UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-09205 |
Advantage Advisers Xanthus Fund, L.L.C.
(Exact name of registrant as specified in charter)
85 Broad Street
New York, NY 10004
(Address of principal executive offices) (Zip code)
Kenneth S. Gerstein, Esq.
Schulte Roth & Zabel LLP
919 3rd Avenue, 24th Floor
New York, NY 10122
(Name and address of agent for service)
Registrant’s telephone number, including area code: | 212-667-4225 |
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2018 |
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
Xanthus Fund, L.L.C.
(Unaudited)
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Statement of Assets, Liabilities and Members’ Capital (Unaudited)
| | | June 30, 2018 | | |||
Assets | | | |||||
Investments in securities, at fair value (cost $1,496,847,974) | | | | $ | 2,069,504,102 | | |
Purchased options, at fair value (cost $196,278,896) | | | | | 193,594,053 | | |
Cash and cash equivalents (including restricted cash of $66,061,726, Chinese Renminbi Yuans of $304,425 with a cost of $310,867, Euros of $5,671,588 with a cost of $5,733,964, Hong Kong Dollars of $4,593,394 with a cost of $4,612,003 and Japanese Yen of $3,580,630 with a cost of $3,598,052) | | | | | 131,232,836 | | |
Receivable for investment securities sold | | | | | 86,831,762 | | |
Unrealized gain on total return swap contracts | | | | | 50,764,590 | | |
Due from broker (including Australian Dollars of $1,818 with a cost of $1,904, British Pounds Sterling of $2,407,126 with a cost of $2,573,936 and Japanese Yen of $2,453,541 with a cost of $2,478,512) | | | | | 41,816,036 | | |
Unrealized gain on forward contracts | | | | | 2,317,686 | | |
Dividends receivable (net of foreign withholding taxes of $28,728) | | | | | 352,911 | | |
Interest receivable | | | | | 201,288 | | |
Other assets | | | | | 134,194 | | |
Total assets | | | | | 2,576,749,458 | | |
Liabilities | | | |||||
Securities sold, not yet purchased, at fair value (proceeds $815,140,695) | | | | | 823,861,200 | | |
Due to broker (including Hong Kong Dollars of $204,528 with a cost of $204,516, Swedish Kronar of $60,625 with a cost of $63,394 and Swiss Francs of $636,223 with a cost of $654,525) | | | | | 51,924,863 | | |
Withdrawals payable | | | | | 36,826,813 | | |
Payable for investment securities purchased | | | | | 22,983,362 | | |
Unrealized loss on total return swap contracts | | | | | 18,740,555 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,474,634 | | |
Accounting and investor services fees payable | | | | | 361,057 | | |
Accrued expenses | | | | | 2,066,373 | | |
Total liabilities | | | | | 958,238,857 | | |
Members’ Capital | | | | $ | 1,618,510,601 | | |
Members’ Capital | | | |||||
Represented by: | | | |||||
Net capital contributions | | | | | 1,009,447,247 | | |
Net investment loss | | | | | (24,023,454) | | |
Net realized gain from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 37,769,080 | | |
Net unrealized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 595,317,728 | | |
Members’ Capital | | | | $ | 1,618,510,601 | | |
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Schedule of Portfolio Investments (Unaudited)
| Shares | | | | | | | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Investments in Securities – 127.86% | | | | ||||||||||
| | | | | | | Common Stock – 127.86% | | | | ||||||||||
| | | | | | | United States – 94.56% | | | | ||||||||||
| | | | | | | Aerospace & Defense – 5.84% | | | | ||||||||||
| | | 79,968 | | | | General Dynamics Corp. | | | | | | | | | | $ | 14,906,835 | | |
| | | 80,016 | | | | Northrop Grumman Corp. | | | | | | | | | | | 24,620,923 | | |
| | | 43,042 | | | | Raytheon Co. | | | | | (a) | | | | | | 8,314,854 | | |
| | | 139,226 | | | | The Boeing Co. | | | | | (a) | | | | | | 46,711,715 | | |
| | | | | | | | | | | | | | | | | | 94,554,327 | | |
| | | | | | | Applications Software – 6.76% | | | | ||||||||||
| | | 382,086 | | | | Five9, Inc.* | | | | | (a) | | | | | | 13,208,713 | | |
| | | 98,187 | | | | HubSpot, Inc.* | | | | | (a) | | | | | | 12,312,650 | | |
| | | 750,433 | | | | Microsoft Corp. | | | | | (a) | | | | | | 74,000,198 | | |
| | | 378,121 | | | | Smartsheet, Inc., Class A* | | | | | | | | | | | 9,819,802 | | |
| | | | | | | | | | | | | | | | | | 109,341,363 | | |
| | | | | | | Building - Maintenance & Service – 0.03% | | | | ||||||||||
| | | 23,910 | | | | Brightview Holdings, Inc.* | | | | | | | | | | | 524,824 | | |
| | | | | | | Building Products - Cement / Aggregate – 1.59% | | | | ||||||||||
| | | 56,492 | | | | Martin Marietta Materials, Inc. | | | | | (a) | | | | | | 12,616,358 | | |
| | | 102,100 | | | | Vulcan Materials Co. | | | | | (a) | | | | | | 13,177,026 | | |
| | | | | | | | | | | | | | | | | | 25,793,384 | | |
| | | | | | | Closed-End Funds – 0.48% | | | | ||||||||||
| | | 106,775 | | | | Altaba, Inc.* | | | | | | | | | | | 7,816,998 | | |
| | | | | | | Coatings / Paint – 2.36% | | | | ||||||||||
| | | 93,561 | | | | The Sherwin-Williams Co. | | | | | (a) | | | | | | 38,132,657 | | |
| | | | | | | Commercial Services – 0.74% | | | | ||||||||||
| | | 64,681 | | | | Cintas Corp. | | | | | (a) | | | | | | 11,970,513 | | |
| | | | | | | Commercial Services - Finance – 2.13% | | | | ||||||||||
| | | 239,639 | | | | Global Payments, Inc. | | | | | (a) | | | | | | 26,717,352 | | |
| | | 107,603 | | | | TransUnion | | | | | | | | | | | 7,708,679 | | |
| | | | | | | | | | | | | | | | | | 34,426,031 | | |
| | | | | | | Computer Aided Design – 6.99% | | | | ||||||||||
| | | 149,978 | | | | Aspen Technology, Inc.* | | | | | (a) | | | | | | 13,908,960 | | |
| | | 1,161,137 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 50,288,843 | | |
| | | 571,636 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 48,914,893 | | |
| | | | | | | | | | | | | | | | | | 113,112,696 | | |
| | | | | | | Computer Data Security – 0.60% | | | | ||||||||||
| | | 114,752 | | | | Qualys, Inc.* | | | | | (a) | | | | | | 9,673,594 | | |
| | | | | | | Computer Software – 3.96% | | | | ||||||||||
| | | 373,714 | | | | Pivotal Software, Inc., Class A* | | | | | | | | | | | 9,070,039 | | |
| | | 872,200 | | | | SS&C Technologies Holdings, Inc. | | | | | (a) | | | | | | 45,267,180 | | |
| | | 361,416 | | | | Zuora, Inc., Class A* | | | | | | | | | | | 9,830,515 | | |
| | | | | | | | | | | | | | | | | | 64,167,734 | | |
| | | | | | | E-Commerce / Products – 5.83% | | | | ||||||||||
| | | 55,533 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 94,394,993 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Electronic Components - Semiconductors – 5.04% | | | | ||||||||||
| | | 64,386 | | | | Broadcom, Inc. | | | | | (a) | | | | | $ | 15,622,619 | | |
| | | 322,522 | | | | Microchip Technology, Inc. | | | | | (a) | | | | | | 29,333,376 | | |
| | | 560,833 | | | | Xilinx, Inc. | | | | | (a) | | | | | | 36,599,961 | | |
| | | | | | | | | | | | | | | | | | 81,555,956 | | |
| | | | | | | Enterprise Software / Services – 2.39% | | | | ||||||||||
| | | 186,471 | | | | Apptio, Inc., Class A* | | | | | | | | | | | 6,750,250 | | |
| | | 153,985 | | | | Blackline, Inc.* | | | | | | | | | | | 6,687,569 | | |
| | | 406,112 | | | | Coupa Software, Inc.* | | | | | (a) | | | | | | 25,276,411 | | |
| | | | | | | | | | | | | | | | | | 38,714,230 | | |
| | | | | | | Entertainment Software – 6.64% | | | | ||||||||||
| | | 581,911 | | | | Activision Blizzard, Inc. | | | | | (a) | | | | | | 44,411,447 | | |
| | | 322,138 | | | | Electronic Arts, Inc.* | | | | | (a) | | | | | | 45,427,901 | | |
| | | 148,302 | | | | Take-Two Interactive Software, Inc.* | | | | | | | | | | | 17,553,025 | | |
| | | | | | | | | | | | | | | | | | 107,392,373 | | |
| | | | | | | Finance - Credit Card – 5.73% | | | | ||||||||||
| | | 265,190 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 52,115,139 | | |
| | | 306,427 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 40,586,256 | | |
| | | | | | | | | | | | | | | | | | 92,701,395 | | |
| | | | | | | Finance - Other Services – 5.08% | | | | ||||||||||
| | | 156,871 | | | | CME Group, Inc. | | | | | (a) | | | | | | 25,714,294 | | |
| | | 768,940 | | | | Intercontinental Exchange, Inc. | | | | | (a) | | | | | | 56,555,537 | | |
| | | | | | | | | | | | | | | | | | 82,269,831 | | |
| | | | | | | Internet Application Software – 2.46% | | | | ||||||||||
| | | 409,486 | | | | Okta, Inc.* | | | | | | | | | | | 20,625,810 | | |
| | | 353,421 | | | | Zendesk, Inc.* | | | | | | | | | | | 19,257,910 | | |
| | | | | | | | | | | | | | | | | | 39,883,720 | | |
| | | | | | | Internet Content - Entertainment – 7.73% | | | | ||||||||||
| | | 332,101 | | | | Facebook, Inc., Class A* | | | | | (a) | | | | | | 64,533,866 | | |
| | | 1,386,073 | | | | Twitter, Inc.* | | | | | | | | | | | 60,529,808 | | |
| | | | | | | | | | | | | | | | | | 125,063,674 | | |
| | | | | | | Internet Security – 0.33% | | | | ||||||||||
