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, 2019 |
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, 2019 | | |||
Assets | | | | | | | |
Investments in securities, at fair value (cost $1,432,375,618) | | | | $ | 2,178,028,281 | | |
Purchased options, at fair value (cost of $175,428,345) | | | | | 193,659,938 | | |
Cash and cash equivalents (including United States Dollars of $84,113,065, Euros of $459,174 with a cost of $453,147, Hong Kong Dollars of $5,845,036 with a cost of $5,820,484 and Japanese Yen of $7,535,968 with a cost of $7,437,484 of which $65,496,645 is restricted cash) | | | | | 97,953,243 | | |
Due from broker (including United States Dollars of $434,191,562, Euros of $4,277,639 with a cost of $4,227,620 and Japanese Yen of $5,755,250 with a cost of $5,745,047) | | | | | 444,224,451 | | |
Receivable for investment securities sold | | | | | 58,431,333 | | |
Unrealized gain on total return swap contracts | | | | | 55,192,854 | | |
Interest receivable | | | | | 1,353,300 | | |
Dividends receivable | | | | | 393,159 | | |
Other assets | | | | | 134,357 | | |
Total assets | | | | | 3,029,370,916 | | |
Liabilities | | | | | | | |
Securities sold, not yet purchased, at fair value (proceeds $944,760,625) | | | | | 956,110,795 | | |
Withdrawals payable (see note 3) | | | | | 74,753,094 | | |
Due to broker (including United States Dollars of $48,032,467 and Hong Kong Dollars of $86,391 with a cost of $86,154) | | | | | 48,118,858 | | |
Payable for investment securities purchased | | | | | 25,474,581 | | |
Unrealized loss on total return swap contracts | | | | | 6,457,204 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,999,868 | | |
Accounting and investor services fees payable | | | | | 501,427 | | |
Accrued expenses | | | | | 2,389,987 | | |
Total liabilities | | | | | 1,115,805,814 | | |
Members’ Capital | | | | $ | 1,913,565,102 | | |
Members’ Capital | | | | | | | |
Represented by: | | | | | | | |
Net capital contributions | | | | | 1,013,883,274 | | |
Total earnings (loss) | | | | | 899,681,828 | | |
Members’ Capital | | | | $ | 1,913,565,102 | | |
Schedule of Portfolio Investments (Unaudited)
| Shares | | | | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Investment in Securities – 113.82% | | | | ||||||||||
| | | | | | | Common Stock – 113.82% | | | | ||||||||||
| | | | | | | United States – 87.57% | | | | ||||||||||
| | | | | | | Aerospace / Defense – 5.50% | | | | ||||||||||
| | | 57,230 | | | | General Dynamics Corp. | | | | | (a) | | | | | $ | 10,405,559 | | |
| | | 73,630 | | | | Northrop Grumman Corp. | | | | | | | | | | | 23,790,589 | | |
| | | 51,020 | | | | Raytheon Co. | | | | | | | | | | | 8,871,358 | | |
| | | 98,245 | | | | The Boeing Co. | | | | | (a) | | | | | | 35,762,162 | | |
| | | 54,427 | | | | TransDigm Group, Inc.* | | | | | | | | | | | 26,331,783 | | |
| | | | | | | | | | | | | | | | | | 105,161,451 | | |
| | | | | | | Applications Software – 5.37% | | | | | | | | | | | | | |
| | | 393,530 | | | | Five9, Inc.* | | | | | | | | | | | 20,184,154 | | |
| | | 64,747 | | | | HubSpot, Inc.* | | | | | | | | | | | 11,040,659 | | |
| | | 357,592 | | | | Microsoft Corp. | | | | | (a) | | | | | | 47,903,024 | | |
| | | 90,059 | | | | RealPage, Inc.* | | | | | | | | | | | 5,299,972 | | |
| | | 378,121 | | | | Smartsheet, Inc., Class A* | | | | | | | | | | | 18,301,056 | | |
| | | | | | | | | | | | | | | | | | 102,728,865 | | |
| | | | | | | Building Products - Cement / Aggregate – 2.07% | | | | | | | | | | | | | |
| | | 78,352 | | | | Martin Marietta Materials, Inc. | | | | | | | | | | | 18,029,578 | | |
| | | 157,796 | | | | Vulcan Materials Co. | | | | | | | | | | | 21,666,969 | | |
| | | | | | | | | | | | | | | | | | 39,696,547 | | |
| | | | | | | Coatings / Paint – 0.51% | | | | | | | | | | | | | |
| | | 21,195 | | | | The Sherwin-Williams Co. | | | | | | | | | | | 9,713,457 | | |
| | | | | | | Commercial Services – 0.67% | | | | | | | | | | | | | |
| | | 54,375 | | | | Cintas Corp. | | | | | | | | | | | 12,902,644 | | |
| | | | | | | Commercial Services - Finance – 4.73% | | | | | | | | | | | | | |
| | | 641,324 | | | | Avalara, Inc.* | | | | | (a) | | | | | | 46,303,593 | | |
| | | 208,885 | | | | Global Payments, Inc. | | | | | (a) | | | | | | 33,448,755 | | |
| | | 12,277 | | | | S&P Global, Inc. | | | | | | | | | | | 2,796,578 | | |
| | | 109,309 | | | | TransUnion | | | | | | | | | | | 8,035,304 | | |
| | | | | | | | | | | | | | | | | | 90,584,230 | | |
| | | | | | | Computer Aided Design – 10.47% | | | | | | | | | | | | | |
| | | 331,123 | | | | Aspen Technology, Inc.* | | | | | (a) | | | | | | 41,151,966 | | |
| | | 79,580 | | | | Autodesk, Inc.* | | | | | | | | | | | 12,963,582 | | |
| | | 992,453 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 70,275,597 | | |
| | | 590,179 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 75,950,136 | | |
| | | | | | | | | | | | | | | | | | 200,341,281 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Computer Data Security – 1.09% | | | | | | | | | | | | | |
| | | 14,875 | | | | Crowdstrike Holdings, Inc., Class A* | | | | | | | | | | $ | 1,015,814 | | |
| | | 79,971 | | | | Qualys, Inc.* | | | | | | | | | | | 6,963,875 | | |
| | | 223,077 | | | | Rapid7, Inc.* | | | | | | | | | | | 12,902,773 | | |
| | | | | | | | | | | | | | | | | | 20,882,462 | | |
| | | | | | | Computer Services – 0.32% | | | | ||||||||||
| | | 166,674 | | | | Parsons Corp.* | | | | | | | | | | | 6,143,604 | | |
| | | | | | | Computer Software – 2.99% | | | | ||||||||||
| | | 237,217 | | | | Pivotal Software, Inc., Class A* | | | | | | | | | | | 2,505,011 | | |
| | | 847,459 | | | | SS&C Technologies Holdings, Inc. | | | | | | | | | | | 48,822,113 | | |
| | | 382,505 | | | | Zuora, Inc., Class A* | | | | | | | | | | | 5,859,977 | | |
| | | | | | | | | | | | | | | | | | 57,187,101 | | |
| | | | | | | Computers – 0.36% | | | | | | | | | | | | | |
| | | 34,406 | | | | Apple, Inc. | | | | | | | | | | | 6,809,635 | | |
| | | | | | | E-Commerce / Products – 4.02% | | | | | | | | | | | | | |
| | | 40,612 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 76,904,102 | | |
| | | | | | | Electronic Components - Semiconductors – 1.21% | | | | | | | | | | | | | |
| | | 28,069 | | | | Microchip Technology, Inc. | | | | | | | | | | | 2,433,582 | | |
| | | 175,957 | | | | Xilinx, Inc. | | | | | | | | | | | 20,748,850 | | |
| | | | | | | | | | | | | | | | | | 23,182,432 | | |
| | | | | | | Enterprise Software / Services – 4.26% | | | | | | | | | | | | | |
| | | 97,894 | | | | Alteryx, Inc., Class A* | | | | | | | | | | | 10,682,193 | | |
| | | 160,597 | | | | Ceridian Hcm Holding, Inc.* | | | | | | | | | | | 8,061,970 | | |
| | | 390,478 | | | | Coupa Software, Inc.* | | | | | (a) | | | | | | 49,438,420 | | |
| | | 149,601 | | | | Everbridge, Inc.* | | | | | | | | | | | 13,377,321 | | |
| | | | | | | | | | | | | | | | | | 81,559,904 | | |
| | | | | | | Entertainment Software – 2.84% | | | | | | | | | | | | | |
| | | 401,641 | | | | Activision Blizzard, Inc. | | | | | (a) | | | | | | 18,957,455 | | |
| | | 244,514 | | | | Electronic Arts, Inc.* | | | | | (a) | | | | | | 24,759,488 | | |
| | | 94,228 | | | | Take-Two Interactive Software, Inc.* | | | | | | | | | | | 10,697,705 | | |
| | | | | | | | | | | | | | | | | | 54,414,648 | | |
| | | | | | | Finance - Credit Card – 4.81% | | | | | | | | | | | | | |
| | | 168,470 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 44,565,369 | | |
| | | 273,705 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 47,501,503 | | |
| | | | | | | | | | | | | | | | | | 92,066,872 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Finance - Investment Banker / Broker – 0.65% | | | | | | | | | | | | | |
| | | 282,758 | | | | Tradeweb Markets, Inc., Class A | | | | | | | | | | $ | 12,387,628 | | |
| | | | | | | Finance - Other Services – 3.53% | | | | | | | | | | | | | |
| | | 73,982 | | | | CME Group, Inc. | | | | | | | | | | | 14,360,646 | | |
| | | 618,304 | | | | Intercontinental Exchange, Inc. | | | | | (a) | | | | | | 53,137,046 | | |
| | | | | | | | | | | | | | | | | | 67,497,692 | | |
| | | | | | | Internet Application Software – 6.60% | | | | | | | | | | | | | |
| | | 474,417 | | | | Anaplan, Inc.* | | | | | (a) | | | | | | 23,943,826 | | |
| | | 409,486 | | | | Okta, Inc.* | | | | | | | | | | | 50,575,616 | | |
| | | 582,101 | | | | Zendesk, Inc.* | | | | | | | | | | | 51,824,452 | | |
| | | | | | | | | | | | | | | | | | 126,343,894 | | |
| | | | | | | Internet Content - Entertainment – 4.23% | | | | | | | | | | | | | |
| | | 328,467 | | | | Facebook, Inc., Class A* | | | | | (a) | | | | | | 63,394,131 | | |
| | | 150,369 | | | | Pinterest, Inc., Class A* | | | | | | | | | | | 4,093,044 | | |
| | | 386,627 | | | | Twitter, Inc.* | | | | | | | | | | | 13,493,282 | | |
