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) |
John Mahon, Esq. |
Schulte Roth & Zabel LLP |
919 3rd Avenue, 24th Floor |
New York, NY 10122 |
(Name and address of agent for service) |
Registrant's telephone number, including area code: 212-667-4225
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Xanthus Fund, L.L.C.
with Report of Independent
Registered Public Accounting Firm
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Management’s Discussion of Company Performance (Unaudited)
Management’s Discussion of Company Performance (Unaudited) (continued)
| Average Annual Total Returns (%) (as of December 31, 2021) | | | 1 Year | | | 5 Year | | | 10 Year | | |||||||||
| Advantage Advisers Xanthus Fund, L.L.C. | | | | | (15.51)% | | | | | | 16.59% | | | | | | 11.39% | | |
| MSCI World Index | | | | | 21.82% | | | | | | 15.02% | | | | | | 12.69% | | |
| MSCI ACWI | | | | | 16.80% | | | | | | 12.33% | | | | | | 9.68% | | |
Management’s Discussion of Company Performance (Unaudited) (concluded)
Advantage Advisers Xanthus Fund, L.L.C.
February 25, 2022
Statement of Assets, Liabilities and Members’ Capital
| | | December 31, 2021 | | |||
Assets | | | | | | | |
Investments in securities, at fair value (cost $2,756,546,163) | | | | $ | 4,235,260,405 | | |
Purchased options, at fair value (cost $184,258,872) | | | | | 160,921,080 | | |
Cash and cash equivalents (including United States Dollars of $212,108,813, Hong Kong Dollars of $4,273,191 with a cost of $4,274,253, Japanese Yen of $1,260,464 with a cost of $1,264,349, of which $177,024,639 is restricted cash) | | | | | 217,642,468 | | |
Receivable for investment securities sold | | | | | 219,156,898 | | |
Unrealized gain on total return swap contracts | | | | | 176,653,422 | | |
Due from brokers (including United States Dollars of $1,786,553, Euros of $6,571,283 with a cost of $6,583,357, Hong Kong Dollars of $2,478,408 with a cost of $2,482,992 and Japanese Yen of $976,833 with a cost of $1,000,417, all of which is restricted cash) | | | | | 11,813,078 | | |
Dividends receivable | | | | | 642,988 | | |
Other assets | | | | | 147,793 | | |
Total assets | | | | | 5,022,238,132 | | |
Liabilities | | | | | | | |
Securities sold, not yet purchased, at fair value (proceeds $1,054,011,405) | | | | | 1,034,709,225 | | |
Due to brokers (including United States Dollars of $449,890,222 and Euros of $1,463 with a cost of $1,447) | | | | | 449,891,685 | | |
Withdrawals payable (see Note 3) | | | | | 105,791,794 | | |
Payable for investment securities purchased | | | | | 91,695,687 | | |
Unrealized loss on total return swap contracts | | | | | 22,357,080 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,793,343 | | |
Accounting and investor services fees payable | | | | | 151,079 | | |
Accrued expenses | | | | | 2,910,953 | | |
Total liabilities | | | | | 1,709,300,846 | | |
Members’ Capital | | | | $ | 3,312,937,286 | | |
Members’ Capital | | | | | | | |
Represented by: | | | | | | | |
Net capital contributions | | | | $ | 1,308,268,721 | | |
Total earnings (loss) | | | | | 2,004,668,565 | | |
Members’ Capital | | | | $ | 3,312,937,286 | | |
Schedule of Portfolio Investments
| Shares | | | | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – 127.84% | | | | | | | | | | | | | |
| | | | | | | United States – 96.72% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 2.85% | | | | | | | | | | | | | |
| | | 380,571 | | | | Raytheon Technologies Corp. | | | | | (a) | | | | | $ | 32,751,940 | | |
| | | 96,971 | | | | TransDigm Group, Inc.* | | | | | (a) | | | | | | 61,700,708 | | |
| | | | | | | | | | | | | | | | | | 94,452,648 | | |
| | | | | | | Applications Software – 8.21% | | | | | | | | | | | | | |
| | | 202,134 | | | | Confluent, Inc., Class A* | | | | | | | | | | | 15,410,696 | | |
| | | 123,542 | | | | Elastic NV* | | | | | | | | | | | 15,206,785 | | |
| | | 472,658 | | | | Five9, Inc.* | | | | | (a) | | | | | | 64,905,397 | | |
| | | 357,543 | | | | Microsoft Corp. | | | | | (a) | | | | | | 120,248,862 | | |
| | | 62,125 | | | | Procore Technologies, Inc.* | | | | | | | | | | | 4,968,136 | | |
| | | 147,823 | | | | PTC, Inc.* | | | | | | | | | | | 17,908,756 | | |
| | | 432,339 | | | | Smartsheet, Inc., Class A* | | | | | (a) | | | | | | 33,484,656 | | |
| | | | | | | | | | | | | | | | | | 272,133,288 | | |
| | | | | | | Building Products - Cement / Aggregate – 1.14% | | | | | | | | | | | | | |
| | | 40,302 | | | | Martin Marietta Materials, Inc. | | | | | | | | | | | 17,753,837 | | |
| | | 95,934 | | | | Vulcan Materials Co. | | | | | | | | | | | 19,913,980 | | |
| | | | | | | | | | | | | | | | | | 37,667,817 | | |
| | | | | | | Coatings / Paint – 1.09% | | | | | | | | | | | | | |
| | | 102,176 | | | | The Sherwin-Williams Co. | | | | | (a) | | | | | | 35,982,300 | | |
| | | | | | | Commercial Services – 1.52% | | | | | | | | | | | | | |
| | | 60,917 | | | | Cintas Corp. | | | | | (a) | | | | | | 26,996,587 | | |
| | | 296,322 | | | | CoStar Group, Inc.* | | | | | | | | | | | 23,418,328 | | |
| | | | | | | | | | | | | | | | | | 50,414,915 | | |
| | | | | | | Commercial Services - Finance – 4.67% | | | | | | | | | | | | | |
| | | 71,294 | | | | Equifax, Inc. | | | | | | | | | | | 20,874,170 | | |
| | | 105,387 | | | | Global Payments, Inc. | | | | | | | | | | | 14,246,215 | | |
| | | 123,573 | | | | PayPal Holdings, Inc.* | | | | | | | | | | | 23,303,396 | | |
| | | 98,598 | | | | S&P Global, Inc. | | | | | (a) | | | | | | 46,531,354 | | |
| | | 65,332 | | | | Square, Inc., Class A* | | | | | | | | | | | 10,551,771 | | |
| | | 331,695 | | | | TransUnion | | | | | | | | | | | 39,332,393 | | |
| | | | | | | | | | | | | | | | | | 154,839,299 | | |
| | | | | | | Communications Software – 3.34% | | | | | | | | | | | | | |
| | | 799,773 | | | | Avaya Holdings Corp.* | | | | | | | | | | | 15,835,505 | | |
| | | 505,588 | | | | RingCentral, Inc., Class A* | | | | | | | | | | | 94,721,912 | | |
| | | | | | | | | | | | | | | | | | 110,557,417 | | |
| | | | | | | Computer Aided Design – 9.52% | | | | | | | | | | | | | |
| | | 40,707 | | | | Altair Engineering, Inc.* | | | | | | | | | | | 3,147,465 | | |
| | | 11,430 | | | | ANSYS, Inc.* | | | | | | | | | | | 4,584,802 | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Computer Aided Design – (continued) | | | | ||||||||||
| | | 46,978 | | | | Aspen Technology, Inc.* | | | | | | | | | | $ | 7,150,052 | | |
| | | 725,418 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 135,181,644 | | |
| | | 448,671 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 165,335,264 | | |
| | | | | | | | | | | | | | | | | | 315,399,227 | | |
| | | | | | | Computer Software – 2.21% | | | | | | | | | | | | | |
| | | 346,564 | | | | Dynatrace, Inc.* | | | | | | | | | | | 20,915,137 | | |
| | | 111,094 | | | | Twilio, Inc., Class A* | | | | | | | | | | | 29,255,494 | | |
| | | 359,846 | | | | ZoomInfo Technologies, Inc., Class A* | | | | | | | | | | | 23,102,113 | | |
| | | | | | | | | | | | | | | | | | 73,272,744 | | |
| | | | | | | Computers – 1.07% | | | | | | | | | | | | | |
| | | 198,971 | | | | Apple, Inc. | | | | | (a) | | | | | | 35,331,280 | | |
| | | | | | | Consulting Services – 1.70% | | | | | | | | | | | | | |
| | | 168,289 | | | | Gartner, Inc.* | | | | | (a) | | | | | | 56,262,378 | | |
| | | | | | | E-Commerce / Products – 4.04% | | | | | | | | | | | | | |
| | | 40,115 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 133,757,049 | | |
| | | | | | | E-Commerce / Services – 5.60% | | | | | | | | | | | | | |
| | | 271,463 | | | | DoorDash, Inc., Class A* | | | | | (a) | | | | | | 40,420,841 | | |
| | | 407,325 | | | | Expedia Group, Inc.* | | | | | | | | | | | 73,611,774 | | |
| | | 452,127 | | | | Marqeta, Inc., Class A* | | | | | | | | | | | 7,763,021 | | |
| | | 1,126,758 | | | | Uber Technologies, Inc.* | | | | | (a) | | | | | | 47,244,963 | | |
| | | 255,726 | | | | Zillow Group, Inc., Class C* | | | | | | | | | | | 16,328,105 | | |
| | | | | | | | | | | | | | | | | | 185,368,704 | | |
| | | | | | | Energy - Alternate Sources – 0.06% | | | | | | | | | | | | | |
| | | 110,990 | | | | Stem, Inc.* | | | | | | | | | | | 2,105,480 | | |
| | | | | | | Enterprise Software / Services – 6.13% | | | | | | | | | | | | | |
| | | 439,999 | | | | Avalara, Inc.* | | | | | (a) | | | | | | 56,808,271 | | |
| | | 129,768 | | | | Coupa Software, Inc.* | | | | | (a) | | | | | | 20,509,832 | | |
| | | 627,743 | | | | Qualtrics International, Inc., Class A* | | | | | | | | | | | 22,222,102 | | |
| | | 754,979 | | | | SS&C Technologies Holdings, Inc. | | | | | (a) | | | | | | 61,893,178 | | |
| | | 966,181 | | | | UiPath, Inc., Class A* | | | | | | | | | | | 41,671,387 | | |
| | | | | | | | | | | | | | | | | | 203,104,770 | | |
| | | | | | | Entertainment Software – 0.64% | | | | | | | | | | | | | |
| | | 136,099 | | | | Activision Blizzard, Inc. | | | | | | | | | | | 9,054,666 | | |
| | | 68,203 | | | | Take-Two Interactive Software, Inc.* | | | | | | | | | | | 12,121,037 | | |
| | | | | | | | | | | | | | | | | | 21,175,703 | | |
| | | | | | | Finance - Credit Card – 3.35% | | | | | | | | | | | | | |
| | | 155,950 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 56,035,954 | | |
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Finance - Credit Card – (continued) | | | | ||||||||||
| | | 253,621 | | | | Visa, Inc., Class A | | | | | (a) | | | | | $ | 54,962,207 | | |
| | | | | | | | | | | | | | | | | | 110,998,161 | | |
| | | | | | | Finance - Other Services – 2.73% | | | | | | | | | | | | | |
| | | 59,287 | | | | Coinbase Global, Inc., Class A* | | | | | | | | | | | 14,962,260 | | |
| | | 552,008 | | | | Intercontinental Exchange, Inc. | | | | | (a) | | | | | | 75,498,134 | | |
| | | | | | | | | | | | | | | | | | 90,460,394 | | |
| | | | | | | Human Resources – 0.89% | | | | | | | | | | | | | |
| | | 125,417 | | | | Paylocity Holding Corp.* | | | | | (a) | | | | | | 29,618,479 | | |
| | | | | | | Internet Application Software – 0.97% | | | | | | | | | | | | | |
| | | 563,474 | | | | Anaplan, Inc.* | | | | | | | | | | | 25,835,283 | | |
| | | 28,514 | | | | Okta, Inc.* | | | | | | | | | | | 6,391,983 | | |
| | | | | | | | | | | | | | | | | | 32,227,266 | | |
| | | | | | | Internet Content - Entertainment – 4.20% | | | | | | | | | | | | | |
| | | 413,785 | | | | Meta Platforms, Inc., Class A* | | | | | (a) | | | | | | 139,176,585 | | |
| | | | | | | Medical - Biomedical / Genetics – 3.07% | | | | | | | | | | | | | |
| | | 357,510 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 7,561,337 | | |
| | | 103,756 | | | | Allovir, Inc.* | | | | | | | | | | | 1,342,603 | | |
| | | 142,524 | | | | Avidity Biosciences, Inc.* | | | | | | | | | | | 3,387,795 | | |
| | | 176,502 | | | | Blueprint Medicines Corp.* | | | | | (a) | | | | | | 18,905,129 | | |
| | | 168,000 | | | | Caribou Biosciences, Inc.* | | | | | | | | | | | 2,535,120 | | |
| | | 256,266 | | | | Cerevel Therapeutics Holdings, Inc.* | | | | | | | | | | | 8,308,144 | | |
| | | 540,664 | | | | Certara, Inc.* | | | | | | | | | | | 15,365,671 | | |
| | | 129,281 | | | | IGM Biosciences, Inc.* | | | | | | | | | | | 3,791,812 | | |
| | | 243,417 | | | | Karyopharm Therapeutics, Inc.* | | | | | | | | | | | 1,565,171 | | |
| | | 113,204 | | | | Keros Therapeutics, Inc.* | | | | | | | | | | | 6,623,566 | | |
| | | 354,960 | | | | Sema4 Holdings Corp.* | | | | | | | | | | | 1,583,122 | | |
| | | 247,499 | | | | Tg Therapeutics Inc | | | | | | | | | | | 4,702,481 | | |
| | | 308,124 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | (a) | | | | | | 25,910,147 | | |
| | | | | | | | | | | | | | | | | | 101,582,098 | | |
| | | | | | | Medical - Drugs – 0.23% | | | | | | | | | | | | | |
| | | 193,814 | | | | ORIC Pharmaceuticals, Inc.* | | | | | | | | | | | 2,849,066 | | |