| | | 148,109 | | | | Zscaler, Inc.* | | | | | | | | | | | 5,294,897 | | |
| | | | | | | Internet Telephony – 1.53% | | | | ||||||||||
| | | 352,657 | | | | RingCentral, Inc., Class A* | | | | | | | | | | | 24,809,420 | | |
| | | | | | | Machinery - Electric Utilities – 0.97% | | | | ||||||||||
| | | 253,213 | | | | BWX Technologies, Inc. | | | | | (a) | | | | | | 15,780,234 | | |
| | | | | | | Medical - Biomedical / Genetics – 1.93% | | | | ||||||||||
| | | 342,831 | | | | Adverum Biotechnologies, Inc.* | | | | | | | | | | | 1,817,004 | | |
| | | 50,768 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 3,222,753 | | |
| | | 107,982 | | | | Celgene Corp.* | | | | | | | | | | | 8,575,931 | | |
| | | 395,069 | | | | Immunomedics, Inc.* | | | | | (a) | | | | | | 9,351,283 | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Medical - Biomedical / Genetics – (continued) | | | | ||||||||||
| | | 14,847 | | | | Magenta Therapeutics, Inc.* | | | | | | | | | | $ | 200,435 | | |
| | | 1,196 | | | | Translate Bio, Inc.* | | | | | | | | | | | 15,129 | | |
| | | 105,730 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | | | | | | | 8,127,465 | | |
| | | | | | | | | | | | | | | | | | 31,310,000 | | |
| | | | | | | Medical - Drugs – 0.43% | | | | ||||||||||
| | | 416,424 | | | | Array BioPharma, Inc.* | | | | | (a) | | | | | | 6,987,595 | | |
| | | | | | | REITs - Diversified – 4.72% | | | | ||||||||||
| | | 239,716 | | | | American Tower Corp. | | | | | | | | | | | 34,559,856 | | |
| | | 97,127 | | | | Equinix, Inc. | | | | | | | | | | | 41,753,926 | | |
| | | | | | | | | | | | | | | | | | 76,313,782 | | |
| | | | | | | Retail - Automobile – 0.43% | | | | ||||||||||
| | | 122,652 | | | | Copart, Inc.* | | | | | | | | | | | 6,937,197 | | |
| | | | | | | Retail - Discount – 1.28% | | | | ||||||||||
| | | 243,751 | | | | Dollar Tree, Inc.* | | | | | | | | | | | 20,718,835 | | |
| | | | | | | Retail - Restaurants – 1.06% | | | | ||||||||||
| | | 218,669 | | | | Yum! Brands, Inc. | | | | | | | | | | | 17,104,289 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 3.85% | | | | ||||||||||
| | | 649,938 | | | | Analog Devices, Inc. | | | | | (a) | | | | | | 62,342,053 | | |
| | | | | | | Semiconductor Equipment – 4.43% | | | | ||||||||||
| | | 296,902 | | | | Applied Materials, Inc. | | | | | (a) | | | | | | 13,713,903 | | |
| | | 188,450 | | | | Lam Research Corp. | | | | | (a) | | | | | | 32,573,583 | | |
| | | 667,977 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 25,429,884 | | |
| | | | | | | | | | | | | | | | | | 71,717,370 | | |
| | | | | | | Telecommunication Services – 0.17% | | | | ||||||||||
| | | 231,682 | | | | Switch, Inc., Class A | | | | | | | | | | | 2,819,570 | | |
| | | | | | | Telephone - Integrated – 0.28% | | | | ||||||||||
| | | 124,019 | | | | Zayo Group Holdings, Inc.* | | | | | (a) | | | | | | 4,524,213 | | |
| | | | | | | Therapeutics – 0.77% | | | | ||||||||||
| | | 147,068 | | | | Agios Pharmaceuticals, Inc.* | | | | | (a) | | | | | | 12,387,538 | | |
| | | | | | | Total United States (Cost $1,065,616,637) | | | | | | | | | | $ | 1,530,537,286 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | Brazil – 0.18% | | | | ||||||||||
| | | | | | | Finance - Credit Card – 0.18% | | | | ||||||||||
| | | 103,386 | | | | Pagseguro Digital, Ltd., Class A* | | | | | | | | | | | 2,868,962 | | |
| | | | | | | Total Brazil (Cost $3,306,250) | | | | | | | | | | $ | 2,868,962 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | Canada – 0.68% | | | | ||||||||||
| | | | | | | Retail - Restaurants – 0.68% | | | | ||||||||||
| | | 182,651 | | | | Restaurant Brands International, Inc. | | | | | (a) | | | | | | 11,013,855 | | |
| | | | | | | Total Canada (Cost $10,839,412) | | | | | | | | | | $ | 11,013,855 | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – 13.23% | | | | |||||||
| | | | | | | E-Commerce / Products – 3.40% | | | | |||||||
| | | 296,277 | | | | Alibaba Group Holding, Ltd. - Sponsored ADR* | | | | | | | $ | 54,968,272 | | |
| | | | | | | Entertainment Software – 5.07% | | | | |||||||
| | | 427,101 | | | | Bilibili, Inc. - Sponsored ADR* | | | | | | | | 5,975,143 | | |
| | | 424,594 | | | | HUYA, Inc. - Sponsored ADR* | | | | | | | | 13,964,897 | | |
| | | 246,011 | | | | NetEase, Inc. - Sponsored ADR | | | | | | | | 62,159,599 | | |
| | | | | | | | | | | | | | | 82,099,639 | | |
| | | | | | | Internet Application Software – 3.03% | | | | |||||||
| | | 977,500 | | | | Tencent Holdings, Ltd. | | | | | | | | 49,065,158 | | |
| | | | | | | Internet Content - Information / Network – 1.24% | | | | |||||||
| | | 237,694 | | | | Sina Corp.* | | | | | | | | 20,130,305 | | |
| | | | | | | Retail - Restaurants – 0.49% | | | | |||||||
| | | 206,713 | | | | Yum China Holdings, Inc. | | | | | | | | 7,950,182 | | |
| | | | | | | Total China (Cost $179,209,248) | | | | | | | $ | 214,213,556 | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | Finland – 0.20% | | | | |||||||
| | | | | | | Wireless Equipment – 0.20% | | | | |||||||
| | | 576,382 | | | | Nokia Corp. - Sponsored ADR | | | | | | | | 3,314,196 | | |
| | | | | | | Total Finland (Cost $3,556,990) | | | | | | | $ | 3,314,196 | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | France – 4.21% | | | | |||||||
| | | | | | | Aerospace / Defense - Equipment – 2.43% | | | | |||||||
| | | 335,466 | | | | Airbus SE | | | | | | | | 39,269,370 | | |
| | | | | | | Entertainment Software – 1.78% | | | | |||||||
| | | 263,026 | | | | Ubisoft Entertainment SA* | | | | | | | | 28,861,031 | | |
| | | | | | | Total France (Cost $47,575,244) | | | | | | | $ | 68,130,401 | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | Germany – 1.61% | | | | |||||||
| | | | | | | Athletic Footwear – 1.61% | | | | |||||||
| | | 119,359 | | | | adidas AG | | | | | | | | 26,053,037 | | |
| | | | | | | Total Germany (Cost $23,262,149) | | | | | | | $ | 26,053,037 | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | Hong Kong – 2.88% | | | | |||||||
| | | | | | | Casino Hotels – 0.95% | | | | |||||||
| | | 549,051 | | | | Melco Resorts & Entertainment, Ltd. – Sponsored ADR | | | | | | | | 15,373,428 | | |
| | | | | | | Energy - Alternate Sources – 1.93% | | | | |||||||
| | | 24,113,633 | | | | China Everbright International, Ltd. | | | | | | | | 31,166,019 | | |
| | | | | | | Total Hong Kong (Cost $25,026,192) | | | | | | | $ | 46,539,447 | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | Japan – 9.90% | | | | |||||||
| | | | | | | Audio / Video Products – 2.25% | | | | |||||||
| | | 713,500 | | | | Sony Corp. | | | | | | | | 36,484,531 | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | Japan – (continued) | | | | ||||||||||
| | | | | | | Chemicals - Diversified – 0.91% | | | | ||||||||||
| | | 194,500 | | | | Nitto Denko Corp. | | | | | | | | | | $ | 14,720,096 | | |
| | | | | | | Chemicals - Specialty – 1.53% | | | | ||||||||||
| | | 278,200 | | | | Shin-Etsu Chemical Co., Ltd. | | | | | | | | | | | 24,796,924 | | |
| | | | | | | Cosmetics & Toiletries – 0.55% | | | | ||||||||||
| | | 112,100 | | | | Shiseido Co., Ltd. | | | | | | | | | | | 8,903,917 | | |
| | | | | | | E-Marketing / Information – 0.84% | | | | ||||||||||
| | | 224,900 | | | | CyberAgent, Inc. | | | | | | | | | | | 13,522,445 | | |
| | | | | | | Electronic Components - Miscellaneous – 0.31% | | | | ||||||||||
| | | 196,000 | | | | Alps Electric Co., Ltd. | | | | | | | | | | | 5,035,963 | | |
| | | | | | | Entertainment Software – 0.99% | | | | ||||||||||
| | | 116,300 | | | | Konami Holdings Corp. | | | | | | | | | | | 5,921,754 | | |
| | | 206,600 | | | | Square Enix Holdings Co., Ltd. | | | | | | | | | | | 10,146,606 | | |
| | | | | | | | | | | | | | | | | | 16,068,360 | | |
| | | | | | | Finance - Other Services – 1.87% | | | | ||||||||||
| | | 1,625,178 | | | | Japan Exchange Group, Inc. | | | | | | | | | | | 30,209,868 | | |
| | | | | | | Industrial Automation / Robotics – 0.23% | | | | ||||||||||
| | | 129,200 | | | | THK Co., Ltd. | | | | | | | | | | | 3,703,376 | | |
| | | | | | | Metal Products - Distribution – 0.42% | | | | ||||||||||
| | | 231,274 | | | | MISUMI Group, Inc. | | | | | | | | | | | 6,744,052 | | |
| | | | | | | Total Japan (Cost $131,683,497) | | | | | | | | | | $ | 160,189,532 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | Singapore – 0.41% | | | | ||||||||||
| | | | | | | Entertainment Software – 0.41% | | | | ||||||||||
| | | 442,922 | | | | Sea Ltd. - Sponsored ADR* | | | | | (a) | | | | | | 6,643,830 | | |
| | | | | | | Total Singapore (Cost $6,772,355) | | | | | | | | | | $ | 6,643,830 | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | Total Common Stock (Cost $1,496,847,974) | | | | | | | | | | $ | 2,069,504,102 | | |
| | | | | | | Total Investments in Securities (Cost $1,496,847,974) – 127.86% | | | | | | | | | | $ | 2,069,504,102 | | |
