Mellon Optima L/S Strategy Fund (MOLSSF) N-CSRS Certified semi-annual shareholder report (management investment company)

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: 811-21694

MELLON OPTIMA L/S STRATEGY FUND, LLC

(Exact name of Registrant as specified in charter)

BNY Mellon Financial Center

One Boston Place, 024-0071

Boston, Massachusetts 02108

(Address of principal executive offices) (Zip code)

Peter M. Sullivan, Esq.

BNY Mellon Financial Center

One Boston Place, 024-0081

Boston, Massachusetts 02108

(Name and address of agent for service)

Registrant’s telephone number, including area code: (877) 257-0004

Date of fiscal year end: March 31

Date of reporting period: September 30, 2017

Item 1. Reports to Stockholders.

The Semi-Annual Report to Investors is attached herewith.

MELLON OPTIMA L/S STRATEGY FUND, LLC

SEMI-ANNUAL REPORT TO MEMBERS

FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2017

This report and the financial statements contained herein are submitted for the general information of members in Mellon Optima L/S Strategy Fund, LLC (the “Fund”). This report is not authorized for distribution to prospective members in the Fund unless preceded or accompanied by the Fund’s Confidential Offering Memorandum (the “Offering Memorandum”).

Any information in this investor report regarding market or economic trends or the factors influencing the Fund’s historical or future performance are statements of the opinion of Fund management as of the date of this report. These statements should not be relied upon for any other purposes. Past performance is no guarantee of future results, and there is no guarantee that market forecasts discussed will be realized.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. To request a copy of the most recent quarterly holdings report, semi-annual report or annual report, call 1-877-257-0004.

To view the Fund’s proxy voting guidelines and proxy voting record for the 12-month period ended June 30 visit the SEC’s web site at http://www.sec.gov. You may also call 1-877-257-0004 to request a free copy of the proxy voting guidelines.

Units of limited liability company interests of the Fund (“Units”) are offered and sold only to investment management clients of the Wealth Management Group of The Bank of New York Mellon Corporation, and only to clients that have a net worth of more than $1 million and meet other criteria as described in the Offering Memorandum. Units of the Fund are not freely transferable, however liquidity may be available through repurchase offers made at the discretion of the Board of Directors of the Fund.

As with any speculative investment program, it is possible to incur losses through an investment in the Fund. There can be no assurances that the Fund will achieve its objective. The Offering Memorandum contains a more complete description of the risks associated with an investment in the Fund. Under no circumstances should a prospective investor elect to invest in the Fund without reviewing the Offering Memorandum.

TABLE OF CONTENTS

Portfolio Summary	1
Consolidated Schedule of Investments	2
Consolidated Statement of Assets and Liabilities	4
Consolidated Statement of Operations	5
Consolidated Statements of Changes in Net Assets	6
Financial Highlights	7
Consolidated Statement of Cash Flows	8
Notes to Financial Statements	9

Mellon Optima L/S Strategy Fund, LLC

Portfolio Summary - September 30, 2017 (unaudited)
	Cost		Value		Percentage of Net Assets
Investment Funds
Opportunistic	$	44,791,954	$	64,130,569		23.6	%
Growth		36,143,190		46,730,196		17.2	%
Value		50,050,707		77,413,298		28.5	%
Other		62,351,422		67,956,516		25.0	%
Total Investment Funds		$193,337,273		$256,230,579		94.3	%

The accompanying notes are an integral part of the financial statements.