| | | 211,617 | | | | PMV Pharmaceuticals, Inc.* | | | | | | | | | | | 4,888,353 | | |
| | | | | | | | | | | | | | | | | | 7,737,419 | | |
| | | | | | | Medical Information Systems – 0.08% | | | | | | | | | | | | | |
| | | 80,754 | | | | Schrodinger, Inc.* | | | | | | | | | | | 2,812,662 | | |
| | | | | | | Medical Labs & Testing Services – 0.16% | | | | | | | | | | | | | |
| | | 41,205 | | | | Catalent, Inc.* | | | | | | | | | | | 5,275,476 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Metal Processors & Fabrication – 0.08% | | | | | | | | | | | | | |
| | | 50,757 | | | | Xometry, Inc., Class A* | | | | | | | | | | $ | 2,601,296 | | |
| | | | | | | REITs - Diversified – 3.74% | | | | | | | | | | | | | |
| | | 196,283 | | | | American Tower Corp. | | | | | | | | | | | 57,412,778 | | |
| | | 78,431 | | | | Equinix, Inc. | | | | | | | | | | | 66,340,077 | | |
| | | | | | | | | | | | | | | | | | 123,752,855 | | |
| | | | | | | Retail - Apparel / Shoes – 2.28% | | | | | | | | | | | | | |
| | | 161,417 | | | | Burlington Stores, Inc.* | | | | | (a) | | | | | | 47,054,670 | | |
| | | 248,975 | | | | Ross Stores, Inc. | | | | | (a) | | | | | | 28,452,863 | | |
| | | | | | | | | | | | | | | | | | 75,507,533 | | |
| | | | | | | Retail - Building Products – 0.76% | | | | | | | | | | | | | |
| | | 97,333 | | | | Lowe’s Cos., Inc. | | | | | (a) | | | | | | 25,158,634 | | |
| | | | | | | Retail - Discount – 0.58% | | | | | | | | | | | | | |
| | | 80,879 | | | | Dollar General Corp. | | | | | (a) | | | | | | 19,073,695 | | |
| | | | | | | Retail - Major Department Stores – 2.22% | | | | | | | | | | | | | |
| | | 969,163 | | | | The TJX Cos., Inc. | | | | | (a) | | | | | | 73,578,855 | | |
| | | | | | | Retail - Restaurants – 3.43% | | | | | | | | | | | | | |
| | | 38,697 | | | | Chipotle Mexican Grill, Inc.* | | | | | (a) | | | | | | 67,652,030 | | |
| | | 330,983 | | | | Yum! Brands, Inc. | | | | | | | | | | | 45,960,299 | | |
| | | | | | | | | | | | | | | | | | 113,612,329 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 5.85% | | | | | | | | | | | | | |
| | | 376,805 | | | | Analog Devices, Inc. | | | | | | | | | | | 66,231,015 | | |
| | | 697,940 | | | | QUALCOMM, Inc. | | | | | | | | | | | 127,632,288 | | |
| | | | | | | | | | | | | | | | | | 193,863,303 | | |
| | | | | | | Semiconductor Equipment – 7.91% | | | | | | | | | | | | | |
| | | 223,432 | | | | KLA Corp. | | | | | (a) | | | | | | 96,100,338 | | |
| | | 104,100 | | | | Lam Research Corp. | | | | | (a) | | | | | | 74,863,515 | | |
| | | 556,282 | | | | Teradyne, Inc. | | | | | (a) | | | | | | 90,968,795 | | |
| | | | | | | | | | | | | | | | | | 261,932,648 | | |
| | | | | | | Therapeutics – 0.40% | | | | | | | | | | | | | |
| | | 148,725 | | | | Sarepta Therapeutics, Inc.* | | | | | | | | | | | 13,392,686 | | |
| | | | | | | Total United States (Cost $1,970,497,977) | | | | | | | | | | $ | 3,204,187,393 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Argentina – 3.29% | | | | | | | | | | | | | |
| | | | | | | E-Commerce / Services – 3.29% | | | | | | | | | | | | | |
| | | 80,861 | | | | MercadoLibre, Inc.* | | | | | (a) | | | | | | 109,032,972 | | |
| | | | | | | Total Argentina (Cost $70,864,171) | | | | | | | | | | $ | 109,032,972 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | Australia – 1.82% | | | | | | | | | | | | | |
| | | | | | | Enterprise Software / Services – 1.82% | | | | | | | | | | | | | |
| | | 158,277 | | | | Atlassian Corp. PLC, Class A* | | | | | | | | | | $ | 60,349,437 | | |
| | | | | | | Total Australia (Cost $36,710,316) | | | | | | | | | | $ | 60,349,437 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Brazil – 0.59% | | | | | | | | | | | | | |
| | | | | | | Finance - Investment Banker / Brokers – 0.59% | | | | | | | | | | | | | |
| | | 685,265 | | | | XP, Inc., Class A* | | | | | | | | | | | 19,694,516 | | |
| | | | | | | Total Brazil (Cost $18,748,436) | | | | | | | | | | $ | 19,694,516 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Canada – 2.37% | | | | | | | | | | | | | |
| | | | | | | Internet Application Software – 2.37% | | | | | | | | | | | | | |
| | | 57,077 | | | | Shopify, Inc., Class A* | | | | | (a) | | | | | | 78,617,289 | | |
| | | | | | | Total Canada (Cost $30,022,361) | | | | | | | | | | $ | 78,617,289 | | |
| | | | | | | | | ||||||||||||
| | | | | | | China – 9.00% | | | | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 3.90% | | | | | | | | | | | | | |
| | | 613,187 | | | | Alibaba Group Holding, Ltd. – Sponsored ADR* | | | | | | | | | | | 72,840,484 | | |
| | | 673,779 | | | | JD.com, Inc. – Sponsored ADR* | | | | | | | | | | | 47,211,695 | | |
| | | 136,294 | | | | Pinduoduo, Inc. – Sponsored ADR* | | | | | | | | | | | 7,945,940 | | |
��� | | | 552,136 | | | | Yatsen Holding, Ltd. – Sponsored ADR* | | | | | | | | | | | 1,187,092 | | |
| | | | | | | | | | | | | | | | | | 129,185,211 | | |
| | | | | | | E-Commerce / Services – 0.25% | | | | | | | | | | | | | |
| | | 331,179 | | | | Trip.com Group, Ltd. – Sponsored ADR* | | | | | | | | | | | 8,153,627 | | |
| | | | | | | Enterprise Software / Services – 0.27% | | | | | | | | | | | | | |
| | | 3,947,447 | | | | Ming Yuan Cloud Group Holdings, Ltd. | | | | | | | | | | | 8,992,299 | | |
| | | | | | | Entertainment Software – 1.18% | | | | | | | | | | | | | |
| | | 70,162 | | | | Bilibili, Inc. – Sponsored ADR* | | | | | | | | | | | 3,255,517 | | |
| | | 352,867 | | | | NetEase, Inc. – Sponsored ADR | | | | | | | | | | | 35,914,803 | | |
| | | | | | | | | | | | | | | | | | 39,170,320 | | |
| | | | | | | Internet Content - Information Networks – 1.75% | | | | | | | | | | | | | |
| | | 1,527,500 | | | | Meituan, Class B* | | | | | | | | | | | 44,161,782 | | |
| | | 235,300 | | | | Tencent Holdings, Ltd. | | | | | | | | | | | 13,786,673 | | |
| | | | | | | | | | | | | | | | | | 57,948,455 | | |
| | | | | | | Real Estate Management / Services – 0.84% | | | | | | | | | | | | | |
| | | 1,375,240 | | | | KE Holdings, Inc. – Sponsored ADR* | | | | | | | | | | | 27,669,829 | | |
| | | | | | | Transport – Services – 0.21% | | | | | | | | | | | | | |
| | | 849,305 | | | | Full Truck Alliance Co., Ltd. – Sponsored ADR* | | | | | | | | | | | 7,108,683 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – (continued) | | | | |||||||
| | | | | | | Web Portals / ISP – 0.60% | | | | | | | | | | |
| | | 134,464 | | | | Baidu, Inc. – Sponsored ADR* | | | | | | | $ | 20,006,898 | | |
| | | | | | | Total China (Cost $280,632,846) | | | | | | | $ | 298,235,322 | | |
| | | | | | | | | |||||||||
| | | | | | | France – 5.82% | | | | | | | | | | |
| | | | | | | Aerospace / Defense - Equipment – 4.07% | | | | | | | | | | |
| | | 623,473 | | | | Airbus SE* | | | | | | | | 79,664,756 | | |
| | | 449,366 | | | | Safran SA | | | | | | | | 55,016,307 | | |
| | | | | | | | | | | | | | | 134,681,063 | | |
| | | | | | | Apparel Manufacturers – 0.37% | | | | | | | | | | |
| | | 15,372 | | | | Kering SA | | | | | | | | 12,357,346 | | |
| | | | | | | Entertainment Software – 0.14% | | | | | | | | | | |
| | | 97,910 | | | | Ubisoft Entertainment SA* | | | | | | | | 4,795,554 | | |
| | | | | | | Textile - Apparel – 1.24% | | | | | | | | | | |
| | | 49,605 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | | | | 41,010,656 | | |
| | | | | | | Total France (Cost $171,961,748) | | | | | | | $ | 192,844,619 | | |
| | | | | | | | | |||||||||
| | | | | | | Germany – 1.45% | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 0.54% | | | | | | | | | | |
| | | 87,652 | | | | MTU Aero Engines AG | | | | | | | | 17,882,207 | | |
| | | | | | | Athletic Footwear – 0.91% | | | | | | | | | | |
| | | 104,396 | | | | adidas AG | | | | | | | | 30,059,684 | | |
| | | | | | | Total Germany (Cost $38,754,881) | | | | | | | $ | 47,941,891 | | |
| | | | | | | | | |||||||||
| | | | | | | Hong Kong – 0.02% | | | | | | | | | | |
| | | | | | | Casino Hotels – 0.02% | | | | | | | | | | |
| | | 134,000 | | | | Galaxy Entertainment Group, Ltd. | | | | | | | | 694,381 | | |
| | | | | | | Total Hong Kong (Cost $691,346) | | | | | | | $ | 694,381 | | |
| | | | | | | | | |||||||||
| | | | | | | Israel – 0.14% | | | | | | | | | | |
| | | | | | | Applications Software – 0.14% | | | | | | | | | | |
| | | 151,286 | | | | JFrog, Ltd.* | | | | | | | | 4,493,194 | | |
| | | | | | | Total Israel (Cost $8,252,931) | | | | | | | $ | 4,493,194 | | |
| | | | | | | | | |||||||||
| | | | | | | Japan – 3.52% | | | | | | | | | | |
| | | | | | | Audio / Video Products – 2.49% | | | | | | | | | | |
| | | 657,300 | | | | Sony Group Corp.* | | | | | | | | 82,622,704 | | |
|
Schedule of Portfolio Investments (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Japan – (continued) | | | | |||||||
| | | | | | | Finance - Other Services – 0.32% | | | | | | | | | | |
| | | 486,778 | | | | Japan Exchange Group, Inc.* | | | | | | | $ | 10,643,976 | | |
| | | | | | | Web Portals / ISP – 0.71% | | | | | | | | | | |
| | | 4,009,903 | | | | Z Holdings Corp.* | | | | | | | | 23,240,061 | | |
| | | | | | | Total Japan (Cost $70,474,569) | | | | | | | $ | 116,506,741 | | |
| | | | | | | | | |||||||||
| | | | | | | Singapore – 0.89% | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 0.89% | | | | | | | | | | |
| | | 132,222 | | | | Sea, Ltd. - Sponsored ADR* | | | | | | | | 29,579,384 | | |
| | | | | | | Total Singapore (Cost $3,686,426) | | | | | | | $ | 29,579,384 | | |
| | | | | | | | | |||||||||
| | | | | | | Taiwan – 1.96% | | | | | | | | | | |
| | | | | | | Semiconductor Components – Integrated Circuits – 1.96% | | | | | | | | | | |
| | | 539,350 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. - Sponsored ADR | | | | | | | | 64,889,199 | | |
| | | | | | | Total Taiwan (Cost $47,398,891) | | | | | | | $ | 64,889,199 | | |
| | | | | | | | | |||||||||
| | | | | | | Uruguay – 0.25% | | | | | | | | | | |
| | | | | | | Commercial Services – Finance – 0.25% | | | | | | | | | | |
| | | 229,590 | | | | Dlocal, Ltd.* | | | | | | | | 8,194,067 | | |
| | | | | | | Total Uruguay (Cost $7,849,264) | | | | | | | $ | 8,194,067 | | |
| | | | | | | Total Common Stock (Cost $2,756,546,163) | | | | | | | $ | 4,235,260,405 | | |
| | | | | | | Total Investments in Securities (Cost $2,756,546,163) – 127.84% | | | | | | | $ | 4,235,260,405 | | |
| | | | | | | Total Purchased Options (Cost $184,258,872) – 4.86% | | | | | | | | 160,921,080 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,054,011,405) – (31.23)% | | | | | | | | (1,034,709,225) | | |
| | | | | | | Other Liabilities, in Excess of Assets – (1.47)%** | | | | | | | | (48,534,974) | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | $ | 3,312,937,286 | | |
|
Schedule of Portfolio Investments (concluded)
Investments in Securities – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 3.39 | | |
Aerospace / Defense - Equipment | | | | | 4.07 | | |
Apparel Manufacturers | | | | | 0.37 | | |
Applications Software | | | | | 8.35 | | |
Athletic Footwear | | | | | 0.91 | | |
Audio / Video Products | | | | | 2.49 | | |
Building Products - Cement / Aggregate | | | | | 1.14 | | |
Casino Hotels | | | | | 0.02 | | |
Coatings / Paint | | | | | 1.09 | | |
Commercial Services | | | | | 1.52 | | |
Commercial Services - Finance | | | | | 4.92 | | |
Communications Software | | | | | 3.34 | | |
Computer Aided Design | | | | | 9.52 | | |
Computer Software | | | | | 2.21 | | |
Computers | | | | | 1.07 | | |
Consulting Services | | | | | 1.70 | | |
E-Commerce / Products | | | | | 8.83 | | |
E-Commerce / Services | | | | | 9.14 | | |
Energy - Alternate Sources | | | | | 0.06 | | |
Enterprise Software / Services | | | | | 8.22 | | |
Entertainment Software | | | | | 1.96 | | |
Finance - Credit Card | | | | | 3.35 | | |
Finance - Invest Banker / Broker | | | | | 0.59 | | |
