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: December 31, 2023
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Xanthus Fund, L.L.C.
with Report of Independent
Registered Public Accounting Firm
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Management’s Discussion of Company Performance (Unaudited)
Management’s Discussion of Company Performance (Unaudited) (continued)
| Average Annual Total Returns (%) (as of December 31, 2023) | | | 1 Year | | | 5 Year | | | 10 Year | | |||||||||
| Advantage Advisers Xanthus Fund, L.L.C. | | | | | 27.95% | | | | | | 6.38% | | | | | | 4.95% | | |
| MSCI World Index | | | | | 23.79% | | | | | | 12.80% | | | | | | 8.60% | | |
| MSCI ACWI | | | | | 20.09% | | | | | | 9.79% | | | | | | 5.93% | | |
Management’s Discussion of Company Performance (Unaudited) (concluded)
Advantage Advisers Xanthus Fund, L.L.C.
February 27, 2024
Statement of Assets, Liabilities and Members’ Capital
| | | December 31, 2023 | | |||
Assets | | | | | | | |
Investments in securities, at fair value (cost $1,321,392,543) | | | | $ | 2,138,437,889 | | |
Purchased options, at fair value (cost $203,148,779) | | | | | 187,750,106 | | |
Cash and cash equivalents (including United States Dollars of $195,078,868, Hong Kong Dollars of $24,702 with a cost of $24,702 and Euros of $1,907,445 with a cost of $1,907,445, of which $91,317,588 is restricted cash) | | | | | 197,011,015 | | |
Due from brokers (including United States Dollars of $554,495,269, Hong Kong Dollars of $1,504,860 with a cost of $1,504,860 and Swiss Francs of $1 with a cost of $1, all of which is restricted cash) | | | | | 556,000,130 | | |
Receivable for investment securities sold | | | | | 161,953,702 | | |
Unrealized gain on total return swap contracts | | | | | 119,023,364 | | |
Interest receivable | | | | | 2,375,105 | | |
Dividends receivable | | | | | 637,630 | | |
Other assets | | | | | 146,446 | | |
Total assets | | | | | 3,363,335,387 | | |
Liabilities | | | | | | | |
Securities sold, not yet purchased, at fair value (proceeds $859,834,296) | | | | | 882,242,561 | | |
Payable for investment securities purchased | | | | | 197,344,017 | | |
Withdrawals payable (see Note 3) | | | | | 135,325,674 | | |
Unrealized loss on total return swap contracts | | | | | 27,052,439 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,099,405 | | |
Accounting and investor services fees payable | | | | | 210,393 | | |
Due to brokers (Japanese Yen of $2 with a cost of $2) | | | | | 2 | | |
Accrued expenses | | | | | 2,436,981 | | |
Total liabilities | | | | | 1,245,711,472 | | |
Members’ Capital | | | | $ | 2,117,623,915 | | |
Members’ Capital | | | | | | | |
Represented by: | | | | | | | |
Net capital contributions | | | | $ | 965,902,978 | | |
Total earnings (loss) | | | | | 1,151,720,937 | | |
Members’ Capital | | | | $ | 2,117,623,915 | | |
Schedule of Portfolio Investments
| Shares | | | | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – 100.98% | | | | | | | | | | | | | |
| | | | | | | United States – 69.36% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 1.24% | | | | | | | | | | | | | |
| | | 25,936 | | | | TransDigm Group, Inc.* | | | | | (a) | | | | | $ | 26,236,858 | | |
| | | | | | | Applications Software – 4.42% | | | | | | | | | | | | | |
| | | 151,046 | | | | Elastic NV* | | | | | | | | | | | 17,022,884 | | |
| | | 169,971 | | | | Microsoft Corp. | | | | | (a) | | | | | | 63,915,895 | | |
| | | 265,461 | | | | Smartsheet, Inc., Class A* | | | | | | | | | | | 12,694,345 | | |
| | | | | | | | | | | | | | | | | | 93,633,124 | | |
| | | | | | | Building Products - Cement / Aggregate – 2.34% | | | | | | | | | | | | | |
| | | 56,422 | | | | Martin Marietta Materials, Inc. | | | | | | | | | | | 28,149,500 | | |
| | | 94,227 | | | | Vulcan Materials Co. | | | | | (a) | | | | | | 21,390,471 | | |
| | | | | | | | | | | | | | | | | | 49,539,971 | | |
| | | | | | | Coatings / Paint – 0.65% | | | | | | | | | | | | | |
| | | 44,435 | | | | The Sherwin-Williams Co. | | | | | | | | | | | 13,859,277 | | |
| | | | | | | Commercial Services – 0.24% | | | | | | | | | | | | | |
| | | 8,312 | | | | Cintas Corp. | | | | | (a) | | | | | | 5,009,310 | | |
| | | | | | | Commercial Services - Finance – 1.56% | | | | | | | | | | | | | |
| | | 216,096 | | | | Block, Inc.* | | | | | | | | | | | 16,715,026 | | |
| | | 817,942 | | | | Marqeta, Inc., Class A* | | | | | | | | | | | 5,709,235 | | |
| | | 24,266 | | | | S&P Global, Inc. | | | | | (a) | | | | | | 10,689,658 | | |
| | | | | | | | | | | | | | | | | | 33,113,919 | | |
| | | | | | | Communications Software – 1.69% | | | | | | | | | | | | | |
| | | 497,151 | | | | Zoom Video Communications, Inc., Class A* | | | | | | | | | | | 35,750,128 | | |
| | | | | | | Computer Aided Design – 4.98% | | | | | | | | | | | | | |
| | | 215,870 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 58,796,512 | | |
| | | 90,305 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 46,498,947 | | |
| | | | | | | | | | | | | | | | | | 105,295,459 | | |
| | | | | | | Computer Software – 0.68% | | | | | | | | | | | | | |
| | | 46,800 | | | | Datadog, Inc., Class A* | | | | | | | | | | | 5,680,584 | | |
| | | 161,306 | | | | Dynatrace, Inc.* | | | | | (a) | | | | | | 8,821,825 | | |
| | | | | | | | | | | | | | | | | | 14,502,409 | | |
| | | | | | | Computers – 2.53% | | | | | | | | | | | | | |
| | | 701,611 | | | | Dell Technologies, Inc., Class C | | | | | | | | | | | 53,673,242 | | |
| | | | | | | E-Commerce / Products – 6.32% | | | | | | | | | | | | | |
| | | 881,428 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 133,924,170 | | |
| | | | | | | E-Commerce / Services – 3.30% | | | | | | | | | | | | | |
| | | 247,225 | | | | Expedia Group, Inc.* | | | | | | | | | | | 37,526,283 | | |
| | | 527,034 | | | | Uber Technologies, Inc.* | | | | | (a) | | | | | | 32,449,483 | | |
| | | | | | | | | | | | | | | | | | 69,975,766 | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Electronic Components - Semiconductors – 3.05% | | | | | | | | | | | | | |
| | | 325,301 | | | | Analog Devices, Inc. | | | | | | | | | | $ | 64,591,767 | | |
| | | | | | | Energy - Alternate Sources – 0.19% | | | | | | | | | | | | | |
| | | 1,043,126 | | | | Stem, Inc.* | | | | | (a) | | | | | | 4,047,329 | | |
| | | | | | | Enterprise Software / Services – 1.52% | | | | | | | | | | | | | |
| | | 306,953 | | | | SS&C Technologies Holdings, Inc. | | | | | | | | | | | 18,757,898 | | |
| | | 537,358 | | | | UiPath, Inc., Class A* | | | | | | | | | | | 13,347,973 | | |
| | | | | | | | | | | | | | | | | | 32,105,871 | | |
| | | | | | | Finance - Credit Card – 4.56% | | | | | | | | | | | | | |
| | | 105,155 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 44,849,659 | | |
| | | 198,835 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 51,766,692 | | |
| | | | | | | | | | | | | | | | | | 96,616,351 | | |
| | | | | | | Finance - Other Services – 1.51% | | | | | | | | | | | | | |
| | | 248,414 | | | | Intercontinental Exchange, Inc. | | | | | (a) | | | | | | 31,903,810 | | |
| | | | | | | Human Resources – 0.22% | | | | | | | | | | | | | |
| | | 27,978 | | | | Paylocity Holding Corp.* | | | | | (a) | | | | | | 4,612,173 | | |
| | | | | | | Internet Content - Entertainment – 10.08% | | | | | | | | | | | | | |
| | | 603,180 | | | | Meta Platforms, Inc., Class A* | | | | | (a) | | | | | | 213,501,593 | | |
| | | | | | | Medical - Biomedical / Genetics – 2.58% | | | | | | | | | | | | | |
| | | 513,225 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 11,983,804 | | |
| | | 238,228 | | | | BioCryst Pharmaceuticals, Inc.* | | | | | | | | | | | 1,426,986 | | |
| | | 93,185 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 8,595,384 | | |
| | | 52,096 | | | | Cabaletta Bio, Inc.* | | | | | | | | | | | 1,182,579 | | |
| | | 450,047 | | | | Caribou Biosciences, Inc.* | | | | | | | | | | | 2,578,769 | | |
| | | 210,759 | | | | Keros Therapeutics, Inc.* | | | | | | | | | | | 8,379,778 | | |
| | | 52,086 | | | | Sarepta Therapeutics, Inc.* | | | | | | | | | | | 5,022,653 | | |
| | | 324,358 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | | | | | | | 15,510,800 | | |
| | | | | | | | | | | | | | | | | | 54,680,753 | | |
| | | | | | | Medical - Drugs – 0.28% | | | | | | | | | | | | | |
| | | 522,983 | | | | ORIC Pharmaceuticals, Inc.* | | | | | | | | | | | 4,811,443 | | |
| | | 329,949 | | | | PMV Pharmaceuticals, Inc.* | | | | | | | | | | | 1,022,842 | | |
| | | | | | | | | | | | | | | | | | 5,834,285 | | |
| | | | | | | Metal Processors & Fabrication – 0.27% | | | | | | | | | | | | | |
| | | 157,374 | | | | Xometry, Inc., Class A* | | | | | | | | | | | 5,651,300 | | |
| | | | | | | Private Equity – 0.67% | | | | | | | | | | | | | |
| | | 349,239 | | | | The Carlyle Group, Inc. | | | | | | | | | | | 14,210,535 | | |
| | | | | | | REITs - Diversified – 2.93% | | | | | | | | | | | | | |
| | | 62,077 | | | | American Tower Corp. | | | | | | | | | | | 13,401,183 | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | REITs - Diversified – (continued) | | | | ||||||||||
| | | 60,487 | | | | Equinix, Inc. | | | | | | | | | | $ | 48,715,625 | | |
| | | | | | | | | | | | | | | | | | 62,116,808 | | |
| | | | | | | Retail - Apparel / Shoes – 1.52% | | | | | | | | | | | | | |
| | | 232,977 | | | | Ross Stores, Inc. | | | | | | | | | | | 32,241,687 | | |
| | | | | | | Retail - Building Products – 0.67% | | | | | | | | | | | | | |
| | | 63,338 | | | | Lowe’s Cos., Inc. | | | | | | | | | | | 14,095,872 | | |
| | | | | | | Retail - Major Department Stores – 3.00% | | | | | | | | | | | | | |
| | | 676,588 | | | | The TJX Cos., Inc. | | | | | (a) | | | | | | 63,470,720 | | |