| | | | | | | Other Liabilities in Excess of Assets – (27.86%)** | | | | | | | | | | | (450,993,501) | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | | | | $ | 1,618,510,601 | | |
Schedule of Portfolio Investments (Unaudited) (concluded)
Investments in Securities – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 5.84 | | |
Aerospace / Defense - Equipment | | | | | 2.43 | | |
Applications Software | | | | | 6.76 | | |
Athletic Footwear | | | | | 1.61 | | |
Audio / Video Products | | | | | 2.25 | | |
Building Products - Cement / Aggregate | | | | | 1.59 | | |
Building - Maintenance & Service | | | | | 0.03 | | |
Casino Hotels | | | | | 0.95 | | |
Chemicals - Diversified | | | | | 0.91 | | |
Chemicals - Specialty | | | | | 1.53 | | |
Closed-End Funds | | | | | 0.48 | | |
Coatings / Paint | | | | | 2.36 | | |
Commercial Services - Finance | | | | | 2.13 | | |
Commercial Services | | | | | 0.74 | | |
Computer Aided Design | | | | | 6.99 | | |
Computer Data Security | | | | | 0.60 | | |
Computer Software | | | | | 3.96 | | |
Cosmetics & Toiletries | | | | | 0.55 | | |
E-Commerce / Products | | | | | 9.23 | | |
Electronic Components - Miscellaneous | | | | | 0.31 | | |
Electronic Components - Semiconductors | | | | | 5.04 | | |
E-Marketing / Information | | | | | 0.84 | | |
Energy - Alternate Sources | | | | | 1.93 | | |
Enterprise Software / Services | | | | | 2.39 | | |
Investments in Securities – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Entertainment Software | | | | | 14.89 | | |
Finance - Credit Card | | | | | 5.91 | | |
Finance - Other Services | | | | | 6.95 | | |
Industrial Automation / Robotics | | | | | 0.23 | | |
Internet Application Software | | | | | 5.49 | | |
Internet Content - Entertainment | | | | | 7.73 | | |
Internet Content - Information / Network | | | | | 1.24 | | |
Internet Security | | | | | 0.33 | | |
Internet Telephony | | | | | 1.53 | | |
Machinery - Electric Utility | | | | | 0.97 | | |
Medical - Biomedical / Genetics | | | | | 1.93 | | |
Medical - Drugs | | | | | 0.43 | | |
Metal Products - Distribution | | | | | 0.42 | | |
REITs - Diversified | | | | | 4.72 | | |
Retail - Automobile | | | | | 0.43 | | |
Retail - Discount | | | | | 1.28 | | |
Retail - Restaurants | | | | | 2.23 | | |
Semiconductor Components - Integrated Circuits | | | | | 3.85 | | |
Semiconductor Equipment | | | | | 4.43 | | |
Telecommunication Services | | | | | 0.17 | | |
Telephone - Integrated | | | | | 0.28 | | |
Therapeutics | | | | | 0.77 | | |
Wireless Equipment | | | | | 0.20 | | |
Total Investments in Securities | | | | | 127.86% | | |
|
Schedule of Purchased Options (Unaudited)
| Notional Amount (USD) | | | Contracts | | | | | | June 30, 2018 Fair Value | | |||||||||
| | | | | | | | | | | | | Purchased Options – 11.96% | | | | | | | |
| | | | | | | | | | | | | Equity Options – 11.84% | | | | | | | |
| | | | | | | | | | | | | Equity Call Options – 10.26% | | | | | | | |
| | | | | | | | | | | | | United States – 9.13% | | | | | | | |
| | | | | | | | | | | | | Auto - Cars / Light Trucks – 0.07% | | | | | | | |
| | $ | 20,500,800 | | | | | | 17,084 | | | | Ford Motor Co., 12/21/2018, $12 | | | | $ | 512,520 | | |
| | | 20,660,400 | | | | | | 17,217 | | | | Ford Motor Co., 01/18/2019, $12 | | | | | 568,161 | | |
| | | | | | | | | | | | | | | | | | 1,080,681 | | |
| | | | | | | | | | | | | Beverages - Non-alcoholic – 0.07% | | | |||||
| | | 28,410,800 | | | | | | 6,457 | | | | The Coca-Cola Co., 11/16/2018, $44 | | | | | 1,084,776 | | |
| | | | | | | | | | | | | Commercial Services - Finance – 0.99% | | | |||||
| | | 29,036,000 | | | | | | 7,259 | | | | Square, Inc., Class A, 09/21/2018, $40 | | | | | 16,078,685 | | |
| | | | | | | | | | | | | Computers – 0.67% | | | |||||
| | | 7,310,000 | | | | | | 430 | | | | Apple, Inc., 10/19/2018, $170 | | | | | 877,200 | | |
| | | 74,563,500 | | | | | | 4,519 | | | | Apple, Inc., 11/16/2018, $165 | | | | | 9,941,800 | | |
| | | | | | | | | | | | | | | | | | 10,819,000 | | |
| | | | | | | | | | | | | Consumer Products - Miscellaneous – 0.00% | | | |||||
| | | 26,400,000 | | | | | | 2,200 | | | | Kimberly-Clark Corp., 07/20/2018, $120 | | | | | 22,000 | | |
| | | | | | | | | | | | | Cosmetics & Toiletries – 0.25% | | | |||||
| | | 14,526,000 | | | | | | 2,152 | | | | Colgate-Palmolive Co.,11/16/2018, $67.50 | | | | | 441,160 | | |
| | | 66,712,000 | | | | | | 8,608 | | | | The Procter & Gamble Co., 01/18/2019, $77.50 | | | | | 3,615,360 | | |
| | | | | | | | | | | | | | | | | | 4,056,520 | | |
| | | | | | | | | | | | | Diversified Manufacturing Operations – 0.04% | | | |||||
| | | 26,398,400 | | | | | | 16,499 | | | | General Electric Co., 09/21/2018, $16 | | | | | 247,485 | | |
| | | 17,217,600 | | | | | | 10,761 | | | | General Electric Co., 12/21/2018, $16 | | | | | 408,918 | | |
| | | | | | | | | | | | | | | | | | 656,403 | | |
| | | | | | | | | | | | | E-Commerce / Products – 0.49% | | | |||||
| | | 48,952,500 | | | | | | 321 | | | | Amazon.com, Inc., 11/16/2018, $1,525 | | | | | 7,886,970 | | |
| | | | | | | | | | | | | Electronic Components - Semiconductor – 0.67% | | | |||||
| | | 64,065,000 | | | | | | 12,813 | | | | Intel Corp., 01/18/2019, $50 | | | | | 5,061,135 | | |
| | | 21,166,000 | | | | | | 1,114 | | | | NVIDIA Corp., 09/21/2018, $190 | | | | | 5,842,930 | | |
| | | | | | | | | | | | | | | | | | 10,904,065 | | |
| | | | | | | | | | | | | Enterprise Software / Services – 0.32% | | | |||||
| | | 29,359,000 | | | | | | 2,669 | | | | Workday, Inc., Class A, 01/18/2019, $110 | | | | | 5,257,930 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | | | | June 30, 2018 Fair Value | | |||||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | Entertainment Software – 0.56% | | | |||||
| | $ | 14,018,750 | | | | | | 2,243 | | | | Activision Blizzard, Inc., 08/17/2018, $62.50 | | | | $ | 3,431,790 | | |
| | | 14,418,000 | | | | | | 2,136 | | | | Activision Blizzard, Inc., 01/18/2019, $67.50 | | | | | 2,691,360 | | |
| | | 16,012,500 | | | | | | 1,281 | | | | Electronic Arts, Inc., 12/21/2018, $125 | | | | | 2,978,325 | | |
| | | | | | | | | | | | | | | | | | 9,101,475 | | |
| | | | | | | | | | | | | Food - Miscellaneous / Diversified – 0.09% | | | |||||
| | | 18,144,500 | | | | | | 3,299 | | | | General Mills, Inc., 10/19/2018, $55 | | | | | 39,588 | | |
| | | 27,300,000 | | | | | | 4,368 | | | | The Kraft Heinz Co., 10/19/2018, $62.50 | | | | | 1,485,120 | | |
| | | | | | | | | | | | | | | | | | 1,524,708 | | |
| | | | | | | | | | | | | Internet Content - Entertainment – 4.44% | | | |||||
| | | 46,443,500 | | | | | | 3,203 | | | | Facebook, Inc., 08/17/2018, $145 | | | | | 15,918,910 | | |
| | | 87,156,000 | | | | | | 3,228 | | | | Netflix, Inc., 12/21/2018, $270 | | | | | 43,284,252 | | |
| | | 6,402,000 | | | | | | 2,134 | | | | Twitter, Inc., 12/21/2018, $30 | | | | | 3,168,990 | | |
| | | 29,897,000 | | | | | | 8,542 | | | | Twitter, Inc., 12/21/2018, $35 | | | | | 9,438,910 | | |
| | | | | | | | | | | | | | | | | | 71,811,062 | | |
| | | | | | | | | | | | | Medical - Biomedical / Genetics – 0.11% | | | |||||
| | | 8,177,600 | | | | | | 4,304 | | | | Exelixis, Inc., 11/16/2018, $19 | | | | | 1,764,640 | | |
| | | | | | | | | | | | | Retail - Apparel / Shoes – 0.02% | | | |||||
| | | 7,700,000 | | | | | | 2,200 | | | | The Gap, Inc., 09/21/2018, $35 | | | | | 312,400 | | |
| | | | | | | | | | | | | Retail - Building Products – 0.21% | | | |||||
| | | 17,224,000 | | | | | | 2,153 | | | | Lowe’s Cos., Inc., 07/20/2018, $80 | | | | | 3,369,445 | | |
| | | | | | | | | | | | | Retail - Discount – 0.11% | | | |||||
| | | 18,718,000 | | | | | | 2,674 | | | | Target Corp., 07/20/2018, $70 | | | | | 1,807,624 | | |
| | | | | | | | | | | | | Semiconductor Equipment – 0.02% | | | |||||
| | | 4,400,000 | | | | | | 1,100 | | | | Teradyne, Inc., 10/19/2018, $40 | | | | | 253,000 | | |
| | | | | | | | | | | | | Total United States (Cost $129,181,774) | | | | $ | 147,791,384 | | |
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | | | | June 30, 2018 Fair Value | | |||||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | Argentina – 0.55% | | | |||||
| | | | | | | | | | | | | E-Commerce / Services – 0.55% | | | |||||
| | $ | 34,680,000 | | | | | | 1,020 | | | | MercadoLibre, Inc., 09/21/2018, $340 | | | | $ | 1,336,200 | | |
| | | 26,700,000 | | | | | | 1,068 | | | | MercadoLibre, Inc., 01/18/2019, $250 | | | | | 7,454,640 | | |
| | | | | | | | | | | | | | | | | | 8,790,840 | | |
| | | | | | | | | | | | | Total Argentina (Cost $15,356,143) | | | | $ | 8,790,840 | | |
| | | | | | | | | | | | | China – 0.58% | | | |||||
| | | | | | | | | | | | | E-Commerce / Products – 0.58% | | | |||||
| | | 53,671,800 | | | | | | 13,762 | | | | JD.com, Inc. - Sponsored ADR, 09/21/2018, $39 | | | | | 3,825,836 | | |
| | | 14,203,200 | | | | | | 4,304 | | | | JD.com, Inc. - Sponsored ADR, 12/21/2018, $33 | | | | | 3,443,200 | | |
| | | 16,229,800 | | | | | | 4,271 | | | | JD.com, Inc. - Sponsored ADR, 01/18/2019, $38 | | | | | 2,156,855 | | |
