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 J. 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: June 30, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Xanthus Fund, L.L.C.
(Unaudited)
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Statement of Assets, Liabilities and Members’ Capital (Unaudited)
| | | June 30, 2022 | | |||
Assets | | | | | | | |
Investments in securities, at fair value (cost $2,313,099,644) | | | | $ | 2,368,369,643 | | |
Purchased options, at fair value (cost $319,842,975) | | | | | 278,398,747 | | |
Cash and cash equivalents (United States Dollars of $139,206,204, of which $139,205,911 is restricted cash) | | | | | 139,206,204 | | |
Receivable for investment securities sold | | | | | 456,232,703 | | |
Due from brokers (including United States Dollars of $280,498,950 and Japanese Yen of $19,050 with a cost of $18,998, all of which is restricted cash) | | | | | 280,518,001 | | |
Unrealized gain on total return swap contracts | | | | | 89,452,792 | | |
Dividends receivable | | | | | 753,799 | | |
Interest receivable | | | | | 734,519 | | |
Other assets | | | | | 198,427 | | |
Total assets | | | | | 3,613,864,835 | | |
Liabilities | | | | | | | |
Securities sold, not yet purchased, at fair value (proceeds $1,196,245,457) | | | | | 976,972,521 | | |
Payable for investment securities purchased | | | | | 376,303,735 | | |
Withdrawals payable (see Note 3) | | | | | 110,169,102 | | |
Due to brokers (including United States Dollars of $85,385,383, Euros of $99 with a cost of $99 and Japanese Yen of $1,453 with a cost of $1,453) | | | | | 85,386,935 | | |
Unrealized loss on total return swap contracts | | | | | 30,441,639 | | |
Dividends payable on securities sold, not yet purchased | | | | | 1,876,801 | | |
Accounting and investor services fees payable | | | | | 339,163 | | |
Accrued expenses | | | | | 2,582,003 | | |
Total liabilities | | | | | 1,584,071,899 | | |
Members’ Capital | | | | $ | 2,029,792,936 | | |
Members’ Capital | | | | | | | |
Represented by: | | | | | | | |
Net capital contributions | | | | $ | 1,249,559,624 | | |
Total earnings (loss) | | | | | 780,233,312 | | |
Members’ Capital | | | | $ | 2,029,792,936 | | |
Schedule of Portfolio Investments (Unaudited)
| Shares | | | | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – 116.68% | | | | | | | | | | | | | |
| | | | | | | United States – 82.84% | | | | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 1.46% | | | | | | | | | | | | | |
| | | 55,349 | | | | TransDigm Group, Inc.* | | | | | (a) | | | | | $ | 29,704,148 | | |
| | | | | | | Applications Software – 5.23% | | | | | | | | | | | | | |
| | | 202,134 | | | | Confluent, Inc., Class A* | | | | | | | | | | | 4,697,594 | | |
| | | 102,162 | | | | Elastic NV* | | | | | | | | | | | 6,913,303 | | |
| | | 121,648 | | | | Five9, Inc.* | | | | | | | | | | | 11,086,999 | | |
| | | 225,449 | | | | Microsoft Corp. | | | | | (a) | | | | | | 57,902,067 | | |
| | | 35,683 | | | | Procore Technologies, Inc.* | | | | | | | | | | | 1,619,651 | | |
| | | 140,988 | | | | PTC, Inc.* | | | | | | | | | | | 14,992,664 | | |
| | | 286,001 | | | | Smartsheet, Inc., Class A* | | | | | | | | | | | 8,989,011 | | |
| | | | | | | | | | | | | | | | | | 106,201,289 | | |
| | | | | | | Athletic Equipment – 0.27% | | | | | | | | | | | | | |
| | | 592,079 | | | | Peloton Interactive, Inc., Class A* | | | | | | | | | | | 5,435,285 | | |
| | | | | | | Building Products - Cement / Aggregate – 1.91% | | | | | | | | | | | | | |
| | | 64,442 | | | | Martin Marietta Materials, Inc. | | | | | (a) | | | | | | 19,283,624 | | |
| | | 137,090 | | | | Vulcan Materials Co. | | | | | | | | | | | 19,480,489 | | |
| | | | | | | | | | | | | | | | | | 38,764,113 | | |
| | | | | | | Coatings / Paint – 1.34% | | | | | | | | | | | | | |
| | | 121,823 | | | | The Sherwin-Williams Co. | | | | | (a) | | | | | | 27,277,388 | | |
| | | | | | | Commercial Services – 0.24% | | | | | | | | | | | | | |
| | | 13,247 | | | | Cintas Corp. | | | | | | | | | | | 4,948,152 | | |
| | | | | | | Commercial Services - Finance – 2.47% | | | | | | | | | | | | | |
| | | 124,324 | | | | Global Payments, Inc. | | | | | | | | | | | 13,755,207 | | |
| | | 58,504 | | | | S&P Global, Inc. | | | | | (a) | | | | | | 19,719,358 | | |
| | | 208,553 | | | | TransUnion | | | | | | | | | | | 16,682,154 | | |
| | | | | | | | | | | | | | | | | | 50,156,719 | | |
| | | | | | | Communications Software – 1.78% | | | | | | | | | | | | | |
| | | 283,139 | | | | Avaya Holdings Corp.* | | | | | | | | | | | 634,231 | | |
| | | 503,518 | | | | RingCentral, Inc., Class A* | | | | | (a) | | | | | | 26,313,851 | | |
| | | 85,392 | | | | Zoom Video Communications, Inc., Class A* | | | | | | | | | | | 9,219,774 | | |
| | | | | | | | | | | | | | | | | | 36,167,856 | | |
| | | | | | | Computer Aided Design – 7.93% | | | | | | | | | | | | | |
| | | 26,936 | | | | Altair Engineering, Inc., Class A* | | | | | | | | | | | 1,414,140 | | |
| | | 473,904 | | | | Cadence Design Systems, Inc.* | | | | | (a) | | | | | | 71,099,817 | | |
| | | 291,123 | | | | Synopsys, Inc.* | | | | | (a) | | | | | | 88,414,055 | | |
| | | | | | | | | | | | | | | | | | 160,928,012 | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Computer Software – 1.88% | | | | | | | | | | | | | |
| | | 201,121 | | | | Dynatrace, Inc.* | | | | | (a) | | | | | $ | 7,932,212 | | |
| | | 230,923 | | | | Twilio, Inc., Class A* | | | | | (a) | | | | | | 19,353,657 | | |
| | | 329,888 | | | | ZoomInfo Technologies, Inc., Class A* | | | | | | | | | | | 10,965,477 | | |
| | | | | | | | | | | | | | | | | | 38,251,346 | | |
| | | | | | | E-Commerce / Products – 4.23% | | | | | | | | | | | | | |
| | | 808,360 | | | | Amazon.com, Inc.* | | | | | (a) | | | | | | 85,855,916 | | |
| | | | | | | E-Commerce / Services – 4.07% | | | | | | | | | | | | | |
| | | 216,369 | | | | DoorDash, Inc., Class A* | | | | | | | | | | | 13,884,399 | | |
| | | 277,240 | | | | Expedia Group, Inc.* | | | | | (a) | | | | | | 26,290,669 | | |
| | | 800,072 | | | | Lyft, Inc., Class A* | | | | | (a) | | | | | | 10,624,956 | | |
| | | 641,004 | | | | Marqeta, Inc., Class A* | | | | | | | | | | | 5,198,542 | | |
| | | 1,126,758 | | | | Uber Technologies, Inc.* | | | | | (a) | | | | | | 23,053,469 | | |
| | | 112,166 | | | | Zillow Group, Inc., Class C* | | | | | | | | | | | 3,561,271 | | |
| | | | | | | | | | | | | | | | | | 82,613,306 | | |
| | | | | | | Energy - Alternate Sources – 0.04% | | | | | | | | | | | | | |
| | | 110,990 | | | | Stem, Inc.* | | | | | | | | | | | 794,688 | | |
| | | | | | | Enterprise Software / Services – 4.85% | | | | | | | | | | | | | |
| | | 377,822 | | | | Alteryx, Inc., Class A* | | | | | | | | | | | 18,294,141 | | |
| | | 137,429 | | | | Avalara, Inc.* | | | | | (a) | | | | | | 9,702,487 | | |
| | | 126,220 | | | | Coupa Software, Inc.* | | | | | | | | | | | 7,207,162 | | |
| | | 691,589 | | | | Qualtrics International, Inc., Class A* | | | | | | | | | | | 8,651,778 | | |
| | | 509,352 | | | | SS&C Technologies Holdings, Inc. | | | | | (a) | | | | | | 29,578,071 | | |
| | | 1,378,901 | | | | UiPath, Inc., Class A* | | | | | | | | | | | 25,082,209 | | |
| | | | | | | | | | | | | | | | | | 98,515,848 | | |
| | | | | | | Finance - Credit Card – 6.36% | | | | | | | | | | | | | |
| | | 82,269 | | | | American Express Co. | | | | | | | | | | | 11,404,129 | | |
| | | 170,896 | | | | Mastercard, Inc., Class A | | | | | (a) | | | | | | 53,914,270 | | |
| | | 323,752 | | | | Visa, Inc., Class A | | | | | (a) | | | | | | 63,743,531 | | |
| | | | | | | | | | | | | | | | | | 129,061,930 | | |
| | | | | | | Finance - Other Services – 1.64% | | | | | | | | | | | | | |
| | | 354,085 | | | | Intercontinental Exchange, Inc. | | | | | | | | | | | 33,298,153 | | |
| | | | | | | Human Resources – 0.59% | | | | | | | | | | | | | |
| | | 68,259 | | | | Paylocity Holding Corp.* | | | | | | | | | | | 11,905,735 | | |
| | | | | | | Internet Content - Entertainment – 4.34% | | | | | | | | | | | | | |
| | | 546,303 | | | | Meta Platforms, Inc., Class A* | | | | | (a) | | | | | | 88,091,359 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Medical Information Systems – 0.18% | | | | | | | | | | | | | |
| | | 135,059 | | | | Schrodinger, Inc.* | | | | | | | | | | $ | 3,566,908 | | |
| | | | | | | Medical Labs & Testing Services – 0.57% | | | | | | | | | | | | | |
| | | 107,078 | | | | Catalent, Inc.* | | | | | | | | | | | 11,488,399 | | |
| | | | | | | Medical - Biomedical / Genetics – 3.35% | | | | | | | | | | | | | |
| | | 357,510 | | | | Akero Therapeutics, Inc.* | | | | | | | | | | | 3,378,470 | | |
| | | 382,273 | | | | Allovir, Inc.* | | | | | | | | | | | 1,490,865 | | |
| | | 142,524 | | | | Avidity Biosciences, Inc.* | | | | | | | | | | | 2,070,874 | | |
| | | 162,528 | | | | BioCryst Pharmaceuticals, Inc. | | | | | | | | | | | 1,719,546 | | |
| | | 148,619 | | | | Blueprint Medicines Corp.* | | | | | | | | | | | 7,506,746 | | |
| | | 119,247 | | | | Caribou Biosciences, Inc.* | | | | | | | | | | | 647,511 | | |
| | | 167,527 | | | | Cerevel Therapeutics Holdings, Inc.* | | | | | | | | | | | 4,429,414 | | |
| | | 342,895 | | | | Certara, Inc.* | | | | | | | | | | | 7,358,527 | | |
| | | 137,604 | | | | IGM Biosciences, Inc.* | | | | | | | | | | | 2,481,000 | | |
| | | 145,492 | | | | Keros Therapeutics, Inc.* | | | | | | | | | | | 4,019,944 | | |
| | | 161,912 | | | | Sarepta Therapeutics, Inc.* | | | | | | | | | | | 12,136,924 | | |
| | | 247,499 | | | | TG Therapeutics, Inc.* | | | | | | | | | | | 1,051,871 | | |
| | | 329,517 | | | | Ultragenyx Pharmaceutical, Inc.* | | | | | (a) | | | | | | 19,658,984 | | |
| | | | | | | | | | | | | | | | | | 67,950,676 | | |
| | | | | | | Medical - Drugs – 0.25% | | | | | | | | | | | | | |