| | | | | | | Retail - Restaurants – 1.36% | | | | | | | | | | | | | |
| | | 8,085 | | | | Chipotle Mexican Grill, Inc.* | | | | | | | | | | | 18,490,072 | | |
| | | 79,479 | | | | Yum! Brands, Inc. | | | | | (a) | | | | | | 10,384,726 | | |
| | | | | | | | | | | | | | | | | | 28,874,798 | | |
| | | | | | | Semiconductor Equipment – 5.00% | | | | | | | | | | | | | |
| | | 99,311 | | | | KLA Corp. | | | | | (a) | | | | | | 57,729,484 | | |
| | | 40,184 | | | | Lam Research Corp. | | | | | (a) | | | | | | 31,474,520 | | |
| | | 152,104 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 16,506,326 | | |
| | | | | | | | | | | | | | | | | | 105,710,330 | | |
| | | | | | | Total United States (Cost $766,438,234) | | | | | | | | | | $ | 1,468,779,615 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Brazil – 0.51% | | | | | | | | | | | | | |
| | | | | | | Finance - Investment Banker / Broker – 0.51% | | | | | | | | | | | | | |
| | | 412,779 | | | | XP, Inc., Class A | | | | | (a) | | | | | | 10,761,149 | | |
| | | | | | | Total Brazil (Cost $10,361,932) | | | | | | | | | | $ | 10,761,149 | | |
| | | | | | | | | ||||||||||||
| | | | | | | China – 7.11% | | | | | | | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 0.97% | | | | | | | | | | | | | |
| | | 746,000 | | | | BYD Co., Ltd., Class H | | | | | | | | | | | 20,482,983 | | |
| | | | | | | E-Commerce / Products – 1.01% | | | | | | | | | | | | | |
| | | 101,358 | | | | Alibaba Group Holding, Ltd. – Sponsored ADR* | | | | | | | | | | | 7,856,259 | | |
| | | 466,220 | | | | JD.com, Inc., Class A – Sponsored ADR | | | | | | | | | | | 13,469,095 | | |
| | | | | | | | | | | | | | | | | | 21,325,354 | | |
| | | | | | | Enterprise Software / Services – 0.09% | | | | | | | | | | | | | |
| | | 5,054,447 | | | | Ming Yuan Cloud Group Holdings, Ltd. | | | | | | | | | | | 1,864,214 | | |
| | | | | | | Entertainment Software – 0.54% | | | | | | | | | | | | | |
| | | 122,342 | | | | NetEase, Inc. – Sponsored ADR | | | | | (a) | | | | | | 11,397,381 | | |
| | | | | | | Real Estate Management / Services – 1.07% | | | | | | | | | | | | | |
| | | 1,393,919 | | | | KE Holdings, Inc. – Sponsored ADR | | | | | | | | | | | 22,595,427 | | |
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Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – (continued) | | | | |||||||
| | | | | | | Schools – 0.58% | | | | | | | | | | |
| | | 168,960 | | | | New Oriental Education & Technology Group, Inc. – Sponsored ADR* | | | | | | | $ | 12,381,389 | | |
| | | | | | | Transport - Services – 1.07% | | | | | | | | | | |
| | | 3,222,672 | | | | Full Truck Alliance Co., Ltd. – Sponsored ADR* | | | | | | | | 22,590,931 | | |
| | | | | | | Web Portals / ISP – 1.78% | | | | | | | | | | |
| | | 316,133 | | | | Baidu, Inc. – Sponsored ADR* | | | | | | | | 37,648,279 | | |
| | | | | | | Total China (Cost $165,533,129) | | | | | | | $ | 150,285,958 | | |
| | | | | | | | | |||||||||
| | | | | | | France – 8.54% | | | | | | | | | | |
| | | | | | | Aerospace / Defense - Equipment – 8.38% | | | | | | | | | | |
| | | 529,162 | | | | Airbus SE | | | | | | | | 81,706,834 | | |
| | | 543,812 | | | | Safran SA | | | | | | | | 95,791,118 | | |
| | | | | | | | | | | | | | | 177,497,952 | | |
| | | | | | | Textile - Apparel – 0.16% | | | | | | | | | | |
| | | 4,307 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | | | | 3,490,269 | | |
| | | | | | | Total France (Cost $127,510,318) | | | | | | | $ | 180,988,221 | | |
| | | | | | | | | |||||||||
| | | | | | | Germany – 1.76% | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 1.09% | | | | | | | | | | |
| | | 107,039 | | | | MTU Aero Engines AG | | | | | | | | 23,086,483 | | |
| | | | | | | Athletic Footwear – 0.67% | | | | | | | | | | |
| | | 70,225 | | | | adidas AG | | | | | | | | 14,286,037 | | |
| | | | | | | Total Germany (Cost $35,218,043) | | | | | | | $ | 37,372,520 | | |
| | | | | | | | | |||||||||
| | | | | | | Hong Kong – 0.99% | | | | | | | | | | |
| | | | | | | Casino Hotels – 0.99% | | | | | | | | | | |
| | | 3,743,000 | | | | Galaxy Entertainment Group, Ltd. | | | | | | | | 20,971,403 | | |
| | | | | | | Total Hong Kong (Cost $22,504,387) | | | | | | | $ | 20,971,403 | | |
| | | | | | | | | |||||||||
| | | | | | | Japan – 4.16% | | | | | | | | | | |
| | | | | | | Audio / Video Products – 3.32% | | | | | | | | | | |
| | | 740,000 | | | | Sony Group Corp. | | | | | | | | 70,388,708 | | |
| | | | | | | Web Portals / ISP – 0.84% | | | | | | | | | | |
| | | 4,988,103 | | | | Z Holdings Corp. | | | | | | | | 17,680,203 | | |
| | | | | | | Total Japan (Cost $64,875,588) | | | | | | | $ | 88,068,911 | | |
| | | | | | | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | Netherlands – 1.96% | | | | | | | | | | | | | |
| | | | | | | Semiconductor Equipment – 1.96% | | | | | | | | | | | | | |
| | | 54,819 | | | | ASML Holding NV | | | | | | | | | | $ | 41,493,597 | | |
| | | | | | | Total Netherlands (Cost $31,852,604) | | | | | | | | | | $ | 41,493,597 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Taiwan – 3.98% | | | | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 3.98% | | | | | | | | | | | | | |
| | | 811,683 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. – Sponsored ADR | | | | | | | | | | | 84,415,032 | | |
| | | | | | | Total Taiwan (Cost $63,349,176) | | | | | | | | | | $ | 84,415,032 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Uruguay – 2.61% | | | | | | | | | | | | | |
| | | | | | | Commercial Services - Finance – 0.45% | | | | | | | | | | | | | |
| | | 535,990 | | | | Dlocal, Ltd.* | | | | | | | | | | | 9,481,663 | | |
| | | | | | | E-Commerce / Services – 2.16% | | | | | | | | | | | | | |
| | | 29,156 | | | | MercadoLibre, Inc.* | | | | | (a) | | | | | | 45,819,820 | | |
| | | | | | | Total Uruguay (Cost $33,749,132) | | | | | | | | | | $ | 55,301,483 | | |
| | | | | | | Total Common Stock (Cost $1,321,392,543) | | | | | | | | | | $ | 2,138,437,889 | | |
| | | | | | | Total Investments in Securities (Cost $1,321,392,543) – 100.98% | | | | | | | | | | $ | 2,138,437,889 | | |
| | | | | | | Total Purchased Options (Cost $203,148,779) – 8.87% | | | | | | | | | | | 187,750,106 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $859,834,296) – (41.66)% | | | | | | | | | | | (882,242,561) | | |
| | | | | | | Other Assets, in Excess of Liabilities – 31.81%** | | | | | | | | | | | 673,678,481 | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | | | | $ | 2,117,623,915 | | |
|
Schedule of Portfolio Investments (concluded)
Investments in Securities – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 2.33 | | |
Aerospace / Defense - Equipment | | | | | 8.38 | | |
Applications Software | | | | | 4.42 | | |
Athletic Footwear | | | | | 0.67 | | |
Audio / Video Products | | | | | 3.32 | | |
Auto - Cars / Light Trucks | | | | | 0.97 | | |
Building Products - Cement / Aggregate | | | | | 2.34 | | |
Casino Hotels | | | | | 0.99 | | |
Coatings / Paint | | | | | 0.65 | | |
Commercial Services | | | | | 0.24 | | |
Commercial Services - Finance | | | | | 2.01 | | |
Communications Software | | | | | 1.69 | | |
Computer Aided Design | | | | | 4.98 | | |
Computer Software | | | | | 0.68 | | |
Computers | | | | | 2.53 | | |
E-Commerce / Products | | | | | 7.33 | | |
E-Commerce / Services | | | | | 5.46 | | |
Electronic Components - Semiconductors | | | | | 3.05 | | |
Energy - Alternate Sources | | | | | 0.19 | | |
Enterprise Software / Services | | | | | 1.61 | | |
Entertainment Software | | | | | 0.54 | | |
Finance - Credit Card | | | | | 4.56 | | |
Investments in Securities – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Finance - Investment Banker / Broker | | | | | 0.51 | | |
Finance - Other Services | | | | | 1.51 | | |
Human Resources | | | | | 0.22 | | |
Internet Content - Entertainment | | | | | 10.08 | | |
Medical - Biomedical / Genetics | | | | | 2.58 | | |
Medical - Drugs | | | | | 0.28 | | |
Metal Processors & Fabrication | | | | | 0.27 | | |
Private Equity | | | | | 0.67 | | |
Real Estate Management / Services | | | | | 1.07 | | |
REITs - Diversified | | | | | 2.93 | | |
Retail - Apparel / Shoes | | | | | 1.52 | | |
Retail - Building Products | | | | | 0.67 | | |
Retail - Major Department Stores | | | | | 3.00 | | |
Retail - Restaurants | | | | | 1.36 | | |
Schools | | | | | 0.58 | | |
Semiconductor Components - Integrated Circuits | | | | | 3.98 | | |
Semiconductor Equipment | | | | | 6.96 | | |
Textile - Apparel | | | | | 0.16 | | |
Transport - Services | | | | | 1.07 | | |
Web Portals / ISP | | | | | 2.62 | | |
Total Investments in Securities | | | | | 100.98% | | |
|
Schedule of Purchased Options
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – 8.87% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 8.73% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Call Options – 5.05% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 4.94% | | | | | | | |
| | | | | | | | | | | | | | | | Applications Software – 0.68% | | | | | | | |
| | | | | | | | | | | | | 2/16/2024 | | | | | | | | | | |
| | $ | 159,985,000 | | | | | | 4,571 | | | | $350 | | | Microsoft Corp. | | | | $ | 14,467,215 | | |
| | | | | | | | | | | | | | | | Casino Hotels – 0.61% | | | | | | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 23,396,000 | | | | | | 5,849 | | | | $40 | | | Las Vegas Sands Corp. | | | | | 5,176,365 | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 25,032,000 | | | | | | 3,576 | | | | $70 | | | Wynn Resorts, Ltd. | | | | | 7,831,440 | | |