| | | | | | | | | | | | | | | | | | 9,425,891 | | |
| | | | | | | | | | | | | Total China (Cost $16,522,125) | | | | $ | 9,425,891 | | |
| | | | | | | | | | | | | Total Equity Call Options (Cost $161,060,042) | | | | $ | 166,008,115 | | |
| | | | | | | | | | | | | Equity Put Options – 1.58% | | | |||||
| | | | | | | | | | | | | United States – 1.58% | | | |||||
| | | | | | | | | | | | | Growth & Income - Large Cap – 0.73% | | | |||||
| | | 360,216,000 | | | | | | 15,009 | | | | SPDR S&P 500 ETF Trust, 09/21/2018, $240 | | | | | 2,386,431 | | |
| | | 208,233,300 | | | | | | 7,799 | | | | SPDR S&P 500 ETF Trust, 09/21/2018, $267 | | | | | 4,164,666 | | |
| | | 254,527,800 | | | | | | 10,222 | | | | SPDR S&P 500 ETF Trust, 12/21/2018, $249 | | | | | 5,233,664 | | |
| | | | | | | | | | | | | | | | | | 11,784,761 | | |
| | | | | | | | | | | | | Sector Fund - Technology – 0.85% | | | |||||
| | | 316,665,500 | | | | | | 21,839 | | | | Invesco QQQ Trust Series 1, 09/21/2018, $145 | | | | | 2,162,061 | | |
| | | 341,977,400 | | | | | | 21,782 | | | | Invesco QQQ Trust Series 1, 01/18/2019, $157 | | | | | 10,694,962 | | |
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | | | | June 30, 2018 Fair Value | | |||||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Put Options – (continued) | | | |||||
| | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | Sector Fund - Technology – (continued) | | | |||||
| | $ | 43,953,000 | | | | | | 4,485 | | | | VanEck Vectors Semiconductor ETF, 08/17/2018, $98 | | | | $ | 959,790 | | |
| | | | | | | | | | | | | | | | | | 13,816,813 | | |
| | | | | | | | | | | | | Total United States (Cost $34,515,244) | | | | $ | 25,601,574 | | |
| | | | | | | | | | | | | Total Equity Put Options (Cost $34,515,244) | | | | $ | 25,601,574 | | |
| | | | | | | | | | | | | Total Equity Options (Cost $195,575,286) | | | | $ | 191,609,689 | | |
| | | | | | | | | | | | | Currency Put Options – 0.12% | | | |||||
| | | | | | | | | | | | | United States – 0.12% | | | |||||
| | | 5,337,279 | | | | | | 78,489,401 | | | | USD-CNH, 09/14/2018, $6.80 | | | | | 364,694 | | |
| | | 10,165,014 | | | | | | 149,485,496 | | | | USD-CNH, 01/11/2019, $6.80 | | | | | 1,619,670 | | |
| | | | | | | | | | | | | | | | | | 1,984,364 | | |
| | | | | | | | | | | | | Total United States (Cost $703,610) | | | | $ | 1,984,364 | | |
| | | | | | | | | | | | | Total Currency Put Options (Cost $703,610) | | | | $ | 1,984,364 | | |
| | | | | | | | | | | | | Total Purchased Options (Cost $196,278,896) | | | | $ | 193,594,053 | | |
Schedule of Purchased Options (Unaudited) (concluded)
Purchased Options - By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Auto - Cars / Light Trucks | | | | | 0.07 | | |
Beverages - Non-Alcoholic | | | | | 0.07 | | |
Commercial Services - Finance | | | | | 0.99 | | |
Computers | | | | | 0.67 | | |
Consumer Products - Miscellaneous | | | | | 0.00 | | |
Cosmetics & Toiletries | | | | | 0.25 | | |
Currency | | | | | 0.12 | | |
Diversified Manufacturing Operations | | | | | 0.04 | | |
E-Commerce / Products | | | | | 1.07 | | |
E-Commerce / Services | | | | | 0.55 | | |
Electronic Components - Semiconductors | | | | | 0.67 | | |
Purchased Options - By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Enterprise Software / Services | | | | | 0.32 | | |
Entertainment Software | | | | | 0.56 | | |
Food - Miscellaneous / Diversified | | | | | 0.09 | | |
Growth & Income - Large Cap | | | | | 0.73 | | |
Internet Content - Entertainment | | | | | 4.44 | | |
Medical - Biomedical / Genetics | | | | | 0.11 | | |
Retail - Apparel / Shoes | | | | | 0.02 | | |
Retail - Building Products | | | | | 0.21 | | |
Retail - Discount | | | | | 0.11 | | |
Sector Fund - Technology | | | | | 0.85 | | |
Semiconductor Equipment | | | | | 0.02 | | |
Total Purchased Options | | | | | 11.96% | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited)
| Shares | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 50.90% | | | |||||
| | | | | | | Common Stock – 48.43% | | ||||||
| | | | | | | United States – 36.29% | | ||||||
| | | | | | | Advertising Agencies – 0.98% | | | |||||
| | | 208,979 | | | | Omnicom Group, Inc. | | | | $ | 15,938,828 | | |
| | | | | | | Apparel Manufacturers – 0.34% | | | |||||
| | | 249,528 | | | | Hanesbrands, Inc. | | | | | 5,494,607 | | |
| | | | | | | Auto - Cars / Light Trucks – 0.89% | | | |||||
| | | 1,302,125 | | | | Ford Motor Co. | | | | | 14,414,524 | | |
| | | | | | | Beverages Non-Alcoholic – 1.69% | | | |||||
| | | 623,476 | | | | The Coca-Cola Co. | | | | | 27,345,657 | | |
| | | | | | | Commercial Services - Finance – 2.38% | | | |||||
| | | 507,824 | | | | Square, Inc., Class A* | | | | | 31,302,272 | | |
| | | 355,307 | | | | The Western Union Co. | | | | | 7,223,391 | | |
| | | | | | | | | | | | 38,525,663 | | |
| | | | | | | Computer Services – 0.64% | | | |||||
| | | 256,284 | | | | Teradata Corp.* | | | | | 10,289,803 | | |
| | | | | | | Consumer Products - Miscellaneous – 1.56% | | | |||||
| | | 239,644 | | | | Kimberly-Clark Corp. | | | | | 25,244,099 | | |
| | | | | | | Cosmetics & Toiletries – 2.64% | | | |||||
| | | 107,604 | | | | Colgate-Palmolive Co. | | | | | 6,973,815 | | |
| | | 457,702 | | | | The Procter & Gamble Co. | | | | | 35,728,218 | | |
| | | | | | | | | | | | 42,702,033 | | |
| | | | | | | Diversified Manufacturing Operations – 0.56% | | | |||||
| | | 21,355 | | | | 3M Co. | | | | | 4,200,955 | | |
| | | 356,629 | | | | General Electric Co. | | | | | 4,853,721 | | |
| | | | | | | | | | | | 9,054,676 | | |
| | | | | | | Electric - Integrated – 2.68% | | | |||||
| | | 256,128 | | | | Consolidated Edison, Inc. | | | | | 19,972,861 | | |
| | | 230,427 | | | | Duke Energy Corp. | | | | | 18,222,167 | | |
| | | 111,005 | | | | The Southern Co. | | | | | 5,140,642 | | |
| | | | | | | | | | | | 43,335,670 | | |
| | | | | | | Electronic Components - Semiconductors – 2.73% | | | |||||
| | | 69,404 | | | | NVIDIA Corp. | | | | | 16,441,808 | | |
| | | 251,990 | | | | Texas Instruments, Inc. | | | | | 27,781,897 | | |
| | | | | | | | | | | | 44,223,705 | | |
| | | | | | | Enterprise Software / Services – 1.40% | | | |||||
| | | 186,857 | | | | Workday, Inc., Class A* | | | | | 22,632,120 | | |
| | | | | | | Food - Confectionery – 0.56% | | | |||||
| | | 97,274 | | | | The Hershey Co. | | | | | 9,052,318 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Food - Miscellaneous / Diversified – 1.59% | | | |||||
| | | 241,976 | | | | General Mills, Inc. | | | | $ | 10,709,857 | | |
| | | 238,879 | | | | The Kraft Heinz Co. | | | | | 15,006,379 | | |
| | | | | | | | | | | | 25,716,236 | | |
| | | | | | | Government / Agency - Short Term – 1.32% | | | |||||
| | | 256,261 | | | | iShares 1-3 Year Treasury Bond ETF | | | | | 21,364,480 | | |
| | | | | | | Internet Content - Entertainment – 3.99% | | | |||||
| | | 165,176 | | | | Netflix, Inc.* | | | | | 64,654,842 | | |
| | | | | | | Medical - Biomedical / Genetics – 0.14% | | | |||||
| | | 108,761 | | | | Exelixis, Inc.* | | | | | 2,340,537 | | |
| | | | | | | Medical - Drugs – 0.56% | | | |||||
| | | 74,743 | | | | Johnson & Johnson | | | | | 9,069,316 | | |
| | | | | | | Real Estate Management / Services – 0.15% | | | |||||
| | | 106,718 | | | | Realogy Holdings Corp. | | | | | 2,433,170 | | |
| | | | | | | REITs - Apartments – 0.90% | | | |||||
| | | 84,541 | | | | AvalonBay Communities, Inc. | | | | | 14,531,752 | | |
| | | | | | | REITs - Diversified – 0.28% | | | |||||
| | | 61,441 | | | | Vornado Realty Trust | | | | | 4,541,719 | | |
| | | | | | | REITs - Health Care – 0.31% | | | |||||
| | | 87,357 | | | | Ventas, Inc. | | | | | 4,974,981 | | |
| | | | | | | REITs - Office Property – 0.59% | | | |||||
| | | 23,411 | | | | Boston Properties, Inc. | | | | | 2,936,208 | | |
| | | 65,436 | | | | SL Green Realty Corp. | | | | | 6,578,281 | | |
| | | | | | | | | | | | 9,514,489 | | |
| | | | | | | REITs - Regional Malls – 0.68% | | | |||||
| | | 64,816 | | | | Simon Property Group, Inc. | | | | | 11,031,035 | | |
| | | | | | | REITs - Shopping Centers – 0.92% | | | |||||
| | | 64,428 | | | | Federal Realty Investment Trust | | | | | 8,153,364 | | |
| | | 108,377 | | | | Regency Centers Corp. | | | | | 6,728,044 | | |
| | | | | | | | | | | | 14,881,408 | | |
| | | | | | | REITs - Storage – 1.21% | | | |||||
| | | 81,486 | | | | Extra Space Storage, Inc. | | | | | 8,133,118 | | |
| | | 50,634 | | | | Public Storage | | | | | 11,486,829 | | |
| | | | | | | | | | | | 19,619,947 | | |
| | | | | | | Retail - Apparel / Shoes – 0.72% | | | |||||
| | | 538,600 | | | | Ascena Retail Group, Inc.* | | | | | 2,146,321 | | |
| | | 374,291 | | | | Chico’s FAS, Inc. | | | | | 3,046,729 | | |
| | | 171,000 | | | | Tailored Brands, Inc. | | | | | 4,363,920 | | |
| | | 64,065 | | | | The Gap, Inc. | | | | | 2,075,065 | | |