| | | 291,634 | | | | ORIC Pharmaceuticals, Inc.* | | | | | | | | | | | 1,306,520 | | |
| | | 203,928 | | | | PMV Pharmaceuticals, Inc.* | | | | | | | | | | | 2,905,974 | | |
| | | 206,707 | | | | Rhythm Pharmaceuticals, Inc.* | | | | | | | | | | | 857,834 | | |
| | | | | | | | | | | | | | | | | | 5,070,328 | | |
| | | | | | | Metal Processors & Fabrication – 0.11% | | | | | | | | | | | | | |
| | | 64,628 | | | | Xometry, Inc., Class A* | | | | | | | | | | | 2,192,828 | | |
| | | | | | | Private Equity – 0.45% | | | | | | | | | | | | | |
| | | 196,688 | | | | KKR & Co., Inc. | | | | | | | | | | | 9,104,688 | | |
| | | | | | | REITs - Diversified – 4.38% | | | | | | | | | | | | | |
| | | 196,283 | | | | American Tower Corp. | | | | | | | | | | | 50,167,972 | | |
| | | 58,939 | | | | Equinix, Inc. | | | | | | | | | | | 38,724,102 | | |
| | | | | | | | | | | | | | | | | | 88,892,074 | | |
| | | | | | | Retail - Apparel / Shoes – 1.61% | | | | | | | | | | | | | |
| | | 111,190 | | | | Burlington Stores, Inc.* | | | | | (a) | | | | | | 15,147,414 | | |
| | | 248,975 | | | | Ross Stores, Inc. | | | | | (a) | | | | | | 17,485,514 | | |
| | | | | | | | | | | | | | | | | | 32,632,928 | | |
| | | | | | | Retail - Building Products – 1.40% | | | | | | | | | | | | | |
| | | 162,491 | | | | Lowe’s Cos., Inc. | | | | | (a) | | | | | | 28,382,303 | | |
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Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | ||||||||||
| | | | | | | United States – (continued) | | | | ||||||||||
| | | | | | | Retail - Major Department Stores – 2.08% | | | | | | | | | | | | | |
| | | 756,382 | | | | The TJX Cos., Inc. | | | | | (a) | | | | | $ | 42,243,935 | | |
| | | | | | | Retail - Restaurants – 2.67% | | | | | | | | | | | | | |
| | | 29,590 | | | | Chipotle Mexican Grill, Inc.* | | | | | (a) | | | | | | 38,681,823 | | |
| | | 136,730 | | | | Yum! Brands, Inc. | | | | | | | | | | | 15,520,222 | | |
| | | | | | | | | | | | | | | | | | 54,202,045 | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 6.61% | | | | | | | | | | | | | |
| | | 414,384 | | | | Analog Devices, Inc. | | | | | (a) | | | | | | 60,537,359 | | |
| | | 576,387 | | | | QUALCOMM, Inc. | | | | | (a) | | | | | | 73,627,675 | | |
| | | | | | | | | | | | | | | | | | 134,165,034 | | |
| | | | | | | Semiconductor Equipment – 8.55% | | | | | | | | | | | | | |
| | | 230,784 | | | | KLA Corp. | | | | | (a) | | | | | | 73,638,559 | | |
| | | 153,674 | | | | Lam Research Corp. | | | | | (a) | | | | | | 65,488,175 | | |
| | | 385,595 | | | | Teradyne, Inc. | | | | | | | | | | | 34,530,032 | | |
| | | | | | | | | | | | | | | | | | 173,656,766 | | |
| | | | | | | Total United States (Cost $1,561,184,304) | | | | | | | | | | $ | 1,681,520,155 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Argentina – 1.85% | | | | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 1.85% | | | | | | | | | | | | | |
| | | 59,040 | | | | MercadoLibre, Inc.* | | | | | (a) | | | | | | 37,600,805 | | |
| | | | | | | Total Argentina (Cost $41,368,482) | | | | | | | | | | $ | 37,600,805 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Australia – 1.20% | | | | | | | | | | | | | |
| | | | | | | Enterprise Software / Services – 1.20% | | | | | | | | | | | | | |
| | | 129,939 | | | | Atlassian Corp. PLC, Class A* | | | | | | | | | | | 24,350,568 | | |
| | | | | | | Total Australia (Cost $27,528,063) | | | | | | | | | | $ | 24,350,568 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Brazil – 0.61% | | | | | | | | | | | | | |
| | | | | | | Finance - Investment Banker / Broker – 0.61% | | | | | | | | | | | | | |
| | | 685,265 | | | | XP, Inc., Class A* | | | | | | | | | | | 12,307,359 | | |
| | | | | | | Total Brazil (Cost $18,748,436) | | | | | | | | | | $ | 12,307,359 | | |
| | | | | | | | | ||||||||||||
| | | | | | | Canada – 0.95% | | | | | | | | | | | | | |
| | | | | | | Internet Application Software – 0.95% | | | | | | | | | | | | | |
| | | 620,180 | | | | Shopify, Inc., Class A* | | | | | (a) | | | | | | 19,374,423 | | |
| | | | | | | Total Canada (Cost $31,676,655) | | | | | | | | | | $ | 19,374,423 | | |
| | | | | | | | |
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – 9.54% | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 2.83% | | | | | | | | | | |
| | | 93,383 | | | | Alibaba Group Holding, Ltd. - Sponsored ADR* | | | | | | | $ | 10,615,779 | | |
| | | 572,836 | | | | JD.com, Inc. - Sponsored ADR* | | | | | | | | 36,787,528 | | |
| | | 165,366 | | | | Pinduoduo, Inc. - Sponsored ADR* | | | | | | | | 10,219,619 | | |
| | | | | | | | | | | | | | | 57,622,926 | | |
| | | | | | | Enterprise Software / Services – 0.34% | | | | | | | | | | |
| | | 4,241,447 | | | | Ming Yuan Cloud Group Holdings, Ltd. | | | | | | | | 6,788,953 | | |
| | | | | | | Entertainment Software – 1.23% | | | | | | | | | | |
| | | 267,171 | | | | NetEase, Inc. - Sponsored ADR | | | | | | | | 24,943,085 | | |
| | | | | | | Real Estate Management / Services – 1.22% | | | | | | | | | | |
| | | 1,375,240 | | | | KE Holdings, Inc. - Sponsored ADR* | | | | | | | | 24,685,558 | | |
| | | | | | | Schools – 0.96% | | | | | | | | | | |
| | | 960,286 | | | | New Oriental Education & Technology Group, Inc. - Sponsored ADR* | | | | | | | | 19,551,423 | | |
| | | | | | | Transport - Services – 0.87% | | | | | | | | | | |
| | | 1,940,742 | | | | Full Truck Alliance Co., Ltd. - Sponsored ADR* | | | | | | | | 17,583,122 | | |
| | | | | | | Web Portals / ISP – 2.09% | | | | | | | | | | |
| | | 285,730 | | | | Baidu, Inc. - Sponsored ADR* | | | | | | | | 42,496,623 | | |
| | | | | | | Total China (Cost $191,536,427) | | | | | | | $ | 193,671,690 | | |
| | | | | | | | | |||||||||
| | | | | | | France – 7.67% | | | | | | | | | | |
| | | | | | | Aerospace / Defense - Equipment – 5.53% | | | | | | | | | | |
| | | 699,659 | | | | Airbus SE | | | | | | | | 67,623,338 | | |
| | | 452,471 | | | | Safran SA | | | | | | | | 44,564,703 | | |
| | | | | | | | | | | | | | | 112,188,041 | | |
| | | | | | | Apparel Manufacturers – 0.44% | | | | | | | | | | |
| | | 17,642 | | | | Kering SA | | | | | | | | 9,039,321 | | |
| | | | | | | Entertainment Software – 0.21% | | | | | | | | | | |
| | | 98,499 | | | | Ubisoft Entertainment SA* | | | | | | | | 4,314,685 | | |
| | | | | | | Textile - Apparel – 1.49% | | | | | | | | | | |
| | | 49,605 | | | | LVMH Moet Hennessy Louis Vuitton SE | | | | | | | | 30,166,699 | | |
| | | | | | | Total France (Cost $183,383,989) | | | | | | | $ | 155,708,746 | | |
| | | | | | | | | |||||||||
| | | | | | | Germany – 1.97% | | | | | | | | | | |
| | | | | | | Aerospace / Defense – 0.87% | | | | | | | | | | |
| | | 96,824 | | | | MTU Aero Engines AG | | | | | | | | 17,582,722 | | |
|
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Germany – (continued) | | | | |||||||
| | | | | | | Athletic Footwear – 1.10% | | | | | | | | | | |
| | | 127,261 | | | | adidas AG | | | | | | | $ | 22,452,676 | | |
| | | | | | | Total Germany (Cost $46,312,148) | | | | | | | $ | 40,035,398 | | |
| | | | | | | | | |||||||||
| | | | | | | Hong Kong – 0.80% | | | | | | | | | | |
| | | | | | | Casino Hotels – 0.80% | | | | | | | | | | |
| | | 2,704,000 | | | | Galaxy Entertainment Group, Ltd. | | | | | | | | 16,126,928 | | |
| | | | | | | Total Hong Kong (Cost $14,778,397) | | | | | | | $ | 16,126,928 | | |
| | | | | | | | | |||||||||
| | | | | | | Israel – 0.14% | | | | | | | | | | |
| | | | | | | Applications Software – 0.14% | | | | | | | | | | |
| | | 133,014 | | | | JFrog, Ltd.* | | | | | | | | 2,802,605 | | |
| | | | | | | Total Israel (Cost $7,448,963) | | | | | | | $ | 2,802,605 | | |
| | | | | | | | | |||||||||
| | | | | | | Japan – 4.08% | | | | | | | | | | |
| | | | | | | Audio / Video Products – 3.22% | | | | | | | | | | |
| | | 800,600 | | | | Sony Group Corp. | | | | | | | | 65,383,365 | | |
| | | | | | | Finance - Other Services – 0.37% | | | | | | | | | | |
| | | 521,978 | | | | Japan Exchange Group, Inc. | | | | | | | | 7,522,969 | | |
| | | | | | | Web Portals / ISP – 0.49% | | | | | | | | | | |
| | | 3,387,703 | | | | Z Holdings Corp. | | | | | | | | 9,884,697 | | |
| | | | | | | Total Japan (Cost $83,552,202) | | | | | | | $ | 82,791,031 | | |
| | | | | | | | | |||||||||
| | | | | | | Netherlands – 2.17% | | | | | | | | | | |
| | | | | | | Semiconductor Equipment – 2.17% | | | | | | | | | | |
| | | 92,678 | | | | ASML Holding NV | | | | | | | | 44,103,607 | | |
| | | | | | | Total Netherlands (Cost $49,529,152) | | | | | | | $ | 44,103,607 | | |
| | | | | | | | | |||||||||
| | | | | | | Singapore – 0.48% | | | | | | | | | | |
| | | | | | | E-Commerce / Products – 0.48% | | | | | | | | | | |
| | | 144,781 | | | | Sea, Ltd. - Sponsored ADR* | | | | | | | | 9,680,058 | | |
| | | | | | | Total Singapore (Cost $5,945,852) | | | | | | | $ | 9,680,058 | | |
| | | | | | | | | |||||||||
| | | | | | | Taiwan – 2.15% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 2.15% | | | | | | | | | | |
| | | 534,528 | | | | Taiwan Semiconductor Manufacturing Co., Ltd. - Sponsored ADR | | | | | | | | 43,697,664 | | |
| | | | | | | Total Taiwan (Cost $45,483,904) | | | | | | | $ | 43,697,664 | | |
|
Schedule of Portfolio Investments (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Uruguay – 0.23% | | | | | | | | | | |
| | | | | | | Commercial Services - Finance – 0.23% | | | | | | | | | | |
| | | 175,185 | | | | Dlocal, Ltd.* | | | | | | | $ | 4,598,606 | | |
| | | | | | | Total Uruguay (Cost $4,622,670) | | | | | | | $ | 4,598,606 | | |
| | | | | | | Total Common Stock (Cost $2,313,099,644) | | | | | | | $ | 2,368,369,643 | | |
| | | | | | | Total Investments in Securities (Cost $2,313,099,644) – 116.68% | | | | | | | $ | 2,368,369,643 | | |