| | | | | | | | | | | | | | | | | | | | | 13,007,805 | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 1.15% | | | | | | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 262,435,500 | | | | | | 18,099 | | | | $145 | | | Amazon.com, Inc. | | | | | 24,252,660 | | |
| | | | | | | | | | | | | | | | E-Commerce / Services – 0.97% | | | | | | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 33,800,000 | | | | | | 130 | | | | $2,600 | | | Booking Holdings, Inc. | | | | | 12,662,000 | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 51,894,000 | | | | | | 5,766 | | | | $90 | | | DoorDash, Inc., Class A | | | | | 7,755,270 | | |
| | | | | | | | | | | | | | | | | | | | | 20,417,270 | | |
| | | | | | | | | | | | | | | | Electronic Component - Semiconductor – 0.83% | | | | | | | |
| | | | | | | | | | | | | 2/16/2024 | | | | | | | | | | |
| | | 166,428,000 | | | | | | 3,618 | | | | $460 | | | NVIDIA Corp. | | | | | 17,547,300 | | |
| | | | | | | | | | | | | | | | Hotels & Motels – 0.30% | | | | | | | |
| | | | | | | | | | | | | 4/19/2024 | | | | | | | | | | |
| | | 32,812,500 | | | | | | 1,875 | | | | $175 | | | Hilton Worldwide Holdings, Inc. | | | | | 2,643,750 | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 25,920,000 | | | | | | 1,296 | | | | $200 | | | Marriott International, Inc., Class A | | | | | 3,797,280 | | |
| | | | | | | | | | | | | | | | | | | | | 6,441,030 | | |
| | | | | | | | | | | | | | | | Internet Content - Entertainment – 0.40% | | | | | | | |
| | | | | | | | | | | | | 2/16/2024 | | | | | | | | | | |
| | | 89,411,500 | | | | | | 2,669 | | | | $335 | | | Meta Platforms, Inc., Class A | | | | | 8,500,765 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $107,523,292) | | | | $ | 104,634,045 | | |
| | | | | | | | | | ||||||||||||||
| | | | | | | | | | | | | | | | Taiwan – 0.11% | | | | | | | |
| | | | | | | | | | | | | | | | Semiconductor Components - Integrated | | | | | | | |
| | | | | | | | | | | | | | | | Circuits – 0.11% | | | | | | | |
| | | 20,387,000 | | | | | | 2,146 | | | | 2/16/2024 $95 | | | Taiwan Semiconductor Manufacturing Co., Ltd. – Sponsored ADR | | | | | 2,274,760 | | |
| | | | | | | | | | | | | | | | Total Taiwan (Cost $2,186,815) | | | | $ | 2,274,760 | | |
| | | | | | | | | | | | | | | | Total Equity Call Options (Cost $109,710,107) | | | | $ | 106,908,805 | | |
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2023 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Put Options – 3.68% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 3.68% | | | | | | | |
| | | | | | | | | | | | | | | | Communications Software – 0.32% | | | | | | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | $ | 56,208,000 | | | | | | 7,026 | | | | $80 | | | Zoom Video Communications, Inc., Class A | | | | $ | 6,780,090 | | |
| | | | | | | | | | | | | | | | Growth & Income – Large Cap – 0.46% | | | | | | | |
| | | | | | | | | | | | | 9/20/2024 | | | | | | | | | | |
| | | 678,699,000 | | | | | | 16,758 | | | | $405 | | | SPDR S&P 500 ETF Trust | | | | | 9,736,398 | | |
| | | | | | | | | | | | | | | | Sector Fund – Technology – 2.81% | | | | | | | |
| | | | | | | | | | | | | 9/20/2024 | | | | | | | | | | |
| | | 317,600,240 | | | | | | 9,080 | | | | $349.78 | | | Invesco QQQ Trust Series 1 | | | | | 6,946,200 | | |
| | | | | | | | | | | | | 9/20/2024 | | | | | | | | | | |
| | | 1,537,349,440 | | | | | | 40,480 | | | | $379.78 | | | Invesco QQQ Trust Series 1 | | | | | 52,543,040 | | |
| | | | | | | | | | | | | | | | | | | | | 59,489,240 | | |
| | | | | | | | | | | | | | | | Web Portals / ISP – 0.09% | | | | | | | |
| | | | | | | | | | | | | 3/15/2024 | | | | | | | | | | |
| | | 91,481,000 | | | | | | 7,037 | | | | $130 | | | Alphabet, Inc., Class A | | | | | 1,899,990 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $89,405,562) | | | | $ | 77,905,718 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Cost $89,405,562) | | | | $ | 77,905,718 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Cost $199,115,669) | | | | $ | 184,814,523 | | |
| | | | | | | | | | ||||||||||||||
| | | | | | | | | | | | | | | | Currency Put Options – 0.14% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.14% | | | | | | | |
| | | | | | | | | | | | | 6/21/2024 | | | | | | | | | | |
| | | 5,673,613 | | | | | | 111,247,318 | | | | $5.10 | | | USD-BRL | | | | | 2,740,728 | | |
| | | | | | | | | | | | | 6/21/2024 | | | | | | | | | | |
| | | 12,671,521 | | | | | | 166,730,539 | | | | $7.60 | | | USD-CNH | | | | | 194,855 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $4,033,110) | | | | $ | 2,935,583 | | |
| | | | | | | | | | | | | | | | Total Currency Put Options (Cost $4,033,110) | | | | $ | 2,935,583 | | |
| | | | | | | | | | | | | | | | Total Purchased Options (Cost $203,148,779) | | | | $ | 187,750,106 | | |
|
Schedule of Purchased Options (concluded)
Purchased Options – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Applications Software | | | | | 0.68 | | |
Casino Hotels | | | | | 0.61 | | |
Communications Software | | | | | 0.32 | | |
Currency | | | | | 0.14 | | |
E-Commerce / Products | | | | | 1.15 | | |
E-Commerce / Services | | | | | 0.97 | | |
Electronic Component - Semiconductor | | | | | 0.83 | | |
Purchased Options – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Growth & Income - Large Cap | | | | | 0.46 | | |
Hotels & Motels | | | | | 0.30 | | |
Internet Content - Entertainment | | | | | 0.40 | | |
Sector Fund - Technology | | | | | 2.81 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.11 | | |
Web Portals / ISP | | | | | 0.09 | | |
Total Purchased Options | | | | | 8.87% | | |
|
Schedule of Securities Sold, Not Yet Purchased
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 41.66% | | | | | | | | | | |
| | | | | | | Common Stock – 41.66% | | | | | | | | | | |
| | | | | | | United States – 35.66% | | | | | | | | | | |
| | | | | | | Advertising Agencies – 0.51% | | | | | | | | | | |
| | | 125,267 | | | | Omnicom Group, Inc. | | | | | | | $ | 10,836,848 | | |
| | | | | | | Advertising Services – 0.37% | | | | | | | | | | |
| | | 241,960 | | | | The Interpublic Group of Cos., Inc. | | | | | | | | 7,897,574 | | |
| | | | | | | Apparel Manufacturers – 0.10% | | | | | | | | | | |
| | | 496,660 | | | | Hanesbrands, Inc.* | | | | | | | | 2,215,104 | | |
| | | | | | | Applications Software – 0.22% | | | | | | | | | | |
| | | 246,014 | | | | Asana, Inc., Class A* | | | | | | | | 4,676,726 | | |
| | | | | | | Auto - Cars / Light Trucks – 0.69% | | | | | | | | | | |
| | | 1,205,620 | | | | Ford Motor Co. | | | | | | | | 14,696,508 | | |
| | | | | | | Broadcast Services / Programs – 0.23% | | | | | | | | | | |
| | | 433,148 | | | | Warner Bros. Discovery, Inc.* | | | | | | | | 4,929,224 | | |
| | | | | | | Cable / Satellite TV – 1.29% | | | | | | | | | | |
| | | 70,013 | | | | Charter Communications, Inc., Class A* | | | | | | | | 27,212,653 | | |
| | | | | | | Cellular Telecommunications – 1.91% | | | | | | | | | | |
| | | 252,242 | | | | T-Mobile US, Inc. | | | | | | | | 40,441,960 | | |
| | | | | | | Commercial Banks – 1.03% | | | | | | | | | | |
| | | 95,404 | | | | Cathay General Bancorp | | | | | | | | 4,252,156 | | |
| | | 197,182 | | | | CVB Financial Corp. | | | | | | | | 3,981,105 | | |
| | | 111,147 | | | | East West Bancorp, Inc. | | | | | | | | 7,997,027 | | |
| | | 508,599 | | | | Valley National Bancorp | | | | | | | | 5,523,385 | | |
| | | | | | | | | | | | | | | 21,753,673 | | |
| | | | | | | Commercial Services – 0.42% | | | | | | | | | | |
| | | 102,747 | | ��� | | CoStar Group, Inc.* | | | | | | | | 8,979,060 | | |
| | | | | | | Commercial Services - Finance – 0.52% | | | | | | | | | | |
| | | 229,437 | | | | H&R Block, Inc. | | | | | | | | 11,097,868 | | |
| | | | | | | Computer Data Security – 1.30% | | | | | | | | | | |
| | | 203,151 | | | | Fortinet, Inc.* | | | | | | | | 11,890,428 | | |
| | | 50,374 | | | | Qualys, Inc.* | | | | | | | | 9,887,409 | | |
| | | 20,746 | | | | Rapid7, Inc.* | | | | | | | | 1,184,597 | | |
| | | 95,628 | | | | Tenable Holdings, Inc.* | | | | | | | | 4,404,625 | | |
| | | | | | | | | | | | | | | 27,367,059 | | |
| | | | | | | Computer Services – 0.89% | | | | | | | | | | |
| | | 116,086 | | | | Cognizant Technology Solutions Corp.* | | | | | | | | 8,767,975 | | |
| | | 33,981 | | | | EPAM Systems, Inc.* | | | | | | | | 10,103,911 | | |
| | | | | | | | | | | | | | | 18,871,886 | | |
| | | | | | | Computer Software – 0.79% | | | | | | | | | | |
| | | 3,712 | | | | Bandwidth, Inc., Class A* | | | | | | | | 53,713 | | |
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Computer Software – (continued) | | | | |||||||
| | | 72,357 | | | | Box, Inc., Class A* | | | | | | | $ | 1,853,063 | | |
| | | 415,565 | | | | C3.ai, Inc., Class A* | | | | | | | | 11,930,871 | | |
| | | 65,986 | | | | Teradata Corp.* | | | | | | | | 2,871,051 | | |
| | | | | | | | | | | | | | | 16,708,698 | | |
| | | | | | | Consulting Services – 0.82% | | | | | | | | | | |
| | | 72,242 | | | | Verisk Analytics, Inc. | | | | | | | | 17,255,724 | | |
| | | | | | | Consumer Products - Miscellaneous – 0.28% | | | | | | | | | | |
| | | 47,916 | | | | Kimberly-Clark Corp. | | | | | | | | 5,822,273 | | |
| | | | | | | E-Commerce / Products – 0.62% | | | | | | | | | | |
| | | 212,783 | | | | Wayfair, Inc., Class A* | | | | | | | | 13,128,711 | | |
| | | | | | | Electric - Distribution – 0.17% | | | | | | | | | | |
| | | 39,635 | | | | Consolidated Edison, Inc. | | | | | | | | 3,605,596 | | |
| | | | | | | Electric - Integrated – 0.32% | | | | | | | | | | |
| | | 96,849 | | | | The Southern Co. | | | | | | | | 6,791,052 | | |
| | | | | | | Electronic Components – Semiconductors – 5.71% | | | | | | | | | | |