| | | | | | | | | | | | | | | | | | 80,980,457 | | |
| | | | | | | Internet Security – 1.34% | | | | | | | | | | | | | |
| | | 155,990 | | | | Proofpoint, Inc.* | | | | | | | | | | | 18,757,797 | | |
| | | 89,553 | | | | Zscaler, Inc.* | | | | | | | | | | | 6,863,342 | | |
| | | | | | | | | | | | | | | | | | 25,621,139 | | |
| | | | | | | Internet Telephony – 2.20% | | | | | | | | | | | | | |
| | | 366,347 | | | | RingCentral, Inc., Class A* | | | | | (a) | | | | | | 42,100,597 | | |
| | | | | | | Machinery - Electric Utility – 0.49% | | | | | | | | | | | | | |
| | | 178,591 | | | | BWX Technologies, Inc. | | | | | | | | | | | 9,304,591 | | |
| | | | | | | Medical - Biomedical / Genetics – 2.79% | | | | | | | | | | | | | |
| | | 185,104 | | | | Acceleron Pharma, Inc.* | | | | | | | | | | | 7,604,072 | | |
| | | 43,156 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 826,437 | | |
| | | 108,302 | | | | Alnylam Pharmaceuticals, Inc.* | | | | | | | | | | | 7,858,393 | | |
| | | 80,752 | | | | Applied Therapeutics, Inc.* | | | | | | | | | | | 665,396 | | |
| | | 573,010 | | | | ArQule, Inc.* | | | | | | | | | | | 6,308,840 | | |
| | | 24,727 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 2,332,498 | | |
| | | 129,283 | | | | Deciphera Pharmaceuticals, Inc.* | | | | | | | | | | | 2,915,332 | | |
| | | 384,155 | | | | Immunomedics,Inc .* | | | | | | | | | | | 5,328,230 | | |
| | | 79,207 | | | | Magenta Therapeutics, Inc.* | | | | | | | | | | | 1,168,303 | | |
| | | 288,463 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | | | | | | | 18,317,401 | | |
| | | | | | | | | | | | | | | | | | 53,324,902 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Medical - Drugs – 0.50% | | | | | | | | | | | | | |
| | | 130,119 | | | | Tricida, Inc.* | | | | | | | | | | $ | 5,134,496 | | |
| | | 108,395 | | | | Turning Point Therapeutics, Inc.* | | | | | | | | | | | 4,411,676 | | |
| | | | | | | | | | | | | | | | | | 9,546,172 | | |
| | | | | | | REITs - Diversified – 4.46% | | | | | | | | | | | | | |
| | | 172,845 | | | | American Tower Corp. | | | | | | | | | | | 35,338,160 | | |
| | | 99,327 | | | | Equinix, Inc. | | | | | | | | | | | 50,089,613 | | |
| | | | | | | | | | | | | | | | | | 85,427,773 | | |
| | | | | | | Retail - Restaurants – 2.38% | | | | | | | | | | | | | |
| | | 39,441 | | | | Chipotle Mexican Grill, Inc.* | | | | | (a) | | | | | | 28,905,520 | | |
| | | 149,600 | | | | Yum! Brands, Inc. | | | | | | | | | | | 16,556,232 | | |
| | | | | | | | | | | | | | | | | | 45,461,752 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 2.81% | | | | | | | | | | | | | |
| | | 476,623 | | | | Analog Devices, Inc. | | | | | (a) | | | | | | 53,796,438 | | |
| | | | | | | Semiconductor Equipment – 4.02% | | | | | | | | | | | | | |
| | | 296,902 | | | | Applied Materials, Inc. | | | | | | | | | | | 13,333,869 | | |
| | | 137,480 | | | | KLA-Tencor Corp. | | | | | (a) | | | | | | 16,250,136 | | |
| | | 114,862 | | | | Lam Research Corp. | | | | | (a) | | | | | | 21,575,678 | | |
| | | 535,744 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 25,667,495 | | |
| | | | | | | | | | | | | | | | | | 76,827,178 | | |
| | | | | | | Therapeutics – 0.35% | | | | | | | | | | | | | |
| | | 136,076 | | | | Agios Pharmaceuticals, Inc.* | | | | | | | | | | | 6,787,471 | | |
| | | | | | | Total United States (Cost $1,053,040,919) | | | | | | | | | | $ | 1,675,686,919 | | |
| | | | | | | Canada – 0.77% | | | | | | | | | | | | | |
| | | | | | | Retail - Restaurants – 0.77% | | | | | | | | | | | | | |
| | | 211,335 | | | | Restaurant Brands International, Inc. | | | | | (a) | | | | | | 14,696,236 | | |
| | | | | | | Total Canada (Cost $12,673,722) | | | | | | | | | | $ | 14,696,236 | | |
| | | | | | | | | | | | | | | | |||||
| | | | | | | China – 11.54% | | | | | | | | | | | | | |
| | | | | | | Building - Heavy Construction – 1.16% | | | | | | | | | | | | | |
| | | 84,768,000 | | | | China Tower Corp, Ltd., Class H | | | | | | | | | | | 22,243,123 | | |
| | | | | | | Coffee – 0.59% | | | | | | | | | | | | | |
| | | 578,683 | | | | Luckin Coffee, Inc. - Sponsored ADR* | | | | | | | | | | | 11,278,532 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – (continued) | | | | |||||||
| | | | | | | E-Commerce / Products – 4.84% | | | | | | | | | | |
| | | 326,130 | | | | Alibaba Group Holding - Sponsored ADR* | | | | | | | $ | 55,262,728 | | |
| | | 1,207,471 | | | | JD.com, Inc. - Sponsored ADR* | | | | | | | | 36,574,297 | | |
| | | 65,190 | | | | Yunji, Inc. - Sponsored ADR* | | | | | | | | 736,647 | | |
| | | | | | | | | | | | | | | 92,573,672 | | |
| | | | | | | Entertainment Software – 1.10% | | | | | | | | | | |
| | | 641,042 | | | | Bilibili, Inc. - Sponsored ADR* | | | | | | | | 10,429,753 | | |
| | | 215,811 | | | | Huya, Inc. - Sponsored ADR* | | | | | | | | 5,332,690 | | |
| | | 20,691 | | | | NetEase, Inc. - Sponsored ADR | | | | | | | | 5,292,137 | | |
| | | | | | | | | | | | | | | 21,054,580 | | |
| | | | | | | Internet Content - Entertainment – 0.71% | | | | | | | | | | |
| | | 195,771 | | | | YY, Inc. - Sponsored ADR* | | | | | | | | 13,643,281 | | |
| | | | | | | Internet Content - Information / Network – 2.10% | | | | | | | | | | |
| | | 891,000 | | | | Tencent Holdings, Ltd. | | | | | | | | 40,213,325 | | |
| | | | | | | Schools – 1.04% | | | | | | | | | | |
| | | 206,090 | | | | New Oriental Education & Technology Group, Inc. - Sponsored ADR* | | | | | | | | 19,904,172 | | |
| | | | | | | Total China (Cost $176,743,304) | | | | | | | $ | 220,910,685 | | |
| | | | | | | France – 4.18% | | | | | | | | | | |
| | | | | | | Aerospace / Defense - Equipment – 3.41% | | | | | | | | | | |
| | | 459,840 | | | | Airbus SE | | | | | | | | 65,290,479 | | |
| | | | | | | Entertainment Software – 0.77% | | | | | | | | | | |
| | | 187,444 | | | | UBISOFT Entertainment SA* | | | | | | | | 14,694,632 | | |
| | | | | | | Total France (Cost $60,063,399) | | | | | | | $ | 79,985,111 | | |
| | | | | | | Germany – 1.98% | | | | | | | | | | |
| | | | | | | Athletic Footwear – 1.98% | | | | | | | | | | |
| | | 122,845 | | | | adidas AG | | | | | | | | 37,981,633 | | |
| | | | | | | Total Germany (Cost $25,807,971) | | | | | | | $ | 37,981,633 | | |
| | | | | | | Hong Kong – 1.59% | | | | | | | | | | |
| | | | | | | Energy - Alternative Sources – 1.59% | | | | | | | | | | |
| | | 33,044,608 | | | | China Everbright International, Ltd. | | | | | | | | 30,496,208 | | |
| | | | | | | Total Hong Kong (Cost $14,263,255) | | | | | | | $ | 30,496,208 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Japan – 4.04% | | | | |||||||
| | | | | | | Audio / Video Products – 1.55% | | | | | | | | | | |
| | | 564,100 | | | | Sony Corp. | | | | | | | $ | 29,572,793 | | |
| | | | | | | Chemicals - Specialty – 0.11% | | | | | | | | | | |
| | | 23,400 | | | | Shin-Etsu Chemical Co., Ltd. | | | | | | | | 2,179,590 | | |
| | | | | | | Cosmetics & Toiletries – 0.14% | | | | | | | | | | |
| | | 34,400 | | | | Shiseido Co., Ltd. | | | | | | | | 2,593,042 | | |
| | | | | | | Entertainment Software – 0.24% | | | | | | | | | | |
| | | 99,900 | | | | Konami Holdings Corp. | | | | | | | | 4,682,723 | | |
| | | | | | | Finance - Other Services – 1.41% | | | | | | | | | | |
| | | 1,702,178 | | | | Japan Exchange Group, Inc. | | | | | | | | 27,048,943 | | |
| | | | | | | Industrial Automation / Robotics – 0.11% | | | | | | | | | | |
| | | 72,200 | | | | Nabtesco Corp. | | | | | | | | 2,006,460 | | |
| | | | | | | Metal Products - Distribution – 0.48% | | | | | | | | | | |
| | | 364,253 | | | | MISUMI Group, Inc. | | | | | | | | 9,135,452 | | |
| | | | | | | Total Japan (Cost $59,582,826) | | | | | | | $ | 77,219,003 | | |
| | | | | | | Jersey – 0.16% | | | | | | | | | | |
| | | | | | | Commercial Services - Finance – 0.16% | | | | | | | | | | |
| | | 201,704 | | | | Clarivate Analytics PLC* | | | | | | | | 3,102,207 | | |
| | | | | | | Total Jersey (Cost $2,624,799) | | | | | | | $ | 3,102,207 | | |
| | | | | | | Singapore – 1.73% | | | | | | | | | | |
| | | | | | | Entertainment Software – 1.73% | | | | | | | | | | |
| | | 994,581 | | | | Sea, Ltd. - Sponsored ADR* | | | | | | | | 33,039,981 | | |
| | | | | | | Total Singapore (Cost $20,680,883) | | | | | | | $ | 33,039,981 | | |
| | | | | | | United Kingdom – 0.26% | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 0.26% | | | | | | | | | | |
| | | 236,072 | | | | Farfetch, Ltd., Class A* | | | | | | | | 4,910,298 | | |
| | | | | | | Total United Kingdom (Cost $6,894,540) | | | | | | | $ | 4,910,298 | | |
| | | | | | | Total Common Stock (Cost $1,432,375,618) | | | | | | | $ | 2,178,028,281 | | |
| | | | | | | Total Investments in Securities (Cost $1,432,375,618) – 113.82% | | | | | | | $ | 2,178,028,281 | | |
