| | | 75,574 | | | | Citrix Systems, Inc. | | | | | 8,381,157 | | |
| | | 60,651 | | | | Splunk, Inc.* | | | | | 9,083,700 | | |
| | | 211,576 | | | | Teradata Corp.* | | | | | 5,663,889 | | |
| | | 136,638 | | | | Twilio, Inc., Class A* | | | | | 13,428,783 | | |
| | | | | | | | | | | | 36,557,529 | | |
| | | | | | | Consumer Products - Miscellaneous – 0.59% | | | | | | | |
| | | 86,100 | | | | Kimberly-Clark Corp. | | | | | 11,843,055 | | |
| | | | | | | Cosmetics & Toiletries – 1.26% | | | | | | | |
| | | 202,891 | | | | The Procter & Gamble Co. | | | | | 25,341,086 | | |
| | | | | | | Dental Supplies & Equipment – 0.02% | | | | | | | |
| | | 18,900 | | | | Patterson Cos., Inc. | | | | | 387,072 | | |
| | | | | | | Diversified Manufacturing Operations – 0.22% | | | | | | | |
| | | 388,779 | | | | General Electric Co. | | | | | 4,338,774 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | E-Commerce / Services – 0.19% | | | |||||
| | | 33,741 | | | | TripAdvisor, Inc.* | | | | $ | 1,025,052 | | |
| | | 94,156 | | | | Uber Technologies, Inc.* | | | | | 2,800,199 | | |
| | | | | | | | | | | | 3,825,251 | | |
| | | | | | | Electric - Integrated – 0.86% | | | | | | | |
| | | 108,537 | | | | Consolidated Edison, Inc. | | | | | 9,819,342 | | |
| | | 116,023 | | | | The Southern Co. | | | | | 7,390,665 | | |
| | | | | | | | | | | | 17,210,007 | | |
| | | | | | | Electronic Components - Semiconductors – 4.99% | | | | | | | |
| | | 187,590 | | | | Intel Corp. | | | | | 11,227,262 | | |
| | | 81,271 | | | | NVIDIA Corp. | | | | | 19,123,066 | | |
| | | 545,246 | | | | Texas Instruments, Inc. | | | | | 69,949,609 | | |
| | | | | | | | | | | | 100,299,937 | | |
| | | | | | | Enterprise Software / Services – 1.18% | | | |||||
| | | 150,083 | | | | Oracle Corp. | | | | | 7,951,398 | | |
| | | 95,825 | | | | Workday, Inc., Class A* | | | | | 15,758,421 | | |
| | | | | | | | | | | | 23,709,819 | | |
| | | | | | | Finance - Credit Card – 0.95% | | | |||||
| | | 712,948 | | | | The Western Union Co. | | | | | 19,092,747 | | |
| | | | | | | Food - Confectionery – 0.19% | | | |||||
| | | 37,524 | | | | The J.M. Smucker Co. | | | | | 3,907,374 | | |
| | | | | | | Food - Miscellaneous / Diversified – 0.82% | | | |||||
| | | 52,529 | | | | Beyond Meat, Inc.* | | | | | 3,971,192 | | |
| | | 67,491 | | | | Campbell Soup Co. | | | | | 3,335,405 | | |
| | | 171,105 | | | | General Mills, Inc. | | | | | 9,164,384 | | |
| | | | | | | | | | | | 16,470,981 | | |
| | | | | | | Footwear & Related Apparel – 0.16% | | | | | | | |
| | | 95,345 | | | | Wolverine World Wide, Inc. | | | | | 3,216,940 | | |
| | | | | | | Health & Biotechnology – 0.96% | | | | | | | |
| | | 160,650 | | | | iShares Nasdaq Biotechnology ETF | | | | | 19,359,932 | | |
| | | | | | | Human Resources – 0.14% | | | | | | | |
| | | 45,021 | | | | Robert Half International, Inc. | | | | | 2,843,076 | | |
| | | | | | | Internet Content - Entertainment – 1.78% | | | | | | | |
| | | 110,579 | | | | Netflix, Inc.* | | | | | 35,780,047 | | |
| | | | | | | Internet Infrastructure Software – 0.13% | | | | | | | |
| | | 18,900 | | | | F5 Networks, Inc.* | | | | | 2,639,385 | | |
| | | | | | | Investment Management / Advisory Services – 1.21% | | | | | | | |
| | | 417,879 | | | | Franklin Resources, Inc. | | | | | 10,856,496 | | |
| | | 263,520 | | | | Invesco, Ltd. | | | | | 4,738,090 | | |
| | | 70,814 | | | | T Rowe Price Group, Inc. | | | | | 8,627,978 | | |
| | | | | | | | | | | | 24,222,564 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Medical - Biomedical / Genetics – 1.91% | | | | | | | |
| | | 71,563 | | | | Amgen, Inc. | | | | $ | 17,251,693 | | |
| | | 63,314 | | | | Illumina, Inc.* | | | | | 21,003,786 | | |
| | | | | | | | | | | | 38,255,479 | | |
| | | | | | | Medical - Drugs – 0.52% | | | | | | | |
| | | 92,495 | | | | AbbVie, Inc. | | | | | 8,189,507 | | |
| | | 56,014 | | | | Pfizer, Inc. | | | | | 2,194,629 | | |
| | | | | | | | | | | | 10,384,136 | | |
| | | | | | | Motorcycle / Motor Scooter – 0.24% | | | | | | | |
| | | 128,738 | | | | Harley-Davidson, Inc. | | | | | 4,787,766 | | |
| | | | | | | Office Automation & Equipment – 0.19% | | | | | | | |
| | | 105,842 | | | | Xerox Holdings Corp. | | | | | 3,902,395 | | |
| | | | | | | Real Estate Management / Services – 0.11% | | | |||||
| | | 227,800 | | | | Realogy Holdings Corp. | | | | | 2,205,104 | | |
| | | | | | | REITs - Diversified – 0.25% | | | |||||
| | | 75,764 | | | | Vornado Realty Trust | | | | | 5,038,306 | | |
| | | | | | | REITs - Health Care – 0.73% | | | |||||
| | | 171,933 | | | | Healthpeak Properties, Inc. | | | | | 5,926,531 | | |
| | | 151,852 | | | | Ventas, Inc. | | | | | 8,767,934 | | |
| | | | | | | | | | | | 14,694,465 | | |
| | | | | | | REITs - Office Property – 0.54% | | | |||||
| | | 27,674 | | | | Boston Properties, Inc. | | | | | 3,815,138 | | |
| | | 75,915 | | | | SL Green Realty Corp. | | | | | 6,975,070 | | |
| | | | | | | | | | | | 10,790,208 | | |
| | | | | | | REITs - Regional Malls – 0.56% | | | |||||
| | | 76,017 | | | | Simon Property Group, Inc. | | | | | 11,323,492 | | |
| | | | | | | REITs - Shopping Centers – 0.87% | | | |||||
| | | 77,579 | | | | Federal Realty Investment Trust | | | | | 9,986,745 | | |
| | | 118,184 | | | | Regency Centers Corp. | | | | | 7,456,228 | | |
| | | | | | | | | | | | 17,442,973 | | |
| | | | | | | REITs - Storage – 1.32% | | | |||||
| | | 58,591 | | | | Extra Space Storage, Inc. | | | | | 6,188,381 | | |
| | | 95,564 | | | | Public Storage | | | | | 20,351,310 | | |
| | | | | | | | | | | | 26,539,691 | | |
| | | | | | | Retail - Apparel / Shoes – 0.31% | | | |||||
| | | 26,930 | | | | Ascena Retail Group, Inc. | | | | | 206,419 | | |
| | | 163,579 | | | | Chico’s FAS, Inc. | | | | | 623,236 | | |
| | | 44,736 | | | | The Children’s Place, Inc. | | | | | 2,796,895 | | |
| | | 93,793 | | | | The Gap, Inc. | | | | | 1,658,260 | | |
| | | 221,835 | | | | Tailored Brands, Inc. | | | | | 918,397 | | |
| | | | | | | | | | | | 6,203,207 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Retail - Arts & Crafts – 0.13% | | | |||||
| | | 316,572 | | | | The Michaels Cos., Inc.* | | | | $ | 2,561,067 | | |
| | | | | | | Retail - Bedding – 0.11% | | | |||||
| | | 121,794 | | | | Bed, Bath & Beyond, Inc. | | | | | 2,107,036 | | |
| | | | | | | Retail - Home Furnishings – 0.15% | | | |||||
| | | 96,706 | | | | La-Z-Boy, Inc. | | | | | 3,044,305 | | |
| | | | | | | Retail - Major Department Store – 0.50% | | | |||||
| | | 245,020 | | | | Nordstrom, Inc. | | | | | 10,028,669 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.24% | | | |||||
| | | 259,708 | | | | Sally Beauty Holdings, Inc.* | | | | | 4,739,671 | | |
| | | | | | | Retail - Perfume & Cosmetics – 0.44% | | | |||||
| | | 35,172 | | | | Ulta Beauty, Inc.* | | | | | 8,903,440 | | |
| | | | | | | Retail - Regional Department Stores – 0.42% | | | |||||
| | | 20,670 | | | | Dillard’s, Inc., Class A | | | | | 1,518,831 | | |
| | | 135,385 | | | | Kohl’s Corp. | | | | | 6,897,866 | | |
| | | | | | | | | | | | 8,416,697 | | |
| | | | | | | Retail - Restaurants – 0.30% | | | |||||
| | | 153,257 | | | | The Cheesecake Factory, Inc. | | | | | 5,955,567 | | |
| | | | | | | Sector Fund - Technology – 2.33% | | | |||||