| | | 120,690 | | | | GLOBALFOUNDRIES, Inc.* | | | | | | | | 7,313,814 | | |
| | | 197,173 | | | | Microchip Technology, Inc. | | | | | | | | 17,781,061 | | |
| | | 48,673 | | | | NVIDIA Corp. | | | | | | | | 24,103,843 | | |
| | | 318,007 | | | | ON Semiconductor Corp.* | | | | | | | | 26,563,125 | | |
| | | 264,935 | | | | Texas Instruments, Inc. | | | | | | | | 45,160,820 | | |
| | | | | | | | | | | | | | | 120,922,663 | | |
| | | | | | | Enterprise Software / Services – 0.21% | | | | | | | | | | |
| | | 264,601 | | | | Palantir Technologies Inc., Class A* | | | | | | | | 4,543,199 | | |
| | | | | | | Finance - Credit Card – 0.17% | | | | | | | | | | |
| | | 299,046 | | | | The Western Union Co. | | | | | | | | 3,564,628 | | |
| | | | | | | Food - Miscellaneous / Diversified – 2.28% | | | | | | | | | | |
| | | 308,435 | | | | Campbell Soup Co. | | | | | | | | 13,333,645 | | |
| | | 25,772 | | | | Conagra Brands, Inc. | | | | | | | | 738,626 | | |
| | | 317,643 | | | | General Mills, Inc. | | | | | | | | 20,691,265 | | |
| | | 111,035 | | | | Kellogg Co. | | | | | | | | 6,207,967 | | |
| | | 202,079 | | | | The Kraft Heinz Co. | | | | | | | | 7,472,881 | | |
| | | | | | | | | | | | | | | 48,444,384 | | |
| | | | | | | Hotels & Motels – 0.53% | | | | | | | | | | |
| | | 99,218 | | | | Choice Hotels International, Inc.* | | | | | | | | 11,241,399 | | |
| | | | | | | Internet Content - Entertainment – 0.26% | | | | | | | | | | |
| | | 320,256 | | | | Snap, Inc., Class A* | | | | | | | | 5,421,934 | | |
| | | | | | | Investment Management / Advisory Services – 1.34% | | | | | | |||||
| | | 264,057 | | | | T. Rowe Price Group, Inc. | | | | | | | | 28,436,298 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Medical - Biomedical / Genetics – 0.63% | | | | | | | | | | |
| | | 46,590 | | | | Amgen, Inc. | | | | | | | $ | 13,418,852 | | |
| | | | | | | Medical - Drugs – 1.11% | | | | | | | | | | |
| | | 152,405 | | | | Bristol-Myers Squibb Co. | | | | | | | | 7,819,901 | | |
| | | 100,060 | | | | Johnson & Johnson | | | | | | | | 15,683,404 | | |
| | | | | | | | | | | | | | | 23,503,305 | | |
| | | | | | | Private Equity – 1.03% | | | | | | | | | | |
| | | 166,085 | | | | Blackstone, Inc. | | | | | | | | 21,743,848 | | |
| | | | | | | Real Estate Management / Services – 0.84% | | | | | | | | | | |
| | | 152,580 | | | | Anywhere Real Estate, Inc.* | | | | | | | | 1,237,424 | | |
| | | 124,535 | | | | CBRE Group, Inc., Class A* | | | | | | | | 11,592,963 | | |
| | | 446,017 | | | | Cushman & Wakefield PLC* | | | | | | | | 4,816,984 | | |
| | | | | | | | | | | | | | | 17,647,371 | | |
| | | | | | | REITs - Health Care – 0.30% | | | | | | | | | | |
| | | 128,894 | | | | Ventas, Inc. | | | | | | | | 6,424,077 | | |
| | | | | | | REITs - Office Property – 2.36% | | | | | | | | | | |
| | | 226,389 | | | | Boston Properties, Inc. | | | | | | | | 15,885,716 | | |
| | | 126,253 | | | | Brandywine Realty Trust | | | | | | | | 681,766 | | |
| | | 474,102 | | | | Douglas Emmett, Inc. | | | | | | | | 6,874,479 | | |
| | | 102,192 | | | | Hudson Pacific Properties, Inc. | | | | | | | | 951,408 | | |
| | | 160,790 | | | | Kilroy Realty Corp. | | | | | | | | 6,405,874 | | |
| | | 243,136 | | | | SL Green Realty Corp. | | | | | | | | 10,982,453 | | |
| | | 297,417 | | | | Vornado Realty Trust | | | | | | | | 8,402,030 | | |
| | | | | | | | | | | | | | | 50,183,726 | | |
| | | | | | | REITs - Shopping Centers – 0.09% | | | | | | | | | | |
| | | 84,433 | | | | Kimco Realty Corp. | | | | | | | | 1,799,267 | | |
| | | | | | | REITs - Storage – 2.16% | | | | | | | | | | |
| | | 166,874 | | | | CubeSmart | | | | | | | | 7,734,610 | | |
| | | 124,092 | | | | Public Storage | | | | | | | | 37,848,060 | | |
| | | | | | | | | | | | | | | 45,582,670 | | |
| | | | | | | REITs - Warehouse / Industrial – 0.28% | | | | | | | | | | |
| | | 44,965 | | | | Prologis, Inc. | | | | | | | | 5,993,835 | | |
| | | | | | | Retail - Major Department Stores – 0.41% | | | | | | | | | | |
| | | 465,972 | | | | Nordstrom, Inc. | | | | | | | | 8,597,183 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.18% | | | | | | | | | | |
| | | 278,261 | | | | Sally Beauty Holdings, Inc.* | | | | | | | | 3,695,306 | | |
| | | | | | | Retail - Regional Department Stores – 0.86% | | | | | | | | | | |
| | | 347,129 | | | | Kohl’s Corp. | | | | | | | | 9,955,660 | | |
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Retail - Regional Department Stores – (continued) | | | | |||||||
| | | 411,520 | | | | Macy’s, Inc. | | | | | | | $ | 8,279,782 | | |
| | | | | | | | | | | | | | | 18,235,442 | | |
| | | | | | | Retail - Restaurants – 0.10% | | | | | | | | | | |
| | | 63,307 | | | | The Cheesecake Factory, Inc. | | | | | | | | 2,216,378 | | |
| | | | | | | Telephone - Integrated – 1.24% | | | | | | | | | | |
| | | 530,351 | | | | AT&T, Inc. | | | | | | | | 8,899,290 | | |
| | | 457,988 | | | | Verizon Communications, Inc. | | | | | | | | 17,266,148 | | |
| | | | | | | | | | | | | | | 26,165,438 | | |
| | | | | | | Transport - Services – 1.09% | | | | | | | | | | |
| | | 268,133 | | | | CH Robinson Worldwide, Inc. | | | | | | | | 23,164,010 | | |
| | | | | | | Total United States (Proceeds $733,451,381) | | | | | | | $ | 755,233,410 | | |
| | | | | | | | | |||||||||
| | | | | | | Canada – 0.42% | | | | | | | | | | |
| | | | | | | Medical - Drugs – 0.00% | | | | | | | | | | |
| | | 7,070 | | | | Canopy Growth Corp.* | | | | | | | | 36,162 | | |
| | | | | | | Private Equity – 0.42% | | | | | | | | | | |
| | | 219,352 | | | | Brookfield Corp. | | | | | | | | 8,800,402 | | |
| | | | | | | Total Canada (Proceeds $10,221,625) | | | | | | | $ | 8,836,564 | | |
| | | | | | | | | |||||||||
| | | | | | | China – 1.93% | | | | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 1.10% | | | | | | | | | | |
| | | 107,691 | | | | Li Auto, Inc. – Sponsored ADR* | | | | | | | | 4,030,874 | | |
| | | 1,244,494 | | | | NIO, Inc. – Sponsored ADR* | | | | | | | | 11,287,561 | | |
| | | 549,914 | | | | Xpeng, Inc. – Sponsored ADR* | | | | | | | | 8,023,245 | | |
| | | | | | | | | | | | | | | 23,341,680 | | |
| | | | | | | Internet Content - Information / Network – 0.51% | | | | | | | | | | |
| | | 285,400 | | | | Tencent Holdings, Ltd. | | | | | | | | 10,730,986 | | |
| | | | | | | Metal - Aluminum – 0.01% | | | | | | | | | | |
| | | 730,400 | | | | China Zhongwang Holdings, Ltd.* | | | | | | | | 157,144 | | |
| | | | | | | Retail - Drug Stores – 0.03% | | | | | | | | | | |
| | | 305,400 | | | | Ping An Healthcare and Technology Co., Ltd.* | | | | | | | | 694,611 | | |
| | | | | | | Wireless Equipment – 0.28% | | | | | | | | | | |
| | | 2,946,800 | | | | Xiaomi Corp., Class B* | | | | | | | | 5,887,147 | | |
| | | | | | | Total China (Proceeds $48,438,887) | | | | | | | $ | 40,811,568 | | |
| | | | | | | | | |||||||||
| | | | | | | France – 0.45% | | | | | | | | | | |
| | | | | | | REITs - Regional Malls – 0.11% | | | | | | | | | | |
| | | 85,473 | | | | Klepierre SA | | | | | | | | 2,330,230 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2023 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | France – (continued) | | | | |||||||
| | | | | | | REITs - Shopping Centers – 0.34% | | | | | | | | | | |
| | | 97,193 | | | | Unibail-Rodamco-Westfield* | | | | | | | $ | 7,184,815 | | |
| | | | | | | Total France (Proceeds $6,060,399) | | | | | | | $ | 9,515,045 | | |
| | | | | | | | | |||||||||
| | | | | | | Germany – 1.26% | | | | | | | | | | |
| | | | | | | Enterprise Software / Services – 1.26% | | | | | | | | | | |
| | | 173,453 | | | | SAP SE | | | | | | | | 26,725,045 | | |
| | | | | | | Total Germany (Proceeds $23,134,282) | | | | | | | $ | 26,725,045 | | |
| | | | | | | | | |||||||||
| | | | | | | Hong Kong – 0.16% | | | | | | | | | | |
| | | | | | | Electric - Integrated – 0.16% | | | | | | | | | | |
| | | 578,500 | | | | Power Assets Holdings, Ltd. | | | | | | | | 3,352,367 | | |
| | | | | | | Total Hong Kong (Proceeds $3,940,158) | | | | | | | $ | 3,352,367 | | |
| | | | | | | | | |||||||||
| | | | | | | Israel – 0.47% | | | | | | | | | | |
| | | | | | | Auto/Truck Parts & Equipment - Original – 0.47% | | | | | | | | | | |
| | | 230,458 | | | | Mobileye Global, Inc., Class A* | | | | | | | | 9,983,441 | | |
| | | | | | | Total Israel (Proceeds $7,287,122) | | | | | | | $ | 9,983,441 | | |
| | | | | | | | | |||||||||
| | | | | | | Japan – 0.41% | | | | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 0.41% | | | | | | | | | | |
| | | 475,800 | | | | Toyota Motor Corp. | | | | | | | | 8,742,800 | | |
| | | | | | | Total Japan (Proceeds $8,867,351) | | | | | | | $ | 8,742,800 | | |
| | | | | | | | | |||||||||
| | | | | | | Switzerland – 0.33% | | | | | | | | | | |
| | | | | | | Medical - Drugs – 0.33% | | | | | | | | | | |
| | | 69,059 | | | | Novartis AG – Sponsored ADR | | | | | | | | 6,972,887 | | |
| | | | | | | Total Switzerland (Proceeds $5,542,728) | | | | | | | $ | 6,972,887 | | |
| | | | | | | | | |||||||||
| | | | | | | Taiwan – 0.57% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.57% | | | | | | | | | | |
| | | 1,426,647 | | | | United Microelectronics Corp. – Sponsored ADR | | | | | | | | 12,069,434 | | |
| | | | | | | Total Taiwan (Proceeds $12,890,363) | | | | | | | $ | 12,069,434 | | |
| | | | | | | Total Common Stock (Proceeds $859,834,296) | | | | | | | $ | 882,242,561 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds | | | | | | | | | | |
| | | | | | | $859,834,296) | | | | | | | $ | 882,242,561 | | |
|
Schedule of Securities Sold, Not Yet Purchased (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 0.51 | | |
Advertising Services | | | | | 0.37 | | |