| | | | | | | Total Purchased Options ( Cost $319,842,975) – 13.72% | | | | | | | | 278,398,747 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,196,245,457) – (48.13)% | | | | | | | | (976,972,521) | | |
| | | | | | | Other Assets, in Excess of Liabilities – 17.73%** | | | | | | | | 359,997,067 | | |
| | | | | | | Members’ Capital – 100.00% | | | | | | | $ | 2,029,792,936 | | |
|
Schedule of Portfolio Investments (Unaudited) (concluded)
Investments in Securities – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Aerospace / Defense | | | | | 2.33 | | |
Aerospace / Defense - Equipment | | | | | 5.53 | | |
Apparel Manufacturers | | | | | 0.44 | | |
Applications Software | | | | | 5.37 | | |
Athletic Equipment | | | | | 0.27 | | |
Athletic Footwear | | | | | 1.10 | | |
Audio / Video Products | | | | | 3.22 | | |
Building Products - Cement / Aggregate | | | | | 1.91 | | |
Casino Hotels | | | | | 0.80 | | |
Coatings / Paint | | | | | 1.34 | | |
Commercial Services | | | | | 0.24 | | |
Commercial Services - Finance | | | | | 2.70 | | |
Communications Software | | | | | 1.78 | | |
Computer Aided Design | | | | | 7.93 | | |
Computer Software | | | | | 1.88 | | |
E-Commerce / Products | | | | | 7.54 | | |
E-Commerce / Services | | | | | 5.92 | | |
Energy - Alternate Sources | | | | | 0.04 | | |
Entertainment Software | | | | | 1.44 | | |
Enterprise Software / Services | | | | | 6.39 | | |
Finance - Credit Card | | | | | 6.36 | | |
Finance - Investment Banker / Broker | | | | | 0.61 | | |
Finance - Other Services | | | | | 2.01 | | |
Investments in Securities – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Human Resources | | | | | 0.59 | | |
Internet Application Software | | | | | 0.95 | | |
Internet Content - Entertainment | | | | | 4.34 | | |
Medical Information Systems | | | | | 0.18 | | |
Medical Labs & Testing Service | | | | | 0.57 | | |
Medical - Biomedical / Genetics | | | | | 3.35 | | |
Medical - Drugs | | | | | 0.25 | | |
Metal Processors & Fabrication | | | | | 0.11 | | |
Private Equity | | | | | 0.45 | | |
Real Estate Management / Services | | | | | 1.22 | | |
REITs - Diversified | | | | | 4.38 | | |
Retail - Apparel / Shoes | | | | | 1.61 | | |
Retail - Building Products | | | | | 1.40 | | |
Retail - Major Department Stores | | | | | 2.08 | | |
Retail - Restaurants | | | | | 2.67 | | |
Schools | | | | | 0.96 | | |
Semiconductor Components - Integrated Circuits | | | | | 8.76 | | |
Semiconductor Equipment | | | | | 10.72 | | |
Textile - Apparel | | | | | 1.49 | | |
Transport - Services | | | | | 0.87 | | |
Web Portals / ISP | | | | | 2.58 | | |
Total Investments in Securities | | | | | 116.68% | | |
|
Schedule of Purchased Options (Unaudited)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2022 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – 13.72% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Options – 13.38% | | | | | | | |
| | | | | | | | | | | | | | | | Equity Call Options – 5.48% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 3.79% | | | | | | | |
| | | | | | | | | | | | | | | | Athletic Footwear – 0.00% | | | |||||
| | $ | 17,927,000 | | | | | | 1,379 | | | | 9/16/2022 $130 | | | NIKE, Inc., Class B | | | | $ | 74,466 | | |
| | | | | | | | | | | | | | | | Auto - Cars / Light Trucks – 0.40% | | | |||||
| | | 72,170,000 | | | | | | 1,031 | | | | 9/16/2022 $700 | | | Tesla, Inc. | | | | | 8,144,900 | | |
| | | | | | | | | | | | | | | | Beverages - Non-Alcoholic – 0.07% | | | |||||
| | | 16,602,000 | | | | | | 2,767 | | | | 11/18/2022 $60 | | | The Coca-Cola Co. | | | | | 1,466,510 | | |
| | | | | | | | | | | | | | | | Commercial Services - Finance – 0.05% | | | |||||
| | | 10,026,750 | | | | | | 1,383 | | | | 9/16/2022 $72.50 | | | Block, Inc. | | | | | 734,373 | | |
| | | 12,709,500 | | | | | | 1,374 | | | | 9/16/2022 $92.50 | | | PayPal Holdings, Inc. | | | | | 243,198 | | |
| | | | | | | | | | | | | | | | | | | | | 977,571 | | |
| | | | | | | | | | | | | | | | Communications Software – 0.74% | | | |||||
| | | 8,238,000 | | | | | | 1,373 | | | | 9/16/2022 $60 | | | RingCentral, Inc., Class A | | | | | 672,770 | | |
| | | 41,157,000 | | | | | | 4,842 | | | | 9/16/2022 $85 | | | Zoom Video Communications, Inc., Class A | | | | | 14,429,160 | | |
| | | | | | | | | | | | | | | | | | | | | 15,101,930 | | |
| | | | | | | | | | | | | | | | Data Processing / Management – 0.11% | | | |||||
| | | 16,656,000 | | | | | | 2,776 | | | | 9/16/2022 $60 | | | DocuSign, Inc. | | | | | 2,151,400 | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 0.51% | | | |||||
| | | 58,140,000 | | | | | | 6,120 | | | | 9/16/2022 $95 | | | Amazon.com, Inc. | | | | | 10,312,200 | | |
| | | | | | | | | | | | | | | | E-Commerce / Services – 0.25% | | | |||||
| | | 45,560,000 | | | | | | 268 | | | | 9/16/2022 $1,700 | | | Booking Holdings, Inc. | | | | | 4,971,400 | | |
| | | | | | | | | | | | | | | | Electronic Component - Semiconductor – 0.15% | | | |||||
| | | 19,180,000 | | | | | | 2,740 | | | | 8/19/2022 $70 | | | Advanced Micro Devices, Inc. | | | | | 2,931,800 | | |
| | | | | | | | | | | | | | | | Electronic Forms – 0.13% | | | |||||
| | | 53,586,000 | | | | | | 1,374 | | | | 9/16/2022 $390 | | | Adobe, Inc. | | | | | 2,658,690 | | |
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2022 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Enterprise Software / Services – 0.08% | | | |||||
| | $ | 22,209,000 | | | | | | 1,346 | | | | 8/19/2022 $165 | | | Salesforce, Inc. | | | | $ | 1,480,600 | | |
| | | 55,340,000 | | | | | | 2,767 | | | | 9/16/2022 $200 | | | Workday, Inc., Class A | | | | | 166,020 | | |
| | | | | | | | | | | | | | | | | | | | | 1,646,620 | | |
| | | | | | | | | | | | | | | | Finance - Credit Card – 0.17% | | | |||||
| | | 47,936,000 | | | | | | 3,424 | | | | 9/16/2022 $140 | | | American Express Co. | | | | | 3,441,120 | | |
| | | | | | | | | | | | | | | | Finance - Other Services – 0.06% | | | |||||
| | | 3,032,000 | | | | | | 758 | | | | 12/16/2022 $40 | | | Coinbase Global, Inc. | | | | | 1,287,842 | | |
| | | | | | | | | | | | | | | | Hotels & Motels – 0.39% | | | |||||
| | | 12,600,000 | | | | | | 1,008 | | | | 7/15/2022 $125 | | | Hilton Worldwide Holdings, Inc. | | | | | 45,360 | | |
| | | 24,120,000 | | | | | | 2,412 | | | | 10/21/2022 $100 | | | Hilton Worldwide Holdings, Inc. | | | | | 4,703,400 | | |
| | | 16,368,000 | | | | | | 1,364 | | | | 10/21/2022 $120 | | | Marriott International, Inc. | | | | | 3,223,132 | | |
| | | | | | | | | | | | | | | | | | | | | 7,971,892 | | |
| | | | | | | | | | | | | | | | Internet Content - Entertainment – 0.20% | | | |||||
| | | 49,464,000 | | | | | | 2,748 | | | | 8/19/2022 $180 | | | Meta Platforms, Inc., Class A | | | | | 1,986,804 | | |
| | | 59,082,000 | | | | | | 2,748 | | | | 8/19/2022 $215 | | | Meta Platforms, Inc., Class A | | | | | 445,176 | | |
| | | 27,420,000 | | | | | | 1,371 | | | | 11/18/2022 $200 | | | Meta Platforms, Inc., Class A | | | | | 1,206,480 | | |
| | | 35,724,000 | | | | | | 1,374 | | | | 9/16/2022 $260 | | | Netflix, Inc. | | | | | 327,012 | | |
| | | | | | | | | | | | | | | | | | | | | 3,965,472 | | |
| | | | | | | | | | | | | | | | REITs - Warehouse / Industrial – 0.00% | | | |||||
| | | 19,432,000 | | | | | | 1,388 | | | | 8/19/2022 $140 | | | Prologis, Inc. | | | | | 69,400 | | |
| | | | | | | | | | | | | | | | Semiconductor Components - Integrated Circuits – 0.22% | | | |||||
| | | 48,659,000 | | | | | | 3,743 | | | | 10/21/2022 $130 | | | QUALCOMM, Inc. | | | | | 4,529,030 | | |
|
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2022 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Call Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Web Portals / ISP – 0.26% | | | |||||
| | $ | 43,260,000 | | | | | | 206 | | | | 8/19/2022 $2,100 | | | Alphabet, Inc., Class A | | | | $ | 4,155,638 | | |
| | | 31,510,000 | | | | | | 137 | | | | 8/19/2022 $2,300 | | | Alphabet, Inc., Class A | | | | | 1,123,400 | | |
| | | | | | | | | | | | | | | | | | | | | 5,279,038 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $168,602,008) | | | | $ | 76,981,281 | | |
| | | | | | | | | | | | | | | | China – 1.66% | | | | | | | |
| | | | | | | | | | | | | | | | E-Commerce / Products – 1.66% | | | | | | | |
| | | 19,131,000 | | | | | | 2,733 | | | | 9/16/2022 $70 | | | Alibaba Group Holding, Ltd. – Sponsored ADR | | | | | 12,257,505 | | |
| | | 12,670,614 | | | | | | 2,739 | | | | 9/16/2022 $46.26 | | | JD.com., Inc. – Sponsored ADR | | | | | 5,327,355 | | |
| | | 19,369,000 | | | | | | 5,534 | | | | 10/21/2022 $35 | | | Pinduoduo, Inc. – Sponsored ADR | | | | | 16,048,600 | | |
| | | | | | | | | | | | | | | | Total China (Cost $16,537,660) | | | | $ | 33,633,460 | | |
| | | | | | | | | | | | | | | | Taiwan – 0.03% | | | | | | | |
| | | | | | | | | | | | | | | | Semiconductor Components - Integrated Circuits – 0.03% | | | |||||
| | | 18,261,000 | | | | | | 2,029 | | | | 8/19/2022 $90 | | | Taiwan Semiconductor Manufacturing Co., Ltd. – Sponsored ADR | | | | | 308,408 | | |
| | | 4,424,000 | | | | | | 553 | | | | 10/21/2022 $80 | | | Taiwan Semiconductor Manufacturing Co., Ltd. – Sponsored ADR | | | | | 389,865 | | |
| | | | | | | | | | | | | | | | Total Taiwan (Cost $3,523,896) | | | | $ | 698,273 | | |
| | | | | | | | | | | | | | | | Total Equity Call Options (Cost $188,663,564) | | | | $ | 111,313,014 | | |
| | | | | | | | | | ||||||||||||||
| | | | | | | | | | | | | | | | Equity Put Options – 7.90% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 7.90% | | | | | | | |
| | | | | | | | | | | | | | | | Growth & Income - Large Cap – 1.11% | | | |||||
| | | 374,107,000 | | | | | | 10,111 | | | | 12/16/2022 $370 | | | SPDR S&P 500 ETF Trust | | | | | 22,598,085 | | |
| | | | | | | | | | | | | | | | Sector Fund - Technology – 6.79% | | | |||||