| | | 132,303 | | | | Ishares Expanded Tech-Software Sector ETF | | | | | 30,831,891 | | |
| | | 113,400 | | | | Vaneck Vectors Semiconductor ETF | | | | | 16,035,894 | | |
| | | | | | | | | | | | 46,867,785 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.35% | | | |||||
| | | 114,316 | | | | Maxim Integrated Products, Inc. | | | | | 7,031,577 | | |
| | | | | | | Transport - Services – 1.85% | | | |||||
| | | 173,496 | | | | C.H. Robinson Worldwide, Inc. | | | | | 13,567,387 | | |
| | | 53,000 | | | | FedEx Corp. | | | | | 8,014,130 | | |
| | | 132,810 | | | | United Parcel Service, Inc., Class B | | | | | 15,546,739 | | |
| | | | | | | | | | | | 37,128,256 | | |
| | | | | | | Total United States (Proceeds $770,691,229) | | | | $ | 769,043,078 | | |
| | | | | | | | | | | | | | |
| | | | | | | Argentina – 0.79% | | | |||||
| | | | | | | E-Commerce / Services – 0.79% | | | |||||
| | | 27,800 | | | | MercadoLibre, Inc.* | | | | | 15,899,932 | | |
| | | | | | | Total Argentina (Proceeds $16,050,513) | | | | $ | 15,899,932 | | |
| | | | | | | | | | | | | | |
| | | | | | | Australia – 0.41% | | | |||||
| | | | | | | Enterprise Software / Services – 0.41% | | | |||||
| | | 69,042 | | | | Atlassian Corp PLC* | | | | | 8,308,514 | | |
| | | | | | | Total Australia (Proceeds $8,751,360) | | | | $ | 8,308,514 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Brazil – 1.13% | | | |||||
| | | | | | | Commercial Services – Finance – 0.11% | | | |||||
| | | 56,940 | | | | StoneCo, Ltd.* | | | | $ | 2,271,337 | | |
| | | | | | | Finance - Credit Card – 1.02% | | | | | | | |
| | | 600,287 | | | | Pagseguro Digital, Ltd.* | | | | | 20,505,804 | | |
| | | | | | | Total Brazil (Proceeds $22,703,606) | | | | $ | 22,777,141 | | |
| | | | | | | | | | | | | | |
| | | | | | | Canada – 0.35% | | | | | | | |
| | | | | | | Medical - Drugs – 0.35% | | | | | | | |
| | | 333,323 | | | | Canopy Growth Corp.* | | | | | 7,028,795 | | |
| | | | | | | Total Canada (Proceeds $13,907,158) | | | | $ | 7,028,795 | | |
| | | | | | | | | | | | | | |
| | | | | | | China – 1.03% | | | |||||
| | | | | | | E-Commerce / Products – 0.04% | | | | | | | |
| | | 19,509 | | | | Pinduoduo, Inc. - Sponsored ADR* | | | | | 737,830 | | |
| | | | | | | Entertainment Software – 0.19% | | | | | | | |
| | | 215,615 | | | | Huya, Inc. - Sponsored ADR* | | | | | 3,870,289 | | |
| | | | | | | Internet Content - Information / Networks – 0.04% | | | | | | | |
| | | 69,918 | | | | Tencent Music Entertainment Group - Sponsored ADR* | | | | | 820,837 | | |
| | | | | | | Metal - Aluminum – 0.08% | | | | | | | |
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd. | | | | | 1,664,404 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.09% | | | | | | | |
| | | 1,128,000 | | | | Semiconductor Manufacturing International Corp.* | | | | | 1,728,525 | | |
| | | | | | | Web Hosting / Design – 0.30% | | | | | | | |
| | | 183,412 | | | | Baozun, Inc. - Sponsored ADR* | | | | | 6,074,606 | | |
| | | | | | | Wireless Equipment – 0.29% | | | | | | | |
| | | 4,160,000 | | | | Xiaomi Corp., Class B* | | | | | 5,755,384 | | |
| | | | | | | Total China (Proceeds $21,404,617) | | | | $ | 20,651,875 | | |
| | | | | | | | | | | | | | |
| | | | | | | France – 0.46% | | | | | | | |
| | | | | | | Advertising Services – 0.46% | | | | | | | |
| | | 204,126 | | | | Publicis Groupe SA | | | | | 9,247,745 | | |
| | | | | | | Total France (Proceeds $12,169,324) | | | | $ | 9,247,745 | | |
| | | | | | | | | | | | | | |
| | | | | | | Germany – 0.90% | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 0.90% | | | | | | | |
| | | 93,712 | | | | Bayerische Motoren Werke AG | | | | | 7,693,722 | | |
| | | 188,367 | | | | Daimler AG | | | | | 10,438,890 | | |
| | | | | | | | | | | | 18,132,612 | | |
| | | | | | | Total Germany (Proceeds $18,174,863) | | | | $ | 18,132,612 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Hong Kong – 1.76% | | | | | | | |
| | | | | | | Commercial Banks - Non U.S. – 0.40% | | | | | | | |
| | | 385,300 | | | | Hang Seng Bank, Ltd. | | | | $ | 7,961,357 | | |
| | | | | | | Electric - Integrated – 0.88% | | | | | | | |
| | | 357,500 | | | | CLP Holdings, Ltd. | | | | | 3,757,700 | | |
| | | 1,916,000 | | | | Power Assets Holdings, Ltd. | | | | | 14,016,274 | | |
| | | | | | | | | | | | 17,773,974 | | |
| | | | | | | Gas - Distribution – 0.48% | | | | | | | |
| | | 4,952,514 | | | | Hong Kong & China Gas Co., Ltd. | | | | | 9,673,921 | | |
| | | | | | | Total Hong Kong (Proceeds $34,424,551) | | | | $ | 35,409,252 | | |
| | | | | | | | | | | | | | |
| | | | | | | Israel – 1.26% | | | | | | | |
| | | | | | | Computer Data Security – 1.26% | | | | | | | |
| | | 227,842 | | | | Check Point Software Technologies, Ltd.* | | | | | 25,281,348 | | |
| | | | | | | Total Israel (Proceeds $27,102,602) | | | | $ | 25,281,348 | | |
| | | | | | | | | | | | | | |
| | | | | | | Japan – 2.89% | | | | | | | |
| | | | | | | Advertising Services – 0.16% | | | | | | | |
| | | 94,000 | | | | Dentsu Group, Inc. | | | | | 3,265,240 | | |
| | | | | | | Cellular Telecommunications – 0.19% | | | | | | | |
| | | 137,700 | | | | NTT DOCOMO, Inc. | | | | | 3,849,391 | | |
| | | | | | | Electric - Integrated – 0.09% | | | |||||
| | | 132,500 | | | | Chubu Electric Power Co., Inc. | | | | | 1,879,446 | | |
| | | | | | | Gas - Distribution – 0.34% | | | | | | | |
| | | 275,000 | | | | Tokyo Gas Co., Ltd. | | | | | 6,709,570 | | |
| | | | | | | Office Automation & Equipment – 1.39% | | | |||||
| | | 868,500 | | | | Canon, Inc. | | | | | 23,867,267 | | |
| | | 265,400 | | | | Seiko Epson Corp. | | | | | 4,041,748 | | |
| | | | | | | | | | | | 27,909,015 | | |
| | | | | | | Semiconductor Equipment – 0.72% | | | | | | | |
| | | 75,000 | | | | Advantest Corp. | | | | | 4,251,208 | | |
| | | 46,300 | | | | Tokyo Electron, Ltd. | | | | | 10,193,030 | | |
| | | | | | | | | | | | 14,444,238 | | |
| | | | | | | Total Japan (Proceeds $59,882,737) | | | | $ | 58,056,900 | | |
| | | | | | | | | | | | | | |
| | | | | | | Netherlands – 0.46% | | | | | | | |
| | | | | | | Semiconductor Equipment – 0.46% | | | |||||
| | | 31,015 | | | | ASML Holding NV | | | | | 9,178,579 | | |
| | | | | | | Total Netherlands (Proceeds $9,167,692) | | | | $ | 9,178,579 | | |
| | | | | | | | | | | | | | |
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | December 31, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Switzerland – 0.28% | | | | | | | |
| | | | | | | Electronic Components - Semiconductors – 0.28% | | | | | | | |
| | | 206,241 | | | | STMicroelectronics NV | | | | $ | 5,549,945 | | |
| | | | | | | Total Switzerland (Proceeds $5,553,127) | | | | $ | 5,549,945 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,019,983,379) | | | | $ | 1,004,565,716 | | |
|
Schedule of Securities Sold, Not Yet Purchased (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 0.99 | | |
Advertising Services | | | | | 1.98 | | |
Apparel Manufacturers | | | | | 0.73 | | |
Auto - Cars / Light Trucks | | | | | 1.27 | | |
Beverages - Non-Alcoholic | | | | | 1.65 | | |
Cellular Telecommunications | | | | | 0.19 | | |
Commercial Banks - Non-US | | | | | 0.40 | | |
Commercial Services - Finance | | | | | 0.96 | | |
Communications Software | | | | | 0.12 | | |