| | | | | | | | | | | | 11,632,035 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Retail - Arts & Crafts – 0.33% | | | |||||
| | | 277,629 | | | | The Michaels Cos., Inc.* | | | | $ | 5,322,148 | | |
| | | | | | | Retail - Bedding – 0.15% | | | |||||
| | | 121,794 | | | | Bed, Bath & Beyond, Inc. | | | | | 2,426,745 | | |
| | | | | | | Retail - Discount – 1.06% | | | |||||
| | | 224,909 | | | | Target Corp. | | | | | 17,120,073 | | |
| | | | | | | Retail - Mail Order – 0.21% | | | |||||
| | | 55,174 | | | | Williams-Sonoma, Inc. | | | | | 3,386,580 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.34% | | | |||||
| | | 343,887 | | | | Sally Beauty Holdings, Inc.* | | | | | 5,512,509 | | |
| | | | | | | Retail - Regional Department Stores – 0.89% | | | |||||
| | | 66,076 | | | | Dillard’s, Inc., Class A | | | | | 6,244,182 | | |
| | | 112,824 | | | | Kohl’s Corp. | | | | | 8,224,870 | | |
| | | | | | | | | | | | 14,469,052 | | |
| | | | | | | Retail - Restaurants – 0.77% | | | |||||
| | | 149,485 | | | | Starbucks Corp. | | | | | 7,302,342 | | |
| | | 93,204 | | | | The Cheesecake Factory, Inc. | | | | | 5,131,812 | | |
| | | | | | | | | | | | 12,434,154 | | |
| | | | | | | Theaters – 0.13% | | | |||||
| | | 58,726 | | | | Cinemark Holdings, Inc. | | | | | 2,060,108 | | |
| | | | | | | Total United States (Proceeds $578,074,600) | | | | $ | 587,291,019 | | |
| | | | | | | | | | | | | | |
| | | | | | | Argentina – 1.19% | | ||||||
| | | | | | | E-Commerce / Products – 1.19% | | | |||||
| | | 64,563 | | | | MercadoLibre, Inc.* | | | | | 19,299,818 | | |
| | | | | | | Total Argentina (Cost $21,693,208) | | | | $ | 19,299,818 | | |
| | | | | | | | | | | | | | |
| | | | | | | China – 1.33% | | ||||||
| | | | | | | Computers – 0.16% | | | |||||
| | | 4,894,000 | | | | Lenovo Group, Ltd. | | | | | 2,651,146 | | |
| | | | | | | E-Commerce / Products – 0.76% | | | |||||
| | | 314,352 | | | | JD.com, Inc. - Sponsored ADR* | | | | | 12,244,010 | | |
| | | | | | | Metal Processors & Fabrication – 0.14% | | | |||||
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd. | | | | | 2,205,794 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.27% | | | |||||
| | | 3,377,000 | | | | Semiconductor Manufacturing International Corp.* | | | | | 4,390,479 | | |
| | | | | | | Total China (Proceeds $22,754,625) | | | | $ | 21,491,429 | | |
| | | | | | | | | | | | | | |
| | | | | | | Hong Kong – 1.55% | | ||||||
| | | | | | | Distribution / Wholesale – 0.08% | | | |||||
| | | 3,529,000 | | | | Li & Fung, Ltd. | | | | | 1,295,463 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Hong Kong – (continued) | | ||||||
| | | | | | | Electric - Integrated – 0.74% | | | |||||
| | | 357,500 | | | | CLP Holdings, Ltd. | | | | $ | 3,850,468 | | |
| | | 1,152,500 | | | | Power Assets Holdings, Ltd. | | | | | 8,057,462 | | |
| | | | | | | | | | | | 11,907,930 | | |
| | | | | | | Gas - Distribution – 0.73% | | | |||||
| | | 6,215,286 | | | | Hong Kong & China Gas Co., Ltd. | | | | | 11,899,036 | | |
| | | | | | | Total Hong Kong (Proceeds $24,506,876) | | | | $ | 25,102,429 | | |
| | | | | | | | | | | | | | |
| | | | | | | India – 0.65% | | ||||||
| | | | | | | Computer Services – 0.65% | | | |||||
| | | 543,278 | | | | Infosys, Ltd. - Sponsored ADR | | | | | 10,555,891 | | |
| | | | | | | Total India (Proceeds $8,665,633) | | | | $ | 10,555,891 | | |
| | | | | | | | | | | | | | |
| | | | | | | Japan – 4.43% | | ||||||
| | | | | | | Auto - Cars / Light Trucks – 0.39% | | | |||||
| | | 48,879 | | | | Toyota Motor Corp. - Sponsored ADR | | | | | 6,296,104 | | |
| | | | | | | Electric - Integrated – 0.84% | | | |||||
| | | 591,900 | | | | Chubu Electric Power Co., Inc. | | | | | 8,875,841 | | |
| | | 328,517 | | | | The Kansai Electric Power Co., Inc. | | | | | 4,792,816 | | |
| | | | | | | | | | | | 13,668,657 | | |
| | | | | | | Gas - Distribution – 0.43% | | | |||||
| | | 261,600 | | | | Tokyo Gas Co., Ltd. | | | | | 6,944,652 | | |
| | | | | | | Industrial Automation / Robotics – 1.25% | | | |||||
| | | 52,200 | | | | FANUC Corp. | | | | | 10,370,112 | | |
| | | 26,700 | | | | SMC Corp. | | | | | 9,793,764 | | |
| | | | | | | | | | | | 20,163,876 | | |
| | | | | | | Office Automation & Equipment – 1.02% | | | |||||
| | | 502,500 | | | | Canon, Inc. | | | | | 16,472,286 | | |
| | | | | | | Retail - Apparel / Shoes – 0.50% | | | |||||
| | | 17,600 | | | | Fast Retailing Co., Ltd. | | | | | 8,089,232 | | |
| | | | | | | Total Japan (Proceeds $71,298,534) | | | | $ | 71,634,807 | | |
| | | | | | | | | | | | | | |
| | | | | | | Netherlands – 2.22% | | ||||||
| | | | | | | Semiconductor Equipment – 2.22% | | | |||||
| | | 181,091 | | | | ASML Holding NV | | | | | 35,850,585 | | |
| | | | | | | Total Netherlands (Proceeds $36,412,467) | | | | $ | 35,850,585 | | |
| | | | | | | | | | | | | | |
| | | | | | | Sweden – 0.24% | | ||||||
| | | | | | | Networking Products – 0.24% | | | |||||
| | | 512,699 | | | | Telefonaktiebolaget LM Ericsson - Sponsored ADR | | | | | 3,932,401 | | |
| | | | | | | Total Sweden (Proceeds $3,776,238) | | | | $ | 3,932,401 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30, 2018 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Switzerland – 0.53% | | ||||||
| | | | | | | Electronic Components - Semiconductors – 0.53% | | | |||||
| | | 390,898 | | | | STMicroelectronics NV | | | | $ | 8,646,664 | | |
| | | | | | | Total Switzerland (Proceeds $7,916,536) | | | | $ | 8,646,664 | | |
| | | | | | | Total Common Stock (Proceeds $775,098,717) | | | | $ | 783,805,043 | | |
| | | | | | | | | | | | | | |
| | | | | | | Mutual Funds – 2.47% | | ||||||
| | | | | | | United States – 2.47% | | ||||||
| | | | | | | Corporate / Preferred – 1.23% | | | |||||
| | | 256,261 | | | | Vanguard Short-Term Corporate Bond ETF | | | | | 20,013,984 | | |
| | | | | | | Government / Corporate Short Term – 1.24% | | | |||||
| | | 256,261 | | | | Vanguard Short-Term Bond ETF | | | | | 20,042,173 | | |
| | | | | | | Total United States (Proceeds $40,041,978) | | | | $ | 40,056,157 | | |
| | | | | | | Total Mutual Funds (Proceeds $40,041,978) | | | | $ | 40,056,157 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $815,140,695) | | | | $ | 823,861,200 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 0.98 | | |
Apparel Manufacturers | | | | | 0.34 | | |
Auto - Cars / Light Trucks | | | | | 1.28 | | |
Beverages - Non - Alcoholic | | | | | 1.69 | | |
Commercial Services - Finance | | | | | 2.38 | | |
Computer Services | | | | | 1.29 | | |
Computers | | | | | 0.16 | | |
Consumer Products - Miscellaneous | | | | | 1.56 | | |
Corporate / Preferred | | | | | 1.23 | | |
Cosmetics & Toiletries | | | | | 2.64 | | |
Distribution / Wholesale | | | | | 0.08 | | |
Diversified Manufacturing Operations | | | | | 0.56 | | |
E-Commerce / Products | | | | | 1.95 | | |
Electric - Integrated | | | | | 4.26 | | |
Electronic Components - Semiconductors | | | | | 3.26 | | |
Enterprise Software / Services | | | | | 1.40 | | |
Food - Confectionery | | | | | 0.56 | | |
Food - Miscellaneous / Diversified | | | | | 1.59 | | |
Gas - Distribution | | | | | 1.16 | | |
Governement / Agency - Short Term | | | | | 1.32 | | |
Governement / Corporate - Short Term | | | | | 1.24 | | |
Industrial Automation / Robotics | | | | | 1.25 | | |
Internet Content - Entertainment | | | | | 3.99 | | |
Medical - Biomedical / Genetics | | | | | 0.14 | | |
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Medical - Drugs | | | | | 0.56 | | |
Metal Processors & Fabrication | | | | | 0.14 | | |
Networking Products | | | | | 0.24 | | |
Office Automation & Equipment | | | | | 1.02 | | |
Real Estate Management / Services | | | | | 0.15 | | |
REITs - Apartments | | | | | 0.90 | | |
REITs - Diversified | | | | | 0.28 | | |
REITs - Health Care | | | | | 0.31 | | |
REITs - Office Property | | | | | 0.59 | | |
REITs - Regional Malls | | | | | 0.68 | | |
REITs - Shopping Centers | | | | | 0.92 | | |
REITs - Storage | | | | | 1.21 | | |
Retail - Apparel / Shoes | | | | | 1.22 | | |
Retail - Arts & Crafts | | | | | 0.33 | | |
Retail - Bedding | | | | | 0.15 | | |
Retail - Discount | | | | | 1.06 | | |
Retail - Mail Order | | | | | 0.21 | | |
Retail - Miscellaneous / Diversified | | | | | 0.34 | | |
Retail - Regional Department Stores | | | | | 0.89 | | |
Retail - Restaurants | | | | | 0.77 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.27 | | |
Semiconductor Equipment | | | | | 2.22 | | |
Theaters | | | | | 0.13 | | |
Total Securities Sold, Not Yet Purchased | | | | | 50.90% | | |
|
Schedule of Swap Contracts (Unaudited)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – 1.98% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 3.14% | | |||||||||
| | | | | | | United States – 1.78% | | | ||||||||
| | | | | | | Private Equity – 0.28% | | | ||||||||
| | $ | 13,729,723 | | | | 6/3/2019 | | | KKR & Co., LP., Class A | | | | $ | 4,557,810 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/09/2017 to receive the total return of the shares of KKR & Co., LP., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | |||||