| | | 422,352,000 | | | | | | 15,084 | | | | 12/16/2022 $280 | | | Invesco QQQ Trust Series 1 | | | | | 34,708,284 | | |
| | | 521,778,000 | | | | | | 18,308 | | | | 12/16/2022 $285 | | | Invesco QQQ Trust Series 1 | | | | | 46,410,780 | | |
Schedule of Purchased Options (Unaudited) (continued)
| Notional Amount (USD) | | | Contracts | | | Expiration Date Strike Price | | | | | | June 30, 2022 Fair Value | | |||||||||
| | | | | | | | | | | | | | | | Purchased Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | Equity Put Options – (continued) | | | |||||
| | | | | | | | | | | | | | | | United States – (continued) | | | |||||
| | | | | | | | | | | | | | | | Sector Fund - Technology – (continued) | | | |||||
| | $ | 382,568,000 | | | | | | 13,192 | | | | 12/16/2022 $290 | | | Invesco QQQ Trust Series 1 | | | | $ | 36,462,688 | | |
| | | 142,480,000 | | | | | | 4,384 | | | | 9/16/2022 $325 | | | Invesco QQQ Trust Series 1 | | | | | 20,105,024 | | |
| | | | | | | | | | | | | | | | | | | | | 137,686,776 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $125,594,111) | | | | $ | 160,284,861 | | |
| | | | | | | | | | | | | | | | Total Equity Put Options (Cost $125,594,111) | | | | $ | 160,284,861 | | |
| | | | | | | | | | | | | | | | Total Equity Options (Cost $314,257,675) | | | | $ | 271,597,875 | | |
| | | | | | | | | | | | | | | | Currency Put Options – 0.34% | | | | | | | |
| | | | | | | | | | | | | | | | United States – 0.34% | | | |||||
| | | 5,062,422 | | | | | | 94,624,718 | | | | 12/16/2022 $5.35 | | | USD-BRL | | | | | 6,155,764 | | |
| | | 11,988,564 | | | | | | 171,265,207 | | | | 12/16/2022 $7.00 | | | USD-CNH | | | | | 645,108 | | |
| | | | | | | | | | | | | | | | Total United States (Cost $5,585,300) | | | | $ | 6,800,872 | | |
| | | | | | | | | | | | | | | | Total Currency Put Options (Cost $5,585,300) | | | | $ | 6,800,872 | | |
| | | | | | | | | | | | | | | | Total Purchased Options (Cost $319,842,975) | | | | $ | 278,398,747 | | |
|
Schedule of Purchased Options (Unaudited) (concluded)
Purchased Options – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Athletic Footwear | | | | | 0.00 | | |
Auto - Cars / Light Trucks | | | | | 0.40 | | |
Beverages - Non-Alcoholic | | | | | 0.07 | | |
Commercial Services - Finance | | | | | 0.05 | | |
Communications Software | | | | | 0.74 | | |
Currency | | | | | 0.34 | | |
Data Processing / Management | | | | | 0.11 | | |
E-Commerce / Products | | | | | 2.17 | | |
E-Commerce / Services | | | | | 0.25 | | |
Electronic Component - Semiconductor | | | | | 0.15 | | |
Electronic Forms | | | | | 0.13 | | |
Enterprise Software / Services | | | | | 0.08 | | |
Purchased Options – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Finance - Credit Card | | | | | 0.17 | | |
Finance - Other Services | | | | | 0.06 | | |
Growth & Income - Large Cap | | | | | 1.11 | | |
Hotels & Motels | | | | | 0.39 | | |
Internet Content - Entertainment | | | | | 0.20 | | |
REITs - Warehouse / Industrial | | | | | 0.00 | | |
Sector Fund - Technology | | | | | 6.79 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.25 | | |
Web Portals / ISP | | | | | 0.26 | | |
Total Purchased Options | | | | | 13.72% | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Securities Sold, Not Yet Purchased – 48.13% | | | | | | | | | | |
| | | | | | | Common Stock – 48.13% | | | | | | | | | | |
| | | | | | | United States – 42.24% | | | | | | | | | | |
| | | | | | | Advertising Agencies – 1.05% | | | | | | | | | | |
| | | 310,422 | | | | The Interpublic Group of Cos., Inc. | | | | | | | $ | 8,545,917 | | |
| | | 201,270 | | | | Omnicom Group, Inc. | | | | | | | | 12,802,785 | | |
| | | | | | | | | | | | | | | 21,348,702 | | |
| | | | | | | Apparel Manufacturers – 0.43% | | | | | | | | | | |
| | | 854,424 | | | | Hanesbrands, Inc. | | | | | | | | 8,792,023 | | |
| | | | | | | Appliances – 0.33% | | | | | | | | | | |
| | | 42,720 | | | | Whirlpool Corp. | | | | | | | | 6,616,046 | | |
| | | | | | | Applications Software – 1.19% | | | | | | | | | | |
| | | 115,294 | | | | Asana, Inc., Class A* | | | | | | | | 2,026,868 | | |
| | | 137,483 | | | | C3.ai, Inc., Class A* | | | | | | | | 2,510,440 | | |
| | | 41,087 | | | | ServiceNow, Inc.* | | | | | | | | 19,537,690 | | |
| | | | | | | | | | | | | | | 24,074,998 | | |
| | | | | | | Athletic Footwear – 0.16% | | | | | | | | | | |
| | | 31,980 | | | | NIKE. Inc., Class B | | | | | | | | 3,268,356 | | |
| | | | | | | Auto - Cars / Light Trucks – 1.78% | | | | | | | | | | |
| | | 53,741 | | | | Tesla, Inc.* | | | | | | | | 36,190,264 | | |
| | | | | | | Beverages - Non-Alcoholic – 0.65% | | | | | | | | | | |
| | | 210,352 | | | | The Coca-Cola Co. | | | | | | | | 13,233,244 | | |
| | | | | | | Commercial Services - Finance – 0.80% | | | | | | | | | | |
| | | 299,534 | | | | H&R Block, Inc. | | | | | | | | 10,579,541 | | |
| | | 67,491 | | | | PayPal Holdings, Inc.* | | | | | | | | 4,713,571 | | |
| | | 27,426 | | | | Shift4 Payments, Inc., Class A* | | | | | | | | 906,704 | | |
| | | | | | | | | | | | | | | 16,199,816 | | |
| | | | | | | Computer Data Security – 0.18% | | | | | | | | | | |
| | | 55,336 | | | | Rapid7, Inc.* | | | | | | | | 3,696,445 | | |
| | | | | | | Computer Software – 1.37% | | | | | | | | | | |
| | | 81,319 | | | | Akamai Technologies, Inc.* | | | | | | | | 7,426,864 | | |
| | | 6,352 | | | | Bandwidth Inc., Class A* | | | | | | | | 119,545 | | |
| | | 46,240 | | | | Cloudflare, Inc., Class A* | | | | | | | | 2,023,000 | | |
| | | 37,504 | | | | Fastly, Inc., Class A* | | | | | | | | 435,421 | | |
| | | 68,824 | | | | HashiCorp, Inc., Class A* | | | | | | | | 2,026,179 | | |
| | | 57,226 | | | | Snowflake, Inc., Class A* | | | | | | | | 7,957,848 | | |
| | | 152,604 | | | | SolarWinds Corp.* | | | | | | | | 1,564,191 | | |
| | | 27,668 | | | | Splunk, Inc.* | | | | | | | | 2,447,511 | | |
| | | 101,207 | | | | Teradata Corp.* | | | | | | | | 3,745,671 | | |
| | | | | | | | | | | | | | | 27,746,230 | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Computers – 0.91% | | | | | | | | | | |
| | | 82,269 | | | | Apple, Inc. | | | | | | | $ | 11,247,818 | | |
| | | 220,785 | | | | HP, Inc. | | | | | | | | 7,237,332 | | |
| | | | | | | | | | | | | | | 18,485,150 | | |
| | | | | | | Computers - Memory Devices – 0.37% | | | | | | | | | | |
| | | 106,109 | | | | Seagate Technology Holdings, PLC | | | | | | | | 7,580,427 | | |
| | | | | | | Consulting Services – 0.48% | | | | | | |||||
| | | 56,016 | | | | Verisk Analytics, Inc. | | | | | | | | 9,695,809 | | |
| | | | | | | Consumer Products - Miscellaneous – 1.63% | | | | | | | | | | |
| | | 244,794 | | | | Kimberly-Clark Corp. | | | | | | | | 33,083,909 | | |
| | | | | | | Cosmetics & Toiletries – 1.12% | | | | | | | | | | |
| | | 201,724 | | | | Colgate-Palmolive Co. | | | | | | | | 16,166,161 | | |
| | | 46,379 | | | | The Procter & Gamble Co. | | | | | | | | 6,668,837 | | |
| | | | | | | | | | | | | | | 22,834,998 | | |
| | | | | | | Data Processing / Management – 0.56% | | | | | | | | | | |
| | | 197,487 | | | | DocuSign, Inc.* | | | | | | | | 11,331,804 | | |
| | | | | | | E-Commerce / Products – 0.50% | | | | | | | | | | |
| | | 163,800 | | | | Poshmark, Inc., Class A* | | | | | | | | 1,656,018 | | |
| | | 197,135 | | | | Wayfair, Inc., Class A* | | | | | | | | 8,587,201 | | |
| | | | | | | | | | | | | | | 10,243,219 | | |
| | | | | | | E-Commerce / Services – 0.57% | | | | | | | | | | |
| | | 5,767 | | | | Booking Holdings, Inc.* | | | | | | | | 10,086,425 | | |
| | | 86,365 | | | | TripAdvisor, Inc.* | | | | | | | | 1,537,297 | | |
| | | | | | | | | | | | | | | 11,623,722 | | |
| | | | | | | Electric - Distribution – 0.86% | | | | | | | | | | |
| | | 183,583 | | | | Consolidated Edison, Inc. | | | | | | | | 17,458,743 | | |
| | | | | | | Electric - Integrated – 1.98% | | | | | | | | | | |
| | | 137,328 | | | | Duke Energy Corp. | | | | | | | | 14,722,935 | | |
| | | 303,468 | | | | PPL Corp. | | | | | | | | 8,233,087 | | |
| | | 240,556 | | | | The Southern Co. | | | | | | | | 17,154,048 | | |
| | | | | | | | | | | | | | | 40,110,070 | | |
| | | | | | | Electronic Components - Semiconductors – 5.19% | | | | |||||||
| | | 117,134 | | | | GLOBALFOUNDRIES, Inc.* | | | | | | | | 4,725,186 | | |
| | | 92,810 | | | | Marvell Technology, Inc. | | | | | | | | 4,040,019 | | |
| | | 287,663 | | | | NVIDIA Corp. | | | | | | | | 43,606,834 | | |
| | | 345,380 | | | | Texas Instruments, Inc. | | | | | | | | 53,067,637 | | |
| | | | | | | | | | | | | | | 105,439,676 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| �� | | | | | | Electronic Forms – 1.75% | | | | | | | | | | |
| | | 96,965 | | | | Adobe, Inc.* | | | | | | | $ | 35,495,008 | | |
| | | | | | | Enterprise Software / Services – 2.37% | | | | | | | | | | |
| | | 16,185 | | | | Blackline, Inc.* | | | | | | | | 1,077,921 | | |
| | | 88,942 | | | | Salesforce.com, Inc.* | | | | | | | | 14,678,988 | | |
| | | 65,513 | | | | Veeva Systems, Inc., Class A* | | | | | | | | 12,974,194 | | |
| | | 138,419 | | | | Workday, Inc., Class A* | | | | | | | | 19,320,524 | | |
| | | | | | | | | | | | | | | 48,051,627 | | |
| | | | | | | Finance - Credit Card – 0.43% | | | | | | | | | | |
| | | 530,372 | | | | The Western Union Co. | | | | | | | | 8,735,227 | | |
| | | | | | | Food - Confectionery – 0.43% | | | | | | | | | | |
| | | 67,585 | | | | The J M Smucker Co. | | | | | | | | 8,651,556 | | |
| | | | | | | Food - Miscellaneous / Diversified – 3.75% | | | | | | | | | | |
| | | 384,573 | | | | Campbell Soup Co. | | | | | | | | 18,478,733 | | |
| | | 414,650 | | | | Conagra Brands, Inc. | | | | | | | | 14,197,616 | | |
| | | 282,659 | | | | General Mills, Inc. | | | | | | | | 21,326,621 | | |
| | | 310,612 | | | | Kellogg Co. | | | | | | | | 22,159,060 | | |
| | | | | | | | | | | | | | | 76,162,030 | | |
