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)
Pamela Poland Chen, Esq.
Kirkland & Ellis LLP
601 Lexington Avenue
New York, NY 10022
(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: June 30, 2023
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, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Xanthus Fund, L.L.C.
(Unaudited)
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Statement of Assets, Liabilities and Members’ Capital (Unaudited)
| | | June 30, 2023 | | |||
Assets | | | | | | | |
Investments in securities, at fair value (cost $1,669,752,185) | | | | $ | 2,377,917,263 | | |
Purchased options, at fair value (cost $359,143,057) | | | | | 326,304,258 | | |
Cash and cash equivalents (including United States Dollars of $327,692,247, Hong Kong Dollars of $2,283,395 with a cost of $2,283,395, and Japanese Yen of $345,193 with a cost of $345,057 of which $181,281,080 is restricted cash) | | | | | 330,320,835 | | |
Due from brokers (including United States Dollars of $108,112,890 and Japanese Yen of $32,209 with a cost of $32,184, all of which is restricted cash) | | | | | 108,145,099 | | |
Receivable for investment securities sold | | | | | 264,302,069 | | |
Unrealized gain on total return swap contracts | | | | | 89,089,677 | | |
Interest receivable | | | | | 1,144,348 | | |
Dividends receivable | | | | | 504,646 | | |
Other assets | | | | | 198,426 | | |
Total assets | | | | | 3,497,926,621 | | |
Liabilities | | | | | | | |
Securities sold, not yet purchased, at fair value (proceeds $917,768,634) | | | | | 917,658,216 | | |
Written options (proceeds $1,367,052) | | | | | 412,200 | | |
Payable for investment securities purchased | | | | | 275,483,151 | | |
Withdrawals payable (see Note 3) | | | | | 85,746,880 | | |
Due to brokers (including United States Dollars of $53,040,000, and Euros of $136 with a cost of $136) | | | | | 53,040,136 | | |
Unrealized loss on total return swap contracts | | | | | 33,172,018 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,660,754 | | |
Accounting and investor services fees payable | | | | | 414,374 | | |
Accrued expenses | | | | | 3,448,970 | | |
Total liabilities | | | | | 1,371,036,699 | | |
Members’ Capital | | | | $ | 2,126,889,922 | | |
Members’ Capital | | | | | | | |
Represented by: | | | | | | | |
Net capital contributions | | | | $ | 1,089,616,569 | | |
Total earnings (loss) | | | | | 1,037,273,353 | | |
Members’ Capital | | | | $ | 2,126,889,922 | | |
Schedule of Portfolio Investments (Unaudited)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – 111.80% | | | | | | | | | | | | | |
| | | | | | | United States – 74.23% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 1.09% | | | | | | | | | | | | | |
| | | 25,936 | | | | TransDigm Group, Inc.* | | | | | (a) | | | | | $ | 23,191,193 | | |
| | | | | | | Applications Software – 5.11% | | | | | | | | | | | | | |
| | | 156,406 | | | | Elastic NV* | | | | | | | | | | | 10,028,753 | | |
| | | 254,224 | | | | Microsoft Corp. | | | | | (a) | | | | | | 86,573,441 | | |
| | | 314,841 | | | | Smartsheet, Inc., Class A* | | | | | (a) | | | | | | 12,045,817 | | |
| | | | | | | | | | | | | | | | | | 108,648,011 | | |
| | | | | | | Building Products - Cement / Aggregate – 2.11% | | | | | | | | | | | | | |
| | | 52,983 | | | | Martin Marietta Materials, Inc. | | | | | (a) | | | | | | 24,461,721 | | |
| | | 90,172 | | | | Vulcan Materials Co. | | | | | (a) | | | | | | 20,328,376 | | |
| | | | | | | | | | | | | | | | | | 44,790,097 | | |
| | | | | | | Coatings / Paint – 0.95% | | | | | | | | | | | | | |
| | | 75,723 | | | | The Sherwin-Williams Co. | | | | | (a) | | | | | | 20,105,971 | | |
| | | | | | | Commercial Services – 0.19% | | | | | | | | | | | | | |
| | | 8,312 | | | | Cintas Corp. | | | | | (a) | | | | | | 4,131,729 | | |
| | | | | | | Commercial Services - Finance – 1.20% | | | | | | | | | | | | | |
| | | 57,286 | | | | Block, Inc.* | | | | | | | | | | | 3,813,529 | | |
| | | 70,866 | | | | Global Payments, Inc. | | | | | | | | | | | 6,981,718 | | |
| | | 372,603 | | | | Marqeta, Inc., Class A* | | | | | | | | | | | 1,814,577 | | |
| | | 24,266 | | | | S&P Global, Inc. | | | | | | | | | | | 9,727,997 | | |
| | | 38,518 | | | | TransUnion | | | | | | | | | | | 3,017,115 | | |
| | | | | | | | | | | | | | | | | | 25,354,936 | | |
| | | | | | | Communications Software – 2.22% | | | | | | | | | | | | | |
| | | 446,749 | | | | RingCentral, Inc., Class A* | | | | | (a) | | | | | | 14,622,095 | | |
| | | 480,646 | | | | Zoom Video Communications, Inc., Class A* | | | | | | | | | | | 32,626,250 | | |
| | | | | | | | | | | | | | | | | | 47,248,345 | | |
| | | | | | | Computer Aided Design – 6.50% | | | | | | | | | | | | | |
| | | 275,471 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 64,603,459 | | |
| | | 169,225 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 73,682,257 | | |
| | | | | | | | | | | | | | | | | | 138,285,716 | | |
| | | | | | | Computer Software – 1.49% | | | | | | | | | | | | | |
| | | 183,932 | | | | Dynatrace, Inc.* | | | | | (a) | | | | | | 9,466,980 | | |
| | | 262,810 | | | | Twilio, Inc., Class A* | | | | | (a) | | | | | | 16,719,972 | | |
| | | 207,346 | | | | ZoomInfo Technologies, Inc.* | | | | | | | | | | | 5,264,515 | | |
| | | | | | | | | | | | | | | | | | 31,451,467 | | |
| | | | | | | Computers – 0.46% | | | | | | | | | | | | | |
| | | 179,019 | | | | Dell Technologies, Inc. | | | | | | | | | | | 9,686,718 | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | E-Commerce / Products – 4.60% | | | | | | | | | | | | | |
| | | 750,111 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | $ | 97,784,470 | | |
| | | | | | | E-Commerce / Services – 4.87% | | | | | | | | | | | | | |
| | | 424,933 | | | | Expedia Group, Inc.* | | | | | | | | | | | 46,483,421 | | |
| | | 1,324,700 | | | | Uber Technologies, Inc.* | | | | | (a) | | | | | | 57,187,299 | | |
| | | | | | | | | | | | | | | | | | 103,670,720 | | |
| | | | | | | Energy - Alternate Sources – 0.11% | | | | | | | | | | | | | |
| | | 414,412 | | | | Stem, Inc.* | | | | | | | | | | | 2,370,437 | | |
| | | | | | | Enterprise Software / Services – 2.71% | | | | | | | | | | | | | |
| | | 173,176 | | | | BILL.com Holdings, Inc.* | | | | | | | | | | | 20,235,616 | | |
| | | 338,173 | | | | SS&C Technologies Holdings, Inc. | | | | | (a) | | | | | | 20,493,284 | | |
| | | 1,030,561 | | | | UiPath, Inc., Class A* | | | | | | | | | | | 17,076,396 | | |
| | | | | | | | | | | | | | | | | | 57,805,296 | | |
| | | | | | | Finance - Credit Card – 4.29% | | | | | | | | | | | | | |
| | | 108,407 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 42,636,473 | | |
| | | 204,985 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 48,679,838 | | |
| | | | | | | | | | | | | | | | | | 91,316,311 | | |
| | | | | | | Finance - Other Services – 1.22% | | | | | | | | | | | | | |
| | | 230,234 | | | | Intercontinental Exchange, Inc. | | | | | (a) | | | | | | 26,034,861 | | |
| | | | | | | Human Resources – 0.34% | | | | | | | | | | | | | |
| | | 39,678 | | | | Paylocity Holding Corp.* | | | | | (a) | | | | | | 7,321,781 | | |
| | | | | | | Internet Content - Entertainment – 11.15% | | | | | | | | | | | | | |
| | | 826,627 | | | | Meta Platforms, Inc., Class A* | | | | | (a) | | | | | | 237,225,417 | | |
| | | | | | | Medical - Biomedical / Genetics – 3.47% | | | | | | | | | | | | | |
| | | 479,344 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 22,380,571 | | |
| | | 640,678 | | | | Allovir, Inc.* | | | | | (a) | | | | | | 2,178,305 | | |
| | | 238,228 | | | | BioCryst Pharmaceuticals, Inc.* | | | | | | | | | | | 1,677,125 | | |
| | | 135,184 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 8,543,629 | | |
| | | 193,850 | | | | Caribou Biosciences, Inc.* | | | | | | | | | | | 823,862 | | |
| | | 98,513 | | | | Cerevel Therapeutics Holdings, Inc.* | | | | | (a) | | | | | | 3,131,728 | | |
| | | 210,759 | | | | Keros Therapeutics, Inc.* | | | | | | | | | | | 8,468,297 | | |
| | | 73,001 | | | | Sarepta Therapeutics, Inc.* | | | | | (a) | | | | | | 8,360,075 | | |
| | | 220,929 | | | | TG Therapeutics, Inc.* | | | | | | | | | | | 5,487,876 | | |
| | | 277,250 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | | | | | | | 12,789,543 | | |
| | | | | | | | | | | | | | | | | | 73,841,011 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Medical - Drugs – 0.41% | | | | | | | | | | | | | |
| | | 426,679 | | | | ORIC Pharmaceuticals, Inc.* | | | | | | | | | | $ | 3,311,029 | | |
| | | 207,367 | | | | PMV Pharmaceuticals, Inc.* | | | | | | | | | | | 1,298,117 | | |
| | | 247,501 | | | | Rhythm Pharmaceuticals, Inc.* | | | | | | | | | | | 4,081,291 | | |
| | | | | | | | | | | | | | | | | | 8,690,437 | | |
| | | | | | | Metal Processors & Fabrication – 0.16% | | | | | | | | | | | | | |
| | | 157,374 | | | | Xometry, Inc., Class A* | | | | | | | | | | | 3,333,181 | | |
| | | | | | | Private Equity – 0.82% | | | | | | | | | | | | | |
| | | 349,239 | | | | The Carlyle Group, Inc. | | | | | | | | | | | 11,158,186 | | |
| | | 114,330 | | | | KKR & Co., Inc. | | | | | | | | | | | 6,402,480 | | |
| | | | | | | | | | | | | | | | | | 17,560,666 | | |
| | | | | | | REITs - Diversified – 2.46% | | | | | | | | | | | | | |
| | | 85,942 | | | | American Tower Corp. | | | | | | | | | | | 16,667,591 | | |