| | | | | | | Web Portals / ISP – 1.50% | | | ||||||||
| | | 40,335,023 | | | | 6/3/2019 | | | Alphabet Inc., Class A | | | | | 24,270,148 | | |
| | | | | | | | | | 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 | | | | $ | 28,827,958 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Australia – 0.00% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.00% | | | ||||||||
| | | (2,057,773) | | | | 12/27/2019 | | | Bank of Queensland, Ltd. | | | | | 48,752 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/20/2018 to deliver the total return of the shares of Bank of Queensland, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | 48,752 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Japan – 0.04% | | | ||||||||
| | | | | | | Electric - Integrated – 0.02% | | | ||||||||
| | | (4,120,782) | | | | 12/24/2019 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | | 249,120 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/17/2016 to deliver the total return of the shares of Tokyo Electric Power Co. Holdings, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Electric Products - Miscellaneous – 0.02% | | | ||||||||
| | $ | (6,651,208) | | | | 12/24/2019 | | | Brothers Industries, Ltd. | | | | $ | 329,562 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/06/2012 to deliver the total return of the shares of Brothers Industries, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | 578,682 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | South Korea – 0.71% | | | ||||||||
| | | | | | | Electronic Components - Semiconductors – 0.71% | | | ||||||||
| | | 14,007,159 | | | | 12/28/2018 | | | Samsung Electronics Co., Ltd | | | | | 11,200,239 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2009 to receive the total return of the shares of Samsung Electronics Co., Ltd in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | |||||
| | | (8,984,927) | | | | 12/28/2018 | | | SK Hynix, Inc. | | | | | 273,270 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/09/2010 to deliver the total return of the shares of SK Hynix, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.08%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | 11,473,509 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Spain – 0.35% | | | ||||||||
| | | | | | | Food - Retail – 0.12% | | | ||||||||
| | | (3,998,016) | | | | 1/4/2019 | | | Distribuidora Internacional de Alimentacion SA | | | | | 2,015,541 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/29/2014 to deliver the total return of the shares of Distribuidora Internacional de Alimentacion SA in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Spain – (continued) | | | ||||||||
| | | | | | | Satellite Telecommunications – 0.23% | | | ||||||||
| | $ | 8,773,233 | | | | 1/4/2019 | | | Cellnex Telecom SAU | | | | $ | 3,643,283 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/06/2015 to receive the total return of the shares of Cellnex Telecom SAU in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Spain | | | | $ | 5,658,824 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Taiwan – 0.08% | | | ||||||||
| | | | | | | Computers - Peripheral Equipment – 0.08% | | | ||||||||
| | | (8,411,608) | | | | 1/25/2019 | | | Innolux Display Corp. | | | | | 1,245,485 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/18/2010 to deliver the total return of the shares of Innolux Display Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 3.13%**. | | | |||||
| | | | | | | Electric Components - Miscellaneous – 0.00% | | | ||||||||
| | | (4,797,068) | | | | 1/25/2019 | | | Hon Hai Precision Industries Co., Ltd. | | | | | 71,926 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/08/2013 to deliver the total return of the shares of Hon Hai Precision Industries Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | 1,317,411 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | United Kingdom – 0.18% | | | ||||||||
| | | | | | | Retail - Discount – 0.10% | | | ||||||||
| | | 5,015,966 | | | | 12/13/2018 | | | B&M European Value Retail SA | | | | | 1,530,871 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/12/2014 to receive the total return of the shares of B&M European Value Retail SA in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | United Kingdom – (continued) | | | ||||||||
| | | | | | | Retail - Major Dept Store – 0.08% | | | ||||||||
| | $ | (8,746,236) | | | | 12/13/2018 | | | Marks & Spencer Group PLC - Sponsored ADR | | | | $ | 1,328,583 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/16/2016 to deliver the total return of the shares of Marks & Spencer Group PLC - Sponsored ADR in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Total United Kingdom | | | | $ | 2,859,454 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 50,764,590 | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | ||||||
| | | | | | | Swap Contracts – (continued) | | | |||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss - (1.16%) | | | |||||||
| | | | | | | United States – (0.06%) | | | |||||||
| | | | | | | Private Equity – (0.06%) | | | |||||||
| | $ | 10,667,901 | | | | 6/3/2019 | | | The Carlyle Group, L.P. | | | | $ | (913,122) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/16/2017 to receive the total return of the shares of The Carlyle Group LP. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | ||
| | | | | | | Total United States | | | | $ | (913,122) | ||||
| | | | | | | | | | | | | | | | |
| | | | | | | Australia – (0.47%) | | | |||||||
| | | | | | | Commercial Banks - Non-US – (0.06%) | | | |||||||
| | | (13,916,224) | | | | 12/27/2019 | | | Australia and New Zealand Banking Group, Ltd. | | | | | (356,985) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/26/2015 to deliver the total return of the shares of Australia and New Zealand Banking Group, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | ||||
| | | (15,385,738) | | | | 12/27/2019 | | | Westpac Banking Corp. | | | | | (595,522) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/14/2015 to deliver the total return of the shares of Westpac Banking Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less | | | | | ||
| | | | | | | | | | 0.40%**. | | | | | (952,507) | |
| | | | | | | Food - Retail – (0.41%) | | | |||||||
| | | (17,080,164) | | | | 12/27/2019 | | | Wesfarmers, Ltd. | | | | | (4,477,361) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2014 to deliver the total return of the shares of Wesfarmers, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | ||||
| | | (11,559,771) | | | | 12/27/2019 | | | Woolworths Group, Ltd. | | | | | (2,067,253) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/24/2014 to deliver the total return of the shares of Woolworths Group, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less | | | | | ||
| | | | | | | | | | 0.40%**. | | | | | (6,544,614) | |
| | | | | | | Total Australia | | | | $ | (7,497,121) |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | ||||||
| | | | | | | Swap Contracts – (continued) | | | |||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss - (continued) | | | |||||||
| | | | | | | Japan – (0.11%) | | | |||||||
| | | | | | | Electric Products - Miscellaneous – (0.03%) | | | |||||||
| | $ | (5,107,334) | | | | 12/24/2019 | | | Casio Computer Co., Ltd. | | | | $ | (484,262) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/15/2009 to deliver the total return of the shares of Casio Computer Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | ||||
| | | | | | | Gas - Distribution – (0.05%) | | | |||||||
| | | (15,790,885) | | | | 12/24/2019 | | | Osaka Gas Co., Ltd. | | | | | (825,459) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/24/2017 to deliver the total return of the shares of Osaka Gas Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | ||||
| | | | | | | Office Automation & Equipment – (0.03%) | | | |||||||
| | | (10,721,643) | | | | 12/24/2019 | | | Ricoh Co., Ltd. | | | | | (545,512) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/24/2012 to deliver the total return of the shares of Ricoh Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | ||
| | | | | | | Total Japan | | | | $ | (1,855,233) | ||||
| | | | | | | | | | | | | | | | |
| | | | | | | Netherlands – (0.16%) | | | |||||||
| | | | | | | Food - Retail – (0.16%) | | | |||||||
| | | (11,507,758) | | | | 1/4/2019 | | | Koninklijke Ahold Delhaize NV | | | | | (2,599,529) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/30/2013 to deliver the total return of the shares of Koninklijke Ahold Delhaize NV in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | ||
| | | | | | | Total Netherlands | | | | $ | (2,599,529) | ||||
| | | | | | | Taiwan – (0.18%) | | | |||||||
| | | | | | | Electronic Components - Miscellaneous – (0.03%) | | | |||||||