Computer Data Security | | | | | 1.64 | | |
Computer Software | | | | | 1.82 | | |
Consumer Products - Miscellaneous | | | | | 0.59 | | |
Cosmetics & Toiletries | | | | | 1.26 | | |
Dental Supplies & Equipment | | | | | 0.02 | | |
Diversified Manufacturing Operations | | | | | 0.22 | | |
E-Commerce / Products | | | | | 0.04 | | |
E-Commerce / Services | | | | | 0.98 | | |
Electric - Integrated | | | | | 1.83 | | |
Electronic Components - Semiconductors | | | | | 5.27 | | |
Enterprise Software / Services | | | | | 1.59 | | |
Entertainment Software | | | | | 0.19 | | |
Finance - Credit Card | | | | | 1.97 | | |
Food - Confectionery | | | | | 0.19 | | |
Food - Miscellaneous / Diversified | | | | | 0.82 | | |
Footwear & Related Apparel | | | | | 0.16 | | |
Gas - Distribution | | | | | 0.82 | | |
Health & Biotechnology | | | | | 0.96 | | |
Human Resources | | | | | 0.14 | | |
Internet Content - Entertainment | | | | | 1.78 | | |
Internet Content - Information / Networks | | | | | 0.04 | | |
Internet Infrastructure Software | | | | | 0.13 | | |
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Investment Management / Advisory Services | | | | | 1.21 | | |
Medical - Biomedical / Genetics | | | | | 1.91 | | |
Medical - Drugs | | | | | 0.87 | | |
Metal - Aluminum | | | | | 0.08 | | |
Motorcycle / Motor Scooter | | | | | 0.24 | | |
Office Automation & Equipment | | | | | 1.58 | | |
Real Estate Management / Services | | | | | 0.11 | | |
REITs - Diversified | | | | | 0.25 | | |
REITs - Health Care | | | | | 0.73 | | |
REITs - Office Property | | | | | 0.54 | | |
REITs - Regional Malls | | | | | 0.56 | | |
REITs - Shopping Centers | | | | | 0.87 | | |
REITs - Storage | | | | | 1.32 | | |
Retail - Apparel / Shoes | | | | | 0.31 | | |
Retail - Arts & Crafts | | | | | 0.13 | | |
Retail - Bedding | | | | | 0.11 | | |
Retail - Home Furnishings | | | | | 0.15 | | |
Retail - Major Department Stores | | | | | 0.50 | | |
Retail - Miscellaneous / Diversified | | | | | 0.24 | | |
Retail - Perfume & Cosmetics | | | | | 0.44 | | |
Retail - Regional Department Stores | | | | | 0.42 | | |
Retail - Restaurants | | | | | 0.30 | | |
Sector Fund - Technology | | | | | 2.33 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.44 | | |
Semiconductor Equipment | | | | | 1.18 | | |
Transport - Services | | | | | 1.85 | | |
Web Hosting / Design | | | | | 0.30 | | |
Wireless Equipment | | | | | 0.29 | | |
Total Securities Sold, Not Yet Purchased | | | | | 50.01% | | |
|
Schedule of Swap Contracts
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – 3.63% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 4.29% | | |||||||||
| | | | | | | United States – 2.29% | | | ||||||||
| | | | | | | Investment Companies – 0.47% | | | ||||||||
| | $ | 13,035,240 | | | | 6/3/2024 | | | The Carlyle Group, Inc. | | | | $ | 9,444,780 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/16/2017 to receive the total return of the shares of The Carlyle Group Inc. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | | | |
| | | | | | | Private Equity – 0.08% | | | ||||||||
| | | 26,201,254 | | | | 6/3/2024 | | | KKR & Co., Inc., Class A | | | | | 1,646,953 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/09/2017 to receive the total return of the shares of KKR & Co., Inc., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.53%**. | | | | | | | |
| | | | | | | Web Portals / ISP – 1.74% | | | ||||||||
| | | 40,335,023 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | | 34,856,446 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/08/2011 to receive the total return of the shares of Alphabet Inc., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.45%**. | | | | | | | |
| | | | | | | Total United States | | | | $ | 45,948,179 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Australia – 0.27% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.27% | | | ||||||||
| | | (14,491,480) | | | | 12/27/2024 | | | Australia and New Zealand Banking Group, Ltd. | | | | | 1,156,459 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/26/2015 to deliver the total return of the shares of Australia and New Zealand Banking Group, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | (8,927,610) | | | | 12/27/2024 | | | Bank of Queensland, Ltd. | | | | | 2,138,486 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/20/2018 to deliver the total return of the shares of Bank of Queensland, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 1.00%**. | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Australia – (continued) | | | ||||||||
| | | | | | | Commercial Banks - Non-US – (continued) | | | ||||||||
| | $ | (14,841,399) | | | | 12/27/2024 | | | Westpac Banking Corp. | | | | $ | 2,009,653 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/14/2015 to deliver the total return of the shares of Westpac Banking Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | 5,304,598 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Belgium – 0.08% | | | ||||||||
| | | | | | | Medical Drugs – 0.08% | | | ||||||||
| | | 2,406,205 | | | | 1/4/2024 | | | Galapagos NV | | | | | 1,670,749 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/03/2019 to receive the total return of the shares of Galapagos NV in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Belgium | | | | $ | 1,670,749 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Brazil – 0.49% | | | ||||||||
| | | | | | | Commercial Services / Finance – 0.03% | | | ||||||||
| | | (4,622,849) | | | | 2/2/2021 | | | Cielo SA | | | | | 617,496 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/12/2019 to deliver the total return of the shares of Cielo SA in exchange for interest based on the Daily Fed Funds Effective Rate less 7.13%**. | | | | | | | |
| | | | | | | Finance - Other Services – 0.01% | | | ||||||||
| | | 34,597,368 | | | | 2/2/2021 | | | B3 SA-Brasil Bolsa Balcao | | | | | 118,822 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/30/2019 to receive the total return of the shares of B3 SA-Brasil Bolsa Balcao in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.00%**. | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Brazil – (continued) | | | ||||||||
| | | | | | | Retail - Discount – 0.45% | | | ||||||||
| | $ | 23,127,790 | | | | 2/2/2021 | | | Magazine Luiza SA | | | | $ | 9,119,798 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/02/2019 to receive the total return of the shares of Magazine Luiza SA in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.00%**. | | | | | | | |
| | | | | | | Total Brazil | | | | $ | 9,856,116 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Japan – 0.03% | | | ||||||||
| | | | | | | Electric - Integrated – 0.01% | | | ||||||||
| | | (2,389,657) | | | | 12/24/2024 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | | 282,406 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/17/2016 to deliver the total return of the shares of Tokyo Electric Power Co. Holdings, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – 0.01% | | | ||||||||
| | | (1,742,550) | | | | 12/24/2024 | | | Konica Minolta, Inc. | | | | | 95,011 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/13/2011 to deliver the total return of the shares of Konica Minolta, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Photo Equipment & Supplies – 0.01% | | | ||||||||