| | | 45,605 | | | | Equinix, Inc. | | | | | | | | | | | 35,751,584 | | |
| | | | | | | | | | | | | | | | | | 52,419,175 | | |
| | | | | | | Retail - Apparel / Shoes – 1.20% | | | | | | | | | | | | | |
| | | 226,882 | | | | Ross Stores, Inc. | | | | | (a) | | | | | | 25,440,279 | | |
| | | | | | | Retail - Building Products – 0.84% | | | | | | | | | | | | | |
| | | 78,956 | | | | Lowe’s Cos., Inc. | | | | | (a) | | | | | | 17,820,369 | | |
| | | | | | | Retail - Major Department Stores – 2.76% | | | | | | | | | | | | | |
| | | 692,038 | | | | The TJX Cos., Inc. | | | | | (a) | | | | | | 58,677,902 | | |
| | | | | | | Retail - Restaurants – 1.57% | | | | | | | | | | | | | |
| | | 10,463 | | | | Chipotle Mexican Grill, Inc.* | | | | | | | | | | | 22,380,357 | | |
| | | 79,479 | | | | Yum! Brands, Inc. | | | | | | | | | | | 11,011,815 | | |
| | | | | | | | | | | | | | | | | | 33,392,172 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 5.62% | | | | | | | | | | | | | |
| | | 371,713 | | | | Analog Devices, Inc. | | | | | (a) | | | | | | 72,413,410 | | |
| | | 396,256 | | | | QUALCOMM, Inc. | | | | | (a) | | | | | | 47,170,314 | | |
| | | | | | | | | | | | | | | | | | 119,583,724 | | |
| | | | | | | Semiconductor Equipment – 4.31% | | | | | | | | | | | | | |
| | | 100,663 | | | | KLA Corp. | | | | | (a) | | | | | | 48,823,568 | | |
| | | 40,184 | | | | Lam Research Corp. | | | | | (a) | | | | | | 25,832,686 | | |
| | | 152,104 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 16,933,738 | | |
| | | | | | | | | | | | | | | | | | 91,589,992 | | |
| | | | | | | Total United States (Cost $974,473,512) | | | | | | | | | | $ | 1,578,772,384 | | |
| | | | | | | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | Brazil – 0.46% | | | | | | | | | | | | | |
| | | | | | | Finance - Investment Banker / Broker – 0.46% | | | | | | | | | | | | | |
| | | 412,779 | | | | XP, Inc., Class A* | | | | | | | | | | $ | 9,683,795 | | |
| | | | | | | Total Brazil (Cost $10,361,932) | | | | | | | | | | $ | 9,683,795 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Canada – 0.74% | | | | | | | | | | | | | |
| | | | | | | Internet Application Software – 0.74% | | | | | | | | | | | | | |
| | | 245,287 | | | | Shopify, Inc., Class A* | | | | | (a) | | | | | | 15,845,540 | | |
| | | | | | | Total Canada (Cost $8,621,061) | | | | | | | | | | $ | 15,845,540 | | |
| | | | | | | | | ||||||||||||
| | | | | | | China – 10.97% | | | | | | | | | | | | | |
| | | | | | | Auto – Cars / Light Trucks – 0.21% | | | | | | | | | | | | | |
| | | 143,000 | | | | BYD Co., Ltd. | | | | | | | | | | | 4,561,927 | | |
| | | | | | | E-Commerce / Products – 3.77% | | | | | | | | | | | | | |
| | | 549,938 | | | | Alibaba Group Holding, Ltd. – Sponsored ADR* | | | | | | | | | | | 45,837,332 | | |
| | | 564,718 | | | | JD.com, Inc., Class A – Sponsored ADR* | | | | | | | | | | | 19,273,826 | | |
| | | 215,641 | | | | Pinduoduo, Inc. – Sponsored ADR* | | | | | | | | | | | 14,909,419 | | |
| | | | | | | | | | | | | | | | | | 80,020,577 | | |
| | | | | | | Enterprise Software / Services – 0.09% | | | | | | | | | | | | | |
| | | 4,114,447 | | | | Ming Yuan Cloud Group Holdings, Ltd. | | | | | | | | | | | 1,842,854 | | |
| | | | | | | Entertainment Software – 1.31% | | | | | | | | | | | | | |
| | | 289,060 | | | | NetEase, Inc. – Sponsored ADR | | | | | | | | | | | 27,949,211 | | |
| | | | | | | Real Estate Management / Services – 1.15% | | | | | | | | | | | | | |
| | | 1,649,082 | | | | KE Holdings, Inc. – Sponsored ADR* | | | | | | | | | | | 24,488,868 | | |
| | | | | | | Schools – 1.12% | | | | | | | | | | | | | |
| | | 604,820 | | | | New Oriental Education & Technology Group, Inc. - Sponsored ADR* | | | | | | | | | | | 23,884,342 | | |
| | | | | | | Transport - Services – 0.90% | | | | | | | | | | | | | |
| | | 3,076,656 | | | | Full Truck Alliance Co., Ltd. – Sponsored ADR* | | | | | | | | | | | 19,136,800 | | |
| | | | | | | Web Portals / ISP – 2.42% | | | | | | | | | | | | | |
| | | 375,545 | | | | Baidu, Inc. – Sponsored ADR* | | | | | | | | | | | 51,415,866 | | |
| | | | | | | Total China (Cost $260,992,105) | | | | | | | | | | $ | 233,300,445 | | |
| | | | | | | | | ||||||||||||
| | | | | | | France – 8.90% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – Equipment – 7.48% | | | | | | | | | | | | | |
| | | 519,730 | | | | Airbus SE | | | | | | | | | | | 75,051,486 | | |
| | | 537,109 | | | | Safran SA | | | | | | | | | | | 84,065,540 | | |
| | | | | | | | | | | | | | | | | | 159,117,026 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | France – (continued) | | | | ||||||||||
| | | | | | | Apparel Manufacturers – 0.27% | | | | | | | | | | | | | |
| | | 10,280 | | | | Kering SA | | | | | | | | | | | 5,670,547 | | |
| | | | | | | Textile - Apparel – 1.15% | | | | | | | | | | | | | |
| | | 26,022 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | | | | | | $ | 24,500,572 | | |
| | | | | | | Total France (Cost $145,854,120) | | | | | | | | | | $ | 189,288,145 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Germany – 2.12% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 1.34% | | | | | | | | | | | | | |
| | | 110,350 | | | | MTU Aero Engines AG | | | | | | | | | | | 28,581,025 | | |
| | | | | | | Athletic Footwear – 0.78% | | | | | | | | | | | | | |
| | | 85,246 | | | | adidas AG | | | | | | | | | | | 16,534,142 | | |
| | | | | | | Total Germany (Cost $40,154,406) | | | | | | | | | | $ | 45,115,167 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Hong Kong – 1.15% | | | | | | | | | | | | | |
| | | | | | | Casino Hotels – 1.15% | | | | | | | | | | | | | |
| | | 3,859,000 | | | | Galaxy Entertainment Group, Ltd.* | | | | | | | | | | | 24,473,917 | | |
| | | | | | | Total Hong Kong (Cost $23,302,289) | | | | | | | | | | $ | 24,473,917 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Israel – 0.11% | | | | | | | | | | | | | |
| | | | | | | Applications Software – 0.11% | | | | | | | | | | | | | |
| | | 84,682 | | | | JFrog, Ltd.* | | | | | | | | | | | 2,345,691 | | |
| | | | | | | Total Israel (Cost $3,547,320) | | | | | | | | | | $ | 2,345,691 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Japan – 3.30% | | | | | | | | | | | | | |
| | | | | | | Audio / Video Products – 2.94% | | | | | | | | | | | | | |
| | | 696,600 | | | | Sony Group Corp. | | | | | | | | | | | 62,486,035 | | |
| | | | | | | Web Portals / ISP – 0.36% | | | | | | | | | | | | | |
| | | 3,195,703 | | | | Z Holdings Corp. | | | | | | | | | | | 7,658,986 | | |
| | | | | | | Total Japan (Cost $56,176,875) | | | | | | | | | | $ | 70,145,021 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Netherlands – 2.69% | | | | | | | | | | | | | |
| | | | | | | Semiconductor Equipment – 2.69% | | | | | | | | | | | | | |
| | | 78,814 | | | | ASML Holding NV | | | | | | | | | | | 57,120,447 | | |
| | | | | | | Total Netherlands (Cost $42,888,314) | | | | | | | | | | $ | 57,120,447 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Singapore – 0.20% | | | | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 0.20% | | | | | | | | | | | | | |
| | | 74,038 | | | | Sea, Ltd. – Sponsored ADR* | | | | | (a) | | | | | $ | 4,297,166 | | |
|
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | Singapore – (continued) | | | | ||||||||||
| | | | | | | E-Commerce / Products – (continued) | | | | ||||||||||
| | | | | | | Total Singapore (Cost $2,573,508) | | | | | | | | | | $ | 4,297,166 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Taiwan – 3.85% | | | | | | | | | | | | | |
| | | | | | | Semiconductor Components – Integrated Circuits – 3.85% | | | | | | | | | | | | | |
| | | 811,683 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. - Sponsored ADR | | | | | | | | | | | 81,915,048 | | |
| | | | | | | Total Taiwan (Cost $64,268,916) | | | | | | | | | | $ | 81,915,048 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Uruguay – 3.08% | | | | | | | | | | | | | |
| | | | | | | Commercial Services – Finance – 0.18% | | | | | | | | | | | | | |
| | | 312,585 | | | | Dlocal, Ltd.* | | | | | | | | | | | 3,815,100 | | |
| | | | | | | E-Commerce / Services – 2.90% | | | | | | | | | | | | | |
| | | 52,169 | | | | MercadoLibre, Inc.* | | | | | (a) | | | | | | 61,799,397 | | |
| | | | | | | Total Uruguay (Cost $36,537,827) | | | | | | | | | | $ | 65,614,497 | | |
| | | | | | | Total Common Stock (Cost $1,669,752,185) | | | | | | | | | | $ | 2,377,917,263 | | |
| | | | | | | Total Investments in Securities (Cost $1,669,752,185) – 111.80% | | | | | | | | | | $ | 2,377,917,263 | | |
| | | | | | | Total Purchased Options (Cost $359,143,057) – 15.34% | | | | | | | | | | | 326,304,258 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $917,768,634) – (43.15)% | | | | | | | | | | | (917,658,216) | | |
| | | | | | | Total Written Options (Proceeds $1,367,052) – (0.02)% | | | | | | | | | | | (412,200) | | |
| | | | | | | Other Assets, in Excess of Liabilities – 16.03%** | | | | | | | | | | | 340,738,817 | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | | | | $ | 2,126,889,922 | | |
|
Schedule of Portfolio Investments (Unaudited) (concluded)
Investments in Securities – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 2.43 | | |
Aerospace / Defense - Equipment | | | | | 7.48 | | |
Apparel Manufacturers | | | | | 0.27 | | |
Applications Software | | | | | 5.22 | | |
Athletic Equipment | | | | | 0.78 | | |