1

Mellon Optima L/S Strategy Fund, LLC

Consolidated Schedule of Investments - September 30, 2017 (unaudited)
Investment Funds	Units		Cost		Value		Percentage of Net Assets			Liquidity		Redemption Notice Period (# of days)
Opportunistic
Brenham Capital Fund, L.P.		†	$	10,000,000	$	9,770,727		3.6	%		Quarterly (a)		60
Brenner West Capital Qualified Partners, L.P.		†		12,332,512		13,547,088		5.0	%		Quarterly ‡		60
Glenview Institutional Partners, L.P.		†		9,498,984		18,724,283		6.9	%		Quarterly ‡		45
SRS Partners, Ltd.
Class A1		2,307		4,437,430		7,745,784		2.8	%		Quarterly (b)		60
Class B1		1,485		1,476,428		1,953,918		0.7	%		Quarterly (c)		60
Class B1A		3,664		7,046,600		12,388,769		4.6	%		Quarterly (c)		60
				44,791,954		64,130,569		23.6	%
Growth
Coatue Offshore Fund, Ltd.		111,409		11,140,944		15,989,847		5.9	%		Quarterly ‡		45
Criterion Horizons Fund, L.P.		†		10,002,246		14,268,099		5.2	%		Monthly ‡		45
Hawkes Bay Investor, Ltd.		4,802		15,000,000		16,472,250		6.1	%		Quarterly ‡		45
				36,143,190		46,730,196		17.2	%
Value
Bay II Resource Partners, L.P.		†		7,764,995		16,549,875		6.1	%		Quarterly ‡		45
East Side Capital Offshore, Ltd.		42,809		7,169,565		11,276,268		4.2	%		Monthly (d)		30
Long Pond Capital, Q.P. Fund, L.P.
Class B		†		10,535,450		13,730,102		5.1	%		Quarterly (b)		60
Class C		†		2,296,875		2,562,689		0.9	%		Quarterly (e)		60
SEG Partners II, L.P.		†		5,476,476		10,966,733		4.0	%		Quarterly ‡		45
Southpoint Qualified Fund, L.P.		†		7,234,989		11,819,408		4.3	%		Quarterly (f)		60
Tiger Eye Partners, L.P.		†		9,572,357		10,508,223		3.9	%		Quarterly ‡		60
				50,050,707		77,413,298		28.5	%
Other
Market Neutral
Renaissance Institutional Diversified Alpha Fund International L.P.		†		12,500,000		11,918,910		4.4	%		Monthly ‡		45
International
Discovery Global Opportunity Fund, Ltd.		82,617		9,079,848		11,392,517		4.2	%		Quarterly ‡		60
Horseman Global Fund, L.P.		†		11,706,803		9,110,939		3.4	%		Monthly ‡		90
OCCO Eastern European Fund		957,408		10,820,188		13,164,362		4.8	%		Monthly ‡		30
Event-Driven
Pershing Square, L.P.		†		4,500,000		5,707,393		2.1	%		Quarterly (g)		65
Third Point Offshore, Ltd.		41,218		13,744,583		16,662,395		6.1	%		Quarterly ‡		60
				62,351,422		67,956,516		25.0	%
Total Investment Funds				193,337,273		256,230,579		94.3	%
Affiliated Investment
Dreyfus Institutional Treasury Securities Cash Advantage Fund		5,814,777		5,814,777		5,814,777		2.1	%		Daily (h)
Total Investments			$	199,152,050		262,045,356		96.4	%
Other Assets in Excess of Liabilities						9,668,828		3.6	%
Total Net Assets					$	271,714,184		100.0	%

The accompanying notes are an integral part of the financial statements.

2

Mellon Optima L/S Strategy Fund, LLC

Consolidated Schedule of Investments - September 30, 2017 (unaudited)

(a) Investment has a one year soft lock-up period with a 3% early withdrawal fee. $3 million was invested on 6/1/17.

(b) Investment is subject to a 25% investor level gate.

(c) Investment is subject to a 33.3% investor level gate.

(d) Investment is subject to a 4% redemption fee on redemptions effective on non-quarter-end months.

(e) Investment is subject to a 12.5% investor level gate.

(f) Up to 25% of the investment amount can be redeemed each quarter, essentially creating an investor level gate that would require a minimum of four quarters to fully withdraw.

(g) Up to 12.5% of the investment amount can be redeemed each quarter, essentially creating an investor level gate that would require a minimum of eight consecutive quarters to fully withdraw. In addition, the investment may be subject to a fund level gate if more than 20% of the net asset value of Pershing Square, L.P. is redeemed on the redemption date.