Finance - Other Services | | | | | 3.05 | | |
Investments in Securities – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Human Resources | | | | | 0.89 | | |
Internet Application Software | | | | | 3.34 | | |
Internet Content - Entertainment | | | | | 4.20 | | |
Internet Content - Information / Networks | | | | | 1.75 | | |
Medical - Biomedical / Genetics | | | | | 3.07 | | |
Medical - Drugs | | | | | 0.23 | | |
Medical Information Systems | | | | | 0.08 | | |
Medical Labs & Testing Services | | | | | 0.16 | | |
Metal Processors & Fabrication | | | | | 0.08 | | |
Real Estate Management / Services | | | | | 0.84 | | |
REITs - Diversified | | | | | 3.74 | | |
Retail - Apparel / Shoes | | | | | 2.28 | | |
Retail - Building Products | | | | | 0.76 | | |
Retail - Discount | | | | | 0.58 | | |
Retail - Major Department Stores | | | | | 2.22 | | |
Retail - Restaurants | | | | | 3.43 | | |
Semiconductor Components - Integrated Circuits | | | | | 7.81 | | |
Semiconductor Equipment | | | | | 7.91 | | |
Textile - Apparel | | | | | 1.24 | | |
Therapeutics | | | | | 0.40 | | |
Transport - Services | | | | | 0.21 | | |
Web Portals / ISP | | | | | 1.31 | | |
Total Investments in Securities | | | | | 127.84% | | |
|
Schedule of Purchased Options
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2021 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – 4.86% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 4.64% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Call Options – 2.39% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 1.84% | | | | | | | |
| | | | | | | | | | | | | | | | Commercial Services - Finance – 0.03% | | | |||||
| | $ | 25,123,000 | | | | | | 1,358 | | | | 3/18/2022 $185 | | | H&R Block, Inc. | | | | $ | 848,750 | | |
| | | | | | | | | | | | | | | | Communications Software – 0.30% | | | |||||
| | | 6,720,000 | | | | | | 336 | | | | 3/18/2022 $200 | | | RingCentral, Inc., Class A | | | | | 497,952 | | |
| | | 6,345,500 | | | | | | 343 | | | | 4/14/2022 $185 | | | RingCentral, Inc., Class A | | | | | 764,890 | | |
| | | 38,106,000 | | | | | | 2,117 | | | | 2/18/2022 $180 | | | Zoom Video Communications, Inc. | | | | | 3,264,414 | | |
| | | 34,289,000 | | | | | | 2,017 | | | | 3/18/2022 $170 | | | Zoom Video Communications, Inc. | | | | | 5,284,540 | | |
| | | | | | | | | | | | | | | | | | | | | 9,811,796 | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 0.13% | | | |||||
| | | 53,865,000 | | | | | | 171 | | | | 2/18/2022 $3,150 | | | Amazon.com, Inc. | | | | | 4,317,750 | | |
| | | | | | | | | | | | | | | | E-Commerce / Services – 0.29% | | | |||||
| | | 54,234,000 | | | | | | 262 | | | | 3/18/2022 $2,070 | | | Booking Holdings, Inc. | | | | | 9,628,500 | | |
| | | | | | | | | | | | | | | | Electronic Component - Semiconductor – 0.13% | | | |||||
| | | 29,052,000 | | | | | | 1,076 | | | | 3/18/2022 $270 | | | NVIDIA Corp. | | | | | 4,212,540 | | |
| | | | | | | | | | | | | | | | Hotels & Motels – 0.43% | | | |||||
| | | 40,100,500 | | | | | | 3,487 | | | | 4/14/2022 $115 | | | Hilton Worldwide Holdings, Inc. | | | | | 14,122,350 | | |
| | | | | | | | | | | | | | | | Internet Content - Entertainment – 0.10% | | | |||||
| | | 29,202,000 | | | | | | 942 | | | | 2/18/2022 $310 | | | Meta Platforms, Inc., Class A | | | | | 3,380,838 | | |
| | | | | | | | | | | | | | | | Multimedia – 0.03% | | | |||||
| | | 31,792,000 | | | | | | 1,987 | | | | 3/18/2022 $160 | | | The Walt Disney Co. | | | | | 1,088,876 | | |
| | | | | | | | | | | | | | | | Semiconductor Components - Integrated Circuits – 0.22% | | | |||||
| | | 43,024,000 | | | | | | 2,689 | | | | 3/18/2022 $160 | | | QUALCOMM, Inc. | | | | | 7,429,707 | | |
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2021 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Web Portals / ISP – 0.18% | | | |||||
| | $ | 31,320,000 | | | | | | 116 | | | | 2/18/2022 $2,700 | | | Alphabet, Inc., Class A | | | | $ | 2,789,800 | | |
| | | 46,200,000 | | | | | | 168 | | | | 2/18/2022 $2,750 | | | Alphabet, Inc., Class A | | | | | 3,395,280 | | |
| | | | | | | | | | | | | | | | | | | | | 6,185,080 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $71,782,960) | | | | $ | 61,026,187 | | |
| | | | | | | | | | | | | | | | Australia – 0.28% | | | | | | | |
| | | | | | | | | | | | | | | | Enterprise Software / Services – 0.28% | | | | | | | |
| | | 40,928,000 | | | | | | 1,279 | | | | 3/18/2022 $320 | | | Atlassian Corp. PLC, Class A | | | | | 9,170,430 | | |
| | | | | | | | | | | | | | | | Total Australia (Cost $9,217,780) | | | | $ | 9,170,430 | | |
| | | | | | | | | | | | | | | | Canada – 0.15% | | | | | | | |
| | | | | | | | | | | | | | | | Internet Application Software – 0.15% | | | |||||
| | | 14,280,000 | | | | | | 119 | | | | 1/21/2022 $1,200 | | | Shopify, Inc., Class A | | | | | 2,137,240 | | |
| | | 27,030,000 | | | | | | 204 | | | | 3/18/2022 $1,325 | | | Shopify, Inc., Class A | | | | | 2,847,840 | | |
| | | | | | | | | | | | | | | | Total Canada (Cost $5,713,486) | | | | $ | 4,985,080 | | |
| | | | | | | | | | | | | | | | China – 0.12% | | | | | | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 0.12% | | | |||||
| | | 16,860,000 | | | | | | 1,686 | | | | 3/18/2022 $100 | | | Alibaba Group Holding, Ltd. – Sponsored ADR | | | | | 4,155,990 | | |
| | | | | | | | | | | | | | | | Total China (Cost $3,474,684) | | | | $ | 4,155,990 | | |
| | | | | | | | | | | | | | | | Total Equity Call Options (Cost $90,188,910) | | | | $ | 79,337,687 | | |
| | | | | | | | | | ||||||||||||||
| | | | | | | | | | | | | | | | Equity Put Options – 2.25% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 2.25% | | | | | | | |
| | | | | | | | | | | | | | | | Computers – 0.07% | | | |||||
| | | 35,353,500 | | | | | | 1,911 | | | | 2/18/2022 $185 | | | Apple, Inc. | | | | | 2,168,985 | | |
| | | | | | | | | | | | | | | | Growth & Income - Large Cap – 0.50% | | | |||||
| | | 177,704,200 | | | | | | 4,211 | | | | 6/17/2022 $422 | | | SPDR S&P 500 ETF Trust | | | | | 4,493,137 | | |
| | | 430,531,200 | | | | | | 9,966 | | | | 6/17/2022 $432 | | | SPDR S&P 500 ETF Trust | | | | | 12,148,554 | | |
| | | | | | | | | | | | | | | | | | | | | 16,641,691 | | |
|
Schedule of Purchased Options (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | December 31, 2021 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Put Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Sector Fund - Technology – 1.68% | | | |||||
| | $ | 522,860,800 | | | | | | 14,854 | | | | 6/17/2022 $352 | | | Invesco QQQ Trust Series 1 | | | | $ | 16,562,210 | | |
| | | 1,177,606,000 | | | | | | 33,172 | | | | 6/17/2022 $355 | | | Invesco QQQ Trust Series 1 | | | | | 38,943,928 | | |
| | | | | | | | | | | | | | | | | | | | | 55,506,138 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $85,444,244) | | | | $ | 74,316,814 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Cost $85,444,244) | | | | $ | 74,316,814 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Cost $175,633,154) | | | | $ | 153,654,501 | | |
| | | | | | | | | | | | | | | | Currency Put Options – 0.22% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.22% | | | |||||
| | | 11,946,931 | | | | | | 199,115,513 | | | | 6/17/2022 $6.00 | | | USD-BRL | | | | | 6,737,333 | | |
| | | 12,235,336 | | | | | | 181,264,232 | | | | 6/17/2022 $6.75 | | | USD-CNH | | | | | 529,246 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $8,625,718) | | | | $ | 7,266,579 | | |
| | | | | | | | | | | | | | | | Total Currency Put Options (Cost $8,625,718) | | | | $ | 7,266,579 | | |
| | | | | | | | | | | | | | | | Total Purchased Options (Cost $184,258,872) | | | | $ | 160,921,080 | | |
|
Schedule of Purchased Options (concluded)
Purchased Options – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Commercial Services - Finance | | | | | 0.03 | | |
Communications Software | | | | | 0.30 | | |
Computers | | | | | 0.07 | | |
Currency | | | | | 0.22 | | |
E-Commerce / Products | | | | | 0.25 | | |
E-Commerce / Services | | | | | 0.29 | | |
Electronic Components - Semiconductors | | | | | 0.13 | | |
Enterprise Software / Services | | | | | 0.28 | | |
Growth & Income - Large Cap | | | | | 0.50 | | |
Purchased Options – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Hotels & Motels | | | | | 0.43 | | |
Internet Application Software | | | | | 0.15 | | |
Internet Content - Entertainment | | | | | 0.10 | | |
Multimedia | | | | | 0.03 | | |
Sector Fund - Technology | | | | | 1.68 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.22 | | |
Web Portals / ISP | | | | | 0.18 | | |
Total Purchased Options | | | | | 4.86% | | |
|
Schedule of Securities Sold, Not Yet Purchased
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 31.23% | | | | | | | | | | |
| | | | | | | Common Stock – 30.80% | | | | | | | | | | |
| | | | | | | United States – 23.92% | | | | | | | | | | |
| | | | | | | Advertising Agencies – 0.68% | | | | | | | | | | |
| | | 201,270 | | | | Omnicom Group, Inc. | | | | | | | $ | 14,747,053 | | |
| | | 208,322 | | | | The Interpublic Group of Cos., Inc. | | | | | | | | 7,801,659 | | |
| | | | | | | | | | | | | | | 22,548,712 | | |
| | | | | | | Apparel Manufacturers – 0.43% | | | | | | | | | | |
| | | 854,424 | | | | Hanesbrands, Inc. | | | | | | | | 14,285,969 | | |
| | | | | | | Beverages - Non-Alcoholic – 0.16% | | | | | | | | | | |
| | | 91,862 | | | | The Coca-Cola Co. | | | | | | | | 5,439,149 | | |
| | | | | | | Commercial Services – 0.21% | | | | | | | | | | |
| | | 339,828 | | | | Nielsen Holdings PLC | | | | | | | | 6,969,872 | | |
| | | | | | | Commercial Services - Finance – 0.21% | | | | | | | | | | |
| | | 299,534 | | | | H&R Block, Inc. | | | | | | | | 7,057,021 | | |
| | | | | | | Computer Software – 1.21% | | | | | | | | | | |
| | | 19,966 | | | | Bandwidth Inc., Class A* | | | | | | | | 1,432,760 | | |
| | | 80,679 | | | | Cloudflare, Inc., Class A* | | | | | | | | 10,609,289 | | |
| | | 215,142 | | | | Fastly, Inc., Class A* | | | | | | | | 7,626,784 | | |
| | | 27,164 | | | | Snowflake, Inc., Class A* | | | | | | | | 9,201,805 | | |
| | | 152,604 | | | | SolarWinds Corp. | | | | | | | | 2,165,451 | | |
| | | 214,015 | | | | Teradata Corp.* | | | | | | | | 9,089,217 | | |
| | | | | | | | | | | | | | | 40,125,306 | | |
| | | | | | | Computers – 0.34% | | | | | | | | | | |
| | | 87,096 | | | | Hewlett Packard Enterprise Co. | | | | | | | | 1,373,504 | | |
| | | 261,167 | | | | HP, Inc. | | | | | | | | 9,838,161 | | |
| | | | | | | | | | | | | | | 11,211,665 | | |
| | | | | | | Consumer Products - Miscellaneous – 0.89% | | | | | | | | | | |
| | | 206,438 | | | | Kimberly-Clark Corp. | | | | | | | | 29,504,119 | | |
| | | | | | | Cosmetics & Toiletries – 0.79% | | | | | | | | | | |
| | | 121,140 | | | | Colgate-Palmolive Co. | | | | | | | | 10,338,088 | | |
| | | 96,356 | | | | The Procter & Gamble Co. | | | | | | | | 15,761,914 | | |
| | | | | | | | | | | | | | | 26,100,002 | | |
| | | | | | | Data Processing / Management – 0.17% | | | | | | | | | | |
| | | 53,605 | | | | Fiserv, Inc.* | | | | | | | | 5,563,663 | | |
| | | | | | | Diversified Banking Institutions – 0.68% | | | | | | | | | | |
| | | 509,333 | | | | Bank of America Corp. | | | | | | | | 22,660,225 | | |
| | | | | | | E-Commerce / Products – 0.04% | | | | | | | | | | |
| | | 69,369 | | | | Poshmark, Inc., Class A* | | | | | | | | 1,181,354 | | |
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | E-Commerce / Services – 0.07% | | | | | | | | | | |
| | | 86,365 | | | | TripAdvisor, Inc.* | | | | | | | $ | 2,354,310 | | |
| | | | | | | Electric - Distribution – 0.34% | | | | | | | | | | |
| | | 133,188 | | | | Consolidated Edison, Inc. | | | | | | | | 11,363,600 | | |
| | | | | | | Electric - Integrated – 0.91% | | | | | | | | | | |