Audio / Video Products | | | | | 2.94 | | |
Auto - Cars / Light Trucks | | | | | 0.21 | | |
Building Products - Cement / Aggregate | | | | | 2.11 | | |
Casino Hotels | | | | | 1.15 | | |
Coatings / Paint | | | | | 0.95 | | |
Commercial Services | | | | | 0.19 | | |
Commercial Services - Finance | | | | | 1.38 | | |
Communications Software | | | | | 2.22 | | |
Computer Aided Design | | | | | 6.50 | | |
Computer Software | | | | | 1.49 | | |
Computers | | | | | 0.46 | | |
E-Commerce / Products | | | | | 8.57 | | |
E-Commerce / Services | | | | | 7.77 | | |
Energy - Alternate Sources | | | | | 0.11 | | |
Enterprise Software / Services | | | | | 2.80 | | |
Entertainment Software | | | | | 1.31 | | |
Finance - Credit Card | | | | | 4.29 | | |
Investments in Securities – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Finance - Investment Banker / Broker | | | | | 0.46 | | |
Finance - Other Services | | | | | 1.22 | | |
Human Resources | | | | | 0.34 | | |
Internet Application Software | | | | | 0.74 | | |
Internet Content - Entertainment | | | | | 11.15 | | |
Medical - Biomedical / Genetics | | | | | 3.47 | | |
Medical - Drugs | | | | | 0.41 | | |
Metal Processors & Fabrication | | | | | 0.16 | | |
Private Equity | | | | | 0.82 | | |
Real Estate Management / Services | | | | | 1.15 | | |
REITs - Diversified | | | | | 2.46 | | |
Retail - Apparel / Shoes | | | | | 1.20 | | |
Retail - Building Products | | | | | 0.84 | | |
Retail - Major Department Stores | | | | | 2.76 | | |
Retail - Restaurants | | | | | 1.57 | | |
Schools | | | | | 1.12 | | |
Semiconductor Components - Integrated Circuits | | | | | 9.47 | | |
Semiconductor Equipment | | | | | 7.00 | | |
Textile - Apparel | | | | | 1.15 | | |
Transport - Services | | | | | 0.90 | | |
Web Portals / ISP | | | | | 2.78 | | |
Total Investments in Securities | | | | | 111.80% | | |
|
Schedule of Purchased Options (Unaudited)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – 15.34% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 15.26% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Call Options – 12.57% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 12.07% | | | | | | | |
| | | | | | | | | | | | | | | | Applications Software – 0.93% | | | |||||
| | $ | 128,880,000 | | | | | | 4,296 | | | | 9/15/2023 $300 | | | Microsoft Corp. | | | | $ | 19,783,080 | | |
| | | | | | | | | | | | | | | | Auto - Cars / Light Trucks – 1.71% | | | |||||
| | | 8,520,000 | | | | | | 710 | | | | 8/18/2023 $120 | | | Tesla, Inc. | | | | | 10,021,650 | | |
| | | 70,820,000 | | | | | | 3,541 | | | | 11/17/2023 $200 | | | Tesla, Inc. | | | | | 26,345,040 | | |
| | | | | | | | | | | | | | | | | | | | | 36,366,690 | | |
| | | | | | | | | | | | | | | | Casino Hotels – 0.67% | | | |||||
| | | 23,724,000 | | | | | | 5,272 | | | | 9/15/2023 $45 | | | Las Vegas Sands Corp. | | | | | 7,196,280 | | |
| | | 35,505,000 | | | | | | 3,945 | | | | 9/15/2023 $90 | | | Wynn Resorts, Ltd. | | | | | 6,982,650 | | |
| | | | | | | | | | | | | | | | | | | | | 14,178,930 | | |
| | | | | | | | | | | | | | | | Commercial Services - Finance – 0.19% | | | | | | | |
| | | 11,470,000 | | | | | | 2,294 | | | | 9/15/2023 $50 | | | Block, Inc. | | | | | 4,094,790 | | |
| | | | | | | | | | | | | | | | Communications Software – 0.00% | | | | | | | |
| | | 5,740,000 | | | | | | 1,640 | | | | 7/21/2023 $35 | | | RingCentral, Inc., Class A | | | | | 90,200 | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 2.34% | | | | | | | |
| | | 130,349,500 | | | | | | 13,721 | | | | 9/15/2023 $95 | | | Amazon.com, Inc. | | | | | 49,807,230 | | |
| | | | | | | | | | | | | | | | E-Commerce / Services – 1.22% | | | | | | | |
| | | 57,730,000 | | | | | | 251 | | | | 10/20/2023 $2,300 | | | Booking Holdings, Inc. | | | | | 11,618,790 | | |
| | | 20,421,000 | | | | | | 4,538 | | | | 8/18/2023 $45 | | | DoorDash, Inc., Class A | | | | | 14,317,390 | | |
| | | | | | | | | | | | | | | | | | | | | 25,936,180 | | |
| | | | | | | | | | | | | | | | Electronic Component - Semiconductor – 0.93% | | | | | | | |
| | | 15,417,000 | | | | | | 5,710 | | | | 10/20/2023 $27 | | | Intel Corp. | | | | | 4,111,200 | | |
| | | 65,275,000 | | | | | | 1,865 | | | | 9/15/2023 $350 | | | NVIDIA Corp. | | | | | 15,582,075 | | |
| | | | | | | | | | | | | | | | | | | | | 19,693,275 | | |
| | | | | | | | | |
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Enterprise Software / Services – 0.08% | | | | | | | |
| | $ | 9,160,000 | | | | | | 2,290 | | | | 8/18/2023 $40 | | | Alteryx, Inc., Class A | | | | $ | 1,671,700 | | |
| | | | | | | | | | | | | | | | Hotels & Motels – 1.04% | | | |||||
| | | 42,936,000 | | | | | | 3,578 | | | | 10/20/2023 $120 | | | Hilton Worldwide Holdings, Inc. | | | | | 10,089,960 | | |
| | | 32,211,000 | | | | | | 2,386 | | | | 10/20/2023 $135 | | | Marriott International, Inc., Class A | | | | | 12,073,160 | | |
| | | | | | | | | | | | | | | | | | | | | 22,163,120 | | |
| | | | | | | | | | | | | | | | Internet Content - Entertainment – 2.80% | | | |||||
| | | 134,340,000 | | | | | | 6,717 | | | | 8/18/2023 $200 | | | Meta Platforms, Inc., Class A | | | | | 59,512,620 | | |
| | | | | | | | | | | | | | | | Multimedia – 0.16% | | | |||||
| | | 25,808,000 | | | | | | 3,226 | | | | 8/18/2023 $80 | | | The Walt Disney Co. | | | | | 3,403,430 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $194,842,799) | | | | $ | 256,701,245 | | |
| | | | | | | | | | | | | | | | China – 0.05% | | | | | | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 0.05% | | | | | | | |
| | | 9,044,750 | | | | | | 2,783 | | | | 9/15/2023 $32.50 | | | JD.com, Inc., Class A – Sponsored ADR | | | | | 1,071,455 | | |
| | | | | | | | | | | | | | | | Total China (Cost $2,902,750) | | | | $ | 1,071,455 | | |
| | | | | | | | | | | | | | | | Taiwan – 0.45% | | | | | | | |
| | | | | | | | | | | | | | | | Semiconductor Components - Integrated Circuits – 0.45% | | | | | | | |
| | | 27,457,500 | | | | | | 3,661 | | | | 8/18/2023 $75 | | | Taiwan Semiconductor Manufacturing Co., Ltd. – Sponsored ADR | | | | | 9,646,735 | | |
| | | | | | | | | | | | | | | | Total Taiwan (Cost $4,971,745) | | | | $ | 9,646,735 | | |
| | | | | | | | | | | | | | | | Total Equity Call Options (Cost $202,717,294) | | | | $ | 267,419,435 | | |
| | | | | | | | | | | | | | | | Equity Put Options – 2.69% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 2.69% | | | | | | | |
| | | | | | | | | | | | | | | | Communications Software – 0.51% | | | | | | | |
| | | 61,984,000 | | | | | | 7,748 | | | | 10/20/2023 $80 | | | Zoom Video Communications, Inc., Class A | | | | | 10,808,460 | | |
| | | | | | | | | | | | | | | | Enterprise Software / Services – 0.21% | | | | | | | |
| | | 37,550,000 | | | | | | 3,004 | | | | 8/18/2023 $125 | | | BILL.com Holdings, Inc. | | | | | 4,415,880 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Growth & Income - Large Cap – 0.07% | | | | | | | |
| | $ | 325,120,000 | | | | | | 8,128 | | | | 9/15/2023 $400 | | | SPDR S&P 500 ETF Trust | | | | $ | 1,576,832 | | |
| | | | | | | | | | | | | | | | Sector Fund - Technology – 1.90% | | | | | | | |
| | | 829,264,500 | | | | | | 29,097 | | | | 9/15/2023 $285 | | | Invesco QQQ Trust Series 1 | | | | | 1,687,626 | | |
| | | 274,809,600 | | | | | | 8,808 | | | | 9/15/2023 $312 | | | Invesco QQQ Trust Series 1 | | | | | 1,171,464 | | |
| | | 311,400,000 | | | | | | 10,380 | | | | 12/15/2023 $300 | | | Invesco QQQ Trust Series 1 | | | | | 3,176,280 | | |
| | | 899,860,000 | | | | | | 27,688 | | | | 12/15/2023 $325 | | | Invesco QQQ Trust Series 1 | | | | | 15,173,024 | | |
| | | 1,026,135,000 | | | | | | 31,095 | | | | 12/15/2023 $330 | | | Invesco QQQ Trust Series 1 | | | | | 19,216,710 | | |
| | | | | | | | | | | | | | | | | | | | | 40,425,104 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $153,535,827) | | | | $ | 57,226,276 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Cost $153,535,827) | | | | $ | 57,226,276 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Cost $356,253,121) | | | | $ | 324,645,711 | | |
| | | | | | | | | | | | | | | | Currency Put Options – 0.08% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.08% | | | | | | | |
| | | 5,382,688 | | | | | | 97,867,052 | | | | 12/15/2023 $5.50 | | | USD-BRL | | | | | 911,708 | | |
| | | 13,178,239 | | | | | | 175,709,851 | | | | 12/15/2023 $7.50 | | | USD-CNH | | | | | 746,839 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $2,889,936) | | | | $ | 1,658,547 | | |
| | | | | | | | | | | | | | | | Total Currency Put Options (Cost $2,889,936) | | | | $ | 1,658,547 | | |
| | | | | | | | | | | | | | | | Total Purchased Options (Cost $359,143,057) | | | | $ | 326,304,258 | | |
|
Schedule of Purchased Options (Unaudited) (concluded)
Purchased Options – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Applications Software | | | | | 0.93 | | |
Auto - Cars / Light Trucks | | | | | 1.71 | | |
Casino Hotels | | | | | 0.67 | | |
Commercial Services - Finance | | | | | 0.19 | | |
Communications Software | | | | | 0.51 | | |
Currency | | | | | 0.08 | | |
E-Commerce / Products | | | | | 2.39 | | |
E-Commerce / Services | | | | | 1.22 | | |
Electronic Component - Semiconductor | | | | | 0.93 | | |
Purchased Options – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Enterprise Software / Services | | | | | 0.29 | | |
Growth & Income - Large Cap | | | | | 0.07 | | |