| | | | | | | Internet Application Software – 0.30% | | | | | | | | | | |
| | | 67,525 | | | | Okta, Inc.* | | | | | | | | 6,104,260 | | |
| | | | | | | Internet Content - Entertainment – 0.34% | | | | | | | | | | |
| | | 38,991 | | | | Netflix, Inc.* | | | | | | | | 6,818,356 | | |
| | | | | | | Investment Management / Advisory Services – 2.26% | | | | |||||||
| | | 189,352 | | | | Apollo Global Management, Inc. | | | | | | | | 9,179,785 | | |
| | | 252,090 | | | | Franklin Resources, Inc. | | | | | | | | 5,876,218 | | |
| | | 270,503 | | | | T Rowe Price Group, Inc. | | | | | | | | 30,731,846 | | |
| | | | | | | | | | | | | | | 45,787,849 | | |
| | | | | | | Medical - Biomedical / Genetics – 0.99% | | | | | | | | | | |
| | | 82,565 | | | | Amgen, Inc. | | | | | | | | 20,088,064 | | |
| | | | | | | Motorcycle / Motor Scooter – 0.07% | | | | | | | | | | |
| | | 45,046 | | | | Harley-Davidson, Inc. | | | | | | | | 1,426,156 | | |
| | | | | | | Networking Products – 0.44% | | | | | | | | | | |
| | | 210,187 | | | | Cisco Systems, Inc. | | | | | | | | 8,962,374 | | |
| | | | | | | Private Equity – 0.14% | | | | | | | | | | |
| | | 48,231 | | | | Ares Management Corp., Class A | | | | | | | | 2,742,415 | | |
| | | | | | | Real Estate Management / Services – 0.14% | | | | | | | | | | |
| | | 278,977 | | | | Realogy Holdings Corp.* | | | | | | | | 2,742,344 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | REITs - Health Care – 0.49% | | | | | | | | | | |
| | | 121,588 | | | | Ventas, Inc. | | | | | | | $ | 6,253,271 | | |
| | | 45,527 | | | | Welltower, Inc. | | | | | | | | 3,749,148 | | |
| | | | | | | | | | | | | | | 10,002,419 | | |
| | | | | | | REITs - Office Property – 1.89% | | | | | | | | | | |
| | | 81,855 | | | | Boston Properties, Inc. | | | | | | | | 7,283,458 | | |
| | | 223,914 | | | | Brandywine Realty Trust | | | | | | | | 2,158,531 | | |
| | | 289,422 | | | | Douglas Emmett, Inc. | | | | | | | | 6,477,264 | | |
| | | 173,996 | | | | Hudson Pacific Properties, Inc. | | | | | | | | 2,582,101 | | |
| | | 50,517 | | | | Kilroy Realty Corp. | | | | | | | | 2,643,555 | | |
| | | 164,843 | | | | SL Green Realty Corp. | | | | | | | | 7,607,504 | | |
| | | 337,456 | | | | Vornado Realty Trust | | | | | | | | 9,647,867 | | |
| | | | | | | | | | | | | | | 38,400,280 | | |
| | | | | | | REITs - Regional Malls – 0.27% | | | | | | | | | | |
| | | 57,687 | | | | Simon Property Group, Inc. | | | | | | | | 5,475,650 | | |
| | | | | | | REITs - Shopping Centers – 1.38% | | | | | | | | | | |
| | | 150,068 | | | | Brixmor Property Group, Inc. | | | | | | | | 3,032,874 | | |
| | | 65,864 | | | | Federal Realty Investment Trust | | | | | | | | 6,305,820 | | |
| | | 377,903 | | | | Kimco Realty Corp. | | | | | | | | 7,471,142 | | |
| | | 157,996 | | | | Regency Centers Corp. | | | | | | | | 9,370,743 | | |
| | | 125,235 | | | | Urban Edge Properties | | | | | | | | 1,904,824 | | |
| | | | | | | | | | | | | | | 28,085,403 | | |
| | | | | | | REITs - Warehouse / Industrial – 0.82% | | | | | | | | | | |
| | | 140,857 | | | | Prologis, Inc. | | | | | | | | 16,571,826 | | |
| | | | | | | Retail - Apparel / Shoes – 0.04% | | | | | | | | | | |
| | | 163,579 | | | | Chico’s FAS, Inc.* | | | | | | | | 812,988 | | |
| | | | | | | Retail - Bedding – 0.01% | | | | | | | | | | |
| | | 40,338 | | | | Bed, Bath & Beyond, Inc.* | | | | | | | | 200,480 | | |
| | | | | | | Retail - Major Department Stores – 0.32% | | | | | | | | | | |
| | | 310,705 | | | | Nordstrom, Inc. | | | | | | | | 6,565,197 | | |
| | | | | | | Retail - Miscellaneous / Diversified – 0.27% | | | | | ||||||
| | | 464,342 | | | | Sally Beauty Holdings, Inc.* | | | | | | | | 5,534,957 | | |
| | | | | | | Retail - Regional Department Stores – 0.52% | | | | | | | | | | |
| | | 236,758 | | | | Kohl’s Corp. | | | | | | | | 8,449,893 | | |
| | | 109,591 | | | | Macy’s, Inc. | | | | | | | | 2,007,707 | | |
| | | | | | | | | | | | | | | 10,457,600 | | |
| | | | | | | | |
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | United States – (continued) | | | | |||||||
| | | | | | | Retail - Restaurants – 0.07% | | | | | | | | | | |
| | | 56,888 | | | | The Cheesecake Factory, Inc. | | | | | | | $ | 1,502,981 | | |
| | | | | | | Telecommunication Equipment – 0.29% | | | | | | | | | | |
| | | 205,673 | | | | Juniper Networks, Inc. | | | | | | | | 5,861,681 | | |
| | | | | | | Telephone - Integrated – 0.35% | | | | | | | | | | |
| | | 273,857 | | | | AT&T, Inc. | | | | | | | | 5,740,043 | | |
| | | 28,290 | | | | Verizon Communications, Inc. | | | | | | | | 1,435,718 | | |
| | | | | | | | | | | | | | | 7,175,761 | | |
| | | | | | | Total United States (Proceeds $1,041,250,012) | | | | | | | $ | 857,468,140 | | |
| | | | | | | Brazil – 0.01% | | | | | | | | | | |
| | | | | | | Commercial Services - Finance – 0.01% | | | | | | | | | | |
| | | 18,875 | | | | StoneCo, Ltd., Class A* | | | | | | | | 145,337 | | |
| | | | | | | Total Brazil (Proceeds $1,115,899) | | | | | | | $ | 145,337 | | |
| | | | | | | Canada – 0.41% | | | | | | | | | | |
| | | | | | | Medical - Drugs – 0.02% | | | | | | | | | | |
| | | 119,496 | | | | Canopy Growth Corp.* | | | | | | | | 340,142 | | |
| | | | | | | Private Equity – 0.39% | | | | | | | | | | |
| | | 179,384 | | | | Brookfield Asset Management, Inc., Class A | | | | | | | | 7,977,206 | | |
| | | | | | | Total Canada (Proceeds $13,457,072) | | | | | | | $ | 8,317,348 | | |
| | | | | | | | | |||||||||
| | | | | | | China – 2.05% | | | | | | | | | | |
| | | | | | | Computer Software – 0.01% | | | | | | | | | | |
| | | 108,627 | | | | Tuya, Inc. – Sponsored ADR* | | | | | | | | 284,603 | | |
| | | | | | | Computers – 0.07% | | | | | | | | | | |
| | | 1,418,000 | | | | Lenovo Group. Ltd. | | | | | | | | 1,324,583 | | |
| | | | | | | Internet Content - Entertainment – 0.02% | | | | | | | | | | |
| | | 13,560 | | | | Weibo Corp. – Sponsored ADR* | | | | | | | | 313,643 | | |
| | | | | | | Internet Content - Information / Network – 1.44% | | | | | | | | | | |
| | | 1,115,500 | | | | Kuaishou Technology* | | | | | | | | 12,424,534 | | |
| | | 371,900 | | | | Tencent Holdings, Ltd. | | | | | | | | 16,796,508 | | |
| | | | | | | | | | | | | | | 29,221,042 | | |
| | | | | | | Metal - Aluminum – 0.04% | | | | | | | | | | |
| | | 4,170,000 | | | | China Zhongwang Holdings, Ltd. | | | | | | | | 892,780 | | |
| | | | | | | Retail - Drug Stores – 0.13% | | | | | | | | | | |
| | | 859,000 | | | | Ping An Healthcare and Technology Co., Ltd.* | | | | | | | | 2,545,161 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | China – (continued) | | | | |||||||
| | | | | | | Wireless Equipment – 0.34% | | | | | | | | | | |
| | | 3,982,200 | | | | Xiaomi Corp., Class B* | | | | | | | $ | 6,922,079 | | |
| | | | | | | Total China (Proceeds $50,552,857) | | | | | | | $ | 41,503,891 | | |
| | | | | | | France – 0.36% | | | | | | | | | | |
| | | | | | | Advertising Services – 0.23% | | | | | | | | | | |
| | | 98,209 | | | | Publicis Groupe SA | | | | | | | | 4,790,703 | | |
| | | | | | | REITs - Regional Malls – 0.13% | | | | | | | | | | |
| | | 135,520 | | | | Klepierre SA | | | | | | | | 2,601,234 | | |
| | | | | | | Total France (Proceeds $7,570,918) | | | | | | | $ | 7,391,937 | | |
| | | | | | | Germany – 0.95% | | | | | | | | | | |
| | | | | | | Enterprise Software / Services – 0.95% | | | | | | | | | | |
| | | 212,231 | | | | SAP SE | | | | | | | | 19,287,759 | | |
| | | | | | | Total Germany (Proceeds $29,173,702) | | | | | | | $ | 19,287,759 | | ��� |
| | | | | | | Hong Kong – 0.47% | | | | | | | | | | |
| | | | | | | Electric - Integrated – 0.47% | | | | | | | | | | |
| | | 1,531,000 | | | | Power Assets Holdings, Ltd. | | | | | | | | 9,628,563 | | |
| | | | | | | Total Hong Kong (Proceeds $11,994,500) | | | | | | | $ | 9,628,563 | | |
| | | | | | | Israel – 0.40% | | | | | | | | | | |
| | | | | | | Applications Software – 0.30% | | | | | | | | | | |
| | | 58,612 | | | | Monday.com, Ltd.* | | | | | | | | 6,046,414 | | |
| | | | | | | Internet Application Software – 0.10% | | | | | | | | | | |
| | | 31,006 | | | | Wix.com, Ltd.* | | | | | | | | 2,032,443 | | |
| | | | | | | Total Israel (Proceeds $9,419,284) | | | | | | | $ | 8,078,857 | | |
| | | | | | | Japan – 0.01% | | | | | | | | | | |
| | | | | | | Gas - Distribution – 0.01% | | | | | | | | | | |
| | | 13,100 | | | | Tokyo Gas Co., Ltd. | | | | | | | | 270,669 | | |
| | | | | | | Total Japan (Proceeds $311,586) | | | | | | | $ | 270,669 | | |
| | | | | | | Netherlands – 0.16% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.16% | | | | |||||||
| | | 21,380 | | | | NXP Semiconductors NV | | | | | | | | 3,164,881 | | |
| | | | | | | Total Netherlands (Proceeds $4,073,802) | | | | | | | $ | 3,164,881 | | |
| | | | | | | Switzerland – 0.75% | | | | | | | | | | |
| | | | | | | Computers - Peripheral Equipment – 0.24% | | | | | | | | | | |
| | | 93,694 | | | | Logitech International SA* | | | | | | | | 4,877,710 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (continued)
| Shares | | | | | | | | | June 30, 2022 Fair Value | | ||||||
| | | | | | | Common Stock – (continued) | | | | |||||||
| | | | | | | Switzerland – (continued) | | | | |||||||
| | | | | | | Medical - Drugs – 0.51% | | | | | | | | | | |
| | | 122,479 | | | | Novartis AG – Sponsored ADR | | | | | | | $ | 10,353,150 | | |
| | | | | | | Total Switzerland (Proceeds $17,117,263) | | | | | | | $ | 15,230,860 | | |
| | | | | | | Taiwan – 0.32% | | | | | | | | | | |
| | | | | | | Semiconductor Components - Integrated Circuits – 0.32% | | | | | | | | | | |
| | | 957,796 | | | | United Microelectronics Corp. – Sponsored ADR | | | | | | | | 6,484,279 | | |
| | | | | | | Total Taiwan (Proceeds $10,208,562) | | | | | | | $ | 6,484,279 | | |
| | | | | | | Total Common Stock (Proceeds $1,196,245,457) | | | | | | | $ | 976,972,521 | | |