| | | 113,764 | | | | Duke Energy Corp. | | | | | | | | 11,933,844 | | |
| | | 203,733 | | | | PPL Corp. | | | | | | | | 6,124,214 | | |
| | | 178,618 | | | | The Southern Co. | | | | | | | | 12,249,622 | | |
| | | | | | | | | | | | | | | 30,307,680 | | |
| | | | | | | Electronic Components - Semiconductors – 2.99% | | | | | | | | | | |
| | | 256,011 | | | | Intel Corp. | | | | | | | | 13,184,567 | | |
| | | 121,018 | | | | NVIDIA Corp. | | | | | | | | 35,592,604 | | |
| | | 267,076 | | | | Texas Instruments, Inc. | | | | | | | | 50,335,814 | | |
| | | | | | | | | | | | | | | 99,112,985 | | |
| | | | | | | Electronic Forms – 0.70% | | | | | | | | | | |
| | | 40,747 | | | | Adobe, Inc.* | | | | | | | | 23,105,994 | | |
| | | | | | | Enterprise Software / Services – 1.99% | | | | | | | | | | |
| | | 13,948 | | | | Bill.com Holdings, Inc.* | | | | | | | | 3,475,144 | | |
| | | 67,160 | | | | Oracle Corp. | | | | | | | | 5,857,024 | | |
| | | 121,018 | | | | salesforce.com, Inc.* | | | | | | | | 30,754,304 | | |
| | | 95,076 | | | | Workday, Inc., Class A* | | | | | | | | 25,972,862 | | |
| | | | | | | | | | | | | | | 66,059,334 | | |
| | | | | | | Finance - Credit Card – 0.29% | | | | | | | | | | |
| | | 530,372 | | | | The Western Union Co. | | | | | | | | 9,461,836 | | |
| | | | | | | Food - Confectionery – 0.13% | | | | | | | | | | |
| | | 32,956 | | | | The J M Smucker Co. | | | | | | | | 4,476,084 | | |
| | | | | | | Food - Miscellaneous / Diversified – 2.01% | | | | | | | | | | |
| | | 351,780 | | | | Campbell Soup Co. | | | | | | | | 15,288,359 | | |
| | | 373,511 | | | | Conagra Brands, Inc. | | | | | | | | 12,755,401 | | |
| | | 281,536 | | | | General Mills, Inc. | | | | | | | | 18,969,896 | | |
| | | 305,602 | | | | Kellogg Co. | | | | | | | | 19,686,881 | | |
| | | | | | | | | | | | | | | 66,700,537 | | |
| | | | | | | Internet Application Software – 0.35% | | | | | | | | | | |
| | | 110,081 | | | | Zendesk, Inc.* | | | | | | | | 11,480,347 | | |
| | | | | | | Investment Management / Advisory Services – 0.31% | | | | | | | | | | |
| | | 308,317 | | | | Franklin Resources, Inc. | | | | | | | 10,325,536 | | | |
| | | | | | | Medical - Biomedical / Genetics – 0.45% | | | | | | | | | | |
| | | 65,795 | | | | Amgen, Inc. | | | | | | | | 14,801,901 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Motorcycle / Motor Scooter – 0.09% | | | | | | | | | | |
| | | 76,299 | | | | Harley-Davidson, Inc. | | | | | | | $ | 2,875,709 | | |
| | | | | | | Real Estate Management / Services – 0.14% | | | | | | | | | | |
| | | 278,977 | | | | Realogy Holdings Corp.* | | | | | | | | 4,689,603 | | |
| | | | | | | REITs - Health Care – 0.74% | | | | | | | | | | |
| | | 400,297 | | | | Ventas, Inc. | | | | | | | | 20,463,183 | | |
| | | 45,527 | | | | Welltower, Inc. | | | | | | | | 3,904,851 | | |
| | | | | | | | | | | | | | | 24,368,034 | | |
| | | | | | | REITs - Office Property – 1.88% | | | | | | | | | | |
| | | 81,855 | | | | Boston Properties, Inc. | | | | | | | | 9,428,059 | | |
| | | 223,914 | | | | Brandywine Realty Trust | | | | | | | | 3,004,926 | | |
| | | 278,621 | | | | Douglas Emmett, Inc. | | | | | | | | 9,333,804 | | |
| | | 173,996 | | | | Hudson Pacific Properties, Inc. | | | | | | | | 4,299,441 | | |
| | | 179,289 | | | | Kilroy Realty Corp. | | | | | | | | 11,915,547 | | |
| | | 141,757 | | | | SL Green Realty Corp. | | | | | | | | 10,163,977 | | |
| | | 337,456 | | | | Vornado Realty Trust | | | | | | | | 14,125,908 | | |
| | | | | | | | | | | | | | | 62,271,662 | | |
| | | | | | | REITs - Regional Malls – 0.28% | | | | | | | | | | |
| | | 57,687 | | | | Simon Property Group, Inc. | | | | | | | | 9,216,652 | | |
| | | | | | | REITs - Shopping Centers – 1.35% | | | | | | | | | | |
| | | 150,068 | | | | Brixmor Property Group, Inc. | | | | | | | | 3,813,228 | | |
| | | 113,895 | | | | Federal Realty Investment Trust | | | | | | | | 15,526,166 | | |
| | | 377,903 | | | | Kimco Realty Corp. | | | | | | | | 9,315,309 | | |
| | | 179,676 | | | | Regency Centers Corp. | | | | | | | | 13,538,587 | | |
| | | 125,235 | | | | Urban Edge Properties | | | | | | | | 2,379,465 | | |
| | | | | | | | | | | | | | | 44,572,755 | | |
| | | | | | | REITs - Storage – 0.16% | | | | | | | | | | |
| | | 14,590 | | | | Public Storage | | | | | | | | 5,464,830 | | |
| | | | | | | Retail - Apparel / Shoes – 0.27% | | | | | | | | | | |
| | | 163,579 | | | | Chico’s FAS, Inc.* | | | | | | | | 880,055 | | |
| | | 448,213 | | | | The Gap, Inc. | | | | | | | | 7,910,959 | | |
| | | | | | | | | | | | | | | 8,791,014 | | |
| | | | | | | Retail - Bedding – 0.02% | | | | | | | | | | |
| | | 40,338 | | | | Bed, Bath & Beyond, Inc.* | | | | | | | | 588,128 | | |
| | | | | | | Retail - Major Department Stores – 0.34% | | | | | | | | | | |
| | | 502,829 | | | | Nordstrom, Inc.* | | | | | | | | 11,373,992 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.26% | | | | | | | | | | |
| | | 464,342 | | | | Sally Beauty Holdings, Inc.* | | | | | | | | 8,571,753 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Retail - Regional Department Stores – 0.74% | | | | | | | | | | |
| | | 400,837 | | | | Kohl’s Corp. | | | | | | | $ | 19,797,339 | | |
| | | 175,279 | | | | Macy’s, Inc. | | | | | | | | 4,588,804 | | |
| | | | | | | | | | | | | | | 24,386,143 | | |
| | | | | | | Retail - Restaurants – 0.07% | | | | | | | | | | |
| | | 56,888 | | | | The Cheesecake Factory, Inc.* | | | | | | | | 2,227,165 | | |
| | | | | | | Semiconductor Equipment – 0.52% | | | | | | | | | | |
| | | 110,260 | | | | Applied Materials, Inc. | | | | | | | | 17,350,514 | | |
| | | | | | | Telecommunication Equipment Fiber Optics – 0.21% | | | | | | | | | | |
| | | 186,756 | | | | Corning, Inc. | | | | | | | | 6,952,926 | | |
| | | | | | | Telephone - Integrated – 0.50% | | | | | | | | | | |
| | | 351,674 | | | | AT&T, Inc. | | | | | | | | 8,651,180 | | |
| | | 154,374 | | | | Verizon Communications, Inc. | | | | | | | | 8,021,273 | | |
| | | | | | | | | | | | | | | 16,672,453 | | |
| | | | | | | Total United States (Proceeds $798,667,559) | | | | | | | $ | 792,570,534 | | |
| | | | | | | Brazil – 0.02% | | | | | | | | | | |
| | | | | | | Commercial Services - Finance – 0.02% | | | | | | | | | | |
| | | 32,597 | | | | StoneCo, Ltd., Class A* | | | | | | | | 549,585 | | |
| | | | | | | Total Brazil (Proceeds $1,970,282) | | | | | | | $ | 549,585 | | |
| | | | | | | Canada – 0.15% | | | | | | | | | | |
| | | | | | | Medical - Drugs – 0.03% | | | | | | | | | | |
| | | 119,496 | | | | Canopy Growth Corp.* | | | | | | | | 1,043,535 | | |
| | | | | | | Private Equity – 0.12% | | | | | | | | | | |
| | | 67,911 | | | | Brookfield Asset Management, Inc., Class A | | | | | | | | 4,100,466 | | |
| | | | | | | Total Canada (Proceeds $7,255,400) | | | | | | | $ | 5,144,001 | | |
| | | | | | | China – 0.71% | | | | | | | | | | |
| | | | | | | Computer Software – 0.04% | | | | | | | | | | |
| | | 215,376 | | | | Tuya, Inc. – Sponsored ADR* | | | | | | | | 1,346,100 | | |
| | | | | | | Internet Content - Entertainment – 0.06% | | | | | | | | | | |
| | | 68,748 | | | | Weibo Corp. – Sponsored ADR* | | | | | | | | 2,129,813 | | |
| | | | | | | Metal - Aluminum – 0.03% | | | | | | | | | | |
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd. | | | | | | | | 898,580 | | |
| | | | | | | Retail - Drug Stores – 0.09% | | | | | | | | | | |
| | | 801,100 | | | | Ping An Healthcare and Technology Co., Ltd.* | | | | | | | | 2,913,072 | | |
| | | | | | | Wireless Equipment – 0.49% | | | | | | | | | | |
| | | 6,643,800 | | | | Xiaomi Corp., Class B* | | | | | | | | 16,106,079 | | |
| | | | | | | Total China (Proceeds $32,002,507) | | | | | | | $ | 23,393,644 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | France – 0.55% | | | | | | | | | | |
| | | | | | | Advertising Services – 0.45% | | | | | | | | | | |
| | | 221,780 | | | | Publicis Groupe SA | | | | | | | $ | 14,930,727 | | |
| | | | | | | REITs - Regional Malls – 0.10% | | | | | | | | | | |
| | | 135,520 | | | | Klepierre SA | | | | | | | | 3,213,263 | | |
| | | | | | | Total France (Proceeds $15,491,720) | | | | | | | $ | 18,143,990 | | |
| | | | | | | Germany – 1.25% | | | | | | | | | | |
| | | | | | | Auto - Cars / Light Trucks – 0.52% | | | | | | | | | | |
| | | 109,922 | | | | Bayerische Motoren Werke AG | | | | | | | | 11,061,542 | | |
| | | 80,618 | | | | Daimler AG | | | | | | | | 6,196,570 | | |
| | | | | | | | | | | | | | | 17,258,112 | | |
| | | | | | | Electronic Components - Semiconductors – 0.23% | | | | | | | | | | |
| | | 162,171 | | | | Infineon Technologies AG | | | | | | | | 7,516,994 | | |
| | | | | | | Enterprise Software / Services – 0.50% | | | | | | | | | | |
| | | 117,476 | | | | SAP SE | | | | | | | | 16,685,854 | | |
| | | | | | | Total Germany (Proceeds $40,630,883) | | | | | | | $ | 41,460,960 | | |
| | | | | | | Hong Kong – 0.29% | | | | | | | | | | |
| | | | | | | Electric - Integrated – 0.29% | | | | | | | | | | |
| | | 1,531,000 | | | | Power Assets Holdings, Ltd. | | | | | | | | 9,543,835 | | |
| | | | | | | Total Hong Kong (Proceeds $11,994,500) | | | | | | | $ | 9,543,835 | | |
| | | | | | | Israel – 1.26% | | | | | | | | | | |
| | | | | | | Computer Data Security – 0.80% | | | | | | | | | | |
| | | 227,842 | | | | Check Point Software Technologies, Ltd.* | | | | | | | | 26,557,264 | | |
| | | | | | | Internet Application Software – 0.46% | | | | | | | | | | |
| | | 97,117 | | | | Wix.com, Ltd.* | | | | | | | | 15,324,091 | | |
| | | | | | | Total Israel (Proceeds $45,851,311) | | | | | | | $ | 41,881,355 | | |
| | | | | | | Japan – 0.19% | | | | | | | | | | |
| | | | | | | Building Products - Air & Heating – 0.14% | | | | | | | | | | |
| | | 21,300 | | | | Daikin Industries, Ltd. | | | | | | | | 4,825,818 | | ��� |
| | | | | | | Gas - Distribution – 0.02% | | | | | | | | | | |
| | | 30,200 | | | | Tokyo Gas Co., Ltd. | | | | | | | | 540,770 | | |
| | | | | | | Office Automation & Equipment – 0.03% | | | | | | | | | | |
| | | 54,100 | | | | Seiko Epson Corp. | | | | | | | | 972,959 | | |
| | | | | | | Total Japan (Proceeds $7,168,826) | | | | | | | $ | 6,339,547 | | |
|
Schedule of Securities Sold, Not Yet Purchased (continued)
| Shares | | | | | | | | | December 31, 2021 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Netherlands – 1.75% | | | | | | | | | | |
| | | | | | | Semiconductor Components – Integrated Circuits – 0.75% | | | | | | | | | | |
| | | 109,495 | | | | NXP Semiconductors NV | | | | | | | $ | 24,940,771 | | |
| | | | | | | Semiconductor Equipment – 1.00% | | | | | | | | | | |
| | | 41,684 | | | | ASML Holding NV | | | | | | | | 33,186,300 | | |
| | | | | | | Total Netherlands (Proceeds $55,176,717) | | | | | | | $ | 58,127,071 | | |
| | | | | | | Switzerland – 0.45% | | | | | | | | | | |
| | | | | | | Electronic Components - Semiconductors – 0.19% | | | | | | | | | | |
| | | 129,031 | | | | STMicroelectronics NV | | | | | | | | 6,307,035 | | |
| | | | | | | Medical - Drugs – 0.26% | | | | | | | | | | |
| | | 97,633 | | | | Novartis AG – Sponsored ADR | | | | | | | | 8,539,959 | | |
| | | | | | | Total Switzerland (Proceeds $14,650,882) | | | | | | | $ | 14,846,994 | | |
| | | | | | | Taiwan – 0.16% | | | | | | | | | | |
| | | | | | | Semiconductor Components – Integrated Circuits – 0.16% | | | | | | | | | | |
| | | 441,422 | | | | United Microelectronics Corp. – Sponsored ADR | | | | | | | | 5,164,637 | | |
| | | | | | | Total Taiwan (Proceeds $4,983,940) | | | | | | | $ | 5,164,637 | | |
| | | | | | | United Kingdom – 0.10% | | | | | | | | | | |
| | | | | | | Diversified Banking Institutions – 0.10% | | | | | | | | | | |
| | | 531,125 | | | | HSBC Holdings PLC | | | | | | | | 3,195,075 | | |
| | | | | | | Total United Kingdom (Proceeds $3,820,881) | | | | | | | $ | 3,195,075 | | |