| | | | | | | Total Purchased Options (Cost $175,428,345) – 10.12% | | | | | | | | 193,659,938 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased - (Proceeds $944,760,625) – (49.96%) | | | | | | | | (956,110,795) | | |
| | | | | | | Other Assets, in Excess of Liabilities – 26.02%** | | | | | | | | 497,987,678 | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | $ | 1,913,565,102 | | |
|
Schedule of Portfolio Investments (Unaudited) (continued)
Schedule of Portfolio Investments (Unaudited) (concluded)
Investments in Securities – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 5.50 | | |
Aerospace / Defense - Equipment | | | | | 3.41 | | |
Applications Software | | | | | 5.37 | | |
Athletic Footwear | | | | | 1.98 | | |
Audio / Video Products | | | | | 1.55 | | |
Building Products - Cement / Aggregate | | | | | 2.07 | | |
Building - Heavy Construction | | | | | 1.16 | | |
Chemicals - Specialty | | | | | 0.11 | | |
Coatings / Paint | | | | | 0.51 | | |
Coffee | | | | | 0.59 | | |
Commercial Services - Finance | | | | | 4.89 | | |
Commercial Services | | | | | 0.67 | | |
Computer Aided Design | | | | | 10.47 | | |
Computer Data Security | | | | | 1.09 | | |
Computer Services | | | | | 0.32 | | |
Computer Software | | | | | 2.99 | | |
Computers | | | | | 0.36 | | |
Cosmetics & Toiletries | | | | | 0.14 | | |
E-Commerce / Products | | | | | 9.12 | | |
Electronic Components - Semiconductors | | | | | 1.21 | | |
Energy - Alternate Sources | | | | | 1.59 | | |
Enterprise Software / Services | | | | | 4.26 | | |
Investments in Securities – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Entertainment Software | | | | | 6.68 | | |
Finance - Credit Card | | | | | 4.81 | | |
Finance - Investment Banker / Broker | | | | | 0.65 | | |
Finance - Other Services | | | | | 4.94 | | |
Industrial Automation / Robotics | | | | | 0.11 | | |
Internet Application Software | | | | | 6.60 | | |
Internet Content - Entertainment | | | | | 4.94 | | |
Internet Content - Information / Networks | | | | | 2.10 | | |
Internet Security | | | | | 1.34 | | |
Internet Telephony | | | | | 2.20 | | |
Machinery - Electric Utility | | | | | 0.49 | | |
Medical - Biomedical / Genetics | | | | | 2.79 | | |
Medical - Drugs | | | | | 0.50 | | |
Metal Products - Distribution | | | | | 0.48 | | |
REITs - Diversified | | | | | 4.46 | | |
Retail - Restaurants | | | | | 3.15 | | |
Schools | | | | | 1.04 | | |
Semiconductor Components - Integrated Circuits | | | | | 2.81 | | |
Semiconductor Equipment | | | | | 4.02 | | |
Therapeutics | | | | | 0.35 | | |
Total Investments in Securities | | | | | 113.82% | | |
|
Schedule of Purchased Options (Unaudited)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | | | | | | | Purchased Options – 10.12% | | | | | | | |
| | | | | | | | | | | | | Equity Options – 10.07% | | | | | | | |
| | | | | | | | | | | | | Equity Call Options – 7.53% | | | | | | | |
| | | | | | | | | | | | | United States – 4.36% | | | | | | | |
| | | | | | | | | | | | | Applications Software – 1.36% | | | | | | | |
| | $ | 12,727,000 | | | | 979 | | | 01/17/2020 $130 | | | salesforce.com, Inc. | | | | $ | 2,650,153 | | |
| | | 43,186,000 | | | | 1,963 | | | 08/16/2019 $220 | | | ServiceNow, Inc. | | | | | 11,169,470 | | |
| | | 10,758,000 | | | | 489 | | | 01/17/2020 $220 | | | ServiceNow, Inc. | | | | | 3,398,550 | | |
| | | 23,508,000 | | | | 1,959 | | | 10/18/2019 $120 | | | Tableau Software Inc., Class A | | | | | 8,835,090 | | |
| | | | | | | | | | | | | | | | | | 26,053,263 | | |
| | | | | | | | | | | | | Auto - Cars / Light Trucks – 0.04% | | | | | | | |
| | | 10,166,000 | | | | 10,166 | | | 01/17/2020 $10 | | | Ford Motor Co. | | | | | 813,280 | | |
| | | | | | | | | | | | | Beverages - Non-Alcoholic – 0.24% | | | | | | | |
| | | 17,604,000 | | | | 1,467 | | | 01/17/2020 $120 | | | PepsiCo, Inc. | | | | | 2,031,795 | | |
| | | 28,324,800 | | | | 5,901 | | | 01/17/2020 $48 | | | The Coca-Cola Co. | | | | | 2,466,618 | | |
| | | | | | | | | | | | | | | | | | 4,498,413 | | |
| | | | | | | | | | | | | Commercial Services - Finance – 0.09% | | | | | | | |
| | | 13,825,000 | | | | 1,975 | | | 12/20/2019 $70 | | | Square, Inc., Class A | | | | | 1,807,125 | | |
| | | | | | | | | | | | | Consumer Products - Miscellaneous – 0.05% | | | | | | | |
| | | 27,552,000 | | | | 1,968 | | | 11/15/2019 $140 | | | Kimberly-Clark Corp. | | | | | 905,280 | | |
| | | | | | | | | | | | | Cosmetics & Toiletries – 0.71% | | | | | | | |
| | | 26,487,000 | | | | 3,924 | | | 08/16/2019 $67.50 | | | Colgate-Palmolive Co. | | | | | 1,785,420 | | |
| | | 98,280,000 | | | | 9,828 | | | 11/15/2019 $100 | | | The Procter & Gamble Co. | | | | | 11,744,460 | | |
| | | | | | | | | | | | | | | | | | 13,529,880 | | |
| | | | | | | | | | | | | Diversified Manufacturing Operations – 0.07% | | ||||||
| | | 9,904,000 | | | | 9,904 | | | 01/17/2020 $10 | | | General Electric Co. | | | | | 1,376,656 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | E-Commerce / Services – 0.08% | | | | | | | |
| | $ | 12,293,750 | | | | 1,967 | | | 10/18/2019 $62.50 | | | Lyft, Inc. | | | | $ | 1,534,260 | | |
| | | | | | | | | | | | | Electronic Components - Semiconductors – 0.11% | | | | | | | |
| | | 14,850,000 | | | | 990 | | | 09/20/2019 $150 | | | NVIDIA Corp. | | | | | 2,088,900 | | |
| | | | | | | | | | | | | Enterprise Software / Services – 0.64% | | | | | | | |
| | | 39,440,000 | | | | 2,465 | | | 09/20/2019 $160 | | | Workday, Inc., Class A | | | | | 12,325,000 | | |
| | | | | | | | | | | | | Food - Miscellaneous / Diversified – 0.06% | | | | | | | |
| | | 14,790,000 | | | | 2,958 | | | 10/18/2019 $50 | | | General Mills, Inc. | | | | | 1,153,620 | | |
| | | | | | | | | | | | | Internet Content - Entertainment – 0.50% | | | | | | | |
| | | 22,588,500 | | | | 1,369 | | | 12/20/2019 $165 | | | Facebook, Inc., Class A | | | | | 4,558,770 | | |
| | | 14,700,000 | | | | 1,960 | | | 01/17/2020 $75 | | | Roku, Inc. | | | | | 5,037,200 | | |
| | | | | | | | | | | | | | | | | | 9,595,970 | | |
| | | | | | | | | | | | | Medical - Biomedical / Genetics – 0.08% | | | | | | | |
| | | 7,111,800 | | | | 3,951 | | | 08/16/2019 $18 | | | Exelixis, Inc. | | | | | 1,540,890 | | |
| | | | | | | | | | | | | REITs - Storage – 0.12% | | | | | | | |
| | | 33,695,000 | | | | 1,465 | | | 12/20/2019 $230 | | | Public Storage | | | | | 2,329,350 | | |
| | | | | | | | | | | | | Retail - Building Products – 0.13% | | | | | | | |
| | | 39,030,000 | | | | 3,903 | | | 10/18/2019 $100 | | | Lowe’s Cos., Inc. | | | | | 2,458,890 | | |
| | | | | | | | | | | | | Retail - Discount – 0.05% | | | | | | | |
| | | 19,494,750 | | | | 2,363 | | | 07/19/2019 $82.50 | | | Target Corp. | | | | | 1,032,631 | | |
| | | | | | | | | | | | | Web Portals / ISP – 0.03% | | | | | | | |
| | | 5,145,000 | | | | 49 | | | 01/17/2020 $1,050 | | | Alphabet, Inc., Class A | | | | | 473,487 | | |
| | | | | | | | | | | | | Total United States (Cost $76,259,664) | | | | $ | 83,516,895 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | Argentina – 2.70% | | | | | | | |
| | | | | | | | | | | | | E-Commerce / Services – 2.70% | | | | | | | |
| | $ | 33,670,000 | | | | 962 | | | 09/20/2019 $350 | | | MercadoLibre, Inc. | | | | $ | 25,204,400 | | |
| | | 65,610,000 | | | | 1,458 | | | 12/20/2019 $450 | | | MercadoLibre, Inc. | | | | | 26,462,700 | | |
| | | | | | | | | | | | | Total Argentina (Cost $36,590,436) | | | | $ | 51,667,100 | | |
| | | | | | | | | | | | | Belgium – 0.28% | | | | | | | |
| | | | | | | | | | | | | Brewery – 0.28% | | | | | | | |
| | | 20,769,000 | | | | 2,967 | | | 09/20/2019 $70 | | | Anheuser-Busch InBev SA / NV - Sponsored ADR | | | | | 5,296,095 | | |
| | | | | | | | | | | | | Total Belgium (Cost $4,014,466) | | | | $ | 5,296,095 | | |
| | | | | | | | | | | | | Canada – 0.01% | | | | | | | |
| | | | | | | | | | | | | Medical - Drugs – 0.01% | | | | | | | |
| | | 10,862,500 | | | | 1,975 | | | 07/19/2019 $55 | | | Canopy Growth Corp. | | | | | 5,925 | | |
| | | 10,431,750 | | | | 1,987 | | | 10/18/2019 $52.50 | | | Canopy Growth Corp. | | | | | 194,726 | | |
| | | | | | | | | | | | | Total Canada (Cost $2,569,397) | | | | $ | 200,651 | | |
| | | | | | | | | | | | | China – 0.18% | | | | | | | |
| | | | | | | | | | | | | E-Commerce / Products – 0.18% | | | | | | | |
| | | 20,903,400 | | | | 7,742 | | | 09/20/2019 $27 | | | JD.com, Inc. - Sponsored ADR | | | | | 3,390,996 | | |
| | | | | | | | | | | | | Total China (Cost $1,900,321) | | | | $ | 3,390,996 | | |
| | | | | | | | | | | | | Total Equity Call Options (Cost $121,334,284) | | | | $ | 144,071,737 | | |
| | | | | | | | | | | | | Equity Put Options – 2.54% | | | | | | | |
| | | | | | | | | | | | | United States – 1.84% | | | | | | | |
| | | | | | | | | | | | | Computer Aided Design – 0.00% | | | | | | | |