| | | | | | | Total Securities Sold, Not Yet Purchased (Proceeds $1,196,245,457) | | | | | | | $ | 976,972,521 | | |
|
Schedule of Securities Sold, Not Yet Purchased (Unaudited) (concluded)
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Advertising Agencies | | | | | 1.05 | | |
Advertising Services | | | | | 0.23 | | |
Apparel Manufacturers | | | | | 0.43 | | |
Appliances | | | | | 0.33 | | |
Applications Software | | | | | 1.49 | | |
Athletic Footwear | | | | | 0.16 | | |
Auto - Cars / Light Trucks | | | | | 1.78 | | |
Beverages - Non-Alcoholic | | | | | 0.65 | | |
Commercial Services - Finance | | | | | 0.81 | | |
Computer Data Security | | | | | 0.18 | | |
Computer Software | | | | | 1.38 | | |
Computers | | | | | 0.98 | | |
Computers - Memory Devices | | | | | 0.37 | | |
Computers - Peripheral Equipment | | | | | 0.24 | | |
Consulting Services | | | | | 0.48 | | |
Consumer Products - Miscellaneous | | | | | 1.63 | | |
Cosmetics & Toiletries | | | | | 1.12 | | |
Data Processing / Management | | | | | 0.56 | | |
E-Commerce / Products | | | | | 0.50 | | |
E-Commerce / Services | | | | | 0.57 | | |
Electric - Distribution | | | | | 0.86 | | |
Electric - Integrated | | | | | 2.45 | | |
Electronic Components - Semiconductors | | | | | 5.19 | | |
Electronic Forms | | | | | 1.75 | | |
Enterprise Software / Services | | | | | 3.32 | | |
Finance - Credit Card | | | | | 0.43 | | |
Food - Confectionery | | | | | 0.43 | | |
Food - Miscellaneous / Diversified | | | | | 3.75 | | |
Gas - Distribution | | | | | 0.01 | | |
Internet Application Software | | | | | 0.40 | | |
Securities Sold, Not Yet Purchased – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Internet Content - Entertainment | | | | | 0.36 | | |
Internet Content - Information / Network | | | | | 1.44 | | |
Investment Management / Advisory Services | | | | | 2.26 | | |
Medical - Biomedical / Genetics | | | | | 0.99 | | |
Medical - Drugs | | | | | 0.53 | | |
Metal - Aluminum | | | | | 0.04 | | |
Motorcycle / Motor Scooter | | | | | 0.07 | | |
Networking Products | | | | | 0.44 | | |
Private Equity | | | | | 0.53 | | |
Real Estate Management / Services | | | | | 0.14 | | |
REITs - Health Care | | | | | 0.49 | | |
REITs - Office Property | | | | | 1.89 | | |
REITs - Regional Malls | | | | | 0.40 | | |
REITs - Shopping Centers | | | | | 1.38 | | |
REITs - Warehouse / Industrial | | | | | 0.82 | | |
Retail - Apparel / Shoes – 0.04% | | | | | 0.04 | | |
Retail - Bedding | | | | | 0.01 | | |
Retail - Drug Stores | | | | | 0.13 | | |
Retail - Major Department Stores | | | | | 0.32 | | |
Retail - Miscellaneous / Diversified | | | | | 0.27 | | |
Retail - Regional Department Stores | | | | | 0.52 | | |
Retail - Restaurants | | | | | 0.07 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.48 | | |
Telecommunication Equipment | | | | | 0.29 | | |
Telephone - Integrated | | | | | 0.35 | | |
Wireless Equipment | | | | | 0.34 | | |
Total Securities Sold, Not Yet Purchased | | | | | 48.13% | | |
|
Schedule of Swap Contracts (Unaudited)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – 2.91% | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – 4.41% | | | ||||||||
| | | | | | | United States – 2.84% | | | ||||||||
| | | | | | | Web Portals / ISP – 2.84% | | | ||||||||
| | $ | 59,071,727 | | | | 6/3/2024 | | | Alphabet, Inc., Class A | | | | $ | 57,599,241 | | |
| | | | | | | | | | 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 | | | | $ | 57,599,241 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Australia – 0.20% | | | ||||||||
| | | | | | | Commercial Banks - Non-US – 0.20% | | | | | | | | |||
| | | (11,065,945) | | | | 12/27/2024 | | | Bank of Queensland, Ltd. | | | | | 2,465,404 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (20,797,688) | | | | 12/27/2024 | | | Westpac Banking Corp. | | | | | 1,562,323 | | |
| | | | | | | | | | 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 | | | | $ | 4,027,727 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – 0.14% | | | | | | | | |||
| | | | | | | Commercial Services - Finance – 0.14% | | | | | | | | |||
| | | (4,622,849) | | | | 2/2/2023 | | | Cielo SA | | | | | 2,931,546 | | |
| | | | | | | | | | 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 1.75%**. | | | | | | | |
| | | | | | | Total Brazil | | | | $ | 2,931,546 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Japan – 0.38% | | | | | | | | |||
| | | | | | | Audio / Video Products – 0.07% | | | | | | | | |||
| | | (10,083,564) | | | | 12/24/2024 | | | Sharp Corp. | | | | | 1,475,960 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/03/2012 to deliver the total return of the shares of Sharp Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Bicycle Manufacturing – 0.01% | | | | | | | | |||
| | $ | (7,545,017) | | | | 12/24/2024 | | | Shimano, Inc. | | | | $ | 107,307 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 05/09/2022 to deliver the total return of the shares of Shimano, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | E-Commerce / Products – 0.07% | | | | | | | | |||
| | | (2,755,331) | | | | 12/24/2024 | | | Rakuten Group, Inc. | | | | | 1,422,474 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/16/2021 to deliver the total return of the shares of Rakuten Group, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Electric Products - Miscellaneous – 0.01% | | | | | | | | |||
| | | (458,617) | | | | 12/24/2024 | | | Casio Computer Co., Ltd. | | | | | 171,381 | | |
| | | | | | | | | | 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 – 0.02% | | | | | | | | |||
| | | (4,561,133) | | | | 12/24/2024 | | | Chubu Electric Power Co., Inc. | | | | | 348,889 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Office Automation & Equipment – 0.02% | | | | | | | | |||
| | | (990,943) | | | | 12/24/2024 | | | Ricoh Co., Ltd. | | | | | 143,573 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | (3,528,435) | | | | 12/24/2024 | | | Canon, Inc. | | | | | 113,960 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | |||||||||
| | | | | | | | | |||||||||
| | | | | | | | |
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Japan – (continued) | | | ||||||||
| | | | | | | Office Automation & Equipment – (continued) | | | ||||||||
| | $ | (325,832) | | | | 12/24/2024 | | | Konica Minolta, Inc. | | | | $ | 63,944 | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | | | | | | | | | 321,477 | | |
| | | | | | | Photo Equipment & Supplies – 0.00% | | | | | | | | |||
| | | (2,467,413) | | | | 12/24/2024 | | | Nikon Corp. | | | | | 56,749 | | |
| | | | | | | | | | 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 – 0.18% | | | | | | | | |||
| | | (16,741,793) | | | | 12/24/2024 | | | Advantest Corp. | | | | | 3,695,883 | | |
| | | | | | | | | | 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 | | | | $ | 7,600,120 | | | |||
| | | | | | | | | |||||||||
| | | | | | | Spain – 0.48% | | | | | | | | |||
| | | | | | | Building - Heavy Construction – 0.48% | | | | | | | | |||
| | | 8,809,647 | | | | 1/4/2024 | | | Cellnex Telecom SA | | | | | 9,725,142 | | |
| | | | | | | | | | 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 | | | | $ | 9,725,142 | | | |||
| | | | | | | | | |||||||||
| | | | | | | South Korea – 0.02% | | | | | | | | |||
| | | | | | | Electronic Components - Miscellaneous – 0.02% | | | | | | | | |||
| | | (1,489,410) | | | | 8/14/2023 | | | LG Display Co., Ltd. | | | | | 384,153 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/09/2021 to deliver the total return of the shares of LG Display Co., Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 2.0%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | 384,153 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Gain*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Gain – (continued) | | | ||||||||
| | | | | | | Taiwan – 0.07% | | | | | | | | |||
| | | | | | | Semiconductor Components - Integrated Circuits – 0.07% | | | | | | | | |||
| | $ | (3,104,122) | | | | 1/25/2024 | | | Novatek Microelectronics, Ltd. | | | | $ | 1,219,861 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/19/2013 to deliver the total return of the shares of Novatek Microelectronics, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 4.75%**. | | | | | | | |
| | | (1,419,239) | | | | 1/25/2024 | | | United Microelectronics Corp. | | | | | 246,321 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 08/08/2013 to deliver the total return of the shares of United Microelectronics Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 7.75%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | 1,466,182 | | | |||
| | | | | | | | | |||||||||
| | | | | | | United Kingdom – 0.28% | | | ||||||||
| | | | | | | Cosmetics & Toiletries – 0.10% | | | | | | | | |||
| | | (14,688,012) | | | | 1/4/2024 | | | Unilever PLC | | | | | 2,115,132 | | |
| | | | | | | | | | 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 – 0.14% | | | | | | | | |||
| | | (4,541,361) | | | | 12/14/2023 | | | Marks & Spencer Group PLC | | | | | 2,774,159 | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 02/16/2016 to deliver the total return of the shares of Marks & Spencer Group PLC in exchange for interest based on the Daily Fed Funds Effective Rate less 0.30%**. | | | | | | | |
| | | | | | | Retail - Apparel / Shoes – 0.04% | | | | | | | | |||
| | | (4,568,575) | | | | 12/14/2023 | | | Next PLC | | | | | 829,390 | | |
| | | | | | | | | | 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 | | | | $ | 5,718,681 | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Gain**** | | | | $ | 89,452,792 | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (1.50%) | | |||||||||
| | | | | | | United States – (0.13%) | | | | | | | | |||