Apparel Manufacturers | | | | | 0.10 | | |
Applications Software | | | | | 0.22 | | |
Auto / Truck Parts & Equipment - Original | | | | | 0.47 | | |
Auto - Cars / Light Trucks | | | | | 2.20 | | |
Broadcast Services / Programs | | | | | 0.23 | | |
Cable / Satellite TV | | | | | 1.29 | | |
Cellular Telecommunications | | | | | 1.91 | | |
Commercial Banks | | | | | 1.03 | | |
Commercial Services | | | | | 0.42 | | |
Commercial Services - Finance | | | | | 0.52 | | |
Computer Data Security | | | | | 1.30 | | |
Computer Services | | | | | 0.89 | | |
Computer Software | | | | | 0.79 | | |
Consulting Services | | | | | 0.82 | | |
Consumer Products - Miscellaneous | | | | | 0.28 | | |
E-Commerce / Products | | | | | 0.62 | | |
Electric - Distribution | | | | | 0.17 | | |
Electric - Integrated | | | | | 0.48 | | |
Electronic Components - Semiconductors | | | | | 5.71 | | |
Enterprise Software / Services | | | | | 1.47 | | |
Finance - Credit Card | | | | | 0.17 | | |
Food - Miscellaneous / Diversified | | | | | 2.28 | | |
Hotels & Motels | | | | | 0.53 | | |
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Internet Content - Entertainment | | | | | 0.26 | | |
Internet Content - Information / Network | | | | | 0.51 | | |
Investment Management / Advisory Services | | | | | 1.34 | | |
Medical - Biomedical / Genetics | | | | | 0.63 | | |
Medical - Drugs | | | | | 1.44 | | |
Metal - Aluminum | | | | | 0.01 | | |
Private Equity | | | | | 1.45 | | |
Real Estate Management / Services | | | | | 0.84 | | |
REITs - Health Care | | | | | 0.30 | | |
REITs - Office Property | | | | | 2.36 | | |
REITs - Regional Malls | | | | | 0.11 | | |
REITs - Shopping Centers | | | | | 0.43 | | |
REITs - Storage | | | | | 2.16 | | |
REITs-Warehouse / Industrial | | | | | 0.28 | | |
Retail - Drug Stores | | | | | 0.03 | | |
Retail - Major Department Stores | | | | | 0.41 | | |
Retail - Miscellaneous / Diversified | | | | | 0.18 | | |
Retail - Regional Department Stores | | | | | 0.86 | | |
Retail - Restaurants | | | | | 0.10 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.57 | | |
Telephone - Integrated | | | | | 1.24 | | |
Transport - Services | | | | | 1.09 | | |
Wireless Equipment | | | | | 0.28 | | |
Total Securities Sold, Not Yet Purchased | | | | | 41.66% | | |
|
Schedule of Swap Contracts
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2023 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – 4.34% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 5.62% | | | ||||||||
| | | | | | | United States – 4.88% | | | ||||||||
| | | | | | | Private Equity – 0.85% | | | ||||||||
| | $ | 15,300,635 | | | | 6/3/2024 | | | The Carlyle Group, Inc. | | | | $ | 17,979,251 | | |
| | | | | | | | | | 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 – 4.03% | | | ||||||||
| | | 71,283,520 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | | 85,294,479 | | |
| | | | | | | | | | 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 | | | | $ | 103,273,730 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – 0.17% | | | ||||||||
| | | | | | | Commercial Services - Finance – 0.09% | | | ||||||||
| | | (3,156,941) | | | | 2/3/2026 | | | Cielo SA | | | | | 1,920,423 | | |
| | | | | | | | | | 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 1.00%**. | | | | | | | |
| | | | | | | Finance - Other Services – 0.08% | | | ||||||||
| | | 20,365,724 | | | | 2/3/2026 | | | B3 SA-Brasil Bolsa Balcao | | | | | 1,649,500 | | |
| | | | | | | | | | 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 | | | | $ | 3,569,923 | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2023 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 5.62%(continued) | | | ||||||||
| | | | | | | Japan – 0.15% | | | ||||||||
| | | | | | | Audio / Video Products – 0.12% | | |||||||||
| | $ | (9,745,536) | | | | 12/24/2024 | | | Sharp Corp. | | | | $ | 2,649,154 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – 0.03% | | | ||||||||
| | | (458,097) | | | | 12/24/2024 | | | Konica Minolta, Inc. | | | | | 127,312 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (7,323,581) | | | | 12/24/2024 | | | Ricoh Co., Ltd. | | | | | 489,074 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | 616,386 | | |
| | | | | | | Total Japan | | | | $ | 3,265,540 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Spain – 0.30% | | | ||||||||
| | | | | | | Building - Heavy Construction – 0.30% | | | | | | | | |||
| | | 5,453,251 | | | | 1/4/2027 | | | Cellnex Telecom SA | | | | | 6,296,816 | | |
| | | | | | | | | | 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 | | | | $ | 6,296,816 | | | |||
| | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2023 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 5.62%(continued) | | | ||||||||
| | | | | | | Sweden – 0.02% | | | | | | | | |||
| | | | | | | Auto - Cars / Light Trucks – 0.02% | | | | | | | | |||
| | $ | (2,043,242) | | | | 1/4/2027 | | | Volvo Car AB, Class B | | | | $ | 402,089 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 10/24/2022 to deliver the total return of the shares of Volvo Car AB, Class B in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Sweden | | | | $ | 402,089 | | | |||
| | | | | | | | | |||||||||
| | | | | | | United Kingdom – 0.10% | | | | | | | | |||
| | | | | | | Cosmetics & Toiletries – 0.05% | | | | | | | | |||
| | | (14,406,160) | | | | 1/4/2027 | | | Unilever PLC | | | | | 1,166,359 | | |
| | | | | | | | | | 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 – 0.05% | | | | | | | | |||
| | | (2,809,668) | | | | 12/16/2026 | | | Marks & Spencer Group PLC | | | | | 1,048,907 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/16/2016 to deliver the total return of the shares of Marks & Spencer Group PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Total United Kingdom | | | | $ | 2,215,266 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 119,023,364 | | | |||
|
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | �� | | | | December 31, 2023 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (1.28%) | | |||||||||
| | | | | | | Australia – (0.05%) | | | ||||||||
| | | | | | | Commercial Banks - Non-US – (0.05%) | | | ||||||||
| | $ | (7,908,498) | | | | 12/27/2024 | | | Commonwealth Bank of Australia | | | | $ | (1,091,140) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | (1,091,140) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Japan – (0.96%) | | | ||||||||
| | | | | | | Office Automation & Equipment – (0.03%) | | | ||||||||
| | | (17,181,868) | | | | 12/24/2024 | | | Canon, Inc. | | | | | (691,770) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Semiconductor Equipment – (0.93%) | | | | | | | | |||
| | | (39,106,442) | | | | 12/24/2024 | | | Advantest Corp. | | | | | (5,162,525) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (38,307,050) | | | | 12/24/2024 | | | Tokyo Electron, Ltd. | | | | | (14,309,273) | | |
| | | | | | | | | | 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 | | | | $ | (20,163,568) | | | |||
| | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2023 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Taiwan – (0.21%) | | | ||||||||
| | | | | | | Electronic Components - Miscellaneous – (0.01%) | | | | | | | | |||
| | $ | (2,157,364) | | | | 1/25/2024 | | | AUO Corp. | | | | $ | (172,791) | | |
| | | | | | | | | | 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 1.00%**. | | | | | | | |
| | | | | | | Power Conversion / Supply Equipment – (0.10%) | | | | | | | | |||
| | | 13,429,368 | | | | 1/25/2024 | | | Delta Electronics, Inc. | | | | | (2,007,105) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/14/2023 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 – (0.10%) | | | | | | | | |||
| | | (7,986,212) | | | | 1/25/2024 | | | Novatek Microelectronics, Ltd. | | | | | (2,217,578) | | |
| | | | | | | | | | 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 2.13%**. | | | | | | | |
| | | (816,219) | | | | 1/25/2024 | | | United Microelectronics Corp. | | | | | (63,459) | | |
| | | | | | | | | | 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 1.63%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | (4,460,933) | | | |||
|
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2023 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | United Kingdom – (0.06%) | | | | | | | | |||
| | | | | | | Building - Maintenance & Service – (0.06%) | | | | | | | | |||
| | $ | 4,056,175 | | | | 12/16/2026 | | | Rentokil Initial PLC | | | | $ | (1,279,094) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/12/2023 to receive the total return of the shares of Rentokil Initial PLC in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Retail - Apparel / Shoes – (0.00%) | | | | | | | | |||
| | | (3,044,565) | | | | 12/16/2026 | | | Next PLC | | | | | (57,704) | | |
| | | | | | | | | | 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 | | | | $ | (1,336,798) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (27,052,439) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 91,970,925 | | | |||
|
Schedule of Swap Contracts (concluded)
Swap Contracts – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Audio / Video Products | | | | | 0.12 | | |
Auto - Cars / Light Trucks | | | | | 0.02 | | |
Building - Heavy Construction | | | | | 0.30 | | |
Building - Maintenance & Service | | | | | (0.06) | | |
Commercial Banks - Non-US | | | | | (0.05) | | |
Commercial Services - Finance | | | | | 0.09 | | |
Cosmetics & Toiletries | | | | | 0.05 | | |
Electronic Components - Miscellaneous | | | | | (0.01) | | |
Finance - Other Services | | | | | 0.08 | | |
Food - Retail | | | | | 0.05 | | |