| | | | | | | Total Common Stocks (Proceeds $1,039,665,408) | | | | | | | $ | 1,020,361,228 | | |
| | | | | | | Mutual Funds – 0.43% | | | | | | | | | | |
| | | | | | | United States – 0.43% | | | | | | | | | | |
| | | | | | | Corporate / Preferred – 0.43% | | | | | | | | | | |
| | | 176,569 | | | | Vanguard Short-Term Corporate Bond ETF | | | | | | | | 14,347,997 | | |
| | | | | | | Total United States (Proceeds $14,345,997) | | | | | | | $ | 14,347,997 | | |
| | | | | | | Total Mutual Funds (Proceeds $14,345,997) | | | | | | | $ | 14,347,997 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,054,011,405) | | | | | | | $ | 1,034,709,225 | | |
|
Schedule of Securities Sold, Not Yet Purchased (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 0.68 | | |
Advertising Services | | | | | 0.45 | | |
Apparel Manufacturers | | | | | 0.43 | | |
Auto - Cars / Light Trucks | | | | | 0.52 | | |
Beverages - Non-Alcoholic | | | | | 0.16 | | |
Building Products - Air Conditioning & Heating | | | | | 0.14 | | |
Commercial Services | | | | | 0.21 | | |
Commercial Services - Finance | | | | | 0.23 | | |
Computer Data Security | | | | | 0.80 | | |
Computer Software | | | | | 1.25 | | |
Computers | | | | | 0.34 | | |
Consumer Products - Miscellaneous | | | | | 0.89 | | |
Corporate / Preferred | | | | | 0.43 | | |
Cosmetics & Toiletries | | | | | 0.79 | | |
Data Processing / Management | | | | | 0.17 | | |
Diversified Banking Institutions | | | | | 0.78 | | |
E-Commerce / Products | | | | | 0.04 | | |
E-Commerce / Services | | | | | 0.07 | | |
Electric - Distribution | | | | | 0.34 | | |
Electric - Integrated | | | | | 1.20 | | |
Electronic Components - Semiconductors | | | | | 3.41 | | |
Electronic Forms | | | | | 0.70 | | |
Enterprise Software / Services | | | | | 2.49 | | |
Finance - Credit Card | | | | | 0.29 | | |
Food - Confectionery | | | | | 0.13 | | |
Food - Miscellaneous / Diversified | | | | | 2.01 | | |
Gas - Distribution | | | | | 0.02 | | |
Internet Application Software | | | | | 0.81 | | |
Securities Sold, Not Yet Purchased – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Internet Content - Entertainment | | | | | 0.06 | | |
Investment Management / Advisory Services | | | | | 0.31 | | |
Medical - Biomedical / Genetics | | | | | 0.45 | | |
Medical - Drugs | | | | | 0.29 | | |
Metal - Aluminum | | | | | 0.03 | | |
Motorcycle / Motor Scooter | | | | | 0.09 | | |
Office Automation & Equipment | | | | | 0.03 | | |
Private Equity | | | | | 0.12 | | |
Real Estate Management / Services | | | | | 0.14 | | |
REITs - Health Care | | | | | 0.74 | | |
REITs - Office Property | | | | | 1.88 | | |
REITs - Regional Malls | | | | | 0.38 | | |
REITs - Shopping Centers | | | | | 1.35 | | |
REITS - Storage | | | | | 0.16 | | |
Retail - Apparel / Shoes | | | | | 0.27 | | |
Retail - Bedding | | | | | 0.02 | | |
Retail - Drug Store | | | | | 0.09 | | |
Retail - Major Department Stores | | | | | 0.34 | | |
Retail - Miscellaneous / Diversified | | | | | 0.26 | | |
Retail - Regional Department Stores | | | | | 0.74 | | |
Retail - Restaurants | | | | | 0.07 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.91 | | |
Semiconductor Equipment | | | | | 1.52 | | |
Telecommunication Equipment Fiber Optics | | | | | 0.21 | | |
Telephone - Integrated | | | | | 0.50 | | |
Wireless Equipment | | | | | 0.49 | | |
Total Securities Sold, Not Yet Purchased | | | | | 31.23% | | |
| |||||||
|
Schedule of Swap Contracts
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – 4.66% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 5.33% | | | ||||||||
| | | | | | | United States – 4.45% | | | ||||||||
| | | | | | | Private Equity – 0.93% | | | ||||||||
| | $ | 34,621,784 | | | | 6/3/2024 | | | The Carlyle Group, Inc. | | | | $ | 30,732,524 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/16/2017 to receive the total return of the shares of The Carlyle Group, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.59%**. | | | | | | | |
| | | | | | | Web Portals / ISP – 3.52 | | | ||||||||
| | | 46,673,848 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | | 116,582,805 | | |
| | | | | | | | | | 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 | | | | $ | 147,315,329 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Australia – 0.01% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.01% | | | | | | | | |||
| | | (11,065,945) | | | | 12/27/2024 | | | Bank of Queensland, Ltd. | | | | | 476,344 | | |
| | | | | | | | | | 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 | | | | $ | 476,344 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – 0.10% | | | | | | | | |||
| | | | | | | Commercial Services / Finance – 0.10% | | | | | | | | |||
| | | (4,622,849) | | | | 2/2/2022 | | | Cielo SA | | | | | 3,511,247 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/12/2019 to deliver the total return of the shares of Cielo SA in exchange for interest based on the Daily Fed Funds Effective Rate less 1.13%**. | | | | | | | |
| | | | | | | Total Brazil | | | | $ | 3,511,247 | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Ireland – 0.02% | | | ||||||||
| | | | | | | Commercial Services - Finance – 0.02% | | | | | | | | |||
| | $ | 9,092,696 | | | | 12/14/2023 | | | Experian PLC | | | | $ | 584,439 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/07/2021 to receive the total return of the shares of Experian PLC in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Ireland | | | | $ | 584,439 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Japan – 0.11% | | | | | | | | |||
| | | | | | | E-Commerce / Products – 0.01% | | | | | | | | |||
| | | (5,100,078) | | | | 12/24/2024 | | | Rakuten Group, Inc. | | | | | 384,422 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/16/2021 to deliver the total return of the shares of Rakuten Group, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.63%**. | | | | | | | |
| | | | | | | Electric Products – Miscellaneous – 0.01% | | | | | | | | |||
| | | (2,550,981) | | | | 12/24/2024 | | | Casio Computer Co., Ltd. | | | | | 374,828 | | |
| | | | | | | | | | 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 – 0.06% | | | | | | | | |||
| | | (3,278,725) | | | | 12/24/2024 | | | Chubu Electric Power Co., Inc. | | | | | 299,793 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/28/2021 to deliver the total return of the shares of Chubu Electric Power Co., Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Electric - Integrated – (continued) | | | ||||||||
| | $ | (10,232,786) | | | | 12/24/2024 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | $ | 1,606,378 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | 1,906,171 | | |
| | | | | | | Office Automation & Equipment – 0.03% | | | ||||||||
| | | (4,102,441) | | | | 12/24/2024 | | | Konica Minolta, Inc. | | | | | 528,645 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/13/2011 to deliver the total return of the shares of Konica Minolta, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | (3,485,767) | | | | 12/24/2024 | | | Ricoh Co., Ltd. | | | | | 188,421 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | 717,066 | | |
| | | | | | | Total Japan | | | | $ | 3,382,487 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Spain – 0.59% | | | | | | | | |||
| | | | | | | Building - Heavy Construction – 0.59% | | | | | | | | |||
| | | 8,809,647 | | | | 1/4/2024 | | | Cellnex Telecom SA | | | | | 19,635,639 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/06/2015 to receive the total return of the shares of Cellnex Telecom SA in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.65%**. | | | | | | | |
| | | | | | | Total Spain | | | | $ | 19,635,639 | | | |||
| | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | United Kingdom – 0.05% | | | ||||||||
| | | | | | | Cosmetics & Toiletries – 0.00% | | | | | | | | |||
| | $ | (16,932,544) | | | | 1/4/2024 | | | Unilever PLC | | | | $ | 118,443 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 12/23/2019 to deliver the total return of the shares of Unilever PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.35%**. | | | | | | | |
| | | | | | | Food - Retail – 0.05% | | | ||||||||
| | | (4,541,361) | | | | 12/14/2023 | | | Marks & Spencer Group PLC | | | | | 1,629,494 | | |
| | | | | | | | | | 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 | | | | $ | 1,747,937 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 176,653,422 | | | |||
|
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (0.67%) | | |||||||||
| | | | | | | Australia – (0.22%) | | | | | | | | |||
| | | | | | | Commercial Banks - Non-US – (0.22%) | | | | | | | | |||
| | $ | (12,813,730) | | | | 12/27/2024 | | | Australia and New Zealand Banking Group, Ltd. | | | | $ | (2,502,690) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (20,958,364) | | | | 12/27/2024 | | | Commonwealth Bank of Australia | | | | | (4,420,732) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/24/2016 to deliver the total return of the shares of Commonwealth Bank of Australia in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | (18,718,505) | | | | 12/27/2024 | | | Westpac Banking Corp. | | | | | (292,277) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/14/2015 to deliver the total return of the shares of Westpac Banking Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Australia | | | | $ | (7,215,699) | | | |||
| | | | | | | | | |||||||||
| | | | | | | China – (0.13%) | | | | | | | | |||
| | | | | | | Applications Software – (0.06%) | | | | | | | | |||
| | | 32,033,453 | | | | 7/14/2022 | | | Glodon Co., Ltd., Class A | | | | | (2,071,752) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/10/2020 to receive the total return of the shares of Glodon Co., Ltd., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.25%**. | | | | | | | |
| | | | | | | Computer Services – (0.07%) | | | | | | | | |||
| | | 7,660,159 | | | | 7/14/2022 | | | Sangfor Technologies, Inc., Class A | | | | | (2,398,909) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/14/2021 to receive the total return of the shares of Sangfor Technologies, Inc., Class A in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.25%**. | | | | | | | |
| | | | | | | Total China | | | | $ | (4,470,661) | | | |||
|
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Japan – (0.08%) | | | | | | | | |||
| | | | | | | Advertising Services – 0.00% | | | | | | | | |||
| | $ | (166,826) | | | | 12/24/2024 | | | Dentsu Group, Inc. | | | | $ | (6,240) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 09/13/2021 to deliver the total return of the shares of Dentsu Group, Inc., in exchange for interest based on the Daily Fed Funds Effective Rate less 0.63%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – 0.00% | | | | | | | | |||
| | | (3,528,435) | | | | 12/24/2024 | | | Canon, Inc. | | | | | (80,691) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/31/2020 to deliver the total return of the shares of Canon, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Photo Equipment & Supplies – (0.01%) | | | | | | | | |||
| | | (968,642) | | | | 12/24/2024 | | | Nikon Corp. | | | | | (266,654) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Semiconductor Equipment – (0.07%) | | | | | | | | |||
| | | (24,943,282) | | | | 12/24/2024 | | | Advantest Corp. | | | | | (2,210,316) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/26/2011 to deliver the total return of the shares of Advantest Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | (2,563,901) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Taiwan – (0.19%) | | | | | | | | |||
| | | | | | | Computers - Peripheral Equipment – (0.08%) | | | | | | | | |||
| | | (3,341,158) | | | | 1/25/2024 | | | Innolux Display Corp. | | | | | (2,645,148) | | |
| | | | | | | | | | 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 4.75%**. | | | | | | | |