| | | (2,854,381) | | | | 12/24/2024 | | | Nikon Corp. | | | | | 301,003 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 10/29/2013 to deliver the total return of the shares of Nikon Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | 678,420 | | | |||
|
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | South Korea – 0.24% | | | ||||||||
| | | | | | | Electronic Components - Semiconductors – 0.24% | | | | | | | | |||
| | $ | 6,587,098 | | | | 12/29/2023 | | | Samsung Electronics Co., Ltd. | | | | $ | 4,879,843 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2009 to receive the total return of the shares of Samsung Electronics Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | 4,879,843 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Spain – 0.67% | | | ||||||||
| | | | | | | Building - Heavy Construction – 0.66% | | | ||||||||
| | | 9,694,543 | | | | 1/4/2024 | | | Cellnex Telecom SA | | | | | 13,279,180 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/06/2015 to receive the total return of the shares of Cellnex Telecom SA in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Food - Retail – 0.01% | | | ||||||||
| | | (202,836) | | | | 1/4/2024 | | | Distribuidora Internacional de Alimentacion SA | | | | | 148,376 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/29/2014 to deliver the total return of the shares of Distribuidora Internacional de Alimentacion SA in exchange for interest based on the Daily Fed Funds Effective Rate less 23.38%**. | | | | | | | |
| | | | | | | Total Spain | | | | $ | 13,427,556 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Taiwan – 0.09% | | | ||||||||
| | | | | | | Computers - Peripheral Equipment – 0.09% | | | ||||||||
| | | (6,772,922) | | | | 1/25/2024 | | | Innolux Display Corp. | | | | | 1,825,379 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/18/2010 to deliver the total return of the shares of Innolux Display Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 1.38%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | 1,825,379 | | | |||
| | | | | | | | | | | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | United Kingdom – 0.13% | | | ||||||||
| | | | | | | Retail - Major Department Store – 0.13% | | | ||||||||
| | $ | (8,327,037) | | | | 12/14/2023 | | | Marks & Spencer Group PLC | | | | $ | 2,599,142 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/16/2016 to deliver the total return of the shares of Marks & Spencer Group PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Total United Kingdom | | | | $ | 2,599,142 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 86,189,982 | | | |||
| | | | | | | | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (0.66%) | | | ||||||||
| | | | | | | Australia – (0.08%) | | | ||||||||
| | | | | | | Retail - Building Products – (0.08%) | | | ||||||||
| | $ | (17,552,490) | | | | 12/27/2024 | | | Wesfarmers, Ltd. | | | | $ | (1,590,668) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2014 to deliver the total return of the shares of Wesfarmers, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | (1,590,668) | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Japan – (0.20%) | | | ||||||||
| | | | | | | Electric Products - Miscellaneous – (0.04%) | | | ||||||||
| | | (2,279,024) | | | | 12/24/2024 | | | Casio Computer Co., Ltd. | | | | | (759,495) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/15/2009 to deliver the total return of the shares of Casio Computer Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – (0.16%) | | | ||||||||
| | | (13,447,559) | | | | 12/24/2024 | | | Ricoh Co., Ltd. | | | | | (3,338,474) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/24/2012 to deliver the total return of the shares of Ricoh Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | (4,097,969) | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | South Korea – (0.05%) | | | ||||||||
| | | | | | | Electronic Components - Semiconductors – (0.05%) | | | | | | | | |||
| | | (2,900,934) | | | | 12/29/2023 | | | SK Hynix, Inc. | | | | | (962,502) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/09/2010 to deliver the total return of the shares of SK Hynix, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 3.00%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | (962,502) | | | |||
| | | | | | | | | | | | | | | | | |
��
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | | ||||||||
| | | | | | | Switzerland – (0.02%) | | | ||||||||
| | | | | | | Enterprise Software - Services – (0.02%) | | | ||||||||
| | $ | (5,913,583) | | | | 12/14/2023 | | | Temenos AG | | | | $ | (354,312) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 10/17/2019 to deliver the total return of the shares of Temenos AG in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | | | |
| | | | | | | Total Switzerland | | | | $ | (354,312) | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Taiwan – (0.09%) | | | ||||||||
| | | | | | | Electronic Components - Miscellaneous – (0.00%) | | | ||||||||
| | | (7,278,797) | | | | 1/25/2024 | | | AU Optronics Corp. | | | | | (62,748) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/26/2012 to deliver the total return of the shares of AU Optronics Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 2.63%**. | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – (0.09%) | | | ||||||||
| | | (3,761,893) | | | | 1/25/2024 | | | United Microelectronics Corp. | | | | | (1,784,721) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/08/2013 to deliver the total return of the shares of United Microelectronics Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 1.13%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | (1,847,469) | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | United Kingdom – (0.22%) | | | ||||||||
| | | | | | | Cosmetics & Toiletries – (0.00%) | | | ||||||||
| | | (2,688,362) | | | | 1/4/2024 | | | Unilever NV | | | | | (8,207) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2019 to deliver the total return of the shares of Unilever NV in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2019 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | | ||||||||
| | | | | | | United Kingdom – (continued) | | | ||||||||
| | | | | | | Retail - Apparel / Shoes – (0.22%) | | | ||||||||
| | $ | (9,328,139) | | | | 12/14/2023 | | | Next PLC | | | | $ | (4,450,446) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/24/2016 to deliver the total return of the shares of Next PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Total United Kingdom | | | | $ | (4,458,653) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (13,311,573) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 72,878,409 | | | |||
|
Schedule of Swap Contracts (concluded)
Swap Contracts – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Building - Heavy Construction | | | | | 0.66 | | |
Commercial Banks - Non-US | | | | | 0.27 | | |
Commercial Services - Finance | | | | | 0.03 | | |
Computers - Peripheral Equipment | | | | | 0.09 | | |
Cosmetics & Toiletries | | | | | (0.00) | | |
Electric Products - Miscellaneous | | | | | (0.04) | | |
Electric - Integrated | | | | | 0.01 | | |