| | | 23,952,000 | | | | 1,996 | | | 07/19/2019 $120 | | | Autodesk, Inc. | | | | | 21,956 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2019 Fair Value | | ||||||
| | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | Equity Put Options – (continued) | | | |||||
| | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | Growth & Income - Large Cap – 1.84% | | ||||||
| | $ | 120,153,700 | | | | 4,787 | | | 12/20/2019 $251 | | | SPDR S&P 500 ETF Trust | | | | $ | 1,436,100 | | |
| | | 125,901,600 | | | | 4,769 | | | 12/20/2019 $264 | | | SPDR S&P 500 ETF Trust | | | | | 2,136,512 | | |
| | | 910,958,800 | | | | 33,991 | | | 12/20/2019 $268 | | | SPDR S&P 500 ETF Trust | | | | | 17,403,392 | | |
| | | 240,558,400 | | | | 9,584 | | | 01/17/2020 $251 | | | SPDR S&P 500 ETF Trust | | | | | 3,028,544 | | |
| | | 121,716,800 | | | | 4,792 | | | 01/17/2020 $254 | | | SPDR S&P 500 ETF Trust | | | | | 1,667,616 | | |
| | | 322,326,000 | | | | 11,938 | | | 03/20/2020 $270 | | | SPDR S&P 500 ETF Trust | | | | | 9,598,152 | | |
| | | | | | | | | | | | | | | | | | 35,270,316 | | |
| | | | | | | | | | | | | Total United States (Cost $47,908,729) | | | | $ | 35,292,272 | | |
| | | | | | | | | | | | | China – 0.70% | | | | | | | |
| | | | | | | | | | | | | Internet Content - Entertainment – 0.23% | | | | | | | |
| | | 11,047,500 | | | | 1,473 | | | 10/18/2019 $75 | | | Weibo Corp. | | | | | 4,330,620 | | |
| | | | | | | | | | | | | Web Portals / ISP – 0.47% | | | | | | | |
| | | 32,802,000 | | | | 1,988 | | | 09/20/2019 $165 | | | Baidu, Inc. | | | | | 9,065,280 | | |
| | | | | | | | | | | | | Total China (Cost $4,671,010) | | | | $ | 13,395,900 | | |
| | | | | | | | | | | | | Total Equity Put Options (Cost $52,579,739) | | | | $ | 48,688,172 | | |
| | | | | | | | | | | | | Total Equity Options (Cost $173,914,023) | | | | $ | 192,759,909 | | |
| | | | | | | | | | | | | Currency Put Options – 0.05% | | | | | | | |
| | | | | | | | | | | | | United States – 0.05% | | | | | | | |
| | | 10,018,672 | | | | 140,121,292 | | | 01/17/2020 $7.15 | | | USD-CNH | | | | | 900,029 | | |
| | | | | | | | | | | | | Total United States (Cost $1,514,322) | | | | $ | 900,029 | | |
| | | | | | | | | | | | | Total Currency Put Options (Cost $1,514,322) | | | | $ | 900,029 | | |
| | | | | | | | | | | | | Total Purchased Options (Cost $175,428,345) | | | | $ | 193,659,938 | | |
|
Schedule of Purchased Options (Unaudited) (concluded)
Purchased Options – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Applications Software | | | | | 1.36 | | |
Auto - Cars / Light Trucks | | | | | 0.04 | | |
Beverages - Non-Alcoholic | | | | | 0.24 | | |
Brewery | | | | | 0.28 | | |
Commercial Services - Finance | | | | | 0.09 | | |
Computer Aided Design | | | | | 0.00 | | |
Consumer Products - Miscellaneous | | | | | 0.05 | | |
Cosmetics & Toiletries | | | | | 0.71 | | |
Currency | | | | | 0.05 | | |
Diversified Manufacturing Operations | | | | | 0.07 | | |
E-Commerce / Products | | | | | 0.18 | | |
E-Commerce / Services | | | | | 2.78 | | |
Purchased Options – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Electronic Components - Semiconductors | | | | | 0.11 | | |
Enterprise Software / Services | | | | | 0.64 | | |
Food - Miscellaneous / Diversified | | | | | 0.06 | | |
Growth & Income - Large Cap | | | | | 1.84 | | |
Internet Content - Entertainment | | | | | 0.73 | | |
Medical - Biomedical / Genetics | | | | | 0.08 | | |
Medical - Drugs | | | | | 0.01 | | |
REITs - Storage | | | | | 0.12 | | |
Retail - Building Products | | | | | 0.13 | | |
Retail - Discount | | | | | 0.05 | | |
Web Portals / ISP | | | | | 0.50 | | |
Total Purchased Options | | | | | 10.12% | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 49.96% | | | |||||
| | | | | | | Common Stock – 49.96% | | ||||||
| | | | | | | United States – 37.02% | | ||||||
| | | | | | | Advertising Agencies – 1.05% | | | | | | | |
| | | 201,270 | | | | Omnicom Group, Inc. | | | | $ | 16,494,077 | | |
| | | 157,575 | | | | The Interpublic Group of Cos., Inc. | | | | | 3,559,619 | | |
| | | | | | | | | | | | 20,053,696 | | |
| | | | | | | Apparel Manufacturers – 0.68% | | | |||||
| | | 578,668 | | | | Hanesbrands, Inc. | | | | | 9,964,663 | | |
| | | 98,664 | | | | Tapestry, Inc. | | | | | 3,130,609 | | |
| | | | | | | | | | | | 13,095,272 | | |
| | | | | | | Auto - Cars / Light Trucks – 0.30% | | | | | | | |
| | | 555,665 | | | | Ford Motor Co. | | | | | 5,684,453 | | |
| | | | | | | Beverages - Non-alcoholic – 2.09% | | | | | | | |
| | | 108,153 | | | | PepsiCo, Inc. | | | | | 14,182,103 | | |
| | | 506,396 | | | | The Coca-Cola Co. | | | | | 25,785,684 | | |
| | | | | | | | | | | | 39,967,787 | | |
| | �� | | | | | Beverages - Wine / Spirits – 0.27% | | | | | | | |
| | | 93,961 | | | | Brown-Forman Corp., Class B | | | | | 5,208,258 | | |
| | | | | | | Commercial Services - Finance – 0.93% | | | | | | | |
| | | 181,550 | | | | H&R Block, Inc. | | | | | 5,319,415 | | |
| | | 172,984 | | | | Square, Inc., Class A* | | | | | 12,546,530 | | |
| | | | | | | | | | | | 17,865,945 | | |
| | | | | | | Computer Software – 1.27% | | | | | | | |
| | | 132,322 | | | | Splunk, Inc.* | | | | | 16,639,492 | | |
| | | 211,576 | | | | Teradata Corp.* | | | | | 7,585,000 | | |
| | | | | | | | | | | | 24,224,492 | | |
| | | | | | | Consumer Products - Miscellaneous – 0.78% | | | | | | | |
| | | 111,866 | | | | Kimberly-Clark Corp. | | | | | 14,909,500 | | |
| | | | | | | Cosmetics & Toiletries – 4.42% | | | | | | | |
| | | 282,478 | | | | Colgate-Palmolive Co. | | | | | 20,245,198 | | |
| | | 586,181 | | | | The Procter & Gamble Co. | | | | | 64,274,747 | | |
| | | | | | | | | | | | 84,519,945 | | |
| | | | | | | Diversified Manufacturing Operations – 0.95% | | | | | | | |
| | | 71,132 | | | | 3M Co. | | | | | 12,330,021 | | |
| | | 554,295 | | | | General Electric Co. | | | | | 5,820,098 | | |
| | | | | | | | | | | | 18,150,119 | | |
| | | | | | | E-Commerce / Services – 0.18% | | | | | | | |
| | | 73,663 | | | | TripAdvisor, Inc.* | | | | | 3,409,860 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Electric - Integrated – 0.87% | | | | | | | |
| | | 126,730 | | | | Consolidated Edison, Inc. | | | | $ | 11,111,686 | | |
| | | 101,250 | | | | The Southern Co. | | | | | 5,597,100 | | |
| | | | | | | | | | | | 16,708,786 | | |
| | | | | | | Electronic Components - Semiconductors – 4.92% | | | | | | | |
| | | 324,261 | | | | Intel Corp. | | | | | 15,522,374 | | |
| | | 75,972 | | | | NVIDIA Corp. | | | | | 12,476,882 | | |
| | | 576,648 | | | | Texas Instruments, Inc. | | | | | 66,176,124 | | |
| | | | | | | | | | | | 94,175,380 | | |
| | | | | | | Enterprise Software / Services – 2.97% | | | |||||
| | | 276,150 | | | | Workday, Inc., Class A* | | | | | 56,770,917 | | |
| | | | | | | Finance - Credit Card – 0.43% | | | |||||
| | | 417,542 | | | | The Western Union Co. | | | | | 8,304,910 | | |
| | | | | | | Food - Confectionery – 0.15% | | | |||||
| | | 21,819 | | | | The Hershey Co. | | | | | 2,924,401 | | |
| | | | | | | Food - Miscellaneous / Diversified – 1.20% | | | | | | | |
| | | 208,241 | | | | General Mills, Inc. | | | | | 10,936,817 | | |
| | | 225,389 | | | | Kellogg Co. | | | | | 12,074,089 | | |
| | | | | | | | | | | | 23,010,906 | | |
| | | | | | | Human Resources – 0.23% | | | | | | | |
| | | 78,612 | | | | Robert Half International, Inc. | | | | | 4,481,670 | | |
| | | | | | | Internet Content - Entertainment – 0.41% | | | | | | | |
| | | 86,269 | | | | Roku, Inc. | | | | | 7,814,246 | | |
| | | | | | | Investment Management / Advisory Services – 1.23% | | | | | | | |
| | | 323,543 | | | | Franklin Resources, Inc. | | | | | 11,259,296 | | |
| | | 333,247 | | | | Invesco, Ltd. | | | | | 6,818,234 | | |
| | | 49,024 | | | | T Rowe Price Group, Inc. | | | | | 5,378,423 | | |
| | | | | | | | | | | | 23,455,953 | | |
| | | | | | | Medical - Biomedical / Genetics – 0.87% | | | | | | | |
| | | 58,840 | | | | Amgen, Inc. | | | | | 10,843,035 | | |
| | | 268,663 | | | | Exelixis, Inc. | | | | | 5,741,328 | | |
| | | | | | | | | | | | 16,584,363 | | |
| | | | | | | Medical - Drugs – 0.81% | | | | | | | |
| | | 131,116 | | | | AbbVie, Inc. | | | | | 9,534,756 | | |
| | | 136,809 | | | | Pfizer, Inc. | | | | | 5,926,566 | | |
| | | | | | | | | | | | 15,461,322 | | |
| | | | | | | Motorcycle / Motor Scooter – 0.24% | | | | | | | |
| | | 128,738 | | | | Harley-Davidson, Inc. | | | | | 4,612,683 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Real Estate Management / Services – 0.12% | | | | | | | |
| | | 302,925 | | | | Realogy Holdings Corp. | | | | $ | 2,193,177 | | |
| | | | | | | REITs - Apartments – 0.70% | | | | | | | |
| | | 65,806 | | | | AvalonBay Communities, Inc. | | | | | 13,370,463 | | |
| | | | | | | REITs - Diversified – 0.53% | | | | | | | |
| | | 117,347 | | | | Duke Realty Corp. | | | | | 3,709,339 | | |