Schedule of Swap Contracts (continued)
| Notional Amount | | | Maturity Date* | | | | | | December 31, 2021 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Taiwan – (continued) | | | ||||||||
| | | | | | | Electronic Components - Miscellaneous – (0.11%) | | | | | | | | |||
| | $ | (2,998,384) | | | | 1/25/2024 | | | AU Optronics Corp. | | | | $ | (3,671,171) | | |
| | | | | | | | | | 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 7.75%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | (6,316,319) | | | |||
| | | | | | | | | |||||||||
| | | | | | | United Kingdom – (0.05%) | | | | | | | | |||
| | | | | | | Diversified Banking Institutions – (0.03%) | | | | | | | | |||
| | | (7,082,154) | | | | 12/14/2023 | | | HSBC Holdings PLC | | | | | (975,513) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 03/12/2020 to deliver the total return of the shares of HSBC Holdings PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Retail - Apparel / Shoes – (0.02%) | | | | | | | | |||
| | | (1,663,237) | | | | 12/14/2023 | | | Next PLC | | | | | (814,987) | | |
| | | | | | | | | | 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 | | | | $ | (1,790,500) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (22,357,080) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 154,296,342 | | | |||
|
Schedule of Swap Contracts (concluded)
Swap Contracts – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Advertising Services | | | | | (0.00) | | |
Applications Software | | | | | (0.06) | | |
Building - Heavy Construction | | | | | 0.59 | | |
Commercial Banks - Non-US | | | | | (0.21) | | |
Commercial Services - Finance | | | | | 0.12 | | |
Computer Services | | | | | (0.07) | | |
Computers - Peripheral Equipment | | | | | (0.08) | | |
Cosmetics & Toiletries | | | | | 0.00 | | |
Diversified Banking Institutions | | | | | (0.03) | | |
E-Commerce / Products | | | | | 0.01 | | |
Electric Products - Miscellaneous | | | | | 0.01 | | |
Swap Contracts – By Industry | | | December 31, 2021 Percentage of Members’ Capital (%) | | |||
Electric - Integrated | | | | | 0.06 | | |
Electronic Components - Miscellaneous | | | | | (0.11) | | |
Food - Retail | | | | | 0.05 | | |
Office Automation & Equipment | | | | | 0.03 | | |
Photo Equipment & Supplies | | | | | (0.01) | | |
Private Equity | | | | | 0.93 | | |
Retail - Apparel / Shoes | | | | | (0.02) | | |
Semiconductor Equipment | | | | | (0.07) | | |
Web Portals / ISP | | | | | 3.52 | | |
Swap Contracts | | | | | 4.66% | | |
|
Statement of Operations
| | | Year Ended December 31, 2021 | | |||
Investment income | | | | | | | |
Dividends (net of withholding taxes of $844,257) | | | | $ | 16,172,995 | | |
Interest | | | | | 358,900 | | |
Total investment income | | | | | 16,531,895 | | |
Expenses | | | | | | | |
Administration fees | | | | | 50,045,921 | | |
Prime broker fees | | | | | 21,157,987 | | |
Dividends on securities sold, not yet purchased | | | | | 20,980,478 | | |
Advisor fees | | | | | 14,828,421 | | |
Interest expense | | | | | 4,524,367 | | |
Accounting and investor services fees | | | | | 1,912,170 | | |
Audit and tax fees | | | | | 787,035 | | |
Custodian fees | | | | | 779,611 | | |
Legal fees | | | | | 560,869 | | |
Board of Managers’ fees and expenses | | | | | 448,250 | | |
Insurance expense | | | | | 171,609 | | |
Printing expense | | | | | 101,959 | | |
Miscellaneous | | | | | 1,091,203 | | |
Total operating expenses | | | | | 117,389,880 | | |
Net investment loss | | | | | (100,857,985) | | |
Net realized and net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net realized gain on investments in securities | | | | | 604,517,723 | | |
Net realized loss on foreign currency transactions | | | | | (221,577) | | |
Net realized loss on written options | | | | | (18,466,202) | | |
Net realized loss on swap contracts | | | | | (67,304,645) | | |
Net realized loss on securities sold, not yet purchased | | | | | (240,891,104) | | |
Net realized loss on purchased options | | | | | (268,800,407) | | |
Total net realized gain/(loss) on investments in securities, purchased and written options, foreign currency transactions and swap contracts | | | | | 8,833,788 | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased and written options, foreign currency transactions and swap contracts | | | | | | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased | | | | | 53,043,295 | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | 23,781,439 | | |
Net change in unrealized gain/(loss) on written options | | | | | 13,623,253 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | (1,192,118) | | |
Net change in unrealized gain/(loss) on purchased options | | | | | (16,219,931) | | |
Net change in unrealized gain/(loss) on investments in securities | | | | | (594,369,906) | | |
Total net change in unrealized gain/(loss) on investments in securities, purchased and written options, foreign currency transactions and swap contracts | | | | | (521,333,968) | | |
Net realized gain and net change in unrealized gain/(loss) on investments in securities, purchased and written options, foreign currency transactions and swap contracts | | | | | (512,500,180) | | |
Net decrease in Members’ Capital resulting from operations | | | | $ | (613,358,165) | | |
Statements of Changes in Members’ Capital
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
MEMBERS’ CAPITAL, December 31, 2019 | | | | $ | — | | | | | $ | 2,008,674,485 | | | | | $ | 2,008,674,485 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (81,893,097) | | | | | $ | (81,893,097) | | |
Net realized gain on investments in securities, purchased and written options, foreign currency transactions, and swap contracts | | | | | — | | | | | | 417,268,932 | | | | | | 417,268,932 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased and written options, foreign currency transactions, and swap contracts | | | | | — | | | | | | 1,249,896,746 | | | | | | 1,249,896,746 | | |
Incentive allocation | | | | | 317,054,517 | | | | | | (317,054,517) | | | | | | — | | |
Net increase in Members’ Capital resulting from operations | | | | | 317,054,517 | | | | | | 1,268,218,064 | | | | | | 1,585,272,581 | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 559,633,169 | | | | | | 559,633,169 | | |
Capital withdrawals | | | | | (317,054,517) | | | | | | (62,169,852) | | | | | | (379,224,369) | | |
Net increase/decrease in Members’ Capital resulting from capital transactions | | | | | (317,054,517) | | | | | | 497,463,317 | | | | | | 180,408,800 | | |
MEMBERS’ CAPITAL, December 31, 2020 | | | | $ | — | | | | | $ | 3,774,355,866 | | | | | $ | 3,774,355,866 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (100,857,985) | | | | | $ | (100,857,985) | | |
Net realized gain on investments in securities, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | 8,833,788 | | | | | | 8,833,788 | | |
Net change in unrealized gain/(loss) on investments in securities, purchased and written options, foreign currency transactions and swap contracts | | | | | — | | | | | | (521,333,968) | | | | | | (521,333,968) | | |
Incentive allocation | | | | | — | | | | | | — | | | | | | — | | |
Net decrease in Members’ Capital resulting from operations | | | | | — | | | | | $ | (613,358,165) | | | | | $ | (613,358,165) | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 318,301,559 | | | | | | 318,301,559 | | |
Capital withdrawals | | | | | — | | | | | | (166,361,974) | | | | | | (166,361,974) | | |
Net increase in Members’ Capital resulting from capital transactions | | | | | — | | | | | | 151,939,585 | | | | | | 151,939,585 | | |
MEMBERS’ CAPITAL, December 31, 2021 | | | | $ | — | | | | | $ | 3,312,937,286 | | | | | $ | 3,312,937,286 | | |
Statement of Cash Flows
| | | Year Ended December 31, 2021 | | |||
Cash flows from operating activities | | | | | | | |
Net decrease in Members’ Capital resulting from operations | | | | $ | (613,358,165) | | |
Adjustments to reconcile net decrease in Members’ Capital resulting from operations to net cash provided by operating activities: | | | | | | | |
Proceeds from sale of investments in securities | | | | | 4,331,274,089 | | |
Purchase of investments in securities | | | | | (4,015,761,518) | | |
Proceeds from sale of purchased options | | | | | 764,475,370 | | |
Purchase of options | | | | | (928,761,105) | | |
Proceeds from securities sold, not yet purchased | | | | | 4,308,862,021 | | |
Cover of securities sold, not yet purchased | | | | | (4,492,224,064) | | |
Proceeds from written options | | | | | 65,108,745 | | |
Cover of written options | | | | | (109,526,513) | | |
Amortization of premium and accretion of discount, net | | | | | (837) | | |
Net realized gain on investments in securities and purchased and written options | | | | | (76,359,173) | | |
Net change in unrealized (gain)/loss on investments in securities, purchased and written options and swap contracts | | | | | 520,141,850 | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Decrease in receivable for investment securities sold | | | | | 125,721,381 | | |
Decrease in dividend receivable | | | | | 389,276 | | |
Decrease in interest receivable | | | | | 1,971 | | |
Increase in other assets | | | | | (5,841) | | |
Increase in due to broker | | | | | 288,287,835 | | |
Decrease in payable for investment securities purchased | | | | | (121,368,648) | | |
Decrease in dividends payable on securities sold, not yet purchased | | | | | (45,867) | | |
Decrease in accounting and investor services fees | | | | | (344,521) | | |
Decrease in accrued expenses | | | | | (170,429) | | |
Net cash provided by operating activities | | | | | 46,335,857 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 318,301,559 | | |
Capital withdrawals, net of change in withdrawals payable | | | | | (411,362,955) | | |
Net cash used in financing activities | | | | | (93,061,396) | | |
Net change in cash, cash equivalents and restricted cash | | | | | (46,725,539) | | |
Cash, cash equivalents and restricted cash at beginning of period | | | | | 276,181,085 | | |
Cash, cash equivalents and restricted cash at December 31, 2021 | | | | $ | 229,455,546 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the year for interest | | | | $ | 4,210,965 | | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statement of Assets, Liabilities and Members’ Capital that sum to the total of the same amount above at December 31, 2021: | | | | | | | |
Cash and cash equivalents | | | | $ | 40,617,829 | | |
Restricted cash included in cash and cash equivalents | | | | | 177,024,639 | | |
Restricted cash included in due from broker | | | | | 11,813,078 | | |
Total cash, cash equivalents and restricted cash at December 31, 2021 | | | | $ | 229,455,546 | | |
Notes to Financial Statements – December 31, 2021
| Assets: | | | | | | | | | Liabilities: | | | | | | | |
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | | | | | |
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | | | | | |
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | | | | | |
| Common Stock | | | | $ | 4,235,260,405 | | | | Common Stock | | | | $ | 1,020,361,228 | | |
| Equity Options | | | | | 153,654,501 | | | | Mutual Funds | | | | | 14,347,997 | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | | | | | |
| Observable Inputs | | | | | | | | | Observable Inputs | | | | | | | |
| Total Return Swaps | | | | | 176,653,422 | | | | Total Return Swaps | | | | | 22,357,080 | | |
| Currency Options | | | | | 7,266,579 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | | | | | |
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 4,572,834,907 | | | | Total | | | | $ | 1,057,066,305 | | |
(continued)
(continued)
(continued)
(continued)
| Purchased Currency options: | | | | | | | |