Electronic Components - Miscellaneous | | | | | (0.00) | | |
Electronic Components - Semiconductors | | | | | 0.19 | | |
Enterprise Software - Services | | | | | (0.02) | | |
Finance - Other Services | | | | | 0.01 | | |
Food - Retail | | | | | 0.01 | | |
Swap Contracts – By Industry | | | December 31, 2019 Percentage of Members’ Capital (%) | | |||
Investment Companies | | | | | 0.47 | | |
Medical - Drugs | | | | | 0.08 | | |
Office Automation & Equipment | | | | | (0.15) | | |
Photo Equipment & Supplies | | | | | 0.01 | | |
Private Equity | | | | | 0.08 | | |
Retail - Apparel / Shoes | | | | | (0.22) | | |
Retail - Building Products | | | | | (0.08) | | |
Retail - Discount | | | | | 0.45 | | |
Retail - Major Department Store | | | | | 0.13 | | |
Semiconductor Components - Integrated Circuits | | | | | (0.09) | | |
Web Portals / ISP | | | | | 1.74 | | |
Total Swap Contracts | | | | | 3.63% | | |
|
Statement of Operations
| | | Year Ended December 31, 2019 | | |||
Investment income | | | | | | | |
Dividends (net of withholding taxes of $860,553) | | | | $ | 18,313,847 | | |
Interest | | | | | 16,291,044 | | |
Total investment income | | | | | 34,604,891 | | |
Expenses | | | | | | | |
Administration fees | | | | | 25,228,226 | | |
Dividends on securities sold, not yet purchased | | | | | 22,782,928 | | |
Prime broker fees | | | | | 20,518,925 | | |
Advisor fees | | | | | 7,475,030 | | |
Interest expense | | | | | 2,258,614 | | |
Accounting and investor services fees | | | | | 1,217,485 | | |
Legal fees | | | | | 492,608 | | |
Custodian fees | | | | | 398,783 | | |
Audit and tax fees | | | | | 340,585 | | |
Board of Managers’ fees and expenses | | | | | 308,000 | | |
Insurance expense | | | | | 151,882 | | |
Printing expense | | | | | 64,516 | | |
Miscellaneous | | | | | 673,711 | | |
Total operating expenses | | | | | 81,911,293 | | |
Net investment loss | | | | | (47,306,402) | | |
Net realized and net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain on investments in securities | | | | | 224,264,382 | | |
Net realized gain on purchased options | | | | | 17,637,262 | | |
Net realized gain on swap contracts | | | | | 13,826,639 | | |
Net realized gain on forward contracts | | | | | 3,521,745 | | |
Net realized loss on foreign currency transactions | | | | | (475,034) | | |
Net realized loss on securities sold, not yet purchased | | | | | (124,916,951) | | |
Total net realized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 133,858,043 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net change in unrealized gain/(loss) on investments in securities | | | | | 521,469,767 | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | 39,069,816 | | |
Net change in unrealized gain/(loss) on purchased options | | | | | 22,951,840 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | 382,939 | | |
Net change in unrealized gain/(loss) on forward contracts | | | | | (3,544,722) | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased transactions | | | | | (36,577,185) | | |
Total net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 543,752,455 | | |
Net realized gain and net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 677,610,498 | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 630,304,096 | | |
Statements of Changes in Members’ Capital
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
MEMBERS’ CAPITAL, December 31, 2017 | | | | $ | — | | | | | $ | 1,457,845,563 | | | | | $ | 1,457,845,563 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (47,331,571) | | | | | $ | (47,331,571) | | |
Net realized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 93,158,415 | | | | | | 93,158,415 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | (147,140,866) | | | | | | (147,140,866) | | |
Incentive allocation | | | | | 325,244 | | | | | | (325,244) | | | | | | — | | |
Net increase/decrease in Members’ Capital resulting from operations | | | | | 325,244 | | | | | | (101,639,266) | | | | | | (101,314,022) | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 162,824,927 | | | | | | 162,824,927 | | |
Capital withdrawals | | | | | (325,244) | | | | | | (73,586,137) | | | | | | (73,911,381) | | |
Net increase/decrease in Members’ Capital resulting from capital transactions | | | | | (325,244) | | | | | | 89,238,790 | | | | | | 88,913,546 | | |
MEMBERS’ CAPITAL, December 31, 2018 | | | | $ | — | | | | | $ | 1,445,445,087 | | | | | $ | 1,445,445,087 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (47,306,402) | | | | | $ | (47,306,402) | | |
Net realized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 133,858,043 | | | | | | 133,858,043 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 543,752,455 | | | | | | 543,752,455 | | |
Incentive allocation | | | | | 105,866,509 | | | | | | (105,866,509) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 105,866,509 | | | | | | 524,437,587 | | | | | | 630,304,096 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 162,886,517 | | | | | | 162,886,517 | | |
Capital withdrawals | | | | | (105,866,509) | | | | | | (124,094,706) | | | | | | (229,961,215) | | |
Net increase/decrease in Members’ Capital resulting from capital transactions | | | | | (105,866,509) | | | | | | 38,791,811 | | | | | | (67,074,698) | | |
MEMBERS’ CAPITAL, December 31, 2019 | | | | $ | — | | | | | $ | 2,008,674,485 | | | | | $ | 2,008,674,485 | | |
Statement of Cash Flows
| | | Year Ended December 31, 2019 | | |||
Cash flows from operating activities | | | | | | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 630,304,096 | | |
Adjustments to reconcile net increase in Members’ Capital resulting from operations to net cash provided by operating activities: | | | | | | | |
Proceeds from sale of investments in securities | | | | | 1,948,081,728 | | |
Purchase of investments in securities | | | | | (1,780,567,572) | | |
Proceeds from sale of purchased options | | | | | 502,626,236 | | |
Purchase of options | | | | | (529,313,016) | | |
Proceeds from securities sold, not yet purchased | | | | | 3,322,382,753 | | |
Cover of securities sold, not yet purchased | | | | | (3,138,881,713) | | |
Net realized gain on investments in securities and purchased options | | | | | (116,984,693) | | |
Net change in unrealized (gain)/loss on investments in securities, | | | | | | | |
purchased options and swap contracts | | | | | (546,914,238) | | |
Net change in unrealized (gain)/loss on forward contracts | | | | | 3,544,722 | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Increase in receivable for investment securities sold | | | | | (46,394,030) | | |
Increase in interest receivable | | | | | (407,555) | | |
Increase in dividend receivable | | | | | (2,747,366) | | |
Increase in other assets | | | | | (483) | | |
Increase in due to broker | | | | | 36,487,793 | | |
Increase in payable for investment securities purchased | | | | | 4,464,385 | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 446,063 | | |
Decrease in accounting and investor services fees | | | | | (62,822) | | |
Increase in accrued expenses | | | | | 937,401 | | |
Net cash provided by operating activities | | | | | 287,001,689 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 162,886,517 | | |
Capital withdrawals, net | | | | | (110,169,195) | | |