| | | 100,619 | | | | Vornado Realty Trust | | | | | 6,449,678 | | |
| | | | | | | | | | | | 10,159,017 | | |
| | | | | | | REITs - Health Care – 0.96% | | | | | | | |
| | | 299,712 | | | | HCP, Inc. | | | | | 9,584,790 | | |
| | | 128,369 | | | | Ventas, Inc. | | | | | 8,774,021 | | |
| | | | | | | | | | | | 18,358,811 | | |
| | | | | | | REITs - Office Property – 0.55% | | | | | | | |
| | | 44,218 | | | | Boston Properties, Inc. | | | | | 5,704,122 | | |
| | | 60,225 | | | | SL Green Realty Corp. | | | | | 4,840,283 | | |
| | | | | | | | | | | | 10,544,405 | | |
| | | | | | | REITs - Regional Malls – 0.63% | | | | | | | |
| | | 76,017 | | | | Simon Property Group, Inc. | | | | | 12,144,476 | | |
| | | | | | | REITs - Shopping Centers – 0.85% | | | | | | | |
| | | 70,064 | | | | Federal Realty Investment Trust | | | | | 9,021,441 | | |
| | | 108,377 | | | | Regency Centers Corp. | | | | | 7,233,081 | | |
| | | | | | | | | | | | 16,254,522 | | |
| | | | | | | REITs - Storage – 1.21% | | | | | | | |
| | | 97,582 | | | | Public Storage | | | | | 23,241,105 | | |
| | | | | | | Retail - Apparel / Shoes – 0.32% | | | | | | | |
| | | 538,600 | | | | Ascena Retail Group, Inc.* | | | | | 328,546 | | |
| | | 163,579 | | | | Chico’s FAS, Inc. | | | | | 551,261 | | |
| | | 221,835 | | | | Tailored Brands, Inc. | | | | | 1,279,988 | | |
| | | 41,131 | | | | The Children’s Place, Inc. | | | | | 3,923,075 | | |
| | | | | | | | | | | | 6,082,870 | | |
| | | | | | | Retail - Arts & Crafts – 0.13% | | | | | | | |
| | | 281,179 | | | | The Michaels Cos., Inc.* | | | | | 2,446,257 | | |
| | | | | | | Retail - Bedding – 0.07% | | | | | | | |
| | | 121,794 | | | | Bed, Bath & Beyond, Inc. | | | | | 1,415,246 | | |
| | | | | | | Retail - Discount – 0.60% | | | | | | | |
| | | 133,353 | | | | Target Corp. | | | | | 11,549,703 | | |
| | | | | | | Retail - Drug Stores – 0.17% | | | | | | | |
| | | 59,199 | | | | Walgreens Boots Alliance, Inc. | | | | | 3,236,409 | | |
| | | | | | | Retail - Home Furnishings – 0.09% | | | | | | | |
| | | 57,473 | | | | La-Z Boy, Inc. | | | | | 1,762,122 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | United States – (continued) | | ||||||
| | | | | | | Retail - Major Department Store – 0.34% | | | | | | | |
| | | 201,454 | | | | Nordstrom, Inc. | | | | $ | 6,418,324 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.15% | | | | | | | |
| | | 220,460 | | | | Sally Beauty Holdings, Inc.* | | | | | 2,940,936 | | |
| | | | | | | Retail - Regional Department Stores – 0.58% | | | | | | | |
| | | 58,609 | | | | Dillard’s, Inc., Class A | | | | | 3,650,168 | | |
| | | 155,623 | | | | Kohl’s Corp. | | | | | 7,399,874 | | |
| | | | | | | | | | | | 11,050,042 | | |
| | | | | | | Retail - Restaurants – 0.29% | | | | | | | |
| | | 125,490 | | | | The Cheesecake Factory, Inc. | | | | | 5,486,423 | | |
| | | | | | | Transport - Services – 1.48% | | | | | | | |
| | | 46,491 | | | | C.H. Robinson Worldwide, Inc. | | | | | 3,921,516 | | |
| | | 235,859 | | | | United Parcel Service, Inc., Class B | | | | | 24,357,159 | | |
| | | | | | | | | | | | 28,278,675 | | |
| | | | | | | Total United States (Proceeds $703,634,209) | | | | $ | 708,327,847 | | |
| | | | | | | | | | | | | | |
| | | | | | | Argentina – 1.23% | | | | | | | |
| | | | | | | E-Commerce / Products – 1.23% | | | | | | | |
| | | 38,514 | | | | MercadoLibre, Inc.* | | | | | 23,561,710 | | |
| | | | | | | Total Argentina (Proceeds $20,764,207) | | | | $ | 23,561,710 | | |
| | | | | | | | | | | | | | |
| | | | | | | Australia – 0.71% | | | | | | | |
| | | | | | | Enterprise Software / Services – 0.71% | | | | | | | |
| | | 103,613 | | | | Atlassian Corp. PLC* | | | | | 13,556,725 | | |
| | | | | | | Total Australia (Proceeds $12,016,155) | | | | $ | 13,556,725 | | |
| | | | | | | | | | | | | | |
| | | | | | | Belgium – 1.14% | | | | | | | |
| | | | | | | Brewery – 1.14% | | | | | | | |
| | | 246,164 | | | | Anheuser-Busch InBev NV - Sponsored ADR | | | | | 21,787,976 | | |
| | | | | | | Total Belgium (Proceeds $18,526,990) | | | | $ | 21,787,976 | | |
| | | | | | | | | | | | | | |
| | | | | | | Brazil – 0.37% | | | | | | | |
| | | | | | | Finance - Credit Card – 0.37% | | | | | | | |
| | | 184,504 | | | | Pagseguro Digital, Ltd., Class A* | | | | | 7,190,121 | | |
| | | | | | | Total Brazil (Proceeds $4,431,439) | | | | $ | 7,190,121 | | |
| | | | | | | | | | | | | | |
| | | | | | | Canada – 0.86% | | | | | | | |
| | | | | | | Medical - Drugs – 0.55% | | | | | | | |
| | | 261,382 | | | | Canopy Growth Corp.* | | | | | 10,536,308 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Canada – (continued) | | | |||||
| | | | | | | Web Hosting / Design – 0.31% | | | | | | | |
| | | 19,574 | | | | Shopify, Inc., Class A* | | | | $ | 5,875,136 | | |
| | | | | | | Total Canada (Proceeds $18,256,736) | | | | $ | 16,411,444 | | |
| | | | | | | | | | | | | | |
| | | | | | | China – 0.73% | | | | | | | |
| | | | | | | E-Commerce / Products – 0.43% | | | | | | | |
| | | 397,193 | | | | Pinduoduo, Inc. - Sponsored ADR* | | | | 8,194,092 | | | |
| | | | | | | Metal - Aluminum – 0.11% | | | | | | | |
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd. | | | | | 2,103,014 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.19% | | | | | | | |
| | | 3,377,000 | | | | Semiconductor Manufacturing International Corp.* | | | | | 3,760,627 | | |
| | | | | | | Total China (Proceeds $15,601,431) | | | | $ | 14,057,733 | | |
| | | | | | | | | | | | | | |
| | | | | | | France – 0.54% | | | | | | | |
| | | | | | | Advertising Services – 0.54% | | | | | | | |
| | | 195,206 | | | | Publicis Groupe SA | | | | | 10,321,389 | | |
| | | | | | | Total France (Proceeds $11,704,960) | | | | $ | 10,321,389 | | |
| | | | | | | | | | | | | | |
| | | | | | | Germany – 0.57% | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 0.57% | | | | | | | |
| | | 147,322 | | | | Bayerische Motoren Werke AG | | | | | 10,920,140 | | |
| | | | | | | Total Germany (Proceeds $11,590,172) | | | | $ | 10,920,140 | | |
| | | | | | | | | | | | | | |
| | | | | | | Hong Kong – 1.52% | | | | | | | |
| | | | | | | Distribution / Wholesale – 0.02% | | | | | | | |
| | | 2,017,000 | | | | Li & Fung, Ltd. | | | | | 351,119 | | |
| | | | | | | Electric - Integrated – 0.93% | | | | | | | |
| | | 357,500 | | | | CLP Holdings, Ltd. | | | | | 3,944,512 | | |
| | | 1,916,000 | | | | Power Assets Holdings, Ltd. | | | | | 13,782,938 | | |
| | | | | | | | | | | | 17,727,450 | | |
| | | | | | | Gas - Distribution – 0.57% | | | | | | | |
| | | 4,952,514 | | | | Hong Kong & China Gas Co., Ltd. | | | | | 10,979,525 | | |
| | | | | | | Total Hong Kong (Proceeds $27,500,004) | | | | $ | 29,058,094 | | |
| | | | | | | | | | | | | | |
| | | | | | | Israel – 1.08% | | | | | | | |
| | | | | | | Computer Data Security – 1.08% | | | | | | | |
| | | 178,328 | | | | Check Point Software Technologies, Ltd.* | | | | | 20,616,500 | | |
| | | | | | | Total Israel (Proceeds $21,455,871) | | | | $ | 20,616,500 | | |
| | | | | | | | | | | | | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | June 30,2019 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | ||||||
| | | | | | | Japan – 3.82% | | | | | | | |
| | | | | | | Advertising Services – 0.35% | | | | | | | |
| | | 193,900 | | | | Dentsu, Inc. | | | | $ | 6,767,172 | | |
| | | | | | | Cellular Telecommunications – 0.17% | | | | | | | |
| | | 137,700 | | | | NTT DOCOMO, Inc. | | | | | 3,211,305 | | |
| | | | | | | Cosmetics & Toiletries – 0.19% | | | | | | | |
| | | 21,900 | | | | Kose Corp. | | | | | 3,673,194 | | |
| | | | | | | Electric - Integrated – 0.10% | | | | | | | |
| | | 132,500 | | | | Chubu Electric Power Co., Inc. | | | | | 1,858,941 | | |
| | | | | | | Industrial Automation / Robotics – 0.69% | | | | | | | |
| | | 35,500 | | | | SMC Corp. | | | | | 13,236,457 | | |
| | | | | | | Office Automation & Equipment – 1.08% | | | | | | | |
| | | 505,400 | | | | Canon, Inc. | | | | | 14,758,273 | | |
| | | 254,500 | | | | Konica Minolta, Inc. | | | | | 2,478,020 | | |
| | | 220,000 | | | | Seiko Epson Corp. | | | | | 3,481,678 | | |
| | | | | | | | | | | | 20,717,971 | | |
| | | | | | | Retail - Apparel / Shoes – 0.63% | | | | | | | |
| | | 19,950 | | | | Fast Retailing Co., Ltd. | | | | | 12,060,506 | | |
| | | | | | | Semiconductor Equipment – 0.61% | | | | | | | |
| | | 82,852 | | | | Tokyo Electron, Ltd. | | | | | 11,627,768 | | |
| | | | | | | Total Japan (Proceeds $72,656,583) | | | | $ | 73,153,314 | | |
| | | | | | | | | | | | | | |
| | | | | | | Netherlands – 0.37% | | | | | | | |
| | | | | | | Semiconductor Equipment – 0.37% | | | | | | | |
| | | 34,376 | | | | ASML Holding NV | | | | | 7,147,802 | | |
| | | | | | | Total Netherlands (Proceeds $6,621,868) | | | | $ | 7,147,802 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased - (Proceeds $944,760,625) | | | | $ | 956,110,795 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 1.05 | | |