| Average notional amount | | | | $ | 26,886,744 | | |
| Purchased Equity options: | | | | | | | |
| Average notional amount | | | | $ | 4,267,000,890 | | |
| Written Currency options: | | | | | | | |
| Average notional amount | | | | $ | 404,651 | | |
| Written Equity options: | | | | | | | |
| Average notional amount | | | | $ | 176,517,300 | | |
| Total Return swaps: | | | | | | | |
| Average notional amount | | | | $ | 364,728,151 | | |
(continued)
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total Year ended December 31, 2020 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 45,162,254 | | | | | $ | 46,986,394 | | | | | $ | (1,824,140) | | |
| Written Equity Options | | | | | — | | | | | | 13,623,253 | | | | | | (13,623,253) | | |
| Total Return Swaps | | | | | 157,063,824 | | | | | | 26,548,921 | | | | | | 130,514,903 | | |
| Total Year ended December 31, 2020 | | | | $ | 202,226,078 | | | | | $ | 87,158,568 | | | | | $ | 115,067,510 | | |
| Total Year ended December 31, 2021 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 7,982,206 | | | | | $ | 29,960,859 | | | | | $ | (21,978,653) | | |
| Written Equity Options | | | | | — | | | | | | — | | | | | | — | | |
| Total Return Swaps | | | | | 176,653,422 | | | | | | 22,357,080 | | | | | | 154,296,342 | | |
| Total Year ended December 31, 2021 | | | | $ | 184,635,628 | | | | | $ | 52,317,939 | | | | | $ | 132,317,689 | | |
| Total net change in unrealized gain/(loss) | | | | $ | (17,590,450) | | | | | $ | (34,840,629) | | | | | $ | 17,250,179 | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total Year ended December 31, 2020 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | — | | | | | $ | 5,293,721 | | | | | $ | (5,293,721) | | |
| Total Year ended December 31, 2020 | | | | $ | — | | | | | $ | 5,293,721 | | | | | $ | (5,293,721) | | |
| Total Year ended December 31, 2021 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | — | | | | | $ | 1,359,139 | | | | | $ | (1,359,139) | | |
| Total Year ended December 31, 2021 | | | | $ | — | | | | | $ | 1,359,139 | | | | | $ | (1,359,139) | | |
(continued)
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total net change in unrealized gain/(loss) | | | | $ | — | | | | | $ | (3,934,582) | | | | | $ | 3,934,582 | | |
|
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Equity Options | | | | $ | 233,906,552 | | | | | $ | 485,870,708 | | | | | $ | (251,964,156) | | |
| Written Equity Options | | | | | 16,983,116 | | | | | | 35,795,604 | | | | | | (18,812,488) | | |
| Total Return Swaps | | | | | 31,564,574 | | | | | | 98,869,219 | | | | | | (67,304,645) | | |
| Total | | | | $ | 282,454,242 | | | | | $ | 620,535,531 | | | | | $ | (338,081,289) | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Currency Options | | | | $ | 153,172 | | | | | $ | 16,989,423 | | | | | $ | (16,836,251) | | |
| Written Currency Options | | | | | 346,286 | | | | | | — | | | | | | 346,286 | | |
| Total | | | | $ | 499,458 | | | | | $ | 16,989,423 | | | | | $ | (16,489,965) | | |
| | | Gross Amount of Assets as Presented in the Statement of Assets, Liabilities and Members’ Capital | | | Gross Amounts Not Offset in the Statement of Assets, Liabilities and Members’ Capital | | | Net Amount | | |||||||||||||||
| | | Financial Instruments | | | Cash Collateral Received | | ||||||||||||||||||
Total return swaps | | | | $ | 176,653,422 | | | | | $ | (22,357,080) | | | | | $ | — | | | | | $ | 154,296,342 | | |
Total | | | | $ | 176,653,422 | | | | | $ | (22,357,080) | | | | | $ | — | | | | | $ | 154,296,342 | | |
| | | 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 | | | | $ | 22,357,080 | | | | | $ | 22,357,080 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 22,357,080 | | | | | $ | 22,357,080 | | | | | $ | — | | | | | $ | — | | |
| | | Year Ended December 31, 2021 | | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | | Year Ended December 31, 2017 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 3,312,937 | | | | | $ | 3,774,356 | | | | | $ | 2,008,674 | | | | | $ | 1,445,445 | | | | | $ | 1,457,846 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (2.76%) | | | | | | (2.66%) | | | | | | (2.46%) | | | | | | (2.97%) | | | | | | (3.09%) | | |
Ratio of expenses to average Members’ Capital** | | | | | 3.21% | | | | | | 3.37% | | | | | | 4.26% | | | | | | 4.39% | | | | | | 4.48% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.00% | | | | | | 10.30% | | | | | | 5.51% | | | | | | 0.02% | | | | | | 5.26% | | |
Portfolio Turnover | | | | | 92% | | | | | | 151% | | | | | | 85% | | | | | | 136% | | | | | | 99% | | |
Total return-gross* | | | | | (15.51%) | | | | | | 70.93% | | | | | | 42.87% | | | | | | (6.10%) | | | | | | 34.41% | | |
Total return-net* | | | | | (15.51%) | | | | | ��� | 56.74% | | | | | | 35.60% | | | | | | (6.10%) | | | | | | 27.81% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 8.10% | | | | | | 4.24% | | | | | | 3.08% | | | | | | 2.66% | | | | | | 3.51% | | |
Supplemental Information (Unaudited)
Company Management (Unaudited)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Luis Rubio, 66 Manager | | | Indefinite; Since May 2003 | | | President of Centro de Investigacion Para el Desarrollo, A.C. (Center of Research Development) (2000 to present) and Director of same (1984 – 2000); Adjunct Fellow of the Center for Strategic and International Studies; Director of The Asia Tigers Fund, Inc. and The India Fund, Inc.; and Director of Empresa Ica SA de CV, a Mexican construction company (since 2006). | | | 1 | |
Janet L. Schinderman, 70 Manager | | | Indefinite; Since May 2003 | | | Education consultant specializing in international relations, board management and initiating special projects; Associate Dean for Special Projects and Secretary to the Board of Overseers at Columbia Business School from 1990 until June 2006; and Independent director for nine registered investment companies advised by The Central Park Advisers, LLC. | | | 1 | |
Company Management (Unaudited) (continued)
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Jesse H. Ausubel, 70 Manager | | | Indefinite; Since May 1999 | | | Director, Program for the Human Environment and Senior Research Associate, The Rockefeller University (1993 to present); Director, Richard Lounshery Foundation (1998 to present); Program Director, Alfred P. Sloan Foundation (1994 to present); Adjunct Scientist, Woods Hole Oceanographic Institution (1990 to present). | | | 1 | |
Todd T. Milbourn, 52 Manager | | | Indefinite; Since February 2016 | | | Professor of Finance at Olin Business School, Washington University in St. Louis (since 2010); Senior Associate Dean of Faculty and Research at Olin Business School, Washington University in St. Louis (since 2013). | | | 1 | |
Michael J. Murphy, 66 Manager | | | Indefinite; Since August 2016 | | | Private investor (since 2013); Founding Partner and Managing Director, Libertas Partners LLC/Knight Capital Group Inc. (2004 – 2013). | | | 1 | |
Name, Age, Address(1) and Position(s) with the Company | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years Other Directorships Held by Managers | | | Number of Portfolios in Fund Complex Overseen by Managers | |
Bryan McKigney,* 63 President, CEO, and Manager | | | Indefinite; Manager since December 1, 2004; President and CEO since September 23, 2004 | | | Mr. McKigney is a Managing Director and the President of Oppenheimer Asset Management Inc. since April 2015. He was the Chief Administrative Officer prior thereto. He has been in the financial services industry since 1981 and has held various management positions at Canadian Imperial Bank of Commerce (1993 – 2003) and Chase Manhattan Bank N.A. (1981 – 1993). | | | 1 | |
Company Management (Unaudited) (continued)
Name, Age, Address(1) and Position(s) with the Company(2) | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | |
Vineet Bhalla, 61 Chief Financial Officer | | | One year; Since July 27, 2005 | | | Mr. Bhalla has been an Executive Director at Oppenheimer Asset Management since January 2016 and a Senior Director since May 2005. From July 2002 to May 2005, he was an Assistant Vice President at Zurich Capital Markets Inc., a Director of the Client Service Group at GlobeOp Financial Services, and a Senior Consultant at Capital Markets Company. Prior to that, he was a Vice President at Blackrock Financial Management since June 1999. Mr. Bhalla is a Certified Public Accountant. He graduated with an MBA from Saint Mary’s University, Halifax, Canada in 1986. | |
Salvatore Faia, 59 Chief Compliance Officer | | | One year; Since December 31, 2014 | | | President, Vigilant Compliance, LLC since 2004; and Director of EIP Growth and Income Fund since 2005. | |
Deborah Kaback, 70 Chief Legal Officer | | | One year; Since July 23, 2003 | | | Ms. Kaback has been a Managing Director at Oppenheimer Asset Management since June 2003. She was Executive Director of CIBC World Markets Corp. from July 2001 through June 2003. Prior to that, she was Vice-President and Senior Counsel of Oppenheimer Funds, Inc. from November 1999 through July 2001. Prior to that, she was Senior Vice President and Deputy General Counsel at Oppenheimer Capital from April 1989 through November 1999. | |
Company Management (Unaudited) (concluded)
Name, Age, Address(1) and Position(s) with the Company(2) | | | Term of Office and Length of Time Served | | | Principal Occupation(s) During Past 5 Years | |
Bryan McKigney, 63 President, CEO, and Principal Manager | | | One year term for President and CEO; since September 23, 2004. Indefinite term for Principal Manager; since December 1, 2004 | | | Mr. McKigney is a Managing Director and the President of Oppenheimer Asset Management Inc. since April 2015. He was the Chief Administrative Officer prior thereto. He has been in the financial services industry since 1981 and has held various management positions at Canadian Imperial Bank of Commerce (1993 – 2003) and Chase Manhattan Bank N.A. (1981 – 1993). | |
INVESTMENT PROGRAM (Unaudited)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (continued)
INVESTMENT PROGRAM (Unaudited) (concluded)
(b) | Not applicable. |
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Managers (the “Board”) has determined that Todd Milbourn is qualified to serve as an audit committee financial expert serving on the Audit Committee of the Board (the “Audit Committee”) and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $221,562 for 2021 and $215,108 for 2020. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item are $5,000 for 2021 and $5,000 for 2020. Audit related fees principally include fees associated with the executive read of the semi-annual statements. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $135,266 for 2021 and $132,615 for 2020. Tax fees include fees for tax compliance services and assisting management in the preparation of tax estimates. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $481,427 for 2021 and $0 for 2020. Other Fees include fees for additional tax services. |
(e)(1) | Disclose the audit committee's pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The registrant’s Audit Committee Charter provides that the Audit Committee shall pre-approve, to the extent required by applicable law, all audit and non–audit services that the registrant’s independent auditors provide to the registrant and (ii) all non-audit services that the registrant’s independent auditors provide to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) 100%
(c) 100%
(d) 100%
(f) | The percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $616,693 for 2021 and $132,615 for 2020. |
(h) | Not applicable. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
The Proxy Voting Policies are attached herewith.