Hotels & Motels | | | | | 1.04 | | |
Internet Content - Entertainment | | | | | 2.80 | | |
Multimedia | | | | | 0.16 | | |
Sector Fund - Technology | | | | | 1.90 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.45 | | |
| | | | | 15.34% | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 43.15% | | | | | | | | | | |
| | | | | | | Common Stock – 43.15% | | | | | | | | | | |
| | | | | | | United States – 36.81% | | | | | | | | | | |
| | | | | | | Advertising Agencies – 0.37% | | | | | | |||||
| | | 82,674 | | | | Omnicom Group, Inc. | | | | | | | $ | 7,866,431 | | |
| | | | | | | Advertising Services – 0.36% | | | | | | | | | | |
| | | 158,064 | | | | The Interpublic Group of Cos., Inc. | | | | | | | | 6,098,109 | | |
| | | 20,040 | | | | The Trade Desk, Inc., Class A* | | | | | | | | 1,547,489 | | |
| | | | | | | | | | | | | | | 7,645,598 | | |
| | | | | | | Apparel Manufacturers – 0.11% | | | | | | | | | | |
| | | 496,660 | | | | Hanesbrands, Inc.* | | | | | | | | 2,254,836 | | |
| | | | | | | Applications Software – 0.35% | | | | | | | | | | |
| | | 13,409 | | | | ServiceNow, Inc.* | | | | | | | | 7,535,456 | | |
| | | | | | | Auto - Cars / Light Trucks – 4.94% | | | | | | | | | | |
| | | 761,885 | | | | Ford Motor Co. | | | | | | | | 11,527,320 | | |
| | | 357,749 | | | | Tesla, Inc.* | | | | | | | | 93,647,956 | | |
| | | | | | | | | | | | | | | 105,175,276 | | |
| | | | | | | Cable / Satellite TV – 0.91% | | | | | | | | | | |
| | | 52,904 | | | | Charter Communications, Inc., Class A* | | | | | | | | 19,435,342 | | |
| | | | | | | Cellular Telecommunications – 1.39% | | | | | | | | | | |
| | | 212,538 | | | | T-Mobile US, Inc.* | | | | | | | | 29,521,528 | | |
| | | | | | | Commercial Banks – 0.82% | | | | | | | | | | |
| | | 95,404 | | | | Cathay General Bancorp | | | | | | | | 3,071,055 | | |
| | | 50,337 | | | | Cullen/Frost Bankers, Inc. | | | | | | | | 5,412,738 | | |
| | | 180,748 | | | | CVB Financial Corp. | | | | | | | | 2,400,333 | | |
| | | 66,100 | | | | East West Bancorp, Inc. | | | | | | | | 3,489,419 | | |
| | | 406,514 | | | | Valley National Bancorp | | | | | | | | 3,150,484 | | |
| | | | | | | | | | | | | | | 17,524,029 | | |
| | | | | | | Commercial Services - Finance – 0.35% | | | | | | | | | | |
| | | 236,533 | | | | H&R Block, Inc. | | | | | | | | 7,538,307 | | |
| | | | | | | Computer Data Security – 0.89% | | | | | | | | | | |
| | | 57,716 | | | | Qualys, Inc.* | | | | | | | | 7,455,176 | | |
| | | 42,771 | | | | Rapid7, Inc.* | | | | | | | | 1,936,671 | | |
| | | 79,878 | | | | Tenable Holdings, Inc.* | | | | | | | | 3,478,687 | | |
| | | 42,075 | | | | Zscaler, Inc.* | | | | | | | | 6,155,572 | | |
| | | | | | | | | | | | | | | 19,026,106 | | |
| | | | | | | Computer Services - Finance – 0.43% | | | | | | | | | | |
| | | 40,633 | | | | EPAM Systems, Inc.* | | | | | | | | 9,132,267 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Computer Software – 1.23% | | | | | | |||||
| | | 3,712 | | | | Bandwidth, Inc., Class A* | | | | | | | $ | 50,780 | | |
| | | 278,498 | | | | C3.ai, Inc., Class A* | | | | | | | | 10,145,682 | | |
| | | 86,045 | | | | SolarWinds Corp.* | | | | | | | | 882,822 | | |
| | | 106,269 | | | | Splunk, Inc.* | | | | | | | | 11,274,078 | | |
| | | 69,688 | | | | Teradata Corp.* | | | | | | | | 3,722,036 | | |
| | | | | | | | | | | | | | | 26,075,398 | | |
| | | | | | | Consulting Services – 0.40% | | | | | | |||||
| | | 37,365 | | | | Verisk Analytics, Inc. | | | | | | | | 8,445,611 | | |
| | | | | | | Consumer Products - Miscellaneous – 0.86% | | | | | | |||||
| | | 132,429 | | | | Kimberly-Clark Corp. | | | | | | | | 18,283,148 | | |
| | | | | | | Cosmetics & Toiletries – 0.63% | | | | | | |||||
| | | 84,068 | | | | Colgate-Palmolive Co. | | | | | | | | 6,476,599 | | |
| | | 46,493 | | | | The Procter & Gamble Co. | | | | | | | | 7,054,848 | | |
| | | | | | | | | | | | | | | 13,531,447 | | |
| | | | | | | Diversified Manufacturing Operations – 0.32% | | | | | | |||||
| | | 92,641 | | | | A.O. Smith Corp. | | | | | | | | 6,742,412 | | |
| | | | | | | E-Commerce / Products – 0.65% | | | | | | |||||
| | | 212,783 | | | | Wayfair, Inc., Class A* | | | | | | | | 13,833,023 | | |
| | | | | | | E-Commerce / Services – 0.10% | | | | | | |||||
| | | 50,203 | | | | TripAdvisor, Inc.* | | | | | | | | 827,847 | | |
| | | 132,203 | | | | Upwork, Inc.* | | | | | | | | 1,234,776 | | |
| | | | | | | | | | | | | | | 2,062,623 | | |
| | | | | | | Electric - Distribution – 0.33% | | | | | | |||||
| | | 77,081 | | | | Consolidated Edison, Inc. | | | | | | | | 6,968,122 | | |
| | | | | | | Electric - Integrated – 0.87% | | | | | | |||||
| | | 39,707 | | | | Duke Energy Corp. | | | | | | | | 3,563,306 | | |
| | | 52,860 | | | | Entergy Corp. | | | | | | | | 5,146,978 | | |
| | | 102,467 | | | | PPL Corp. | | | | | | | | 2,711,277 | | |
| | | 99,844 | | | | The Southern Co. | | | | | | | | 7,014,041 | | |
| | | | | | | | | | | | | | | 18,435,602 | | |
| | | | | | | Electronic Components - Semiconductors – 5.96% | | | | | | | | | | |
| | | 120,690 | | | | GLOBALFOUNDRIES, Inc.* | | | | | | | | 7,794,160 | | |
| | | 98,532 | | | | NVIDIA Corp. | | | | | | | | 41,681,007 | | |
| | | 270,807 | | | | ON Semiconductor Corp.* | | | | | | | | 25,612,926 | | |
| | | 264,137 | | | | Texas Instruments, Inc. | | | | | | | | 47,549,943 | | |
| | | 71,606 | | | | Wolfspeed, Inc.* | | | | | | | | 3,980,577 | | |
| | | | | | | | | | | | | | | 126,618,613 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Enterprise Software / Services – 0.47% | | | | | | | | | | |
| | | 138,919 | | | | Pagerduty, Inc.* | | | | | | | $ | 3,122,899 | | |
| | | 439,086 | | | | Palantir Technologies Inc., Class A* | | | | | | | | 6,731,188 | | |
| | | | | | | | | | | | | | | 9,854,087 | | |
| | | | | | | Finance - Credit Card – 0.16% | | | | | | | | | | |
| | | 299,046 | | | | The Western Union Co. | | | | | | | | 3,507,810 | | |
| | | | | | | Food - Confectionery – 0.19% | | | | | | |||||
| | | 27,577 | | | | The J M Smucker Co. | | | | | | | | 4,072,296 | | |
| | | | | | | Food - Miscellaneous / Diversified – 2.20% | | | | | | |||||
| | | 228,246 | | | | Campbell Soup Co. | | | | | | | | 10,433,125 | | |
| | | 244,006 | | | | Conagra Brands, Inc. | | | | | | | | 8,227,882 | | |
| | | 214,601 | | | | General Mills, Inc. | | | | | | | | 16,459,897 | | |
| | | 175,135 | | | | Kellogg Co. | | | | | | | | 11,804,099 | | |
| | | | | | | | | | | | | | | 46,925,003 | | |
| | | | | | | Hotels & Motels – 0.18% | | | | | | |||||
| | | 26,817 | | | | Hilton Worldwide Holdings, Inc. | | | | | | | | 3,903,214 | | |
| | | | | | | Internet Applications Software – 0.26% | | | | | | |||||
| | | 79,479 | | | | Okta, Inc.* | | | | | | | | 5,511,869 | | |
| | | | | | | Internet Content - Entertainment – 0.53% | | | | | | |||||
| | | 949,503 | | | | Snap, Inc., Class A* | | | | | | | | 11,242,116 | | |
| | | | | | | Internet Infrastructure Software – 0.17% | | | | | | |||||
| | | 24,196 | | | | F5, Inc.* | | | | | | | | 3,538,907 | | |
| | | | | | | Investment Management / Advisory Services – 1.33% | | | | | | |||||
| | | 252,605 | | | | T Rowe Price Group, Inc. | | | | | | | | 28,296,812 | | |
| | | | | | | Medical - Biomedical / Genetics – 0.30% | | | | | | |||||
| | | 29,029 | | | | Amgen, Inc. | | | | | | | | 6,445,019 | | |
| | | | | | | Medical - Drugs – 0.78% | | | | | | |||||
| | | 100,060 | | | | Johnson & Johnson | | | | | | | | 16,561,931 | | |
| | | | | | | Networking Products – 0.21% | | | | | | |||||
| | | 85,200 | | | | Cisco Systems, Inc. | | | | | | | | 4,408,248 | | |
| | | | | | | Real Estate Management / Services – 0.57% | | | | | | |||||
| | | 157,299 | | | | Anywhere Real Estate, Inc.* | | | | | | | | 1,050,757 | | |
| | | 90,804 | | | | CBRE Group, Inc., Class A* | | | | | | | | 7,328,791 | | |
| | | 446,017 | | | | Cushman & Wakefield PLC* | | | | | | | | 3,648,419 | | |
| | | | | | | | | | | | | | | 12,027,967 | | |
| | | | | | | REITs - Health Care – 0.11% | | | | | | |||||
| | | 48,002 | | | | Ventas, Inc. | | | | | | | | 2,269,055 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | REITs - Office Property – 1.37% | | | | | | |||||
| | | 195,229 | | | | Boston Properties, Inc. | | | | | | | $ | 11,243,238 | | |
| | | 126,253 | | | | Brandywine Realty Trust | | | | | | | | 587,076 | | |
| | | 474,102 | | | | Douglas Emmett, Inc. | | | | | | | | 5,959,462 | | |
| | | 102,192 | | | | Hudson Pacific Properties, Inc. | | | | | | | | 431,250 | | |
| | | 88,576 | | | | Kilroy Realty Corp. | | | | | | | | 2,665,252 | | |
| | | 154,785 | | | | SL Green Realty Corp. | | | | | | | | 4,651,289 | | |
| | | 194,077 | | | | Vornado Realty Trust | | | | | | | | 3,520,557 | | |
| | | | | | | | | | | | | | | 29,058,124 | | |
| | | | | | | REITs - Shopping Centers – 0.66% | | | | | | |||||
| | | 42,729 | | | | Federal Realty Investment Trust | | | | | | | | 4,134,885 | | |
| | | 213,078 | | | | Kimco Realty Corp. | | | | | | | | 4,201,898 | | |
| | | 92,645 | | | | Regency Centers Corp. | | | | | | | | 5,722,682 | | |
| | | | | | | | | | | | | | | 14,059,465 | | |
| | | | | | | REITs - Storage – 1.07% | | | | | | |||||
| | | 26,543 | | | | Extra Space Storage, Inc. | | | | | | | | 3,950,926 | | |
| | | 64,475 | | | | Public Storage | | | | | | | | 18,818,963 | | |
| | | | | | | | | | | | | | | 22,769,889 | | |