Advertising Services | | | | | 0.89 | | |
Apparel Manufacturers | | | | | 0.68 | | |
Auto - Cars / Light Trucks | | | | | 0.87 | | |
Beverages - Non-Alcoholic | | | | | 2.09 | | |
Beverages - Wine / Spirits | | | | | 0.27 | | |
Brewery | | | | | 1.14 | | |
Cellular Telecommunications | | | | | 0.17 | | |
Commercial Services - Finance | | | | | 0.93 | | |
Computer Data Security | | | | | 1.08 | | |
Computer Software | | | | | 1.27 | | |
Consumer Products - Miscellaneous | | | | | 0.78 | | |
Cosmetics & Toiletries | | | | | 4.61 | | |
Distribution / Wholesale | | | | | 0.02 | | |
Diversified Manufacturing Operations | | | | | 0.95 | | |
E-Commerce / Products | | | | | 1.66 | | |
E-Commerce / Services | | | | | 0.18 | | |
Electric - Integrated | | | | | 1.90 | | |
Electronic Components - Semiconductors | | | | | 4.92 | | |
Enterprise Software / Services | | | | | 3.68 | | |
Finance - Credit Card | | | | | 0.80 | | |
Food - Confectionery | | | | | 0.15 | | |
Food - Miscellaneous / Diversified | | | | | 1.20 | | |
Gas - Distribution | | | | | 0.57 | | |
Human Resources | | | | | 0.23 | | |
Industrial Automation - Robotics | | | | | 0.69 | | |
Internet Content - Entertainment | | | | | 0.41 | | |
Investment Management / Advisory Services | | | | | 1.23 | | |
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Medical - Biomedical / Genetics | | | | | 0.87 | | |
Medical - Drugs | | | | | 1.36 | | |
Metal - Aluminum | | | | | 0.11 | | |
Motorcycle / Motor Scooter | | | | | 0.24 | | |
Office Automation & Equipment | | | | | 1.08 | | |
Real Estate Management / Services | | | | | 0.12 | | |
REITs - Apartments | | | | | 0.70 | | |
REITs - Diversified | | | | | 0.53 | | |
REITs - Health Care | | | | | 0.96 | | |
REITs - Office Property | | | | | 0.55 | | |
REITs - Regional Malls | | | | | 0.63 | | |
REITs - Shopping Centers | | | | | 0.85 | | |
REITs - Storage | | | | | 1.21 | | |
Retail - Apparel / Shoes | | | | | 0.95 | | |
Retail - Arts & Crafts | | | | | 0.13 | | |
Retail - Bedding | | | | | 0.07 | | |
Retail - Discount | | | | | 0.60 | | |
Retail - Drug Store | | | | | 0.17 | | |
Retail - Home Furnishings | | | | | 0.09 | | |
Retail - Major Department Stores | | | | | 0.34 | | |
Retail - Miscellaneous / Diversified | | | | | 0.15 | | |
Retail - Regional Department Stores | | | | | 0.58 | | |
Retail - Restaurants | | | | | 0.29 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.19 | | |
Semiconductor Equipment | | | | | 0.98 | | |
Transport - Services | | | | | 1.48 | | |
Web Hosting Design | | | | | 0.31 | | |
Total Securities Sold, Not Yet Purchased | | | | | 49.96% | | |
|
Schedule of Swap Contracts (Unaudited)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – 2.55% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 2.89% | | |||||||||
| | | | | | | United States – 1.29% | | | ||||||||
| | | | | | | Private Equity – 0.22% | | | ||||||||
| | $ | 2,618,609 | | | | 6/3/2024 | | | Apollo Global Management LLC, Class A | | | | $ | 1,210,756 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/21/2018 to receive the total return of the shares of Apollo Global Management LLC, Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | |||||
| | | 1,704,172 | | | | 6/3/2024 | | | KKR & Co., Inc., Class A | | | | | 843,892 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/09/2017 to receive the total return of the shares of KKR & Co., Inc., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | | | |
| | | 20,681,359 | | | | 6/3/2024 | | | The Carlyle Group, L.P. | | | | | 2,289,628 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | 4,344,276 | | |
| | | | | | | Web Portals / ISP – 1.07% | | | ||||||||
| | | 40,335,023 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | | 20,437,137 | | |
| | | | | | | | | | 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 | | | | $ | 24,781,413 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Australia – 0.06% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.02% | | | ||||||||
| | $ | (8,927,610) | | | | 12/27/2019 | | | Bank of Queensland, Ltd. | | | | $ | 393,318 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Food - Retail – 0.04% | | | ||||||||
| | | (17,552,490) | | | | 12/27/2019 | | | Wesfarmers, Ltd. | | | | | 697,375 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2014 to deliver the total return of the shares of Wesfarmers, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | 1,090,693 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Belgium – 0.02% | | | ||||||||
| | | | | | | Medical Drugs – 0.02% | | | ||||||||
| | | 8,725,592 | | | | 1/4/2024 | | | Galapagos NV | | | | | 347,112 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/03/2019 to receive the total return of the shares of Galapagos NV in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Belgium | | | | $ | 347,112 | | | |||
| | | | | | | | | | | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Brazil – 0.10% | | | ||||||||
| | | | | | | Commercial Services / Finance – 0.06% | | | ||||||||
| | $ | (4,235,534) | | | | 2/3/2021 | | | Cielo SA | | | | $ | 1,196,104 | | |
| | | | | | | | | | 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 13.50%**. | | | | | | | |
| | | | | | | Finance - Other Services – 0.04% | | | ||||||||
| | | 7,367,748 | | | | 2/3/2021 | | | B3 SA-Brasil Bolsa Balcao | | | | | 735,329 | | |
| | | | | | | | | | 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 0.89%**. | | | | | | | |
| | | | | | | Total Brazil | | | | $ | 1,931,433 | | | |||
| | | | | | | | | | | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Japan – 0.08% | | | ||||||||
| | | | | | | Electric Products - Miscellaneous – 0.07% | | | ||||||||
| | $ | (7,899,852) | | | | 12/24/2019 | | | Casio Computer Co., Ltd. | | | | $ | 1,302,064 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Electric - Integrated – 0.00% | | | ||||||||
| | | (1,135,565) | | | | 12/24/2019 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | | 71,162 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Gas - Distribution – 0.01% | | | ||||||||
| | | (1,016,770) | | | | 12/24/2019 | | | Osaka Gas Co., Ltd. | | | | | 118,295 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | 1,491,521 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | South Korea – 0.47% | | | ||||||||
| | | | | | | Electronic Components - Semiconductors – 0.47% | | | ||||||||
| | $ | 12,962,255 | | | | 12/29/2023 | | | Samsung Electronics Co., Ltd | | | | $ | 8,666,254 | | |
| | | | | | | | | | 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%**. | | | |||||
| | | (11,402,169) | | | | 12/29/2023 | | | SK Hynix, Inc. | | | | | 458,914 | | |
| | | | | | | | | | 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 0.39%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | 9,125,168 | | | |||
| | | | | | | | | | | | | | | | | |
| | | | | | | Spain – 0.54% | | | ||||||||
| | | | | | | Building - Heavy Construction – 0.53% | | | ||||||||
| | | 9,694,543 | | | | 1/4/2024 | | | Cellnex Telecom SA | | | | | 10,116,147 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/06/2015 to receive the total return of the shares of Cellnex Telecom SA in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Food - Retail – 0.01% | | | ||||||||
| | | (175,402) | | | | 1/4/2024 | | | Distribuidora Internacional de Alimentacion SA | | | | | 135,990 | | |
| | | | | | | | | | 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 28.75%**. | | | | | | | |
| | | | | | | Total Spain | | | | $ | 10,252,137 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | |||||||||
| | | | | | | Taiwan – 0.17% | | | ||||||||
| | | | | | | Computers - Peripheral Equipment – 0.13% | | | ||||||||
| | $ | (6,772,922) | | | | 1/25/2024 | | | Innolux Display Corp. | | | | $ | 2,397,008 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/18/2010 to deliver the total return of the shares of Innolux Display Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 1.38%**. | | | | | | | |
| | | | | | | Electronic Components - Miscellaneous – 0.04% | | | ||||||||
| | | (7,278,797) | | | | 1/25/2024 | | | AU Optronics Corp. | | | | | 739,089 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/26/2012 to deliver the total return of the shares of AU Optronics Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 2.25%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | 3,136,097 | | | |||
| | | | | | | United Kingdom – 0.16% | | | ||||||||
| | | | | | | Retail - Discount – 0.01% | | | ||||||||
| | | 5,015,966 | | | | 12/14/2023 | | | B&M European Value Retail SA | | | | | 174,958 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Retail - Major Department Store – 0.15% | | | ||||||||
| | | (8,327,037) | | | | 12/14/2023 | | | Marks & Spencer Group PLC | | | | | 2,862,322 | | |