(h) Investment in affiliated money market mutual fund. The 7-day yield at 9/30/17 was 0.86%.

† Investment Fund is not unitized.

‡ The investment amount has no lock-up or other redemption restrictions.

The accompanying notes are an integral part of the financial statements.

3

Mellon Optima L/S Strategy Fund, LLC

Consolidated Statement of Assets and Liabilities

September 30, 2017 (unaudited)

Assets
Investments in funds, at value (Cost $193,337,273) (Note 2A)			$	256,230,579
Investments in affiliated issuer, at value (Cost $5,814,777) (Note 2E)				5,814,777
Foreign currency (Cost $4,347) (Note 2F)				4,313
Receivable for investments sold				12,585,854
Total assets				274,635,523
Liabilities
Payable for repurchase of Units (Note 8)	$	2,080,650
Accrued investment advisory fees (Note 3)		679,756
Accrued accounting, administration and member services fees		48,691
Accrued professional fees		76,836
Accrued Directors’ fees (Note 3)		27,949
Accrued custody fees (Note 3)		1,980
Other accrued expenses and other liabilities		5,477
Total liabilities				2,921,339
Net Assets			$	271,714,184
Composition of Net Assets
Paid-in capital			$	234,055,886
Accumulated net undistributed investment income (loss)				(8,511,960	)
Accumulated net realized gain (loss) on investments and foreign currency transactions				(16,723,048	)
Accumulated net unrealized appreciation (depreciation) on investments and foreign currency transactions				62,893,306
Net Assets			$	271,714,184
Net Asset Value per Unit	$	97.56
Number of Units Outstanding (unlimited number of units authorized)		2,785,009

The accompanying notes are an integral part of the financial statements.

4

Mellon Optima L/S Strategy Fund, LLC

Consolidated Statement of Operations

For the six months ended September 30, 2017 (unaudited)

Investment Income
Dividend income from affiliated investments (Note 2E)			$	53,884
Expenses
Investment advisory fee (Note 3)	$	2,192,421
Accounting, administration and member services fees		155,910
Audit and tax service fees		149,708
Legal fees		119,160
Directors’ fees (Note 3)		84,087
Insurance		71,941
Miscellaneous		54,134
Custody fees (Note 3)		18,822
Total expenses				2,846,183
Net investment loss				(2,792,299	)
Realized and Unrealized Gain
Net realized gain (loss) on investments sold and foreign currency transactions		11,958,210
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions		3,923,902
Net realized and unrealized gain				15,882,112
Net Increase in Net Assets Derived from Investment Operations			$	13,089,813

The accompanying notes are an integral part of the financial statements.

5

Mellon Optima L/S Strategy Fund, LLC

Consolidated Statements of Changes in Net Assets

	For the Six Months Ended September 30, 2017 (unaudited)			For the Year Ended March 31, 2017
Increase (Decrease) in Net Assets from
Investment Operations
Net investment loss	$	(2,792,299	)	$	(6,482,841	)
Net realized gain (loss) on investments sold and foreign currency transactions		11,958,210			33,515,528
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions		3,923,902			983,516
Net Increase in Net Assets Derived from Investment Operations		13,089,813			28,016,203
Dividend Distributions from:
Realized Gains		—			(3,642,691	)
Capital Transactions
Proceeds from sale of Units		220,000			550,000
Reinvestment of Dividend Distributions		—			2,879,648
Repurchase of Units		(51,467,776	)		(132,159,079	)
Net Decrease in Net Assets Derived from Capital Transactions		(51,247,776	)		(128,729,431	)
Total Decrease in Net Assets		(38,157,963	)		(104,355,919	)
Net Assets
At beginning of period		309,872,147			414,228,066
At end of period	$	271,714,184		$	309,872,147
Accumulated undistributed investment income (loss) - net	$	(8,511,960	)	$	(11,920,411	)
Change in Units Outstanding
Units outstanding, at beginning of period		3,329,368			4,778,212
Units sold		2,337			6,152
Reinvestments of Dividend Distributions		—			32,036
Units repurchased		(546,696	)		(1,487,032	)
Units outstanding, at end of period		2,785,009			3,329,368

The accompanying notes are an integral part of the financial statements.