| | | | | | | REITs - Warehouse / Industrial – 0.18% | | | | | | |||||
| | | 31,121 | | | | Prologis, Inc. | | | | | | | | 3,816,368 | | |
| | | | | | | Retail - Apparel / Shoes – 0.02% | | | | | | |||||
| | | 92,232 | | | | Chico’s FAS, Inc.* | | | | | | | | 493,441 | | |
| | | | | | | Retail - Bedding – 0.00% | | | | | | |||||
| | | 24,173 | | | | Bed, Bath & Beyond, Inc.* | | | | | | | | 6,638 | | |
| | | | | | | Retail - Major Department Stores – 0.35% | | | | | | |||||
| | | 365,365 | | | | Nordstrom, Inc. | | | | | | | | 7,479,022 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.16% | | | | | | |||||
��� | | | 278,261 | | | | Sally Beauty Holdings, Inc.* | | | | | | | | 3,436,523 | | |
| | | | | | | Retail - Regional Department Stores – 0.35% | | | | | | |||||
| | | 280,519 | | | | Kohl’s Corp. | | | | | | | | 6,465,963 | | |
| | | 61,792 | | | | Macy’s, Inc. | | | | | | | | 991,761 | | |
| | | | | | | | | | | | | | | 7,457,724 | | |
| | | | | | | Retail - Restaurants – 0.10% | | | | | | |||||
| | | 63,307 | | | | The Cheesecake Factory, Inc. | | | | | | | | 2,189,156 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Semiconductor Equipment – 0.39% | | | | | | |||||
| | | 57,000 | | | | Applied Materials, Inc. | | | | | | | $ | 8,238,780 | | |
| | | | | | | Telephone - Integrated – 0.98% | | | | | | |||||
| | | 394,512 | | | | AT&T, Inc. | | | | | | | | 6,292,466 | | |
| | | 391,238 | | | | Verizon Communications, Inc. | | | | | | | | 14,550,141 | | |
| | | | | | | | | | | | | | | 20,842,607 | | |
| | | | | | | Transport - Services – 1.45% | | | | | | |||||
| | | 327,839 | | | | CH Robinson Worldwide, Inc. | | | | | | | | 30,931,610 | | |
| | | | | | | Total United States (Proceeds $781,983,513) | | | | | | | $ | 782,994,856 | | |
| | | | | | | Canada – 0.26% | | | | | | |||||
| | | | | | | Medical - Drugs – 0.00% | | | | | | |||||
| | | 71,303 | | | | Canopy Growth Corp.* | | | | | | | | 27,606 | | |
| | | | | | | Private Equity – 0.26% | | | | | | |||||
| | | 163,064 | | | | Brookfield Corp. | | | | | | | | 5,487,104 | | |
| | | | | | | Total Canada (Proceeds $8,413,260) | | | | | | | $ | 5,514,710 | | |
| | | | | | | China – 1.50% | | | | | | |||||
| | | | | | | Auto - Cars / Light Trucks – 0.88% | | | | | | |||||
| | | 428,671 | | | | Li Auto, Inc. – Sponsored ADR* | | | | | | | | 15,046,352 | | |
| | | 363,361 | | | | NIO, Inc. – Sponsored ADR* | | | | | | | | 3,520,968 | | |
| | | | | | | | | | | | | | | 18,567,320 | | |
| | | | | | | Internet Content - Information / Network – 0.35% | | | | | | |||||
| | | 176,200 | | | | Tencent Holdings, Ltd. | | | | | | | | 7,455,774 | | |
| | | | | | | Metal Aluminum – 0.04% | | | | | | |||||
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd.* | | | | | | | | 893,959 | | |
| | | | | | | Retail - Drug Stores – 0.04% | | | | | | |||||
| | | 314,800 | | | | Ping An Healthcare and Technology Co., Ltd.* | | | | | | | | 760,829 | | |
| | | | | | | Wireless Equipment – 0.19% | | | | | | |||||
| | | 2,988,600 | | | | Xiaomi Corp., Class B* | | | | | | | | 4,088,226 | | |
| | | | | | | Total China (Proceeds $33,580,900) | | | | | | | $ | 31,766,108 | | |
| | | | | | | France – 0.31% | | | | | | |||||
| | | | | | | REITs - Regional Malls – 0.10% | | | | | | |||||
| | | 85,473 | | | | Klepierre SA* | | | | | | | | 2,118,664 | | |
| | | | | | | REITs - Shopping Centers – 0.21% | | | | | | |||||
| | | 83,080 | | | | Unibail-Rodamco-Westfield* | | | | | | | | 4,364,329 | | |
| | | | | | | Total France (Proceeds $5,432,129) | | | | | | | $ | 6,482,993 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Germany – 1.15% | | | | | | |||||
| | | | | | | Enterprise Software / Services – 1.15% | | | | | | |||||
| | | 178,818 | | | | SAP SE | | | | | | | $ | 24,413,617 | | |
| | | | | | | Total Germany (Proceeds $23,969,110) | | | | | | | $ | 24,413,617 | | |
| | | | | | | Hong Kong – 0.34% | | | | | | |||||
| | | | | | | Auto - Cars / Light Trucks – 0.20% | | | | | | |||||
| | | 3,547,000 | | | | Geely Automobile Holdings, Ltd. | | | | | | | | 4,327,045 | | |
| | | | | | | Electric - Integrated – 0.14% | | | | | | |||||
| | | 578,500 | | | | Power Assets Holdings, Ltd. | | | | | | | | 3,030,322 | | |
| | | | | | | Total Hong Kong (Proceeds $8,949,959) | | | | | | | $ | 7,357,367 | | |
| | | | | | | Israel – 1.01% | | | | | | |||||
| | | | | | | Auto/Truck Parts & Equipment - Original – 0.58% | | | | | | |||||
| | | 323,290 | | | | Mobileye Global, Inc., Class A* | | | | | | | | 12,420,802 | | |
| | | | | | | Computer Data Security – 0.43% | | | | | | |||||
| | | 73,629 | | | | Check Point Software Technologies, Ltd.* | | | | | | | | 9,249,275 | | |
| | | | | | | Total Israel (Proceeds $19,214,647) | | | | | | | $ | 21,670,077 | | |
| | | | | | | Japan – 0.53% | | | | | | |||||
| | | | | | | Auto - Cars / Light Trucks – 0.53% | | | | | | |||||
| | | 704,000 | | | | Toyota Motor Corp. | | | | | | | | 11,244,225 | | |
| | | | | | | Total Japan (Proceeds $9,669,144) | | | | | | | $ | 11,244,225 | | |
| | | | | | | Netherlands – 0.43% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.43% | | | | | | |||||
| | | 44,321 | | | | NXP Semiconductors NV | | | | | | | | 9,071,622 | | |
| | | | | | | Total Netherlands (Proceeds $8,455,217) | | | | | | | $ | 9,071,622 | | |
| | | | | | | Switzerland – 0.54% | | | | | | |||||
| | | | | | | Electronic Components - Semiconductors – 0.21% | | | | | | | | | | |
| | | 88,214 | | | | STMicroelectronics NV | | | | | | | | 4,409,818 | | |
| | | | | | | Medical - Drugs – 0.33% | | | | | | | | | | |
| | | 69,059 | | | | Novartis AG – Sponsored ADR | | | | | | | | 6,968,744 | | |
| | | | | | | Total Switzerland (Proceeds $10,323,590) | | | | | | | $ | 11,378,562 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Taiwan – 0.27% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.27% | | | | | | | | | | |
| | | 730,555 | | | | United Microelectronics Corp. – Sponsored ADR | | | | | | | $ | 5,764,079 | | |
| | | | | | | Total Taiwan (Proceeds $7,777,165) | | | | | | | $ | 5,764,079 | | |
| | | | | | | Total Common Stock (Proceeds $917,768,634) | | | | | | | $ | 917,658,216 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $917,768,634) | | | | | | | $ | 917,658,216 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 0.37 | | |
Advertising Services | | | | | 0.36 | | |
Apparel Manufacturers | | | | | 0.11 | | |
Applications Software | | | | | 0.35 | | |
Auto / Truck Parts & Equipment - Original | | | | | 0.58 | | |
Auto - Cars / Light Trucks | | | | | 6.55 | | |
Cable / Satellite TV | | | | | 0.91 | | |
Cellular Telecommunications | | | | | 1.39 | | |
Commercial Banks | | | | | 0.82 | | |
Commercial Services - Finance | | | | | 0.35 | | |
Computer Data Security | | | | | 1.32 | | |
Computer Services | | | | | 0.43 | | |
Computer Software | | | | | 1.23 | | |
Consulting Services - Finance | | | | | 0.40 | | |
Consumer Products - Miscellaneous | | | | | 0.86 | | |
Cosmetics & Toiletries | | | | | 0.63 | | |
Diversified Manufacturing Operations | | | | | 0.32 | | |
E-Commerce / Products | | | | | 0.65 | | |
E-Commerce / Services | | | | | 0.10 | | |
Electric - Distribution | | | | | 0.33 | | |
Electric - Integrated | | | | | 1.01 | | |
Electronic Components - Semiconductors | | | | | 6.17 | | |
Enterprise Software / Services | | | | | 1.62 | | |
Finance - Credit Card | | | | | 0.16 | | |
Food - Confectionery | | | | | 0.19 | | |
Food - Miscellaneous / Diversified | | | | | 2.20 | | |
Hotels & Motels | | | | | 0.18 | | |
Internet Applications Software | | | | | 0.26 | | |
Internet Content - Entertainment | | | | | 0.53 | | |
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Internet Content - Information / Network | | | | | 0.35 | | |
Internet Infrastructure Software | | | | | 0.17 | | |
Investment Management / Advisory Services | | | | | 1.33 | | |
Medical - Biomedical / Genetics | | | | | 0.30 | | |
Medical - Drugs | | | | | 1.11 | | |
Metal Aluminum | | | | | 0.04 | | |
Networking Products | | | | | 0.21 | | |
Private Equity | | | | | 0.26 | | |
Real Estate Management / Services | | | | | 0.57 | | |
REITs - Health Care | | | | | 0.11 | | |
REITs - Office Property | | | | | 1.37 | | |
REITs - Regional Malls | | | | | 0.10 | | |
REITs - Shopping Centers | | | | | 0.87 | | |
REITs - Storage | | | | | 1.07 | | |
REITs - Warehouse/Industrial | | | | | 0.18 | | |
Retail - Apparel Shoes | | | | | 0.02 | | |
Retail - Bedding | | | | | 0.00 | | |
Retail - Drug Stores | | | | | 0.04 | | |
Retail - Major Department Stores | | | | | 0.35 | | |
Retail - Miscellaneous / Diversified | | | | | 0.16 | | |
Retail - Regional Department Stores | | | | | 0.35 | | |
Retail - Restaurants | | | | | 0.10 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.70 | | |
Semiconductor Equipment | | | | | 0.39 | | |
Telephone - Integrated | | | | | 0.98 | | |
Transport - Services | | | | | 1.45 | | |
Wireless Equipment | | | | | 0.19 | | |
Total Securities Sold, Not Yet Purchased | | | | | 43.15% | | |
|
Schedule of Written Options (Unaudited)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Written Options – 0.02% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 0.02% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Put Options – 0.02% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.02% | | | | | | | |