| | | | | | | | | | 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 | | | | $ | 3,037,280 | | | |||
| | | | | | | Total Return Swap Contracts – Unrealized Gain**** | | | | $ | 55,192,854 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (0.34%) | | | ||||||||
| | | | | | | Australia – (0.14%) | | | ||||||||
| | | | | | | Commercial Banks - Non-US – (0.07%) | | | ||||||||
| | $ | (24,305,887) | | | | 12/27/2019 | | | Australia and New Zealand Banking Group, Ltd. | | | | $ | (831,231) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (21,651,822) | | | | 12/27/2019 | | | Westpac Banking Corp. | | | | | (509,808) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | (1,341,039) | | |
| | | | | | | Food - Retail – (0.07%) | | | | | | | | |||
| | | (1,112,880) | | | | 12/27/2019 | | | Coles Group, Ltd. | | | | | (98,041) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/21/2018 to deliver the total return of the shares of Coles Group, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | (8,663,117) | | | | 12/27/2019 | | | Woolworths Group, Ltd. | | | | | (1,223,165) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | (1,321,206) | | |
| | | | | | | Total Australia | | | | $ | (2,662,245) | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | | ||||||||
| | | | | | | Japan – (0.10%) | | | ||||||||
| | | | | | | Electric Products - Miscellaneous – (0.02%) | | | ||||||||
| | $ | (5,154,826) | | | | 12/24/2019 | | | Brother Industries, Ltd. | | | | $ | (276,898) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/06/2012 to deliver the total return of the shares of Brother Industries, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – (0.08%) | | | ||||||||
| | | (11,643,239) | | | | 12/24/2019 | | | Ricoh Co., Ltd. | | | | | (1,583,112) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Photo Equipment & Supplies – (0.00%) | | | ||||||||
| | | (4,274,541) | | | | 12/24/2019 | | | Nikon Corp. | | | | | (66,467) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 10/29/2013 to deliver the total return of the shares of Nikon Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | (1,926,477) | | | |||
| | | | | | | Taiwan – (0.04%) | | | ||||||||
| | | | | | | Semiconductor Components - Integrated Circuits – (0.04%) | | | ||||||||
| | | (3,555,423) | | | | 1/25/2024 | | | United Microelectronics Corp. | | | | | (751,659) | | |
| | | | | | | | | | 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 | | | | $ | (751,659) | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2019 Unrealized Gain/(Loss)*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | | ||||||||
| | | | | | | United Kingdom – (0.06%) | | | ||||||||
| | | | | | | Retail - Apparel / Shoes – (0.06%) | | | ||||||||
| | $ | (9,328,139) | | | | 12/14/2023 | | | Next PLC | | | | $ | (1,116,823) | | |
| | | | | | | | | | 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 | | | | $ | (1,116,823) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (6,457,204) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 48,735,650 | | | |||
|
Schedule of Swap Contracts (Unaudited) (concluded)
Swap Contracts – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Building - Heavy Construction | | | | | 0.53 | | |
Commercial Banks - Non-US | | | | | (0.05) | | |
Commercial Services - Finance | | | | | 0.06 | | |
Computers - Peripheral Equipment | | | | | 0.13 | | |
Electric Products - Miscellaneous | | | | | 0.05 | | |
Electric - Integrated | | | | | 0.00 | | |
Electronic Components - Miscellaneous | | | | | 0.04 | | |
Electronic Components - Semiconductors | | | | | 0.47 | | |
Finance - Other Services | | | | | 0.04 | | |
Food - Retail | | | | | (0.02) | | |
Gas - Distribution | | | | | 0.01 | | |
Swap Contracts – By Industry | | | June 30, 2019 Percentage of Members’ Capital (%) | | |||
Medical - Drugs | | | | | 0.02 | | |
Office Automation & Equipment | | | | | (0.08) | | |
Photo Equipment & Supplies | | | | | (0.00) | | |
Private Equity | | | | | 0.22 | | |
Retail - Apparel / Shoes | | | | | (0.06) | | |
Retail - Discount | | | | | 0.01 | | |
Retail - Major Department Store | | | | | 0.15 | | |
Semiconductor Components - Integrated Circuits | | | | | (0.04) | | |
Web Portals / ISP | | | | | 1.07 | | |
Total Swap Contracts | | | | | 2.55% | | |
|
Statement of Operations (Unaudited)
| | | Six Months Ended June 30, 2019 | | |||
Investment income | | | | | | | |
Interest | | | | $ | 9,037,017 | | |
Dividends (net of withholding taxes of $520,773) | | | | | 8,058,251 | | |
Total investment income | | | | | 17,095,268 | | |
Expenses | | | | | | | |
Dividends on securities sold, not yet purchased | | | | | 12,147,028 | | |
Administration fees | | | | | 11,637,834 | | |
Prime broker fees | | | | | 8,657,168 | | |
Advisor fees | | | | | 3,448,247 | | |
Interest expense | | | | | 1,024,076 | | |
Accounting and investor services fees | | | | | 593,497 | | |
Legal fees | | | | | 280,179 | | |
Custodian fees | | | | | 251,100 | | |
Audit and tax fees | | | | | 167,034 | | |
Board of Managers’ fees and expenses | | | | | 138,849 | | |
Insurance expense | | | | | 75,310 | | |
Printing expense | | | | | 32,232 | | |
Miscellaneous | | | | | 292,189 | | |
Total operating expenses | | | | | 38,744,743 | | |
Net investment loss | | | | | (21,649,475) | | |
Net realized and net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net realized gain on investments in securities | | | | | 86,478,141 | | |
Net realized gain on purchased options | | | | | 40,458,533 | | |
Net realized gain on forward contracts | | | | | 3,521,745 | | |
Net realized loss on foreign currency transactions | | | | | (537,021) | | |
Net realized loss on swap contracts | | | | | (2,391,649) | | |
Net realized loss on securities sold, not yet purchased | | | | | (53,483,960) | | |
Total net realized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 74,045,789 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | | | |
Net change in unrealized gain/(loss) on investments in securities | | | | | 457,074,208 | | |
Net change in unrealized gain/(loss) on purchased options | | | | | 39,315,654 | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | 14,927,057 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | 408,282 | | |
Net change in unrealized gain/(loss) on forward contracts | | | | | (3,544,722) | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased transactions | | | | | (63,345,018) | | |
Total net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 444,835,461 | | |
Net realized gain and net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | 518,881,250 | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 497,231,775 | | |
Statements of Changes in Members’ Capital (Unaudited)
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
MEMBERS’ CAPITAL, December 31, 2017 | | | | $ | — | | | | | $ | 1,457,845,563 | | | | | $ | 1,457,845,563 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (47,331,571) | | | | | $ | (47,331,571) | | |
Net realized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 93,158,415 | | | | | | 93,158,415 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | (147,140,866) | | | | | | (147,140,866) | | |
Incentive allocation | | | | | 325,244 | | | | | | (325,244) | | | | | | — | | |
Net increase/decrease in Members’ Capital resulting from operations | | | | | 325,244 | | | | | | (101,639,266) | | | | | | (101,314,022) | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 162,824,927 | | | | | | 162,824,927 | | |
Capital withdrawals | | | | | (325,244) | | | | | | (73,586,137) | | | | | | (73,911,381) | | |
Net increase/decrease in Members’ Capital resulting from capital transactions | | | | | (325,244) | | | | | | 89,238,790 | | | | | | 88,913,546 | | |
MEMBERS’ CAPITAL, December 31, 2018 | | | | $ | — | | | | | $ | 1,445,445,087 | | | | | $ | 1,445,445,087 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (21,649,475) | | | | | $ | (21,649,475) | | |
Net realized gain on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 74,045,789 | | | | | | 74,045,789 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased options, foreign currency transactions, forward and swap contracts | | | | | — | | | | | | 444,835,461 | | | | | | 444,835,461 | | |
Incentive allocation | | | | | 2,396,640 | | | | | | (2,396,640) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 2,396,640 | | | | | | 494,835,135 | | | | | | 497,231,775 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 45,641,334 | | | | | | 45,641,334 | | |
Capital withdrawals | | | | | (2,396,640) | | | | | | (72,356,454) | | | | | | (74,753,094) | | |
Net decrease in Members’ Capital resulting from capital transactions | | | | | (2,396,640) | | | | | | (26,715,120) | | | | | | (29,111,760) | | |