Swap Contracts – By Industry | | | December 31, 2023 Percentage of Members’ Capital (%) | | |||
Office Automation & Equipment | | | | | 0.00 | | |
Power Conversion / Supply Equipment | | | | | (0.10) | | |
Private Equity | | | | | 0.85 | | |
Retail - Apparel / Shoes | | | | | (0.00) | | |
Semiconductor Components - Integrated Circuits | | | | | (0.10) | | |
Semiconductor Equipment | | | | | (0.93) | | |
Web Portals / ISP | | | | | 4.03 | | |
Total Swap Contracts | | | | | 4.34% | | |
|
Statement of Operations
| | | Year Ended December 31, 2023 | | |||
Investment income | | | | | | | |
Interest | | | | $ | 19,719,293 | | |
Dividends (net of withholding taxes of $1,188,163) | | | | | 17,076,260 | | |
Total investment income | | | | | 36,795,553 | | |
Expenses | | | | | | | |
Administration fees | | | | | 28,065,668 | | |
Prime broker fees | | | | | 23,452,055 | | |
Dividends on securities sold, not yet purchased | | | | | 20,638,657 | | |
Advisor fees | | | | | 8,315,753 | | |
Interest expense | | | | | 2,005,457 | | |
Accounting and investor services fees | | | | | 1,249,456 | | |
Legal fees | | | | | 649,171 | | |
Custodian fees | | | | | 501,112 | | |
Audit and tax fees | | | | | 431,951 | | |
Board of Managers’ fees and expenses | | | | | 422,000 | | |
Insurance expense | | | | | 177,082 | | |
Printing expense | | | | | 97,204 | | |
Miscellaneous | | | | | 560,812 | | |
Total operating expenses | | | | | 86,566,378 | | |
Net investment loss | | | | | (49,770,825) | | |
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, forward and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain on investments in securities | | | | | 270,763,047 | | |
Net realized gain on purchased options | | | | | 26,658,386 | | |
Net realized gain on written options | | | | | 1,232,964 | | |
Net realized gain on foreign currency transactions | | | | | 6,723 | | |
Net realized gain on forward contracts | | | | | 404 | | |
Net realized loss on swap contracts | | | | | (55,858,781) | | |
Net realized loss on securities sold, not yet purchased | | | | | (89,239,786) | | |
Total net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions, forward and swap contracts | | | | | 153,562,957 | | |
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 | | | | | 512,830,878 | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | 55,405,504 | | |
Net change in unrealized gain/(loss) on purchased options | | | | | 1,432,409 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | (10,474) | | |
Net change in unrealized gain/(loss) on written options | | | | | (1,448,168) | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased | | | | | (167,736,655) | | |
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 | | | | | 400,473,494 | | |
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, forward and swap contracts | | | | | 554,036,451 | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 504,265,626 | | |
Statements of Changes in Members’ Capital
| | | 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 | | | | $ | — | | | | | $ | (49,770,825) | | | | | $ | (49,770,825) | | |
Net realized gain on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 153,562,957 | | | | | | 153,562,957 | | |
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 | | | | | — | | | | | | 400,473,494 | | | | | | 400,473,494 | | |
Incentive allocation | | | | | 476,720 | | | | | | (476,720) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 476,720 | | | | | $ | 503,788,906 | | | | | $ | 504,265,626 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 15,465,287 | | | | | | 15,465,287 | | |
Capital withdrawals | | | | | (476,720) | | | | | | (216,904,040) | | | | | | (217,380,760) | | |
Net decrease in Members’ Capital resulting from capital transactions | | | | | (476,720) | | | | | | (201,438,753) | | | | | | (201,915,473) | | |
MEMBERS’ CAPITAL, December 31, 2023 | | | | $ | — | | | | | $ | 2,117,623,915 | | | | | $ | 2,117,623,915 | | |
Statement of Cash Flows
| | | Year Ended December 31, 2023 | | |||
Cash flows from operating activities | | | | | | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 504,265,626 | | |
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 | | | | | 3,514,285,780 | | |
Purchase of investments in securities | | | | | (2,891,631,316) | | |
Proceeds from sale of purchased options | | | | | 1,692,818,039 | | |
Purchase of options | | | | | (1,662,172,745) | | |
Proceeds from securities sold, not yet purchased | | | | | 4,049,296,129 | | |
Cover of securities sold, not yet purchased | | | | | (4,200,849,504) | | |
Proceeds from written options | | | | | 3,041,070 | | |
Cover of written options | | | | | (4,663,174) | | |
Net realized gain on investments in securities and purchased and written options | | | | | (209,414,611) | | |
Net change in unrealized (gain)/loss on investments in securities, purchased and written options and swap contracts | | | | | (400,483,968) | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Increase in receivable for investment securities sold | | | | | (7,117,355) | | |
Increase in interest receivable | | | | | (350,083) | | |
Increase in dividends receivable | | | | | (63,784) | | |
Decrease in other assets | | | | | 1,348 | | |
Increase in payable for investment securities purchased | | | | | 101,494,908 | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 29,155 | | |
Increase in accounting and investor services fees payable | | | | | 18,393 | | |
Decrease in due to brokers | | | | | (45,575,398) | | |
Decrease in accrued expenses | | | | | (229,088) | | |
Net cash provided by operating activities | | | | | 442,699,422 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 15,465,287 | | |
Capital withdrawals, net of change in withdrawals payable | | | | | (180,660,261) | | |
Net cash used in financing activities | | | | | (165,194,974) | | |
Net change in cash, cash equivalents and restricted cash | | | | | 277,504,448 | | |
Cash, cash equivalents and restricted cash at beginning of the year | | | | | 475,506,697 | | |
Cash, cash equivalents and restricted cash at December 31, 2023 | | | | $ | 753,011,145 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the year for interest | | | | $ | 2,142,828 | | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statement of Assets, Liabilities and Members’ Capital that sum to the total of the same amount above at December 31, 2023: | | | | | | | |
Cash and cash equivalents | | | | $ | 105,693,427 | | |
Restricted cash included in cash and cash equivalents | | | | | 91,317,588 | | |
Restricted cash included in due from broker | | | | | 556,000,130 | | |
Total cash, cash equivalents and restricted cash at December 31, 2023 | | | | $ | 753,011,145 | | |
Notes to Financial Statements – December 31, 2023
| Assets: | | | | | | | | | Liabilities: | | | | | | | |
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | | | | | |
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | | | | | |
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | | | | | |
| Common Stock | | | | $ | 2,138,437,889 | | | | Common Stock | | | | $ | 882,242,561 | | |
| Equity Options | | | | | 184,814,523 | | | | Equity Options | | | | | — | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | | | | | |
| Observable Inputs | | | | | | | | | Observable Inputs | | | | | | | |
| Total Return Swaps | | | | | 119,023,364 | | | | Total Return Swaps | | | | | 27,052,439 | | |
| Currency Options | | | | | 2,935,583 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | | | | | |
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,445,211,359 | | | | Total | | | | $ | 909,295,000 | | |
(continued)
(continued)
(continued)
(continued)
(continued)
(continued)
| Purchased Currency options: | | | | | | | |
| Average notional amount | | | | $ | 18,403,305 | | |
| Purchased Equity options: | | | | | | | |
| Average notional amount | | | | $ | 3,727,642,316 | | |
| Written Equity options: | | | | | | | |
| Average notional amount | | | | $ | 20,314,667 | | |
| Total Return swaps: | | | | | | | |
| Average notional amount | | | | $ | 350,511,014 | | |
(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 Year ended December 31, 2023 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 9,431,657 | | | | | $ | 23,732,803 | | | | | $ | (14,301,146) | | |
| Written Equity Options | | | | | — | | | | | | — | | | | | | — | | |
| Total Return Swaps | | | | | 119,023,364 | | | | | | 27,052,439 | | | | | | 91,970,925 | | |
| Total Year ended December 31, 2023 | | | | $ | 128,455,021 | | | | | $ | 50,785,242 | | | | | $ | 77,669,779 | | |
| Total net change in unrealized gain/ (loss) | | | | $ | 49,935,490 | | | | | $ | (3,695,042) | | | | | $ | 53,630,532 | | |
| 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 Year ended December 31, 2023 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | — | | | | | $ | 1,097,527 | | | | | $ | (1,097,527) | | |
| Total Year ended December 31, 2023 | | | | $ | — | | | | | $ | 1,097,527 | | | | | $ | (1,097,527) | | |
| Total net change in unrealized gain/ (loss) | | | | $ | — | | | | | $ | (1,759,213) | | | | | $ | 1,759,213 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Equity Options | | | | $ | 496,776,921 | | | | | $ | 460,940,805 | | | | | $ | 35,836,116 | | |
| Written Equity Options | | | | | 2,938,439 | | | | | | 1,712,852 | | | | | | 1,225,587 | | |
| Total Return Swaps | | | | | 32,814,544 | | | | | | 88,673,325 | | | | | | (55,858,781) | | |
| Total | | | | $ | 532,529,904 | | | | | $ | 551,326,982 | | | | | $ | (18,797,078) | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Currency Options | | | | $ | — | | | | | $ | 9,177,730 | | | | | $ | (9,177,730) | | |