| | | | | | | | | | | | | | | | Enterprise Software / Services – 0.02% | | | | | | | |
| | $ | 9,160,000 | | | | | | 2,290 | | | | 8/18/2023 $40 | | | Alteryx, Inc., Class A | | | | $ | 412,200 | | |
| | | | | | | | | | | | | | | | Total United States (Proceeds $1,367,052) | | | | $ | 412,200 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Proceeds – $1,367,052) | | | | $ | 412,200 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Proceeds – $1,367,052) | | | | $ | 412,200 | | |
| | | | | | | | | | | | | | | | Total Written Options (Proceeds – $1,367,052) | | | | $ | 412,200 | | |
Schedule of Written Options (Unaudited) (concluded)
Written Options – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Enterprise Software / Services | | | | | 0.02 | | |
Total Written Options | | | | | 0.02% | | |
Schedule of Swap Contracts (Unaudited)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Gain *** | | ||||||
| | | | | | | Swap Contracts – 2.63% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 4.19% | | | ||||||||
| | | | | | | United States – 3.05% | | | ||||||||
| | | | | | | Private Equity – 0.07% | | | ||||||||
| | $ | 50,444,175 | | | | 6/3/2024 | | | The Carlyle Group, Inc. | | | | $ | 1,483,838 | | |
| | | | | | | | | | 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 0.45%**. | | | | | | | |
| | | | | | | Web Portals / ISP – 2.98% | | | ||||||||
| | | 90,181,382 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | | 63,461,375 | | |
| | | | | | | | | | 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 | | | | $ | 64,945,213 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Australia – 0.26% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.26% | | | | | | | | |||
| | | (7,139,052) | | | | 12/27/2024 | | | Bank of Queensland, Ltd. | | | | | 2,868,736 | | |
| | | | | | | | | | 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 0.40%**. | | | | | | | |
| | | (16,923,055) | | | | 12/27/2024 | | | Westpac Banking Corp. | | | | | 2,635,658 | | |
| | | | | | | | | | 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 | | | | $ | 5,504,394 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – 0.20% | | | | | | | | |||
| | | | | | | Commercial Services - Finance – 0.09% | | | | | | | | |||
| | | (3,236,094) | | | | 2/3/2026 | | | Cielo SA | | | | | 1,929,685 | | |
| | | | | | | | | | 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 0.55%**. | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Gain *** | | | ||||||||
| | | | | | | Swap Contracts – (continued) | | | | ||||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | | ||||||||||
| | | | | | | Brazil – (continued) | | | | ||||||||||
| | | | | | | Finance - Other Services – 0.11% | | | | | | | | | |||||
| | $ | 20,365,724 | | | | 2/3/2026 | | | B3 SA-Brasil Bolsa Balcao | | | | $ | 2,405,505 | | | | ||
| | | | | | | | | | 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%**. | | | | | | | | | ||
| | | | | | | Total Brazil | | | | $ | 4,335,190 | | | | |||||
| | | | | | | | | | |||||||||||
| | | | | | | Japan – 0.23% | | | | | | | | | |||||
| | | | | | | Audio / Video Products – 0.19% | | | | | | | | | |||||
| | | (9,745,536) | | | | 12/24/2024 | | | Sharp Corp. | | | | | 4,062,747 | | | | ||
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/03/2012 to deliver the total return of the shares of Sharp Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | | | ||
| | | | | | | Bicycle Manufacturing – 0.01% | | | | | | | | | |||||
| | | (3,077,653) | | | | 12/24/2024 | | | Shimano, Inc. | | | | | 186,791 | | | | ||
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/09/2022 to deliver the total return of the shares of Shimano, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | | | ||
| | | | | | | E-Commerce / Products – 0.03% | | | | | | | | | | | |||
| | | (735,836) | | | | 12/24/2024 | | | Rakuten Group, Inc. | | | | | 524,573 | | | | ||
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/16/2021 to deliver the total return of the shares of Rakuten Group, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | | | ||
| | | | | | | Electric - Integrated – 0.00% | | | | | | | | | |||||
| | | (285,012) | | | | 12/24/2024 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | | 64,564 | | | | ||
| | | | | | | | | | 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%**. | | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Gain *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Office Automation & Equipment – 0.00% | | | | | | | | |||
| | $ | (470,134) | | | | 12/24/2024 | | | Konica Minolta, Inc. | | | | $ | 55,019 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | 4,893,694 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Spain – 0.33% | | | | | | | | |||
| | | | | | | Building - Heavy Construction – 0.33% | | | | | | | | |||
| | | 5,601,251 | | | | 1/4/2024 | | | Cellnex Telecom SA | | | | | 6,939,467 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total Spain | | | | $ | 6,939,467 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Sweden – 0.00% | | | | | | | | |||
| | | | | | | Auto - Cars / Light Trucks – 0.00% | | | | | | | | |||
| | | (1,555,109) | | | | 1/4/2024 | | | Volvo Car AB | | | | | 28,428 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 10/24/2022 to deliver the total return of the shares of Volvo Car AB in exchange for interest based on the Daily Fed Funds Effective Rate less 1.60%**. | | | | | | | |
| | | | | | | Total Sweden | | | | $ | 28,428 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Taiwan – 0.01% | | | | | | | | |||
| | | | | | | Semiconductor Components - Integrated Circuits – 0.01% | | | | | | | | |||
| | | (1,524,260) | | | | 1/25/2024 | | | Novatek Microelectronics, Ltd. | | | | | 167,971 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/19/2013 to deliver the total return of the shares of Novatek Microelectronics, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 1.25%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | 167,971 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Gain *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | United Kingdom – 0.11% | | | ||||||||
| | | | | | | Cosmetics & Toiletries – 0.02% | | | | | | | | |||
| | $ | (9,556,237) | | | | 1/4/2024 | | | Unilever PLC | | | | $ | 372,289 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2019 to deliver the total return of the shares of Unilever PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | | | |
| | | | | | | Food - Retail – 0.07% | | | | | | | | |||
| | | (2,895,621) | | | | 12/14/2023 | | | Marks & Spencer Group PLC | | | | | 1,503,965 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Retail - Apparel / Shoes – 0.02% | | | | | | | | |||
| | | (3,118,868) | | | | 12/14/2023 | | | Next PLC | | | | | 399,066 | | |
| | | | | | | | | | 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 | | | | $ | 2,275,320 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 89,089,677 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Loss *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (1.56%) | | |||||||||
| | | | | | | Australia – (0.00%) | | | | | | | | |||
| | | | | | | Commercial Banks - Non-US – (0.00%) | | | | | | | | |||
| | $ | (8,136,934) | | | | 12/27/2024 | | | Commonwealth Bank of Australia | | | | $ | (1,670) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/24/2016 to deliver the total return of the shares of Commonwealth Bank of Australia in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Retail - Building Products – (0.00%) | | | | | | | | |||
| | | (4,386,616) | | | | 12/27/2024 | | | Wesfarmers, Ltd. | | | | | (32,986) | | |
| | | | | | | | | | 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 | | | | $ | (34,656) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – (0.08%) | | | | | | | | |||
| | | | | | | Retail - Discount – (0.08%) | | | | | | | | |||
| | | 16,334,808 | | | | 2/3/2026 | | | Magazine Luiza SA | | | | | (1,662,491) | | |
| | | | | | | | | | 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 | | | | $ | (1,662,491) | | | |||
| | | | | | | | | |||||||||
| | | | | | | China – (0.63%) | | | | | | | | |||
| | | | | | | Applications Software – (0.63%) | | | | | | | | |||
| | | 29,159,188 | | | | 7/16/2024 | | | Glodon Co., Ltd., Class A | | | | | (13,463,843) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/10/2020 to receive the total return of the shares of Glodon Co., Ltd., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.85%**. | | | | | | | |
| | | | | | | Total China | | | | $ | (13,463,843) | | | |||
| | | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Loss *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Ireland – (0.03%) | | | ||||||||
| | | | | | | Commercial Services - Finance – (0.03%) | | | | | | | | |||
| | $ | 4,342,923 | | | | 12/14/2023 | | | Experian PLC | | | | $ | (588,936) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/07/2021 to receive the total return of the shares of Experian PLC in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Ireland | | | | $ | (588,936) | | | |||
| | | | | | | Japan – (0.71%) | | | | | | | | |||
| | | | | | | Building Products - Air & Heating – (0.05%) | | | | | | | | |||
| | | (4,528,487) | | | | 12/24/2024 | | | Daikin Industries, Ltd. | | | | | (1,132,646) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/22/2022 to deliver the total return of the shares of Daikin Industries, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Computer Services – (0.01%) | | | | | | | | |||