Net cash provided by financing activities | | | | | 52,717,322 | | |
Net change in cash, cash equivalents and restricted cash | | | | | 339,719,011 | | |
Cash, cash equivalents and restricted cash at beginning of year | | | | | 436,180,920 | | |
Cash, cash equivalents and restricted cash at December 31, 2019 | | | | $ | 775,899,931 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the year for interest | | | | $ | 2,206,889 | | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statement of Assets, Liabilities and Members’ Capital that sum to the total of the same amount above at December 31, 2019: | | | | | | | |
Cash and cash equivalents | | | | $ | 156,059,609 | | |
Restricted cash included in cash and cash equivalents | | | | | 112,860,213 | | |
Restricted cash included in due from broker | | | | | 506,980,109 | | |
Total cash, cash equivalents and restricted cash at December 31, 2019 | | | | $ | 775,899,931 | | |
Notes to Financial Statements – December 31, 2019
| Assets: | | | | | | | | | Liabilities: | | | | | | | |
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | |||||
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | | | | | |
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | |||||
| Common Stock | | | | $ | 2,193,188,995 | | | | Common Stock | | | | $ | 1,004,565,716 | | |
| Equity Options | | | | | 125,371,327 | | | | Equity Options | | | | | — | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | | | | | |
| Observable Inputs | | | | | | | | | Observable Inputs | | | |||||
| Total Return Swaps | | | | | 86,189,982 | | | | Total Return Swaps | | | | | 13,311,573 | | |
| Currency Options | | | | | 642,663 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | | | | | |
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,405,392,967 | | | | Total | | | | $ | 1,017,877,289 | | |
(continued)
(continued)
(continued)
(continued)
(continued)
(continued)
| Forward contracts: | | | |||||
| Average notional amount | | | | $ | 16,770,781 | | |
| Currency options: | | | |||||
| Average notional amount | | | | $ | 10,163,062 | | |
| Equity options: | | | |||||
| Average notional amount | | | | $ | 2,395,317,100 | | |
| Total Return swaps: | | | |||||
| Average notional amount | | | | $ | 278,267,148 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2018 | | | | | | | | | | | | | | | | | | | |
| Equity Options | | | | $ | 3,793,825 | | | | | $ | 24,058,986 | | | | | $ | (20,265,161) | | |
| Total Return Swaps | | | | | 44,193,988 | | | | | | 10,385,395 | | | | | | 33,808,593 | | |
| Total Year ended December 31, 2018 | | | | $ | 47,987,813 | | | | | $ | 34,444,381 | | | | | $ | 13,543,432 | | |
| Total Year ended December 31, 2019 | | | | | | | | | | | | | | | | | | | |
| Equity Options | | | | $ | 10,589,451 | | | | | $ | 8,441,402 | | | | | $ | 2,148,049 | | |
| Total Return Swaps | | | | | 86,189,982 | | | | | | 13,311,573 | | | | | | 72,878,409 | | |
| Total Year ended December 31, 2019 | | | | $ | 96,779,433 | | | | | $ | 21,752,975 | | | | | $ | 75,026,458 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 48,791,620 | | | | | $ | (12,691,406) | | | | | $ | 61,483,026 | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2018 | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | $ | — | | | | | $ | 818,900 | | | | | $ | (818,900) | | |
| Forward Contracts | | | | | 3,544,722 | | | | | | — | | | | | | 3,544,722 | | |
| Total Year ended December 31, 2018 | | | | $ | 3,544,722 | | | | | $ | 818,900 | | | | | $ | 2,725,822 | | |
| Total Year ended December 31, 2019 | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | $ | — | | | | | $ | 280,270 | | | | | $ | (280,270) | | |
| Forward Contracts | | | | | — | | | | | | — | | | | | | — | | |
| Total Year ended December 31, 2019 | | | | $ | — | | | | | $ | 280,270 | | | | | $ | (280,270) | | |
| Total net change in unrealized gain/(loss) | | | | $ | (3,544,722) | | | | | $ | (538,630) | | | | | $ | (3,006,092) | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Equity Options | | | | $ | 206,782,699 | | | | | $ | 186,245,464 | | | | | $ | 20,537,235 | | |
| Total Return Swaps | | | | | 28,839,132 | | | | | | 15,012,493 | | | | | | 13,826,639 | | |
| Total | | | | $ | 235,621,831 | | | | | $ | 201,257,957 | | | | | $ | 34,363,874 | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Currency Options | | | | $ | — | | | | | $ | 2,899,973 | | | | | $ | (2,899,973) | | |
| Forward Contracts | | | | | 3,521,745 | | | | | | — | | | | | | 3,521,745 | | |
| Total | | | | $ | 3,521,745 | | | | | $ | 2,899,973 | | | | | $ | 621,772 | | |
| | | Gross Amount of Assets as Presented in the Statement of Assets, Liabilities and Members’ Capital | | | Gross Amounts Not Offset in the Statement of Assets, Liabilities and Members’ Capital | | | Net Amount | | |||||||||||||||
| | | Financial Instruments | | | Cash Collateral Received | | ||||||||||||||||||
Total return swaps | | | | $ | 86,189,982 | | | | | $ | 13,311,573 | | | | | $ | — | | | | | $ | 72,878,409 | | |
Total | | | | $ | 86,189,982 | | | | | $ | 13,311,573 | | | | | $ | — | | | | | $ | 72,878,409 | | |
| | | Gross Amounts of Liabilities as Presented in the Statement of Assets, Liabilities and Members’ Capital | | | Gross Amounts Not Offset in the Statement of Assets, Liabilities and Members’ Capital | | | Net Amount | | |||||||||||||||
| | | Financial Instruments | | | Cash Collateral Pledged(a) | | ||||||||||||||||||
Total return swaps | | | | $ | 13,311,573 | | | | | $ | 13,311,573 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 13,311,573 | | | | | $ | 13,311,573 | | | | | $ | — | | | | | $ | — | | |
| | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | | Year Ended December 31, 2017 | | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 2,008,674 | | | | | $ | 1,445,445 | | | | | $ | 1,457,846 | | | | | $ | 1,129,353 | | | | | $ | 1,310,708 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (2.46%) | | | | | | (2.97%) | | | | | | (3.09%) | | | | | | (2.14%) | | | | | | (2.37%) | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.26% | | | | | | 4.39% | | | | | | 4.48% | | | | | | 3.63% | | | | | | 3.52% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 5.51% | | | | | | 0.02% | | | | | | 5.26% | | | | | | 0.01%(a) | | | | | | 0.24% | | |
Portfolio turnover | | | | | 85% | | | | | | 136% | | | | | | 99% | | | | | | 73% | | | | | | 82% | | |
Total return - gross* | | | | | 42.87% | | | | | | (6.10%) | | | | | | 34.41% | | | | | | (1.40%) | | | | | | 5.85% | | |
Total return - net* | | | | | 35.60% | | | | | | (6.10%) | | | | | | 27.81% | | | | | | (1.40%) | | | | | | 5.71% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 3.08% | | | | | | 2.66% | | | | | | 3.51% | | | | | | 4.53% | | | | | | 3.02% | | |
Supplemental Information (Unaudited)
Company Management (Unaudited)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Luis Rubio, 64 Manager | | | Indefinite; Since May 2003 | | | President of Centro de Investigacion Para el Desarrollo, A.C. (Center of Research Development) (2000 to present) and Director of same 1984 – 2000); Adjunct Fellow of the Center for Strategic and International Studies; Director of The Asia Tigers Fund, Inc. and The India Fund, Inc.; and Director of Empresa Ica SA de CV, a Mexican construction company (since 2006). | | | 1 | |