| Forward Currency Contracts | | | | | 404 | | | | | | — | | | | | | 404 | | |
| Written Currency Options | | | | | 7,377 | | | | | | — | | | | | | 7,377 | | |
| Total | | | | $ | 7,781 | | | | | $ | 9,177,730 | | | | | $ | (9,169,949) | | |
| | | 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 | | | | $ | 119,023,364 | | | | | $ | (27,052,439) | | | | | $ | — | | | | | $ | 91,970,925 | | |
Total | | | | $ | 119,023,364 | | | | | $ | (27,052,439) | | | | | $ | — | | | | | $ | 91,970,925 | | |
| | | Gross Amounts of Liabilities as Presented in the Statement of Assets, Liabilities and Members’ Capital | | | Gross Amounts Not Offset in the Statement of Assets, Liabilities and Members’ Capital | | | Net Amount | | |||||||||||||||
| | | Financial Instruments | | | Cash Collateral Pledged(a) | | ||||||||||||||||||
Total return swaps | | | | $ | 27,052,439 | | | | | $ | 27,052,439 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 27,052,439 | | | | | $ | 27,052,439 | | | | | $ | — | | | | | $ | — | | |
| | | Year Ended December 31, 2023 | | | 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) | | | | $ | 2,117,624 | | | | | $ | 1,815,273 | | | | | $ | 3,312,937 | | | | | $ | 3,774,356 | | | | | $ | 2,008,674 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (2.35)% | | | | | | (2.79)% | | | | | | (2.76)% | | | | | | (2.66)% | | | | | | (2.46)% | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.08% | | | | | | 4.09% | | | | | | 3.21% | | | | | | 3.37% | | | | | | 4.26% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.02% | | | | | | 0.00%*** | | | | | | 0.00% | | | | | | 10.30% | | | | | | 5.51% | | |
Portfolio Turnover | | | | | 127% | | | | | | 173% | | | | | | 92% | | | | | | 151% | | | | | | 85% | | |
Total return-gross* | | | | | 27.95% | | | | | | (40.69)% | | | | | | (15.51)% | | | | | | 70.93% | | | | | | 42.87% | | |
Total return-net* | | | | | 27.95% | | | | | | (40.69)% | | | | | | (15.51)% | | | | | | 56.74% | | | | | | 35.60% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 1.88% | | | | | | 4.01% | | | | | | 8.10% | | | | | | 4.24% | | | | | | 3.08% | | |
Supplemental Information (Unaudited)
Company Management (Unaudited)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Luis Rubio, 68 Manager | | | Indefinite; Since May 2003 | | | President of Centro de Investigacion Para el Desarrollo, A.C. (Center of Research Development) (2000 to present) and Director of same (1984 – 2000); Adjunct Fellow of the Center for Strategic and International Studies; Director of The Asia Tigers Fund, Inc. and The India Fund, Inc.; and Director of Empresa Ica SA de CV, a Mexican construction company (since 2006). | | | 1 | |
Janet L. Schinderman, 72 Manager | | | Indefinite; Since May 2003 | | | Education consultant specializing in international relations, board management and initiating special projects; Associate Dean for Special Projects and Secretary to the Board of Overseers at Columbia Business School from 1990 until June 2006; and Independent director for nine registered investment companies advised by The Central Park Advisers, LLC. | | | 1 | |
Company Management (Unaudited) (continued)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Jesse H. Ausubel, 72 Manager | | | Indefinite; Since May 1999 | | | Director, Program for the Human Environment and Senior Research Associate, The Rockefeller University (1993 to present); Director, Richard Lounsbery Foundation (1998 to present, Chair since 2017); Adjunct Scientist, Woods Hole Oceanographic Institution (1990 to present). | | | 1 | |
Todd T. Milbourn, 54 Manager | | | Indefinite; Since February 2016 | | | Professor of Finance at Olin Business School, Washington University in St. Louis (since 2010); Senior Associate Dean of Faculty and Research at Olin Business School, Washington University in St. Louis (since 2013). | | | 1 | |
Michael J. Murphy, 68 Manager | | | Indefinite; Since August 2016 | | | Private investor (since 2013); Founding Partner and Managing Director, Libertas Partners LLC/Knight Capital Group Inc. (2004 – 2013). | | | 1 | |
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Bryan McKigney,* 65 President, CEO, and Manager | | | Indefinite; Manager since December 1, 2004; President and CEO since September 23, 2004 | | | Mr. McKigney is a Managing Director and the President of Oppenheimer Asset Management Inc. since April 2015. He was the Chief Administrative Officer prior thereto. He has been in the financial services industry since 1981 and has held various management positions at Canadian Imperial Bank of Commerce (1993 – 2003) and Chase Manhattan Bank N.A. (1981 – 1993). | | | 1 | |
Company Management (Unaudited) (concluded)
Name, Age, Address(1) and Position(s) with the Company(2) | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | |
Vineet Bhalla, 63 Chief Financial Officer | | | One year; Since July 27, 2005 | | | Mr. Bhalla has been an Executive Director at Oppenheimer Asset Management since January 2016 and a Senior Director since May 2005. From July 2002 to May 2005, he was an Assistant Vice President at Zurich Capital Markets Inc., a Director of the Client Service Group at GlobeOp Financial Services, and a Senior Consultant at Capital Markets Company. Prior to that, he was a Vice President at Blackrock Financial Management since June 1999. Mr. Bhalla is a Certified Public Accountant. He graduated with an MBA from Saint Mary’s University, Halifax, Canada in 1986. | |
Salvatore Faia, 61 Chief Compliance Officer | | | One year; Since December 31, 2014 | | | President, Vigilant Compliance, LLC since 2004; and Director of EIP Growth and Income Fund since 2005. | |
Deborah Kaback, 72 Chief Legal Officer | | | One year; Since July 23, 2003 | | | Ms. Kaback has been a Managing Director at Oppenheimer Asset Management since June 2003. She was Executive Director of CIBC World Markets Corp. from July 2001 through June 2003. Prior to that, she was Vice-President and Senior Counsel of Oppenheimer Funds, Inc. from November 1999 through July 2001. Prior to that, she was Senior Vice President and Deputy General Counsel at Oppenheimer Capital from April 1989 through November 1999. | |
INVESTMENT PROGRAM (Unaudited)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (concluded)
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(e) | Not applicable. |
(f) | See Item 13(a)(1) concerning the filing of the Code of Ethics |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Managers (the "Board") has determined that Todd Milbourn is qualified to serve as an audit committee financial expert serving on the Audit Committee of the Board (the "Audit Committee") and that he is "independent," as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $235,046 for 2023 and $228,200 for 2022. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $5,305 for 2023 and $5,150 for 2022. Audit related fees principally include fees associated with the executive read of the semi-annual statements. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $175,550 for 2023 and $170,435 for 2022. Tax fees include fees for tax compliance services and assisting management in the preparation of tax estimates. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2023 and $0 for 2022. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The registrant’s Audit Committee Charter provides that the Audit Committee shall pre-approve, to the extent required by applicable law, all audit and non–audit services that the registrant’s independent auditors provide to the registrant and (ii) all non-audit services that the registrant’s independent auditors provide to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.
(e)(2) | None of these services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable as the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was not greater than 50 percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $381,155 for 2023 and $210,435 for 2022. |
(h) | Not applicable. |
(i) | Not applicable. |
(j) | 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.
The Proxy Voting Policies are attached herewith.
PROXY VOTING PROCEDURES
A. | Proxy Voting Policy. |
The firm has retained Institutional Shareholder Services, Inc. (“ISS”) to provide research and recommendations on proxy voting issues and to facilitate the electronic voting of proxies. ISS has authority to vote the proxies for each Client Account, in accordance with the policies described below.
1. | General Policy. The Firm instructs each Client Account’s custodian to deliver to ISS all proxy solicitation materials that the custodian receives for that Client Account. The Firm’s Custodians have feeds to ISS which provides ISS a listing of securities held “long” in each Client Account to enable ISS to use reasonable efforts to confirm that ISS has received all proxy solicitation materials concerning such securities. |
The Firm, through ISS, will vote proxies on behalf of Client Accounts. ISS evaluates all proxy solicitation material and other facts it deems relevant and may seek additional information from the party soliciting the proxy and independent corroboration of such information when ISS considers it appropriate and when it is reasonably available. The Firm has instructed ISS to make voting decisions on behalf of each Client Account based on the proxy voting guidelines that ISS provides to the Firm. The Firm may override ISS’ voting decisions if the Firm deems it in the best interests of the Client Account. The Firm has instructed ISS to use reasonable efforts to respond to each proxy solicitation by the deadline for such response.