PROXY VOTING
A. Proxy Voting Policy.
The firm has retained Institutional Shareholder Services, Inc. (“ISS”) to provide research and recommendations on proxy voting issues and to facilitate the electronic voting of proxies.
ISS has authority to vote the proxies for each Client Account, in accordance with the policies described below.
1. General Policy. The Firm instructs each Client Account’s custodian to deliver to ISS all proxy solicitation materials that the custodian receives for that Client Account.
The Firm provides to ISS a listing of securities held “long” in each Client Account as of the 15th and last day of each month to enable ISS to use reasonable efforts to confirm that ISS has received all proxy solicitation materials concerning such securities.
The Firm, through ISS, will vote proxies on behalf of Client Accounts. ISS evaluates all proxy solicitation material and other facts it deems relevant and may seek additional information from the party soliciting the proxy and independent corroboration of such information when ISS considers it appropriate and when it is reasonably available. The Firm has instructed ISS to make voting decisions on behalf of each Client Account based on the proxy voting guidelines that ISS provides to the Firm. The Firm may override ISS’ voting decisions if the Firm deems it in the best interests of the Client Account. The Firm has instructed ISS to use reasonable efforts to respond to each proxy solicitation by the deadline for such response.
2. Conflicts of Interest. Due to the size and nature of the Firm’s operations and the Firm’s limited affiliations in the securities industry, the Firm does not expect that material conflicts of interest will arise between the Firm and a Client Account over proxy voting.
The Firm recognizes, however, that such conflicts may arise from time to time, such as, for example, when the Firm or one of its affiliates has a business arrangement that could be affected by the outcome of a proxy vote or has a personal or business relationship with a person seeking appointment or re-appointment as a director of a company. Notwithstanding the possibility of such a material conflict arising, the Firm believes that it places the interests of the Client Accounts ahead of the Firm’s own interests by following ISS’ recommendations.
If the Firm determines that the foregoing proxy voting policies do not adequately address a material conflict of interest related to a proxy, the Firm will, in its exclusive discretion, either (a) direct ISS to vote the proxy in accordance with ISS’ recommendation or (b) provide the affected client with copies of all proxy solicitation materials that the Firm receives with respect to that proxy, notify that client of the actual or potential conflict of interest and of the Firm’s intended response to the proxy request, and request that the client consent to the Firm’s intended response. If the client consents to the Firm’s intended response or fails to respond to the notice within a reasonable period of time specified in the notice, the Firm will vote the proxy as described in the notice. If the client objects to the Firm’s intended response, the Firm will vote the proxy as directed by the client.
3. Shareholder Proposals by the Firm. The Firm may submit a shareholder proposal on behalf of a Client Account only if the Firm believes that the proposal would provide a substantial overall benefit to the Client Account.
4. Disclosures to Clients. The Firm includes in Part 2 of its Form ADV (1) a summary of these proxy voting policies and procedures, (2) an offer to provide a copy of these to clients on request, and (3) information concerning how a client may obtain a report summarizing how the Firm voted proxies on behalf of such client. At the request of a client or Investor (other than a RIC), the Firm provides that client or Investor with a copy of this Part VIII and a report summarizing all proxy solicitations the Firm received with respect to the applicable Client Account during the period requested and action taken by the Firm on each such proxy.
Regarding the Firm’s proxy votes on behalf of its RIC clients, the Firm will provide that RIC with the information required to be disclosed by that RIC pursuant to ICA Rule 30b1-4 and SEC Form N-PX promulgated thereunder, including:
a. The name of the issuer of the portfolio security;
b. The exchange ticker symbol of the portfolio security;
c. The CUSIP number for the portfolio security (unless not available through reasonable practical means, e.g., in the case of certain foreign issuers);
d. The shareholder meeting date;
e. A brief identification of the matter voted on;
f. Whether the matter was proposed by the issuer or by a security holder;
g. Whether the Firm cast its vote on the matter;
h. How the Firm cast its vote (e.g., for or against proposal, or abstain; for or withhold regarding election of directors); and
i. Whether the Firm cast its vote for or against management.
B. Records.
See Part IX (Recordkeeping Requirements), Section B.9. regarding records that must be maintained relating to these proxy voting policies and procedures.
C. Ongoing Monitoring of Proxy Voting Process.
The Firm has adopted ISS’s proxy voting guidelines as its own and evaluated ISS’s processes for evaluating individual matters. Based on that review, the Firm believes that ISS has a process reasonably designed to follow its guidelines when making voting recommendations and then pre-populating votes on the Firm’s behalf. Nevertheless, the Firm periodically reminds its investment personnel to consider any additional information that may reasonably cause the Firm to override ISS’s recommendations, particularly with respect to highly contested or controversial1 issues that have a material effect on the value of the issuers.
D. General Procedures for Evaluating Proxy Advisory Firm.
The Firm will periodically evaluate ISS, its proxy voting guidelines and other matters related to ISS’s processes for making recommendations.
1. Proxy Voting Guidelines. The Firm should review ISS’s latest proxy voting guidelines to assess whether such guidelines continue to reflect the Firm’s own assessment of the factors that should be considered in voting in its clients’ best interests. As part of this process, the Firm should consider whether ISS has adequately disclosed its methodologies in formulating voting recommendations, such that the Firm can understand the factors underlying ISS’s voting recommendations. In addition, the Firm should consider the nature of any information sources that ISS uses as a basis for its voting recommendations (including when and how ISS engages with issuers and third parties).
1 This may include, for example, major acquisitions involving corporate events (takeovers, mergers and acquisition transactions, dissolutions, conversions, or consolidations) or contested director elections where a shareholder has proposed its own slate of directors.
2. Research and Recommendation Process. The Firm may choose to assess: (i) the extent to which potential factual errors, potential incompleteness, or potential methodological weaknesses in ISS’s analysis (of which the Firm becomes aware and deems credible and relevant to its voting determinations) materially affected ISS’s research or recommendations on the Firm’s behalf; (ii) whether ISS appropriately updates its methodologies, guidelines, and voting recommendations on an ongoing basis, including in response to feedback from issuers and their shareholders; and (iii) the effectiveness of ISS’s policies and procedures for obtaining current and accurate information relevant to matters included in its research and on which it makes voting recommendations. The Commission Guidance Regarding Proxy Voting Responsibilities of Investment Advisers includes some examples of criteria that the Firm may choose to consider to perform this assessment.
3. Capacity and Competency. The Firm may assess whether ISS has the capacity and competency to adequately analyze the matters for which the Firm is responsible for voting. In this regard, the Firm may consider, among other things, the adequacy and quality of ISS’s staffing, personnel, and/or technology.
4. Intake of Input from Issuers and Client. The Firm may assess whether ISS has an effective process for seeking timely input from issuers and its clients (such as the Firm) with respect to, for example, its proxy voting policies, methodologies, and peer group constructions, including for “say-on-pay” votes. For example, if peer group comparisons are a component of the substantive evaluation, the Firm should consider how ISS incorporates appropriate input in formulating its methodologies and construction of issuer peer groups. Where relevant, the Firm should also consider how ISS, in constructing peer groups, takes into account the unique characteristics regarding the issuer, to the extent available, such as the issuer’s size; its governance structure; its industry and any particular practices unique to that industry; its history; and its financial performance.
5. Conflicts of Interest. The Firm may assess ISS’s policies and procedures regarding how it identifies and addresses conflicts of interest. The Commission Guidance Regarding Proxy Voting Responsibilities of Investment Advisers2 includes some examples of ways to perform this analysis.
6. Business Changes. The Firm may request updates from ISS regarding any organizational or business changes that may affect its capacity and competency to provide independent proxy voting advice or carry out voting instructions.
E. Annual Review.
The Firm’s annual review of its overall compliance program will include a review and documentation of its evaluation of the adequacy of the foregoing Proxy Voting Policy to ensure that has been formulated reasonably and implemented effectively, including whether it continues to be reasonably designed to ensure that the Firm casts votes on behalf of its clients in the best interest of such clients.
2 Investment Advisers Release No. 5325 (2019)
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
(a)(1) | Identification of Portfolio Manager(s) or Management Team Members and Description of Role of Portfolio Manager(s) or Management Team Members |
Mr. Panayotis ("Takis") Sparaggis, the controlling person and Chief Investment Officer of Alkeon Capital Management, LLC (“Alkeon”), has served since the Fund’s inception as the Fund’s principal portfolio manager (the “Portfolio Manager”) and is the lead member of Alkeon’s Investment Team. Other members of the Investment Team assist Mr. Sparaggis in his role as the Fund’s Portfolio Manager. Mr. Sparaggis founded Alkeon in January 2002. From May 1995 until the founding of Alkeon, Mr. Sparaggis was employed by CIBC World Markets Corp or its predecessors.
(a)(2) | Other Accounts Managed by Portfolio Manager(s) or Management Team Member and Potential Conflicts of Interest |
Other Accounts Managed by Portfolio Manager(s) or Management Team Member
The table below includes details about the type, number, and assets under management for the various types of accounts, and total assets in the accounts with respect to which the advisory fee is based on the performance of the other accounts that Mr. Sparaggis managed as of December 31, 2021:
Name of Team | Type of Accounts | Total No. of | Total Assets | No. of Accounts where Advisory Fee is Based on Performance | Total Assets in Accounts where Advisory Fee is Based on Performance | |||||||||||||
Panayotis Sparaggis | Registered Investment Companies: | 1 | 11,965,620,721 | 1 | 11,965,620,721 | |||||||||||||
Other Pooled Investment Vehicles: | 11 | 12,596,305,349 | 11 | 12,596,305,349 | ||||||||||||||
Other Accounts: | 0 | 0 | 0 | 0 |
Conflicts of Interests
Conflicts of interest arise when a Portfolio Manager also has day-to-day responsibilities with respect to one or more accounts. These conflicts include:
· | Allocation of Limited Time and Attention. Because the Portfolio Manager manages other accounts, the Portfolio Manager may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those accounts as if the Portfolio Manager were to devote substantially more attention to the management of fewer accounts. |
• | Allocation of Investment Opportunities. If the Portfolio Manager identifies an investment opportunity that may be suitable for multiple accounts, the Fund may not be able to take full advantage of that opportunity because the opportunity may need to be allocated among all or many of these accounts. Moreover, the Portfolio Manager has differing economic interests in respect of such activities. |
• | Pursuit of Differing Strategies. At times, the Portfolio Manager may determine that an investment opportunity may be appropriate for only some of the accounts for which he exercises investment responsibility, or may decide that certain of these accounts should take differing positions with respect to a particular security. In these cases, the Portfolio Manager may execute differing or opposite transactions for one or more accounts which may affect the market price of the security or the execution of the transactions, or both, to the detriment of one or more of his accounts. |
• | Fees; Differing Economic Interests. The Portfolio Manager manages other accounts that are subject to different fees or in which the Portfolio Manager has a greater economic interest. This could create a conflict because the Portfolio Manager may benefit if a more attractive investment is allocated to an account that bears greater fees or in which the Portfolio Manager has a greater economic interest. |
(a)(3) | Compensation Structure of Portfolio Manager(s) or Management Team Members |
Mr. Sparaggis' compensation consists of periodic advances and the income from the profits of Alkeon Capital Management, LLC derived by him as its controlling principal. The level of Alkeon Capital Management's profitability in turn is dependent on the advisory fees and performance fees and allocations received from the Fund and other advisory clients.
(a)(4) | Disclosure of Securities Ownership |
The table below sets forth beneficial ownership of interests of the registrant by the Portfolio Manager as of December 31, 2021:
Name of Portfolio Manager Team Member | Dollar ($) Range of Fund Shares Beneficially Owned | |||
Panayotis Sparaggis | $ | 0 |
(b) | Not applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Advantage Advisers Xanthus Fund, L.L.C. |
By (Signature and Title)* | /s/ Bryan McKigney | |
Bryan McKigney, Principal Executive Officer | ||
(Principal Executive Officer) |
Date | March 4, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Bryan McKigney | |
Bryan McKigney, Principal Executive Officer | ||
(Principal Executive Officer) |
Date | March 4, 2022 |
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer | ||
(Principal Financial Officer) |
Date | March 4, 2022 |
* Print the name and title of each signing officer under his or her signature.