| | | (3,462,426) | | | | 12/24/2024 | | | Ricoh Co., Ltd. | | | | | (219,790) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – (0.03%) | | | | | | | | |||
| | | (4,583,691) | | | | 12/24/2024 | | | Canon, Inc. | | | | | (539,494) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/31/2020 to deliver the total return of the shares of Canon, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Photo Equipment & Supplies – (0.00%) | | | | | | | | |||
| | | (486,127) | | | | 12/24/2024 | | | Nikon Corp. | | | | | (44,060) | | |
| | | | | | | | | | 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%**. | | | | | | | |
Schedule of Swap Contracts (Unaudited)���(continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Loss *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Semiconductor Equipment – (0.62%) | | | | | | | | |||
| | $ | (13,475,906) | | | | 12/24/2024 | | | Advantest Corp. | | | | $ | (8,658,207) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/26/2011 to deliver the total return of the shares of Advantest Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | (29,081,370) | | | | 12/24/2024 | | | Tokyo Electron, Ltd. | | | | | (4,529,694) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/10/2020 to deliver the total return of the shares of Tokyo Electron, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | (15,123,891) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Netherlands – (0.03%) | | | | | | | | |||
| | | | | | | Music – (0.03%) | | | | | | | | |||
| | | (4,889,482) | | | | 12/14/2023 | | | Universal Music Group NV | | | | | (606,583) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/22/2022 to deliver the total return of the shares of Universal Music Group NV in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | | | |
| | | | | | | Total Netherlands | | | | $ | (606,583) | | | |||
| | | | | | | | | |||||||||
| | | | | | | South Korea – (0.03%) | | | | | | | | |||
| | | | | | | Petrochemicals – (0.03%) | | | | | | | | |||
| | | 33,090,667 | | | | 8/14/2023 | | | LG Chem, Ltd. | | | | | (700,564) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/07/2022 to receive the total return of the shares of LG Chem, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | (700,564) | | | |||
| | | | | | | Taiwan – (0.05%) | | | | | | | | |||
| | | | | | | Electronic Components - Miscellaneous – (0.01%) | | | | | | | | |||
| | | (1,269,067) | | | | 1/25/2024 | | | AUO Corp. | | | | | (126,327) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/26/2012 to deliver the total return of the shares of AUO Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 2.00%**. | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2023 Unrealized Loss *** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Taiwan – (continued) | | | ||||||||
| | | | | | | Power Conversion / Supply Equipment – (0.04%) | | | | | | | | |||
| | $ | 15,979,852 | | | | 1/25/2024 | | | Delta Electronics, Inc. | | | | $ | (858,924) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/14/2013 to receive the total return of the shares of Delta Electronics, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate Plus 1.25%**. | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – (0.00%) | | | | | | | | |||
| | | (842,053) | | | | 1/25/2024 | | | United Microelectronics Corp. | | | | | (5,803) | | |
| | | | | | | | | | 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 1.50%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | (991,054) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (33,172,018) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 55,917,659 | | | |||
|
Schedule of Swap Contracts (Unaudited) (concluded)
Swap Contracts – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Applications Software | | | | | (0.63) | | |
Audio / Video Products | | | | | 0.19 | | |
Auto - Cars / Light Trucks | | | | | 0.00 | | |
Bicycle Manufacturing | | | | | 0.01 | | |
Building Products - Air & Heating | | | | | (0.05) | | |
Building - Heavy Construction | | | | | 0.33 | | |
Commercial Banks - Non-US | | | | | 0.26 | | |
Commercial Services - Finance | | | | | 0.06 | | |
Computer Services | | | | | (0.01) | | |
Cosmetics & Toiletries | | | | | 0.02 | | |
E-Commerce / Products | | | | | 0.03 | | |
Electric - Integrated | | | | | 0.00 | | |
Electronic Components - Miscellaneous | | | | | (0.01) | | |
Finance - Other Services | | | | | 0.11 | | |
Food - Retail | | | | | 0.07 | | |
Swap Contracts – By Industry | | | June 30, 2023 Percentage of Members’ Capital (%) | | |||
Music | | | | | (0.03) | | |
Office Automation & Equipment | | | | | (0.03) | | |
Petrochemicals | | | | | (0.03) | | |
Photo Equipment & Supplies | | | | | 0.00 | | |
Power Conversion / Supply Equipment | | | | | (0.04) | | |
Private Equity | | | | | 0.07 | | |
Retail - Apparel / Shoes | | | | | 0.02 | | |
Retail - Building Products | | | | | 0.00 | | |
Retail - Discount | | | | | (0.08) | | |
Semiconductor Components - Integrated Circuits | | | | | 0.01 | | |
Semiconductor Equipment | | | | | (0.62) | | |
Web Portals / ISP | | | | | 2.98 | | |
Swap Contracts | | | | | 2.63% | | |
|
Statement of Operations (Unaudited)
| | | Six Months Ended June 30, 2023 | | |||
Investment income | | | | | | | |
Interest | | | | $ | 9,873,230 | | |
Dividends (net of withholding taxes of $860,962) | | | | | 9,023,066 | | |
Total investment income | | | | | 18,896,296 | | |
Expenses | | | | | | | |
Administration fees | | | | | 13,782,036 | | |
Prime broker fees | | | | | 12,120,712 | | |
Dividends on securities sold, not yet purchased | | | | | 10,845,657 | | |
Advisor fees | | | | | 4,083,566 | | |
Interest expense | | | | | 1,355,782 | | |
Accounting and investor services fees | | | | | 625,269 | | |
Legal fees | | | | | 302,781 | | |
Custodian fees | | | | | 231,454 | | |
Board of Managers’ fees and expenses | | | | | 206,664 | | |
Audit and tax fees | | | | | 205,442 | | |
Insurance expense | | | | | 87,995 | | |
Printing expense | | | | | 44,631 | | |
Miscellaneous | | | | | 656,663 | | |
Total operating expenses | | | | | 44,548,652 | | |
Net investment loss | | | | | (25,652,356) | | |
Net realized and net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net realized gain on purchased options | | | | | 114,751,900 | | |
Net realized gain on investments in securities | | | | | 107,236,609 | | |
Net realized gain on written options | | | | | 2,201,834 | | |
Net realized loss on foreign currency transactions | | | | | (19,633) | | |
Net realized loss on swap contracts | | | | | (11,688,920) | | |
Net realized loss on securities sold, not yet purchased | | | | | (58,601,019) | | |
Total net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | 153,880,771 | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net change in unrealized gain/(loss) on investments in securities | | | | | 403,950,610 | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | 19,352,238 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | 5,784 | | |
Net change in unrealized gain/(loss) on written options | | | | | (493,316) | | |
Net change in unrealized gain/(loss) on purchased options | | | | | (16,007,717) | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased | | | | | (145,217,972) | | |
Total net change in unrealized gain/(loss) on investments in securities, securities sold not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | 261,589,627 | | |
Net realized gain and net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | 415,470,398 | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 389,818,042 | | |
Statements of Changes in Members’ Capital (Unaudited)
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
MEMBERS’ CAPITAL, December 31, 2021 | | | | $ | — | | | | | $ | 3,312,937,286 | | | | | $ | 3,312,937,286 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (62,932,562) | | | | | $ | (62,932,562) | | |
Net realized loss on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | (136,061,507) | | | | | | (136,061,507) | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | (1,158,219,185) | | | | | | (1,158,219,185) | | |
Incentive allocation | | | | | 2,610 | | | | | | (2,610) | | | | | | — | | |
Net decrease in Members’ Capital resulting from operations | | | | | 2,610 | | | | | | (1,357,215,864) | | | | | | (1,357,213,254) | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 64,383,878 | | | | | | 64,383,878 | | |
Capital withdrawals | | | | | (2,610) | | | | | | (204,831,538) | | | | | | (204,834,148) | | |
Net decrease in Members’ Capital resulting from capital transactions | | | | | (2,610) | | | | | | (140,447,660) | | | | | | (140,450,270) | | |
MEMBERS’ CAPITAL, December 31, 2022 | | | | $ | — | | | | | $ | 1,815,273,762 | | | | | $ | 1,815,273,762 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (25,652,356) | | | | | $ | (25,652,356) | | |
Net realized gain on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | 153,880,771 | | | | | | 153,880,771 | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | 261,589,627 | | | | | | 261,589,627 | | |
Incentive allocation | | | | | 5,777 | | | | | | (5,777) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 5,777 | | | | | $ | 389,812,265 | | | | | $ | 389,818,042 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 7,544,998 | | | | | | 7,544,998 | | |