Janet L. Schinderman, 68 Manager | | | Indefinite; Since May 2003 | | | Education consultant specializing in international relations, board management and initiating special projects; Associate Dean for Special Projects and Secretary to the Board of Overseers at Columbia Business School from 1990 until June 2006; and Independent director for two registered investment companies advised by The Central Park Group. | | | 1 | |
Company Management (Unaudited) (continued)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Jesse H. Ausubel, 68 Manager | | | Indefinite; Since May 1999 | | | Director, Program for the Human Environment and Senior Research Associate, The Rockefeller University (1993 to present); Director, Richard Lounshery Foundation (1998 to present); Program Director, Alfred P. Sloan Foundation (1994 to present); Adjunct Scientist, Woods Hole Oceanographic Institution (1990 to present). | | | 1 | |
Todd T. Milbourn, 50 Manager | | | Indefinite; Since February 2016 | | | Professor of Finance at Olin Business School, Washington University in St. Louis (since 2010); Senior Associate Dean of Faculty and Research at Olin Business School, Washington University in St. Louis (since 2013). | | | 1 | |
Michael J. Murphy, 64 Manager | | | Indefinite; Since August 2016 | | | Private investor (since 2013); Founding Partner and Managing Director, Libertas Partners LLC/Knight Capital Group Inc. (2004 – 2013). | | | 1 | |
Interested Manager | | | | | ||||||
Bryan McKigney,* 61 President, CEO, and Manager | | | Indefinite; Manager since December 1, 2004; President and CEO since September 23, 2004 | | | Mr. McKigney is a Managing Director and the President of Oppenheimer Asset Management Inc. since April 2015. He was the Chief Administrative Officer prior thereto. He has been in the financial services industry since 1981 and has held various management positions at Canadian Imperial Bank of Commerce (1993 – 2003) and Chase Manhattan Bank N.A. (1981 – 1993). | | | 1 | |
Company Management (Unaudited) (continued)
Name, Age, Address(1) and Position(s) with the Company(2) | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | |
Vineet Bhalla, 59 Chief Financial Officer | | | One year; Since July 27, 2005 | | | Mr. Bhalla has been an Executive Director at Oppenheimer Asset Management since January 2016 and a Senior Director since May 2005. From July 2002 to May 2005, he was an Assistant Vice President at Zurich Capital Markets Inc., a Director of the Client Service Group at GlobeOp Financial Services, and a Senior Consultant at Capital Markets Company. Prior to that, he was a Vice President at Blackrock Financial Management since June 1999. Mr. Bhalla is a Certified Public Accountant. He graduated with an MBA from Saint Mary’s University, Halifax, Canada in 1986. | |
Salvatore Faia, 57 Chief Compliance Officer | | | One year; Since December 31, 2014 | | | President, Vigilant Compliance, LLC since 2004; and Director of EIP Growth and Income Fund since 2005. | |
Deborah Kaback, 68 Chief Legal Officer | | | One year; Since July 23, 2003 | | | Ms. Kaback has been a Managing Director at Oppenheimer Asset Management since June 2003. She was Executive Director of CIBC World Markets Corp. from July 2001 through June 2003. Prior to that, she was Vice-President and Senior Counsel of Oppenheimer Funds, Inc. from November 1999 through July 2001. Prior to that, she was Senior Vice President and Deputy General Counsel at Oppenheimer Capital from April 1989 through November 1999. | |
Company Management (Unaudited) (concluded)
Name, Age, Address(1) and Position(s) with the Company(2) | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | |
Bryan McKigney, 61 President, CEO, and Principal Manager | | | One year term for President and CEO; since September 23, 2004. Indefinite term for Principal Manager; since December 1, 2004 | | | Mr. McKigney is a Managing Director and the President of Oppenheimer Asset Management Inc. since April 2015. He was the Chief Administrative Officer prior thereto. He has been in the financial services industry since 1981 and has held various management positions at Canadian Imperial Bank of Commerce (1993 – 2003) and Chase Manhattan Bank N.A. (1981 – 1993). | |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Managers (the “Board”) has determined that Todd Milbourn is qualified to serve as an audit committee financial expert serving on the Audit Committee of the Board (the “Audit Committee”) and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $206,835 for 2019 and $206,835 for 2018. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $5,000 for 2019 and $5,000 for 2018. Audit related fees principally include fees associated with the executive read of the semi-annual statements. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $128,750 for 2019 and $125,000 for 2018. Tax fees include fees for tax compliance services and assisting management in the preparation of tax estimates. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2019 and $0 for 2018. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The registrant’s Audit Committee Charter provides that the Audit Committee shall pre-approve, to the extent required by applicable law, all audit and non–audit services that the registrant’s independent auditors provide to the registrant and (ii) all non-audit services that the registrant’s independent auditors provide to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 0%
(c) 0%
(d) Not Applicable
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $128,750 for 2019 and $125,000 for 2018. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
The Proxy Voting Policies are attached herewith.
PROXY VOTING
A. Proxy Voting Policy
The firm has retained Institutional Shareholder Services, Inc. (“ISS”) to provide research and recommendations on proxy voting issues and to facilitate the electronic voting of proxies. ISS has authority to vote the proxies for each Client Account, in accordance with the policies described below.
1. | General Policy. The Firm instructs each Client Account’s custodian to deliver to ISS all proxy solicitation materials that the custodian receives for that Client Account. The Firm provides to ISS a listing of securities held “long” in each Client Account as of the 15th and last day of each month to enable ISS to use reasonable efforts to confirm that ISS has received all proxy solicitation materials concerning such securities. |
The Firm, through ISS, will vote proxies on behalf of Client Accounts. ISS evaluates all proxy solicitation material and other facts it deems relevant and may seek additional information from the party soliciting the proxy and independent corroboration of such information when ISS considers it appropriate and when it is reasonably available. The Firm has instructed ISS to make voting decisions on behalf of each Client Account based on the proxy voting guidelines that ISS provides to the Firm. The Firm may override ISS’ voting decisions if the Firm deems it in the best interests of the Client Account. The Firm has instructed ISS to use reasonable efforts to respond to each proxy solicitation by the deadline for such response.