| | | | | | | Private Equity – (0.13%) | | | | | | | | |||
| | $ | 59,421,472 | | | | 6/3/2024 | | | The Carlyle Group, Inc. | | | | $ | (2,688,222) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 11/16/2017 to receive the total return of the shares of The Carlyle Group, Inc. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.45%**. | | | | | | | |
| | | | | | | Total United States | | | | $ | (2,688,222) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Brazil – (0.35%) | | | | | | | | |||
| | | | | | | Finance - Other Services – (0.35%) | | | | | | | | |||
| | | 33,380,156 | | | | 2/2/2023 | | | B3 SA-Brasil Bolsa Balcao | | | | | (7,118,439) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/30/2019 to receive the total return of the shares of B3 SA-Brasil Bolsa Balcao in exchange for interest based on the Daily Fed Funds Effective Rate plus 1.00%**. | | | | | | | |
| | | | | | | Total Brazil | | | | $ | (7,118,439) | | | |||
| | | | | | | | | |||||||||
| | | | | | | China – (0.39%) | | | ||||||||
| | | | | | | Applications Software – (0.39%) | | | | | | | | |||
| | | 32,033,453 | | | | 7/16/2024 | | | Glodon Co., Ltd., Class A | | | | | (7,956,702) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total China | | | | $ | (7,956,702) | | | |||
| | | | | | | Ireland – (0.12%) | | | | | | | | |||
| | | | | | | Commercial Services - Finance – (0.12%) | | | | | | | | |||
| | | 7,038,264 | | | | 12/14/2023 | | | Experian PLC | | | | | (2,503,480) | | |
| | | | | | | | | | 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 | | | | $ | (2,503,480) | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | Japan – (0.13%) | | | | | | | | |||
| | | | | | | Building Products - Air & Heating – (0.01%) | | | | | | | | |||
| | $ | (14,289,412) | | | | 12/24/2024 | | | Daikin Industries, Ltd. | | | | $ | (138,693) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 04/22/2022 to deliver the total return of the shares of Daikin Industries, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate less 0.40%**. | | | | | | | |
| | | | | | | Electric - Integrated – (0.12%) | | | | | | | | |||
| | | (7,965,634) | | | | 12/24/2024 | | | Tokyo Electric Power Co. Holdings, Inc. | | | | | (2,496,741) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total Japan | | | | $ | (2,635,434) | | | |||
| | | | | | | | | |||||||||
| | | | | | | South Korea – (0.28%) | | | | | | | | |||
| | | | | | | Petrochemicals – (0.28%) | | | | | | | | |||
| | | 18,802,555 | | | | 8/14/2023 | | | LG Chem, Ltd. | | | | | (5,635,360) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 01/07/2022 to receive the total return of the shares of LG Chem, Ltd. in exchange for interest based on the Daily Fed Funds Effective Rate plus 0.90%**. | | | | | | | |
| | | | | | | Total South Korea | | | | $ | (5,635,360) | | | |||
| | | | | | | | | |||||||||
| | | | | | | Taiwan – (0.08%) | | | | | | | | |||
| | | | | | | Computers - Peripheral Equipment – (0.02%) | | | | | | | | |||
| | | (2,036,858) | | | | 1/25/2024 | | | Innolux Display Corp. | | | | | (388,331) | | |
| | | | | | | | | | 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 9.75%**. | | | | | | | |
| | | | | | | Electronic Components - Miscellaneous – (0.06%) | | | | | | | | |||
| | | (2,873,954) | | | | 1/25/2024 | | | AUO Corp. | | | | | (1,149,062) | | |
| | | | | | | | | | Agreement with Morgan Stanley, dated 07/26/2012 to deliver the total return of the shares of AUO Corp. in exchange for interest based on the Daily Fed Funds Effective Rate less 9.25%**. | | | | | | | |
| | | | | | | Total Taiwan | | | | $ | (1,537,393) | | | |||
|
Schedule of Swap Contracts (Unaudited) (continued)
| Notional Amount | | | Maturity Date* | | | | | | June 30, 2022 Unrealized Loss*** | | ||||||
| | | | | | | Swap Contracts – (continued) | | | ||||||||
| | | | | | | Total Return Swap Contracts - Unrealized Loss – (continued) | | |||||||||
| | | | | | | United Kingdom – (0.02%) | | | | | | | | |||
| | | | | | | Diversified Banking Institutions – (0.02%) | | | | | | | | |||
| | $ | (1,624,264) | | | | 12/14/2023 | | | HSBC Holdings PLC | | | | $ | (366,609) | | |
| | | | | | | | | | 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%**. | | | | | | | |
| | | | | | | Total United Kingdom | | | | $ | (366,609) | | | |||
| | | | | | | Total Return Swap Contracts - Unrealized Loss***** | | | | $ | (30,441,639) | | | |||
| | | | | | | Total Swap Contracts, net | | | | $ | 59,011,153 | | | |||
|
Schedule of Swap Contracts (Unaudited) (concluded)
Swap Contracts – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Applications Software | | | | | (0.39) | | |
Audio / Video Products | | | | | 0.07 | | |
Bicycle Manufacturing | | | | | 0.01 | | |
Building Products - Air & Heating | | | | | (0.01) | | |
Building - Heavy Construction | | | | | 0.48 | | |
Commercial Banks - Non-US | | | | | 0.20 | | |
Commercial Services / Finance | | | | | 0.02 | | |
Computers - Peripheral Equipment | | | | | (0.02) | | |
Cosmetics & Toiletries | | | | | 0.10 | | |
Diversified Banking Institutions | | | | | (0.02) | | |
E-Commerce / Products | | | | | 0.07 | | |
Electric Products - Miscellaneous | | | | | 0.01 | | |
Electric - Integrated | | | | | (0.10) | | |
Swap Contracts – By Industry | | | June 30, 2022 Percentage of Members’ Capital (%) | | |||
Electronic Components - Miscellaneous | | | | | (0.04) | | |
Finance - Other Services | | | | | (0.35) | | |
Food - Retail | | | | | 0.14 | | |
Office Automation & Equipment | | | | | 0.02 | | |
Petrochemicals | | | | | (0.28) | | |
Photo Equipment & Supplies | | | | | 0.00 | | |
Private Equity | | | | | (0.13) | | |
Retail - Apparel / Shoes | | | | | 0.04 | | |
Semiconductor Components - Integrated Circuits | | | | | 0.07 | | |
Semiconductor Equipment | | | | | 0.18 | | |
Web Portals / ISP | | | | | 2.84 | | |
Swap Contracts | | | | | 2.91% | | |
|
Statement of Operations (Unaudited)
| | | Six Months Ended June 30, 2022 | | |||
Investment income | | | | | | | |
Dividends (net of withholding taxes of $818,725) | | | | $ | 10,878,845 | | |
Interest | | | | | 2,102,861 | | |
Total investment income | | | | | 12,981,706 | | |
Expenses | | | | | | | |
Administration fees | | | | | 18,512,297 | | |
Prime broker fees | | | | | 12,333,400 | | |
Dividends on securities sold, not yet purchased | | | | | 11,545,158 | | |
Advisor fees | | | | | 5,485,125 | | |
Accounting and investor services fees | | | | | 727,536 | | |
Interest expense | | | | | 460,033 | | |
Custodian fees | | | | | 393,147 | | |
Legal fees | | | | | 247,946 | | |
Board of Managers’ fees and expenses | | | | | 211,871 | | |
Audit and tax fees | | | | | 197,146 | | |
Insurance expense | | | | | 87,995 | | |
Printing expense | | | | | 44,631 | | |
Miscellaneous | | | | | 556,626 | | |
Total operating expenses | | | | | 50,802,911 | | |
Net investment loss | | | | | (37,821,205) | | |
Net realized and net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency | | | | | | | |
transactions and swap contracts | | | | | | | |
Net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | | | |
Net realized gain on securities sold, not yet purchased | | | | | 92,629,285 | | |
Net realized gain on investments in securities | | | | | 82,627,259 | | |
Net realized gain on swap contracts | | | | | 20,629,498 | | |
Net realized loss on foreign currency transactions | | | | | (1,272,071) | | |
Net realized loss on purchased options | | | | | (44,399,022) | | |
Total net realized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | 150,214,949 | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not | | | | | | | |
yet purchased, purchased options, foreign currency transactions and | | | | | | | |
swap contracts | | | | | | | |
Net change in unrealized gain/(loss) on securities sold, not yet purchased | | | | | 199,970,756 | | |
Net change in unrealized gain/(loss) on foreign currency transactions | | | | | 36,115 | | |
Net change in unrealized gain/(loss) on purchased options | | | | | (18,106,436) | | |
Net change in unrealized gain/(loss) on swap contracts | | | | | (95,285,189) | | |
Net change in unrealized gain/(loss) on investments in securities | | | | | (1,423,444,243) | | |
Total net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | (1,336,828,997) | | |
Net realized gain and net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | (1,186,614,048) | | |
Net decrease in Members’ Capital resulting from operations | | | | $ | (1,224,435,253) | | |
Statements of Changes in Members’ Capital (Unaudited)
| | | Special Advisory Member | | | Members | | | Total | | |||||||||
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, securities sold, not yet purchased, 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, securities sold, not yet purchased, 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 | | |
From investment activities | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | | $ | — | | | | | $ | (37,821,205) | | | | | $ | (37,821,205) | | |
Net realized gain on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | — | | | | | | 150,214,949 | | | | | | 150,214,949 | | |
Net change in unrealized gain/(loss) on investments in securities, securities sold, not yet purchased, purchased options, foreign currency transactions and swap contracts | | | | | — | | | | | | (1,336,828,997) | | | | | | (1,336,828,997) | | |
Incentive allocation | | | | | — | | | | | | — | | | | | | — | | |
Net decrease in Members’ Capital resulting from operations | | | | | — | | | | | $ | (1,224,435,253) | | | | | $ | (1,224,435,253) | | |
Members’ Capital transactions | | | | | | | | | | | | | | | | | | | |
Capital contributions | | | | | — | | | | | | 51,460,005 | | | | | | 51,460,005 | | |
Capital withdrawals | | | | | — | | | | | | (110,169,102) | | | | | | (110,169,102) | | |