6

Mellon Optima L/S Strategy Fund, LLC

Financial Highlights

	For the Six Months Ended September 30, 2017 (unaudited)			For the Year Ended March 31, 2017			For the Year Ended March 31, 2016			For the Year Ended March 31, 2015			For the Year Ended March 31, 2014			For the Year Ended March 31, 2013
Total Return		4.82	%(1)		8.21	%		(11.27	)%		5.22	%		10.29	%		6.74	%
Ratios to Average Net Assets:
Expenses (2)		1.98	%(3)		1.82	%		1.75	%		1.80	%		1.79	%		1.76	%
Net Investment loss		(1.94	)%(3)		(1.81	)%		(1.75	)%		(1.80	)%		-(1.79	)%		(1.76	)%
Portfolio Turnover Rate		8	%(1)		9	%		7	%		17	%		20	%		24	%
Net Assets, End of period (in thousands)	$	271,714		$	309,872		$	414,228		$	508,965		$	521,135		$	500,512

⁽¹⁾  Total return and portfolio turnover rate are for the period indicated and have not been annualized.

⁽²⁾  Expenses of the underlying funds in which the Fund invests are not included in the expense ratio.

⁽³⁾  Annualized.

For a Unit Outstanding	For the Six Months Ended September 30, 2017 (unaudited)			For the Year Ended March 31, 2017			For the Year Ended March 31, 2016			For the Year Ended March 31, 2015			For the Year Ended March 31, 2014			For the Year Ended March 31, 2013
Net asset value per Unit, beginning of period	$	93.07		$	86.69		$	103.33		$	104.47		$	98.02		$	93.68
Income (loss) from investment operations
Net investment income (loss)*		(0.93	)		(1.63	)		(1.71	)		(1.87	)		(1.82	)		(1.64	)
Net realized and unrealized gain (loss)		5.42			8.92			(9.48	)		7.11			11.82			7.79
Total from investment operations		4.49			7.29			(11.19	)		5.24			10.00			6.15
Dividend Distributions
Realized gains		—			(0.91	)		(5.45	)		(6.38	)		(3.55	)		(1.81	)
Total dividend distributions		—			(0.91	)		(5.45	)		(6.38	)		(3.55	)		(1.81	)
Net asset value per Unit, end of period	$	97.56		$	93.07		$	86.69		$	103.33		$	104.47		$	98.02

* Per unit data calculated using average units method.

The accompanying notes are an integral part of the financial statements.

7

Mellon Optima L/S Strategy Fund, LLC

Consolidated Statement of Cash Flows

For the six months ended September 30, 2017 (unaudited)

Cash Flows from Operating Activities
Net increase in net assets derived from investment operations	$	13,089,813
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities:
Purchases of long-term investments		(22,500,000	)
Proceeds from sale of long-term investments		60,302,130
Net proceeds from sale of short-term investments		2,082,569
Net realized gain on investments sold and foreign currency transactions		(11,958,210	)
Net change in unrealized appreciation on investments and foreign currency transactions		(3,923,902	)
Decrease in receivable for investments sold		16,891,315
Decrease in prepaid expenses		71,941
Decrease in accrued investment advisory fees		(95,175	)
Increase in accrued professional fees		48,840
Decrease in accrued accounting and administration fees		(33,392	)
Increase in accrued Directors’ fees		12,409
Decrease in accrued custody fees		(2,404	)
Increase in other accrued expenses and other liabilities		2,725
Net cash provided by operating activities		53,988,659
Cash Flows from Financing Activities
Proceeds from sale of Units		220,000
Realized gain distributions (Note 2D)		—
Repurchase of Units		(54,208,681	)
Net cash used in financing activities		(53,988,681	)
Net change in foreign currency		(22	)
Foreign currency at beginning of period		4,335
Foreign currency at end of period	$	4,313

The accompanying notes are an integral part of the financial statements.