MEMBERS’ CAPITAL, June 30, 2019 | | | | $ | — | | | | | $ | 1,913,565,102 | | | | | $ | 1,913,565,102 | | |
Statement of Cash Flows (Unaudited)
| | | Six Months Ended June 30, 2019 | | |||
Cash flows from operating activities | | | | | | | |
Net increase in Members’ Capital resulting from operations | | | | $ | 497,231,775 | | |
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 | | | | | 710,247,509 | | |
Purchase of investments in securities | | | | | (729,754,439) | | |
Proceeds from sale of purchased options | | | | | 193,784,972 | | |
Purchase of options | | | | | (248,932,615) | | |
Proceeds from securities sold, not yet purchased | | | | | 1,681,712,414 | | |
Cover of securities sold, not yet purchased | | | | | (1,502,001,137) | | |
Net realized gain on investments in securities and purchased options | | | | | (73,452,714) | | |
Net change in unrealized (gain)/loss on investments in securities, purchased options and swap contracts | | | | | (447,971,901) | | |
Net change in unrealized (gain)/loss on forward contracts | | | | | 3,544,722 | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Decrease in receivable for investment securities sold | | | | | 94,506,441 | | |
Increase in interest receivable | | | | | (403,008) | | |
Decrease in dividend receivable | | | | | 42,471 | | |
Increase in other assets | | | | | (7,869) | | |
Increase in due to broker | | | | | 8,699,478 | | |
Decrease in payable for investment securities purchased | | | | | (89,978,304) | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 732,378 | | |
Increase in accounting and investor services fees | | | | | 240,227 | | |
Increase in accrued expenses | | | | | 620,745 | | |
Net cash provided by operating activities | | | | | 98,861,145 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 45,641,334 | | |
Capital withdrawals, net | | | | | (38,505,705) | | |
Net cash provided by financing activities | | | | | 7,135,629 | | |
Net change in cash, cash equivalents and restricted cash | | | | | 105,996,774 | | |
Cash, cash equivalents and restricted cash at beginning of year | | | | | 436,180,920 | | |
Cash, cash equivalents and restricted cash at June 30, 2019 | | | | $ | 542,177,694 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the year for interest | | | | $ | 980,897 | | |
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, 2019: | | | | | | | |
Cash and cash equivalents (including restricted cash) | | | | $ | 97,953,243 | | |
Due from broker | | | | | 444,224,451 | | |
Total cash, cash equivalents and restricted cash at June 30, 2019 | | | | $ | 542,177,694 | | |
Notes to Financial Statements – June 30, 2019 (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 | | | | $ | 2,178,028,281 | | | | Common Stock | | | | $ | 956,110,795 | | |
| Equity Options | | | | | 192,759,909 | | | | Equity Options | | | | | — | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | |||||
| Observable Inputs | | | | | | | | | Observable Inputs | | | |||||
| Total Return Swaps | | | | | 55,192,854 | | | | Total Return Swaps | | | | | 6,457,204 | | |
| Currency Options | | | | | 900,029 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | |||||
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,426,881,073 | | | | Total | | | | $ | 962,567,999 | | |
(continued)
(continued)
(continued)
(continued)
(continued)
(continued)
| Forward contracts: | | | | | | | |
| Average notional amount | | | | $ | 27,951,302 | | |
| Currency options: | | | | | | | |
| Average notional amount | | | | $ | 10,389,038 | | |
| Equity options: | | | | | | | |
| Average notional amount | | | | $ | 2,032,902,850 | | |
| Total Return swaps: | | | | | | | |
| Average notional amount | | | | $ | 262,100,651 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2018 | | | | | | | | | | | | | | | | | | | |
| Equity Options | | | | $ | 3,793,825 | | | | | $ | 24,058,986 | | | | | $ | (20,265,161) | | |
| Total Return Swaps | | | | | 44,193,988 | | | | | | 10,385,395 | | | | | | 33,808,593 | | |
| Total Year ended December 31, 2018 | | | | $ | 47,987,813 | | | | | $ | 34,444,381 | | | | | $ | 13,543,432 | | |
| Six months ended June 30, 2019 | | | | | | | | | | | | | | | | | | | |
| Equity Options | | | | $ | 41,711,942 | | | | | $ | 22,866,056 | | | | | $ | 18,845,886 | | |
| Total Return Swaps | | | | | 55,192,854 | | | | | | 6,457,204 | | | | | | 48,735,650 | | |
| Six months ended June 30, 2019 | | | | $ | 96,904,796 | | | | | $ | 29,323,260 | | | | | $ | 67,581,536 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 48,916,983 | | | | | $ | (5,121,121) | | | | | $ | 54,038,104 | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Year ended December 31, 2018 | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | $ | — | | | | | $ | 818,900 | | | | | $ | (818,900) | | |
| Forward Contracts | | | | | 3,544,722 | | | | | | — | | | | | | 3,544,722 | | |
| Total year ended December 31, 2018 | | | | $ | 3,544,722 | | | | | $ | 818,900 | | | | | $ | 2,725,822 | | |
| Six months ended June 30, 2019 | | | | | | | | | | | | | | | | | | | |
| Currency Options | | | | $ | — | | | | | $ | 614,293 | | | | | $ | (614,293) | | |
| Forward Contracts | | | | | — | | | | | | — | | | | | | — | | |
| Six months ended June 30, 2019 | | | | $ | — | | | | | $ | 614,293 | | | | | $ | (614,293) | | |
| Total net change in unrealized gain/(loss) | | | | $ | (3,544,722) | | | | | $ | (204,607) | | | | | $ | (3,340,115) | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Equity Options | | | | $ | 93,240,381 | | | | | $ | 51,254,689 | | | | | $ | 41,985,692 | | |
| Total Return Swaps | | | | | 5,493,512 | | | | | | 7,885,161 | | | | | | (2,391,649) | | |
| Total | | | | $ | 98,733,893 | | | | | $ | 59,139,850 | | | | | $ | 39,594,043 | | |
|
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Currency Options | | | | $ | — | | | | | $ | 1,527,159 | | | | | $ | (1,527,159) | | |
| Forward Contracts | | | | | 3,521,745 | | | | | | — | | | | | | 3,521,745 | | |
| Total | | | | $ | 3,521,745 | | | | | $ | 1,527,159 | | | | | $ | 1,994,586 | | |
| | | Gross Amounts 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 | | | | $ | 55,192,854 | | | | | $ | 6,457,204 | | | | | $ | — | | | | | $ | 48,735,650 | | |
Total | | | | $ | 55,192,854 | | | | | $ | 6,457,204 | | | | | $ | — | | | | | $ | 48,735,650 | | |
| | | 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 | | | | $ | 6,457,204 | | | | | $ | 6,457,204 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 6,457,204 | | | | | $ | 6,457,204 | | | | | $ | — | | | | | $ | — | | |
| | | Six Months Ended June 30, 2019 (unaudited) | | | Year Ended December 31, 2018 | | | Year Ended December 31, 2017 | | | Year Ended December 31, 2016 | | | Year Ended December 31, 2015 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 1,913,565 | | | | | $ | 1,445,445 | | | | | $ | 1,457,846 | | | | | $ | 1,129,353 | | | | | $ | 1,310,708 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (2.42%)*** | | | | | | (2.97%) | | | | | | (3.09%) | | | | | | (2.14%) | | | | | | (2.37%) | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.32%*** | | | | | | 4.39% | | | | | | 4.48% | | | | | | 3.63% | | | | | | 3.52% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.27%*** | | | | | | 0.02% | | | | | | 5.26% | | | | | | 0.01%(a) | | | | | | 0.24% | | |
Portfolio turnover | | | | | 37% | | | | | | 136% | | | | | | 99% | | | | | | 73% | | | | | | 82% | | |
Total return - gross* | | | | | 34.00% | | | | | | (6.10%) | | | | | | 34.41% | | | | | | (1.40%) | | | | | | 5.85% | | |
Total return - net* | | | | | 28.50% | | | | | | (6.10%) | | | | | | 27.81% | | | | | | (1.40%) | | | | | | 5.71% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 4.97% | | | | | | 2.66% | | | | | | 3.51% | | | | | | 4.53% | | | | | | 3.02% | | |
Supplemental Information (Unaudited)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (concluded)
Manager | | | Votes For | | | Votes Withheld | | ||||||
Jesse H. Ausubel | | | | | 642,920,722.31 | | | | | | 24,965,932.44 | | |
Bryan McKigney | | | | | 641,115,197.24 | | | | | | 26,771,457.51 | | |
Todd T. Milbourn | | | | | 646,339,590.33 | | | | | | 21,547,064.42 | | |
Michael J. Murphy | | | | | 644,515,803.97 | | | | | | 23,370,850.78 | | |
Luis F. Rubio | | | | | 644,333,324.89 | | | | | | 23,553,329.86 | | |
Janet L. Schinderman | | | | | 642,159,512.07 | | | | | | 25,727,142.68 | | |
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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(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 30, 2019 |
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 30, 2019 |
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer | ||
(Principal Financial Officer) |
Date: | August 30, 2019 |
* | Print the name and title of each signing officer under his or her signature. |