Net decrease in Members’ Capital resulting from capital transactions | | | | | — | | | | | | (58,709,097) | | | | | | (58,709,097) | | |
MEMBERS’ CAPITAL, June 30, 2022 | | | | $ | — | | | | | $ | 2,029,792,936 | | | | | $ | 2,029,792,936 | | |
Statement of Cash Flows (Unaudited)
| | | Six Months Ended June 30, 2022 | | |||
Cash flows from operating activities | | | | | | | |
Net decrease in Members’ Capital resulting from operations | | | | $ | (1,224,435,253) | | |
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 | | | | | 3,205,362,628 | | |
Purchase of investments in securities | | | | | (2,679,288,851) | | |
Proceeds from sale of purchased options | | | | | 521,408,343 | | |
Purchase of options | | | | | (701,391,468) | | |
Proceeds from securities sold, not yet purchased | | | | | 1,692,412,201 | | |
Cover of securities sold, not yet purchased | | | | | (1,457,548,864) | | |
Net realized gain on investments in securities and purchased options | | | | | (130,857,521) | | |
Net change in unrealized (gain)/loss on investments in securities, purchased options and swap contracts | | | | | 1,336,865,112 | | |
Changes in assets and liabilities related to operations: | | | | | | | |
Increase in receivable for investment securities sold | | | | | (237,075,805) | | |
Increase in dividends receivable | | | | | (110,811) | | |
Increase in interest receivable | | | | | (734,519) | | |
Increase in other assets | | | | | (50,634) | | |
Increase in payable for investment securities purchased | | | | | 284,608,048 | | |
Decrease in due to brokers | | | | | (364,504,750) | | |
Increase in dividends payable on securities sold, not yet purchased | | | | | 83,458 | | |
Increase in accounting and investor services fees | | | | | 188,084 | | |
Decrease in accrued expenses | | | | | (328,950) | | |
Net cash provided by operating activities | | | | | 244,600,448 | | |
Cash flows from financing activities | | | | | | | |
Capital contributions | | | | | 51,460,005 | | |
Capital withdrawals, net of change in withdrawals payable | | | | | (105,791,794) | | |
Net cash used in financing activities | | | | | (54,331,789) | | |
Net change in cash, cash equivalents and restricted cash | | | | | 190,268,659 | | |
Cash, cash equivalents and restricted cash at beginning of period | | | | | 229,455,546 | | |
Cash, cash equivalents and restricted cash at June 30, 2022 | | | | $ | 419,724,205 | | |
Supplemental disclosure of cash flow information | | | | | | | |
Cash paid during the period for interest | | | | $ | 862,219 | | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statement of Assets, Liabilities and Members’ Capital that sum to the total of the same amount above at June 30, 2022: | | | | | | | |
Cash and cash equivalents | | | | $ | 293 | | |
Restricted cash included in cash and cash equivalents | | | | | 139,205,911 | | |
Restricted cash included in due from brokers | | | | | 280,518,001 | | |
Total cash, cash equivalents and restricted cash at June 30, 2022 | | | | $ | 419,724,205 | | |
Notes to Financial Statements – June 30, 2022 (Unaudited)
| Assets: | | | | | | | | | Liabilities: | | | | | | | |
| Valuation Inputs | | | | | | | | | Valuation Inputs | | | | | | | |
| Level 1—Quoted Prices | | | | | | | | | Level 1—Quoted Prices | | | | | | | |
| Investments in Securities | | | | | | | | | Securities Sold, Not Yet Purchased | | | | | | | |
| Common Stock | | | | $ | 2,368,369,643 | | | | Common Stock | | | | $ | 976,972,521 | | |
| Equity Options | | | | | 271,597,875 | | | | Equity Options | | | | | — | | |
| Level 2—Other Significant | | | | | | | | | Level 2—Other Significant | | | | | | | |
| Observable Inputs | | | | | | | | | Observable Inputs | | | | | | | |
| Total Return Swaps | | | | | 89,452,792 | | | | Total Return Swaps | | | | | 30,441,639 | | |
| Currency Options | | | | | 6,800,872 | | | | Currency Options | | | | | — | | |
| Level 3—Other Significant | | | | | | | | | Level 3—Other Significant | | | | | | | |
| Unobservable Inputs | | | | | — | | | | Unobservable Inputs | | | | | — | | |
| Total | | | | $ | 2,736,221,182 | | | | Total | | | | $ | 1,007,414,160 | | |
(continued)
(continued)
(continued)
(continued)
(continued)
| Purchased Currency options: | | | | | | | |
| Average notional amount | | | | $ | 20,725,110 | | |
| Purchased Equity options: | | | | | | | |
| Average notional amount | | | | $ | 2,994,623,421 | | |
| Total Return swaps: | | | | | | | |
| Average notional amount | | | | $ | 314,673,485 | | |
| The Primary Underlying Risk is Equity Price Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| Total Year ended December 31, 2021 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 7,982,206 | | | | | $ | 29,960,859 | | | | | $ | (21,978,653) | | |
| 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 | | |
| Six Months ended June 30, 2022 | | | | | | | | | | | | | | | | | | | |
| Purchased Equity Options | | | | $ | 55,056,698 | | | | | $ | 97,716,497 | | | | | $ | (42,659,799) | | |
| Total Return Swaps | | | | | 89,452,792 | | | | | | 30,441,639 | | | | | | 59,011,153 | | |
| Six Months ended June 30, 2022 | | | | $ | 144,509,490 | | | | | $ | 128,158,136 | | | | | $ | 16,351,354 | | |
| Total net change in unrealized gain/(loss) | | | | $ | (40,126,138) | | | | | $ | 75,840,197 | | | | | $ | (115,966,335) | | |
(continued)
| The Primary Underlying Risk is Currency Risk | | | Gross Unrealized Gain | | | Gross Unrealized Loss | | | Net Unrealized Gain/(Loss) | | |||||||||
| 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) | | |
| Six Months ended June 30, 2022 | | | | | | | | | | | | | | | | | | | |
| Purchased Currency Options | | | | $ | 1,662,792 | | | | | $ | 447,221 | | | | | $ | 1,215,571 | | |
| Six Months ended June 30, 2022 | | | | $ | 1,662,792 | | | | | $ | 447,221 | | | | | $ | 1,215,571 | | |
| Total net change in unrealized gain/(loss) | | | | $ | 1,662,792 | | | | | $ | (911,918) | | | | | $ | 2,574,710 | | |
| The Primary Underlying Risk is Equity Price Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Equity Options | | | | $ | 198,975,702 | | | | | $ | 237,374,798 | | | | | $ | (38,399,096) | | |
| Total Return Swaps | | | | | 38,337,443 | | | | | | 17,707,945 | | | | | | 20,629,498 | | |
| Total | | | | $ | 237,313,145 | | | | | $ | 255,082,743 | | | | | $ | (17,769,598) | | |
| The Primary Underlying Risk is Currency Risk | | | Gross Realized Gain | | | Gross Realized Loss | | | Net Realized Gain/(Loss) | | |||||||||
| Purchased Currency Options | | | | $ | — | | | | | $ | 5,999,926 | | | | | $ | (5,999,926) | | |
| Total | | | | $ | — | | | | | $ | 5,999,926 | | | | | $ | (5,999,926) | | |
| | | Gross Amount of Assets as Presented in the Statement of Assets, Liabilities and Members’ Capital | | | Gross Amounts Not Offset in the Statement of Assets, Liabilities and Members’ Capital | | | Net Amount | | |||||||||||||||
| | | Financial Instruments | | | Cash Collateral Received | | ||||||||||||||||||
Total return swaps | | | | $ | 89,452,792 | | | | | $ | (30,441,639) | | | | | $ | — | | | | | $ | 59,011,153 | | |
Total | | | | $ | 89,452,792 | | | | | $ | (30,441,639) | | | | | $ | — | | | | | $ | 59,011,153 | | |
| | | 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 | | | | $ | 30,441,639 | | | | | $ | 30,441,639 | | | | | $ | — | | | | | $ | — | | |
Total | | | | $ | 30,441,639 | | | | | $ | 30,441,639 | | | | | $ | — | | | | | $ | — | | |
| | | Six Months Ended June 30, 2022 (Unaudited) | | | Year Ended December 31, 2021 | | | Year Ended December 31, 2020 | | | Year Ended December 31, 2019 | | | Year Ended December 31, 2018 | | |||||||||||||||
Members’ Capital, end of period (000s) | | | | $ | 2,029,793 | | | | | $ | 3,312,937 | | | | | $ | 3,774,356 | | | | | $ | 2,008,674 | | | | | $ | 1,445,445 | | |
Ratio of net investment loss to average Members’ Capital** | | | | | (3.01)%*** | | | | | | (2.76)% | | | | | | (2.66)% | | | | | | (2.46)% | | | | | | (2.97)% | | |
Ratio of expenses to average Members’ Capital** | | | | | 4.04%*** | | | | | | 3.21% | | | | | | 3.37% | | | | | | 4.26% | | | | | | 4.39% | | |
Ratio of incentive allocation to average Members’ Capital | | | | | 0.00%*** | | | | | | 0.00% | | | | | | 10.30% | | | | | | 5.51% | | | | | | 0.02% | | |
Portfolio Turnover | | | | | 84% | | | | | | 92% | | | | | | 151% | | | | | | 85% | | | | | | 136% | | |
Total return-gross* | | | | | (36.57)% | | | | | | (15.51)% | | | | | | 70.93% | | | | | | 42.87% | | | | | | (6.10)% | | |
Total return-net* | | | | | (36.57)% | | | | | | (15.51)% | | | | | | 56.74% | | | | | | 35.60% | | | | | | (6.10)% | | |
Ratio of average borrowings to average Members’ Capital | | | | | 9.78%*** | | | | | | 8.10% | | | | | | 4.24% | | | | | | 3.08% | | | | | | 2.66% | | |
Supplemental Information (Unaudited)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (continued)
Supplemental Information (Unaudited) (concluded)
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
There has been no change, as of the date of this filing, in any of the portfolio managers identified in response to paragraph (a)(1) of this Item in the registrant’s most recently filed annual report on Form N-CSR.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) | Not applicable. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Advantage Advisers Xanthus Fund, L.L.C. |
By (Signature and Title)* | /s/ Bryan McKigney | |
Bryan McKigney, Principal Executive Officer | ||
(Principal Executive Officer) |
Date: | August 29, 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: | August 29, 2022 |
By (Signature and Title)* | /s/ Vineet Bhalla | |
Vineet Bhalla, Chief Financial Officer | ||
(Principal Financial Officer) |
Date: | August 29, 2022 |
* Print the name and title of each signing officer under his or her signature.