| | | (8,878,441) | | | | 1/25/2019 | | | AU Optronics Corp. | | | | | (426,666) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/26/2012 to deliver the total return of the shares of AU Optronics Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 5.50%**. | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2018 Unrealized Gain/(Loss)*** | ||||||
| | | | | | | Swap Contracts – (continued) | | | |||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss - (continued) | | | |||||||
| | | | | | | Taiwan – (continued) | | | |||||||
| | | | | | | Miscellaneous Manufacturing – (0.06%) | | | |||||||
| | $ | 4,012,999 | | | | 1/25/2019 | | | Airtac International Group | | | | $ | (992,126) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 06/06/2018 to deliver the total return of the shares of Airtac International Group in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.25%**. | | | ||||
| | | | | | | Semiconductor Components - Integrated Circuits – (0.09%) | | | |||||||
| | | (3,555,423) | | | | 1/25/2019 | | | United Microelectronics Corp. | | | | | (1,532,039) | |
| | | | | | | | | | 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 0.40%**. | | | | | ||
| | | | | | | Total Taiwan | | | | $ | (2,950,831) | ||||
| | | | | | | | | | | | | | | | |
| | | | | | | United Kingdom – (0.18%) | | | |||||||
| | | | | | | Retail - Apparel / Shoe – (0.18%) | | | |||||||
| | | (10,423,234) | | | | 12/13/2018 | | | Next PLC | | | | | (2,924,719) | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/24/2016 to deliver the total return of the shares of Next PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | ||
| | | | | | | Total United Kingdom | | | | $ | (2,924,719) | ||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (18,740,555) | ||||
| | | | | | | Total Swap Contracts, net | | | | $ | 32,024,035 |
Schedule of Swap Contracts (Unaudited) (concluded)
Swap Contracts – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Commercial Banks - Non-US | | | | | (0.06) | | |
Computers - Peripheral Equipment | | | | | 0.08 | | |
Electric Products - Miscellaneous | | | | | (0.01) | | |
Electric - Integrated | | | | | 0.02 | | |
Electronic Components - Miscellaneous | | | | | (0.03) | | |
Electronic Components - Semiconductors | | | | | 0.71 | | |
Food - Retail | | | | | (0.45) | | |
Gas - Distribution | | | | | (0.05) | | |
Miscellaneous Manufacturing | | | | | (0.06) | | |
Swap Contracts – By Industry | | | June 30, 2018 Percentage of Members’ Capital (%) | | |||
Office Automation & Equipment | | | | | (0.03) | | |
Private Equity | | | | | 0.22 | | |
Retail - Apparel / Shoes | | | | | (0.18) | | |
Retail - Discount | | | | | 0.10 | | |
Retail - Major Department Store | | | | | 0.08 | | |
Satellite Telecommunication | | | | | 0.23 | | |
Semiconductor Components - Integrated Circuits | | | | | (0.09) | | |
Web Portals / ISP | | | | | 1.50 | | |
Total Swap Contracts | | | | | 1.98% | | |
|
Schedule of Forward Contracts (Unaudited)
Counterparty | | | Settlement Date | | | Currency Sold | | | Contracts to be Delivered | | | Currency Bought | | | Contracts to be Received | | | June 30, 2018 Fair Value | | |||||||||
Forward Currency Exchange Contracts – 0.14% | | | | | | | ||||||||||||||||||||||
Buy Contracts – 0.14% | | | | | | | ||||||||||||||||||||||
United States – 0.14% | | | | | | | ||||||||||||||||||||||
Morgan Stanley & Co., LLC | | | April 2019 | | | CNH | | | | | (288,472,920) | | | | USD | | | | | 45,421,653 | | | | | $ | 2,317,686 | | |
Total United States | | | | | | | | | | | | | | | | | | | | | | $ | 2,317,686 | | | |||
Total Buy Contracts | | | | | | | | | | | | | | | | | | | | | | $ | 2,317,686 | | | |||
Total Forward Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | | $ | 2,317,686 | | | |||
|
Statement of Operations (Unaudited)
| | | Six Months Ended June 30, 2018 | | |||
Investment income | | | | | | | |
Dividends (net of withholding taxes of $607,558) | | | | $ | 9,169,829 | | |
Interest | | | | | 1,919,218 | | |
Total investment income | | | | | 11,089,047 | | |
Expenses | | | | | | | |
Dividends on securities sold, not yet purchased | | | | | 10,466,829 | | |
Administration fees | | | | | 10,779,700 | | |
Prime broker fees | | | | | 8,102,329 | | |
Advisor fees | | | | | 3,193,985 | | |
Interest expense | | | | | 892,217 | | |
Accounting and investor services fees | | | | | 548,003 | | |
Legal fees | | | | | 334,727 | | |
Custodian fees | | | | | 195,482 | | |
Audit and tax fees | | | | | 161,164 | | |
Board of Managers’ fees and expenses | | | | | 138,851 | | |
Insurance expense | | | | | 75,073 | | |
Printing expense | | | | | 34,216 | | |
Registration expense | | | | | 17,356 | | |
Miscellaneous | | | | | 172,569 | | |
Total operating expenses | | | | | 35,112,501 | | |
Net investment loss | | | | | (24,023,454) | | |
Net realized and net change in unrealized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain from investments in securities | | | | | 66,513,027 | | |
Net realized gain from swap contracts | | | | | 4,825,103 | | |
Net realized loss from foreign currency transactions | | | | | (656,295) | | |
Net realized loss from purchased options | | | | | (1,843,651) | | |
Net realized loss from forward contracts | | | | | (6,053,488) | | |
Net realized loss from securities sold, not yet purchased | | | | | (25,015,616) | | |
Total net realized gain from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 37,769,080 | | |
Net change in unrealized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net change in unrealized gain/(loss) from investments in securities | | | | | 83,476,029 | | |
Net change in unrealized gain/(loss) from securities sold, not yet purchased | | | | | 18,985,860 | | |
Net change in unrealized gain/(loss) from forward contracts | | | | | 6,204,106 | | |
Net change in unrealized gain/(loss) from foreign currency transactions | | | | | (413,514) | | |
Net change in unrealized gain/(loss) from purchased options | | | | | (5,775,334) | | |
Net change in unrealized gain/(loss) from swap contracts | | | | | (10,923,494) | | |
Total net change in unrealized gain from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 91,553,653 | | |
Net realized gain and net change in unrealized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 129,322,733 | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 105,299,279 | | |
|
Statements of Changes in Members’ Capital (Unaudited)
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
MEMBERS’ CAPITAL, December 31, 2016 | | | | $ | — | | | | | $ | 1,129,352,912 | | | | | $ | 1,129,352,912 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (43,831,233) | | | | | $ | (43,831,233) | | |
Net realized gain from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 114,133,464 | | | | | | 114,133,464 | | |
Net change in unrealized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 319,159,918 | | | | | | 319,159,918 | | |
Incentive allocation | | | | | 74,742,123 | | | | | | (74,742,123) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 74,742,123 | | | | | | 314,720,026 | | | | | | 389,462,149 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 92,325,877 | | | | | | 92,325,877 | | |
Capital withdrawals | | | | | (74,742,123) | | | | | | (78,553,252) | | | | | | (153,295,375) | | |
Net increase/(decrease) in Members’ Capital resulting from capital transactions | | | | | (74,742,123) | | | | | | 13,772,625 | | | | | | (60,969,498) | | |
MEMBERS’ CAPITAL, December 31, 2017 | | | | $ | — | | | | | $ | 1,457,845,563 | | | | | $ | 1,457,845,563 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (24,023,454) | | | | | $ | (24,023,454) | | |
Net realized gain from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 37,769,080 | | | | | | 37,769,080 | | |
Net change in unrealized gain/(loss) from investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 91,553,653 | | | | | | 91,553,653 | | |
Incentive allocation | | | | | 312,622 | | | | | | (312,622) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 312,622 | | | | | | 104,986,657 | | | | | | 105,299,279 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 92,192,572 | | | | | | 92,192,572 | | |
Capital withdrawals | | | | | (312,622) | | | | | | (36,514,191) | | | | | | (36,826,813) | | |
Net increase/(decrease) in Members’ Capital resulting from capital transactions | | | | | (312,622) | | | | | | 55,678,381 | | | | | | 55,365,759 | | |
MEMBERS’ CAPITAL, June 30, 2018 | | | | $ | — | | | | | $ | 1,618,510,601 | | | | | $ | 1,618,510,601 | | |
|
Statement of Cash Flows (Unaudited)
| | | Six Months Ended June 30, 2018 | | |||
Cash flows from operating activities | | | |||||
Net increase in Members’ Capital resulting from operations | | | | $ | 105,299,279 | | |
Adjustments to reconcile net increase in Members’ Capital resulting from operations to net cash used in operating activities: | | | |||||
Proceeds from sales of investments in securities | | | | | 1,067,516,491 | | |