2. | Conflicts of Interest. Due to the size and nature of the Firm’s operations and the Firm’s limited affiliations in the securities industry, the Firm does not expect that material conflicts of interest will arise between the Firm and a Client Account over proxy voting. The Firm recognizes, however, that such conflicts may arise from time to time, such as, for example, when the Firm or one of its affiliates has a business arrangement that could be affected by the outcome of a proxy vote or has a personal or business relationship with a person seeking appointment or re-appointment as a director of a company. Notwithstanding the possibility of such a material conflict arising, the Firm believes that it places the interests of the Client Accounts ahead of the Firm’s own interests by following ISS’ recommendations. |
If the Firm determines that the foregoing proxy voting policies do not adequately address a material conflict of interest related to a proxy, the Firm will, in its exclusive discretion, either (a) direct ISS to vote the proxy in accordance with ISS’ recommendation or (b) provide the affected client with copies of all proxy solicitation materials that the Firm receives with respect to that proxy, notify that client of the actual or potential conflict of interest and of the Firm’s intended response to the proxy request, and request that the client consent to the Firm’s intended response. If the client consents to the Firm’s intended response or fails to respond to the notice within a reasonable period of time specified in the notice, the Firm will vote the proxy as described in the notice. If the client objects to the Firm’s intended response, the Firm will vote the proxy as directed by the client.
3. | Shareholder Proposals by the Firm. The Firm may submit a shareholder proposal on behalf of a Client Account only if the Firm believes that the proposal would provide a substantial overall benefit to the Client Account. |
4. | Disclosures to Clients. The Firm includes in Part 2 of its Form ADV (1) a summary of these proxy voting policies and procedures, (2) an offer to provide a copy of these to clients on request, and (3) information concerning how a client may obtain a report summarizing how the Firm voted proxies on behalf of such client. At the request of a client or Investor (other than a RIC), the Firm provides that client or Investor with a copy of this Part VIII and a report summarizing all proxy solicitations the Firm received with respect to the applicable Client Account during the period requested and action taken by the Firm on each such proxy. Regarding the Firm’s proxy votes on behalf of its RIC clients, the Firm will provide that RIC with the information required to be disclosed by that RIC pursuant to ICA Rule 30b1-4 and SEC Form N-PX promulgated thereunder, including: |
a. | The name of the issuer of the portfolio security; |
b. | The exchange ticker symbol of the portfolio security; |
c. | The CUSIP number for the portfolio security (unless not available through reasonable practical means, e.g., in the case of certain foreign issuers); |
d. | The shareholder meeting date; |
e. | A brief identification of the matter voted on; |
f. | Whether the matter was proposed by the issuer or by a security holder; |
g. | Whether the Firm cast its vote on the matter; |
h. | How the Firm cast its vote (e.g., for or against proposal, or abstain; for or withhold regarding election of directors); and |
i. | Whether the Firm cast its vote for or against management. |
B. Records
See Part IX (Recordkeeping Requirements), Section B.9. regarding records that must be maintained relating to these proxy voting policies and procedures.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) | Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members |
As of the date of this filing, Mr. Panayotis ("Takis") Sparaggis, the controlling person and Chief Investment Officer of Alkeon Capital Management, LLC (“Alkeon”), is the person primarily responsible for management of the Fund's investment portfolio (the “Portfolio Manager”). Mr. Sparaggis has served since the Fund’s inception as the Portfolio Manager and is the lead member of Alkeon’s Investment Team. Other members of the Investment Team assist Mr. Sparaggis in his role as Portfolio Manager. Mr. Sparaggis founded Alkeon in January 2002. From May 1995 until the founding of Alkeon, Mr. Sparaggis was employed by CIBC World Markets Corp or its predecessors.
(a)(2) | Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest |
Other Accounts Managed by Portfolio Manager(s) or Management Team Member
The table below includes details about the type, number, and assets under management for the various types of accounts, and total assets in the accounts with respect to which the advisory fee is based on the performance of the other accounts that Mr. Sparaggis managed as of December 31, 2019:
Name of Portfolio Manager or Team Member | Type of Accounts | Total No. of Accounts Managed | Total Assets | No. of Accounts where Advisory Fee is Based on Performance | Total Assets in Accounts where Advisory Fee is Based on Performance | |||||||||
Panayotis Sparaggis | Registered Investment Companies: | 1 | $ | 4,667,480,179 | 1 | $ | 4,667,480,179 | |||||||
Other Pooled Investment Vehicles: | 8 | $ | 4,490,988,924 | 8 | $ | 4,490,988,924 | ||||||||
Other Accounts: | 0 | 0 | 0 | 0 |
Potential Conflicts of Interests
Actual or apparent conflicts of interest may arise when a Portfolio Manager also has day-to-day responsibilities with respect to one or more accounts. These potential conflicts include:
• | Allocation of Limited Time and Attention. Because the Portfolio Manager manages other accounts, the Portfolio Manager may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts as if the Portfolio Manager were to devote substantially more attention to the management of fewer accounts. |
• | Allocation of Investment Opportunities. If the Portfolio Manager identifies an investment opportunity that may be suitable for multiple accounts, the Fund may not be able to take full advantage of that opportunity because the opportunity may need to be allocated among all or many of these accounts. |
• | Pursuit of Differing Strategies. At times, the Portfolio Manager may determine that an investment opportunity may be appropriate for only some of the accounts for which he exercises investment responsibility, or may decide that certain of these accounts should take differing positions with respect to a particular security. In these cases, the Portfolio Manager may execute differing or opposite transactions for one or more accounts which may affect the market price of the security or the execution of the transactions, or both, to the detriment of one or more of his accounts. |
• | Performance Fees. The Portfolio Manager manages other accounts that are subject to a performance allocation or performance fee which in some cases may be greater than the fee payable by the Fund. This could create a conflict because the Portfolio Manager may benefit if a more attractive investment is allocated to an account that bears a greater performance allocation or fee. |
Allocation of brokerage activity, commission dollars and soft dollar budget items. This could create conflict if Alkeon directs brokerage transactions based on a rationale not related to best execution costs or services.
(a)(3) | Compensation Structure of Portfolio Manager(s) or Management Team Members |
As of December 31, 2019, Mr. Sparaggis' compensation consists of periodic advances and the income from the profits of Alkeon Capital Management, LLC derived by him as its controlling principal. The level of Alkeon Capital Management's profitability in turn is dependent on the advisory fees and performance fees and allocations received from the Fund and other advisory clients.
(a)(4) | Disclosure of Securities Ownership |
The table below sets forth beneficial ownership of interests of the registrant by the Portfolio Manager as of December 31, 2019:
Name of Portfolio Manager or Team Member | Dollar ($) Range of Fund Shares Beneficially Owned | |||
Panayotis Sparaggis | $ | 0 |
(b) | Not applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Advantage Advisers Xanthus Fund, L.L.C.
By (Signature and Title)*/s/ Bryan McKigney
Bryan McKigney, Principal Executive Officer
(Principal Executive Officer)
Date 3/13/2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)*/s/ Bryan McKigney
Bryan McKigney, Principal Executive Officer
(Principal Executive Officer)
Date 3/13/2020
By (Signature and Title)*/s/ Vineet Bhalla
Vineet Bhalla, Chief Financial Officer
(Principal Financial Officer)
Date 3/13/2020
* Print the name and title of each signing officer under his or her signature.