2. | Conflicts of Interest. Due to the size and nature of the Firm’s operations and the Firm’s limited affiliations in the securities industry, the Firm does not expect that material conflicts of interest will arise between the Firm and a Client Account over proxy voting. The Firm recognizes, however, that such conflicts may arise from time to time, such as, for example, when the Firm or one of its affiliates has a business arrangement that could be affected by the outcome of a proxy vote or has a personal or business relationship with a person seeking appointment or reappointment as a director of a company. Notwithstanding the possibility of such a material conflict arising, the Firm places the interests of the Client Accounts ahead of the Firm’s own interests by following ISS’ recommendations, or when appropriate, overriding ISS recommendations for reasons that the Firm deems are in the best interests of Client Accounts. |
If the Firm determines that the foregoing proxy voting policies do not adequately address a material conflict of interest related to a proxy, the Firm will, in its exclusive discretion, either
(a) direct ISS to vote the proxy in accordance with ISS’ recommendation or
(b) provide the affected client with copies of all proxy solicitation materials that the Firm receives with respect to that proxy, notify that client of the actual or potential conflict of interest and of the Firm’s intended response to the proxy request, and request that the client consent to the Firm’s intended response.
If the client consents to the Firm’s intended response or fails to respond to the notice within a reasonable period of time specified in the notice, the Firm will vote the proxy as described in the notice. If the client objects to the Firm’s intended response, the Firm will vote the proxy as directed by the client.
3. | Shareholder Proposals by the Firm. The Firm may submit a shareholder proposal on behalf of a Client Account only if the Firm believes that the proposal would provide a substantial overall benefit to the Client Account. |
4. | Disclosures to Clients. The Firm includes in Part 2 of its Form ADV (1) a summary of these proxy voting policies and procedures, (2) an offer to provide a copy of these to clients on request, and (3) information concerning how a client may obtain a report summarizing how the Firm voted proxies on behalf of such client. At the request of a client or Investor (other than a RIC), the Firm provides that client or Investor with a copy of this Part VIII and a report summarizing all proxy solicitations the Firm received with respect to the applicable Client Account during the period requested and action taken by the Firm on each such proxy. Regarding the Firm’s proxy votes on behalf of its RIC clients, the Firm will provide that RIC with the information required to be disclosed by that RIC pursuant to ICA Rule 30b1-4 and SEC Form N-PX promulgated thereunder, including: |
a. | The name of the issuer of the portfolio security; |
b. | The exchange ticker symbol of the portfolio security; |
c. | The CUSIP number for the portfolio security (unless not available through reasonable practical means, e.g., in the case of certain foreign issuers); |
d. | The shareholder meeting date; |
e. | A brief identification of the matter voted on; |
f. | Whether the matter was proposed by the issuer or by a security holder; |
g. | Whether the Firm cast its vote on the matter; |
h. | How the Firm cast its vote (e.g., for or against proposal, or abstain; for or withhold regarding election of directors); and |
i. | Whether the Firm cast its vote for or against management. |
B. | Records. |
See Part IX (Recordkeeping Requirements), Section B.9. regarding records that must be maintained relating to these proxy voting policies and procedures.
C. | Ongoing Monitoring of Proxy Voting Process. |
The Firm has adopted ISS’s proxy voting guidelines as its own and evaluated ISS’s processes for evaluating individual matters. Based on that review, the Firm believes that ISS has a process reasonably designed to follow its guidelines when making voting recommendations and then pre-populating votes on the Firm’s behalf. Nevertheless, the Firm periodically reminds its investment personnel to consider any additional information that may reasonably cause the Firm to override SS’s recommendations, particularly with respect to highly contested or controversial1 issues that have a material effect on the value of the issuers.
D. | General Procedures for Evaluating Proxy Advisory Firm. |
The Firm will periodically evaluate ISS, its proxy voting guidelines and other matters related to ISS’s processes for making recommendations.
1. | Proxy Voting Guidelines. The Firm should review ISS’s latest proxy voting guidelines to assess whether such guidelines continue to reflect the Firm’s own assessment of the factors that should be considered in voting in its clients’ best interests. As part of this process, the Firm should consider whether ISS has adequately disclosed its methodologies in formulating voting recommendations, such that the Firm can understand the factors underlying ISS’s voting recommendations. In addition, the Firm should consider the nature of any information sources that ISS uses as a basis for its voting recommendations (including when and how ISS engages with issuers and third parties). |
2. | Research and Recommendation Process. The Firm may choose to assess: |
(i) the extent to which potential factual errors, potential incompleteness, or potential methodological weaknesses in ISS’s analysis (of which the Firm becomes aware and deems credible and relevant to its voting determinations) materially affected ISS’s research or recommendations on the Firm’s behalf; (ii) whether ISS appropriately updates its methodologies, guidelines, and voting recommendations on an ongoing basis, including in response to feedback from issuers and their shareholders; and (iii) the effectiveness of ISS’s policies and procedures for obtaining current and accurate information relevant to matters included in its research and on which it makes voting recommendations. The Commission Guidance Regarding Proxy Voting Responsibilities of Investment Advisers includes some examples of criteria that the Firm may choose to consider to perform this assessment.
3. | Capacity and Competency. The Firm may assess whether ISS has the capacity and competency to adequately analyze the matters for which the Firm is responsible for voting. In this regard, the Firm may consider, among other things, the adequacy and quality of ISS’s staffing, personnel, and/or technology. |
1This may include, for example, major acquisitions involving corporate events (takeovers, mergers and acquisition transactions, dissolutions, conversions, or consolidations) or contested director elections where a shareholder has proposed its own slate of directors.
4. | Intake of Input from Issuers and Client. The Firm may assess whether ISS has an effective process for seeking timely input from issuers and its clients (such as the Firm) with respect to, for example, its proxy voting policies, methodologies, and peer group constructions, including for “say-on-pay” votes. For example, if peer group comparisons are a component of the substantive evaluation, the Firm should consider how ISS incorporates appropriate input in formulating its methodologies and construction of issuer peer groups. Where relevant, the Firm should also consider how ISS, in constructing peer groups, takes into account the unique characteristics regarding the issuer, to the extent available, such as the issuer’s size; its governance structure; its industry and any particular practices unique to that industry; its history; and its financial performance. |
5. | Conflicts of Interest. The Firm may assess ISS’s policies and procedures regarding how it identifies and addresses conflicts of interest. The Commission Guidance Regarding Proxy Voting Responsibilities of Investment Adviser2 includes some examples of ways to perform this analysis. |
6. | Business Changes. The Firm may request updates from ISS regarding any organizational or business changes that may affect its capacity and competency to provide independent proxy voting advice or carry out voting instructions. |
E. | Annual Review. |
The Firm’s annual review of its overall compliance program will include a review and documentation of its evaluation of the adequacy of the foregoing Proxy Voting Policy to ensure that has been formulated reasonably and implemented effectively, including whether it continues to be reasonably designed to ensure that the Firm casts votes on behalf of its clients in the best interest of such clients.
2Investment Advisers Release No. 5325 (2019)
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) | Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members |
Mr. Panayotis ("Takis") Sparaggis, the controlling person and Chief Investment Officer of Alkeon Capital Management, LLC ("Alkeon"), has served since the Fund’s inception as the Fund’s principal portfolio manager (the "Portfolio Manager") and is the lead member of Alkeon’s Investment Team. Other members of the Investment Team assist Mr. Sparaggis in his role as the Fund’s Portfolio Manager. Mr. Sparaggis founded Alkeon in January 2002. From May 1995 until the founding of Alkeon, Mr. Sparaggis was employed by CIBC World Markets Corp. or its predecessors.
(a)(2) | Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest |
Other Accounts Managed by Portfolio Manager(s) or Management Team Member
The table below includes details about the type, number, and assets under management for the various types of accounts, and total assets in the accounts with respect to which the advisory fee is based on the performance of the other accounts that Mr. Sparaggis managed as of December 31, 2023:
Name of Portfolio Manager or Team Member | Type of Accounts | Total No. of Accounts Managed | Total Assets | No. of Accounts where Advisory Fee is Based on Performance | Total Assets in Accounts where Advisory Fee is Based on Performance | ||||||||
Panayotis Sparaggis | Registered Investment Companies: | 1 | $ | 7,608,444,137 | 1 | $ | 7,608,444,137 | ||||||
Other Pooled Investment Vehicles: | 11 | $ | 8,086,023,220 | 11 | $ | 8,086,023,220 | |||||||
Other Accounts: | 0 | $ | 0 | 0 | $ | 0 |
Conflicts of Interests
Conflicts of interest arise when a Portfolio Manager also has day-to-day responsibilities with respect to one or more accounts. These conflicts include:
● | Allocation of Limited Time and Attention. Because the Portfolio Manager manages other accounts, the Portfolio Manager may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts as if the Portfolio Manager were to devote substantially more attention to the management of fewer accounts. |
● | Allocation of Investment Opportunities. If the Portfolio Manager identifies an investment opportunity that may be suitable for multiple accounts, the Fund may not be able to take full advantage of that opportunity because the opportunity may need to be allocated among all or many of these accounts. Moreover, the Portfolio Manager has differing economic interests in respect of such activities. |
● | Pursuit of Differing Strategies. At times, the Portfolio Manager may determine that an investment opportunity may be appropriate for only some of the accounts for which he exercises investment responsibility, or may decide that certain of these accounts should take differing positions with respect to a particular security. In these cases, the Portfolio Manager may execute differing or opposite transactions for one or more accounts which may affect the market price of the security or the execution of the transactions, or both, to the detriment of one or more of his accounts. |
● | Fees; Differing Economic Interests. The Portfolio Manager manages other accounts that are subject to different fees or in which the Portfolio Manager has a greater economic interest. This could create a conflict because the Portfolio Manager may benefit if a more attractive investment is allocated to an account that bears greater fees or in which the Portfolio Manager has a greater economic interest. |
(a)(3) | Compensation Structure of Portfolio Manager(s) or Management Team Members |
Mr. Sparaggis' compensation consists of periodic advances and the income from the profits of Alkeon Capital Management, LLC derived by him as its controlling principal. The level of Alkeon Capital Management's profitability in turn is dependent on the advisory fees and performance fees and allocations received from the Fund and other advisory clients.
(a)(4) | Disclosure of Securities Ownership |
The table below sets forth beneficial ownership of interests of the registrant by the Portfolio Manager as of December 31, 2023:
Name of Portfolio Manager or Team Member | Dollar ($) Range of Fund Shares Beneficially Owned | |||
Panayotis Sparaggis | $ | 0 |
(b) Not applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
(a)(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 | March 6, 2024 |
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 | March 6, 2024 |
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer | ||
(Principal Financial Officer) |
Date | March 6, 2024 |
* Print the name and title of each signing officer under his or her signature.