Capital withdrawals | | | | | (5,777) | | | | | | (85,741,103) | | | | | | (85,746,880) | | |
Net decrease in Members’ Capital resulting from capital transactions | | | | | (5,777) | | | | | | (78,196,105) | | | | | | (78,201,882) | | |
MEMBERS’ CAPITAL, June 30, 2023 | | | | $ | — | | | | | $ | 2,126,889,922 | | | | | $ | 2,126,889,922 | | |
Statement of Cash Flows (Unaudited)
| | | Six Months Ended June 30, 2023 | | |||
Cash flows from operating activities | | | | | | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 389,818,042 | | |
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 | | | | | 1,288,874,356 | | |
Purchase of investments in securities | | | | | (1,178,105,972) | | |
Proceeds from sale of purchased options | | | | | 690,372,742 | | |
Purchase of options | | | | | (727,628,212) | | |
Proceeds from securities sold, not yet purchased | | | | | 2,136,694,593 | | |
Cover of securities sold, not yet purchased | | | | | (2,199,674,863) | | |
Proceeds from written options | | | | | 4,382,908 | | |
Cover of written options | | | | | (3,669,090) | | |
Net realized loss on investments in securities and purchased and written options | | | | | (165,589,324) | | |
Net change in unrealized (gain)/loss on investments in securities, purchased and written options and swap contracts | | | | | (261,583,843) | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Increase in receivable for investment securities sold | | | | | (109,465,722) | | |
Decrease in dividends receivable | | | | | 69,200 | | |
Decrease in interest receivable | | | | | 880,674 | | |
Increase in other assets | | | | | (50,632) | | |
Increase in due to brokers | | | | | 7,464,736 | | |
Increase in payable for investment securities purchased | | | | | 179,634,042 | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 590,504 | | |
Increase in accounting and investor services fees payable | | | | | 222,374 | | |
Increase in accrued expenses | | | | | 782,901 | | |
Net cash provided by operating activities | | | | | 54,019,414 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 7,544,998 | | |
Capital withdrawals, net of change in withdrawals payable | | | | | (98,605,175) | | |
Net cash used in financing activities | | | | | (91,060,177) | | |
Net change in cash, cash equivalents and restricted cash | | | | | (37,040,763) | | |
Cash, cash equivalents and restricted cash at beginning of period | | | | | 475,506,697 | | |
Cash, cash equivalents and restricted cash at June 30, 2023 | | | | $ | 438,465,934 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the period for interest | | | | $ | 1,222,119 | | |
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 June 30, 2023: | | | | | | | |
Cash and cash equivalents | | | | $ | 149,039,755 | | |
Restricted cash included in cash and cash equivalents | | | | | 181,281,080 | | |
Restricted cash included in due from broker | | | | | 108,145,099 | | |
Total cash, cash equivalents and restricted cash at June 30, 2023 | | | | $ | 438,465,934 | | |
Notes to Financial Statements – June 30, 2023 (Unaudited)
| Assets: | | | | | | | | | Liabilities: | | | |||||
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | | | | | |
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | | | | | |
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | | | | | |
| Common Stock | | | | $ | 2,377,917,263 | | | | Common Stock | | | | $ | 917,658,216 | | |
| Equity Options | | | | | 324,645,711 | | | | Equity Options | | | | | 412,200 | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | | | | | |
| Observable Inputs | | | | | | | | | Observable Inputs | | | | | | | |
| Total Return Swaps | | | | | 89,089,677 | | | | Total Return Swaps | | | | | 33,172,018 | | |
| Currency Options | | | | | 1,658,547 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | | | | | |
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,793,311,198 | | | | Total | | | | $ | 951,242,434 | | |
(continued)
(continued)
(continued)
(continued)
(continued)
(continued)
| Purchased Currency options: | | | | | | | |
| Average notional amount | | | | $ | 18,370,154 | | |
| Purchased Equity options: | | | | | | | |
| Average notional amount | | | | $ | 3,331,641,233 | | |
| Written Equity options: | | | | | | | |
| Average notional amount | | | | $ | 20,314,667 | | |
| Total Return swaps: | | | | | | | |
| Average notional amount | | | | $ | 366,136,818 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total Year ended December 31, 2022 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 15,955,196 | | | | | $ | 29,929,538 | | | | | $ | (13,974,342) | | |
| Written Equity Options | | | | | 1,448,168 | | | | | | — | | | | | | 1,448,168 | | |
| Total Return Swaps | | | | | 61,116,167 | | | | | | 24,550,746 | | | | | | 36,565,421 | | |
| Total Year ended December 31, 2022 | | | | $ | 78,519,531 | | | | | $ | 54,480,284 | | | | | $ | 24,039,247 | | |
| Total Six Months ended June 30, 2023 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 71,742,398 | | | | | $ | 106,239,744 | | | | | $ | (34,497,346) | | |
| Written Equity Options | | | | | 954,852 | | | | | | — | | | | | | 954,852 | | |
| Total Return Swaps | | | | | 89,089,677 | | | | | | 33,172,018 | | | | | | 55,917,659 | | |
| Six Months ended June 30, 2023 | | | | $ | 161,786,927 | | | | | $ | 139,411,762 | | | | | $ | 22,375,165 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 83,267,396 | | | | | $ | 84,931,478 | | | | | $ | (1,664,082) | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total Year ended December 31, 2022 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | — | | | | | $ | 2,856,740 | | | | | $ | (2,856,740) | | |
| Total Year ended December 31, 2022 | | | | $ | — | | | | | $ | 2,856,740 | | | | | $ | (2,856,740) | | |
| Total Six Months ended June 30, 2023 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | 3,125,810 | | | | | $ | 1,467,263 | | | | | $ | 1,658,547 | | |
| Six Months ended June 30, 2023 | | | | $ | 3,125,810 | | | | | $ | 1,467,263 | | | | | $ | 1,658,547 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 3,125,810 | | | | | $ | (1,389,477) | | | | | $ | 4,515,287 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Equity Options | | | | $ | 233,567,528 | | | | | $ | 118,815,628 | | | | | $ | 114,751,900 | | |
| Written Equity Options | | | | | 2,938,439 | | | | | | 743,982 | | | | | | 2,194,457 | | |
| Total Return Swaps | | | | | 12,635,678 | | | | | | 24,324,598 | | | | | | (11,688,920) | | |
| Total | | | | $ | 249,141,645 | | | | | $ | 143,884,208 | | | | | $ | 105,257,437 | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Currency Options | | | | $ | — | | | | | $ | — | | | | | $ | — | | |
| Written Currency Options | | | | | 7,377 | | | | | | — | | | | | | 7,377 | | |
| Total | | | | $ | 7,377 | | | | | $ | — | | | | | $ | 7,377 | | |
| | | 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 | | | | $ | 89,089,677 | | | | | $ | (33,172,018) | | | | | $ | — | | | | | $ | 55,917,659 | | |
Total | | | | $ | 89,089,677 | | | | | $ | (33,172,018) | | | | | $ | — | | | | | $ | 55,917,659 | | |
| | | Gross Amounts of Liabilities 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 | | | | $ | 33,172,018 | | | | | $ | 33,172,018 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 33,172,018 | | | | | $ | 33,172,018 | | | | | $ | — | | | | | $ | — | | |
| | | Six Months Ended June 30, 2023 (Unaudited) | | | Year Ended December 31, 2022 | | | Year Ended December 31, 2021 | | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 2,126,890 | | | | | $ | 1,815,273 | | | | | $ | 3,312,937 | | | | | $ | 3,774,356 | | | | | $ | 2,008,674 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (2.45)%**** | | | | | | (2.79)% | | | | | | (2.76)% | | | | | | (2.66)% | | | | | | (2.46)% | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.26%**** | | | | | | 4.09% | | | | | | 3.21% | | | | | | 3.37% | | | | | | 4.26% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.00%**** | | | | | | 0.00%*** | | | | | | 0.00% | | | | | | 10.30% | | | | | | 5.51% | | |
Portfolio Turnover | | | | | 52% | | | | | | 173% | | | | | | 92% | | | | | | 151% | | | | | | 85% | | |
Total return-gross* | | | | | 21.44% | | | | | | (40.69)% | | | | | | (15.51)% | | | | | | 70.93% | | | | | | 42.87% | | |
Total return-net* | | | | | 21.44% | | | | | | (40.69)% | | | | | | (15.51)% | | | | | | 56.74% | | | | | | 35.60% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 5.33%**** | | | | | | 4.01% | | | | | | 8.10% | | | | | | 4.24% | | | | | | 3.08% | | |
Supplemental Information (Unaudited)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (concluded)
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
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(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.
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) | Not applicable. |
(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)(2)(1) | Not applicable. |
(a)(2)(2) | 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: August 24, 2023
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: August 24, 2023
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer | ||
(Principal Financial Officer) |
Date: August 24, 2023
* Print the name and title of each signing officer under his or her signature.