Purchases of investments in securities | | | | | (1,292,157,995) | | |
Proceeds from sale of purchased options | | | | | 192,353,686 | | |
Purchases of options | | | | | (249,863,028) | | |
Proceeds from securities sold short, not yet purchased | | | | | 1,571,609,088 | | |
Cover of securities sold short, not yet purchased | | | | | (1,460,574,054) | | |
Amortization of premium and accretion of discount, net | | | | | (337,850) | | |
Net realized gain from investment activities | | | | | (39,653,760) | | |
Net change in unrealized (gain)/loss from investment activities | | | | | (85,763,061) | | |
Net change in unrealized (gain)/loss on forward contracts | | | | | (6,204,106) | | |
Changes in assets and liabilities related to operations: | | | |||||
Decrease in receivable for investment securities sold | | | | | 28,537,471 | | |
Decrease in dividend receivable | | | | | 646,056 | | |
Increase in interest receivable | | | | | (88,758) | | |
Increase in other assets | | | | | (8,104) | | |
Increase in due to broker | | | | | 4,161,411 | | |
Decrease in payable for investment securities purchased | | | | | (21,313,064) | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 653,462 | | |
Increase in accounting and investor services fees | | | | | 271,757 | | |
Increase in accrued expenses | | | | | 92,948 | | |
Net cash used in operating activities | | | | | (184,822,131) | | |
Cash flows from financing activities | | | |||||
Capital contributions | | | | | 92,192,572 | | |
Capital withdrawals | | | | | (109,930,067) | | |
Net cash used in financing activities | | | | | (17,737,495) | | |
Net change in cash, cash equivalents and restricted cash | | | | | (202,559,626) | | |
Cash, cash equivalents and restricted cash at beginning of year | | | | | 375,608,498 | | |
Cash, cash equivalents and restricted cash at June 30, 2018 | | | | $ | 173,048,872 | | |
Supplemental disclosure of cash flow information | | | |||||
Cash paid during the year for interest | | | | $ | 812,643 | | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statement of Assets, Liabilities and Members' Capital that sum to the total of the same amount above at June 30, 2018: | | | |||||
Cash and cash equivalents | | | | $ | 131,232,836 | | |
Due from broker | | | | | 41,816,036 | | |
Total cash, cash equivalents and restricted cash at June 30, 2018 | | | | $ | 173,048,872 | | |
|
Notes to Financial Statements – June 30, 2018 (Unaudited)
| Assets: | | | | | | | | | Liabilities: | | | |||||
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | |||||
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | |||||
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | |||||
| Common Stock | | | | $ | 2,069,504,102 | | | | Common Stock | | | | $ | 783,805,043 | | |
| Mutual Funds | | | | | — | | | | Mutual Funds | | | | | 40,056,157 | | |
| Equity Options | | | | | 191,609,689 | | | | Equity Options | | | | | — | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | |||||
| Observable Inputs | | | | | | | | | Observable Inputs | | | |||||
| Total Return Swaps | | | | | 50,764,590 | | | | Total Return Swaps | | | | | 18,740,555 | | |
| Forward Contracts | | | | | 2,317,686 | | | | Forward Contracts | | | | | — | | |
| Currency Options | | | | | 1,984,364 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | |||||
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,316,180,431 | | | | Total | | | | $ | 842,601,755 | | |
|
(continued)
(continued)
(continued)
(continued)
| Forward contracts: | | | ||||
| Average notional amount | | | | $ | 48,960,852 | |
| Currency options: | | | ||||
| Average notional amount | | | | $ | 16,113,539 | |
| Equity options: | | | ||||
| Average notional amount | | | | $ | 2,345,505,137 | |
| Total Return swaps: | | | ||||
| Average notional amount | | | | $ | 271,826,357 | |
|
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2017 | | | | | |||||||||||||||
| Equity Options | | | | $ | 30,317,699 | | | | | $ | 25,234,357 | | | | | $ | 5,083,342 | | |
| Total Return Swaps | | | | | 59,101,172 | | | | | | 16,153,643 | | | | | | 42,947,529 | | |
| Total year ended December 31, 2017 | | | | $ | 89,418,871 | | | | | $ | 41,388,000 | | | | | $ | 48,030,871 | | |
| Six months ended June 30, 2018 | | | | | |||||||||||||||
| Equity Options | | | | $ | 37,438,355 | | | | | $ | 41,403,952 | | | | | $ | (3,965,597) | | |
| Total Return Swaps | | | | | 50,764,590 | | | | | | 18,740,555 | | | | | | 32,024,035 | | |
| Total Six months ended June 30, 2018 | | | | $ | 88,202,945 | | | | | $ | 60,144,507 | | | | | $ | 28,058,438 | | |
| Total net change in unrealized gain/(loss) | | | | $ | (1,215,926) | | | | | $ | 18,756,507 | | | | | $ | (19,972,433) | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2017 | | | | | |||||||||||||||
| Currency Options | | | | $ | — | | | | | $ | 1,992,851 | | | | | $ | (1,992,851) | | |
| Forward Contracts | | | | | — | | | | | | 3,886,420 | | | | | | (3,886,420) | | |
| Total year ended December 31, 2017 | | | | $ | — | | | | | $ | 5,879,271 | | | | | $ | (5,879,271) | | |
|
(continued)
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Six months ended June 30, 2018 | | | | | |||||||||||||||
| Currency Options | | | | $ | 1,280,754 | | | | | $ | — | | | | | $ | 1,280,754 | | |
| Forward Contracts | | | | | 2,317,686 | | | | | | — | | | | | | 2,317,686 | | |
| Total Six months ended June 30, 2018 | | | | $ | 3,598,440 | | | | | $ | — | | | | | $ | 3,598,440 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 3,598,440 | | | | | $ | (5,879,271) | | | | | $ | 9,477,711 | | |
|
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Equity Options | | | | $ | 57,147,780 | | | | | $ | 56,830,270 | | | | | $ | 317,510 | | |
| Total Return Swaps | | | | | 13,972,338 | | | | | | 9,147,235 | | | | | | 4,825,103 | | |
| Total | | | | $ | 71,120,118 | | | | | $ | 65,977,505 | | | | | $ | 5,142,613 | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Currency Options | | | | $ | — | | | | | $ | 2,161,161 | | | | | $ | (2,161,161) | | |
| Forward Contracts | | | | | — | | | | | | 6,053,488 | | | | | | (6,053,488) | | |
| Total | | | | $ | — | | | | | $ | 8,214,649 | | | | | $ | (8,214,649) | | |
|
| | | 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 | | ||||||||||||||||
Forward Contracts | | | | $ | 2,317,686 | | | | | $ | — | | | | | $ | — | | | | | $ | 2,317,686 |
Total return swaps | | | | | 50,764,590 | | | | | | 18,740,555 | | | | | | — | | | | | | 32,024,035 |
Total | | | | $ | 53,082,276 | | | | | $ | 18,740,555 | | | | | $ | — | | | | | $ | 34,341,721 |
|
| | | 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 | | ||||||||||||||||||
Total return swaps | | | | $ | 18,740,555 | | | | | $ | 18,740,555 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 18,740,555 | | | | | $ | 18,740,555 | | | | | $ | — | | | | | $ | — | | |
|
| | | Six Months Ended June 30, 2018 (unaudited) | | | Year Ended December 31, 2017 | | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | | Year Ended December 31, 2014 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 1,618,511 | | | | | $ | 1,457,846 | | | | | $ | 1,129,353 | | | | | $ | 1,310,708 | | | | | $ | 1,360,121 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (3.00%)*** | | | | | | (3.09%) | | | | | | (2.14%) | | | | | | (2.37%) | | | | | | (2.57%) | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.39%*** | | | | | | 4.48% | | | | | | 3.63% | | | | | | 3.52% | | | | | | 3.65% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.04%*** | | | | | | 5.26% | | | | | | 0.01%(a) | | | | | | 0.24% | | | | | | 0.02% | | |
Portfolio turnover | | | | | 55% | | | | | | 99% | | | | | | 73% | | | | | | 82% | | | | | | 91% | | |
Total return - gross* | | | | | 7.14% | | | | | | 34.41% | | | | | | (1.40%) | | | | | | 5.85% | | | | | | (4.91%) | | |
Total return - net* | | | | | 5.71% | | | | | | 27.81% | | | | | | (1.40%) | | | | | | 5.71% | | | | | | (4.91%) | | |
Ratio of average borrowings to average Members’ Capital | | | | | 5.83% | | | | | | 3.51% | | | | | | 4.53% | | | | | | 3.02% | | | | | | 2.28% | | |
Supplemental Information (Unaudited)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (concluded)
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(a)(4) | Not applicable. |
(b) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Advantage Advisers Xanthus Fund, L.L.C. | |
By (Signature and Title)* | /s/ Bryan McKigney | |
Bryan McKigney, Principal Executive Officer (principal executive officer) | ||
Date: August 31, 2018 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Bryan McKigney | |
Bryan McKigney, Principal Executive Officer (principal executive officer) | ||
Date: August 31, 2018 | ||
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer (principal financial officer) | ||
Date: August 31, 2018 |
* Print the name and title of each signing officer under his or her signature.