8

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(1) Organization:

Mellon Optima L/S Strategy Fund, LLC (the “Fund”) was organized as a limited liability company under the laws of Delaware on December 14, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a closed-end, non-diversified, management investment company. The Fund commenced operations on May 2, 2005.

On March 7, 2011, Mellon Optima 1099 Domestic Access Fund LLC (the “Delaware Subsidiary”) was organized in the State of Delaware. On September 16, 2013, Mellon Optima 1099 Offshore Access Fund Ltd. (the “Cayman Subsidiary,” and together with the Delaware Subsidiary, the “Fund Subsidiaries”) was organized in the Cayman Islands. The Fund is the sole member and managing member of the Delaware Subsidiary and is the sole member of the Cayman Subsidiary. The Fund Subsidiaries were formed to hold certain of the Fund’s investments.

The Fund’s investment objective is to seek capital appreciation over the long term by attempting to maximize risk-adjusted returns while minimizing volatility and maintaining a low correlation to the S&P 500 Index. The Fund is a fund of hedge funds that seeks to achieve its objective by deploying its assets primarily among a select group of portfolio managers who over time have produced attractive returns principally in the U.S. equity markets by employing an investing style known as “long/short.” This style combines long investments with short sales in the pursuit of opportunities in rising or declining markets. Generally, such portfolio managers conduct their investment programs through unregistered investment vehicles (collectively, the “Investment Funds”), in which the Fund invests as a limited partner, member or shareholder along with other investors.

Mellon Hedge Advisors LLC (the “Adviser”), a Delaware limited liability company, serves as the Fund’s investment adviser and allocates the Fund’s assets to Investment Funds that pursue long/short equity investment strategies, including growth, value, opportunistic and other strategies. The Adviser currently expects that the Fund’s allocation to “other” strategies may include, but is not limited to, market neutral, international (including emerging markets) and event-driven strategies.

The portion of the Fund’s assets that is allocated to each of growth, value, opportunistic and other strategies is expected generally to range from 15% to 35% of the Fund’s assets. The weightings of the strategies will depend on the Adviser’s assessment of prevailing market and economic conditions and its expectations regarding the performance of the investment strategies and portfolio managers. In addition, the portion of the Fund’s assets invested in each strategy will vary over time due to, among other factors, market conditions, changes in the value of the Fund’s investments in Investment Funds, timing of investments in and withdrawals from Investment Funds, liquidity limitations, limited capacity opportunities at Investment Funds and changes in investment approaches used by the portfolio managers.

The following is a further description of the long/short strategies employed by the Investment Funds during the period ended September 30, 2017:

Growth: The growth approach to long/short equity investing seeks to take long positions in the stocks of companies with strong growth potential, while shorting the stocks of companies that lack growth prospects. The investment process for selecting stocks in which to invest primarily focuses on identifying companies that are experiencing or expecting to experience high levels of growth in earnings, profitability, sales, or market share. Long/short growth managers may give significant weight to aggressive sales growth even if prior or current earnings are weak.

Value: The value approach to long/short equity investing seeks to identify companies that trade at valuation metrics which the manager of an Investment Fund believes to be inexpensive and undervalued (for long investments) or expensive and overvalued (for short investments) when compared with relevant benchmarks. Value long/short managers use traditional valuation metrics, such as price-earnings (P/E) ratios, price-to-book ratios, and dividend yield in an attempt to identify undervalued (long) or overvalued (short) companies. Often considered contrarians, value managers may tend to take long positions in companies that are currently out of favor.

9

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(1) Organization (continued):

Opportunistic: The opportunistic approach to long/short equity investing combines growth and value approaches. Managers of opportunistic Investment Funds generally vary the composition of their investment portfolios depending on their assessment of the macro investment environment. Managers may take a value approach in anticipation of down markets. They may increase their allocations to growth companies as the market environment changes. Opportunistic managers may also actively manage their gross and net exposure based on the market environment and the opportunities it presents.

Market Neutral: Market neutral investment strategies seek to generate investment returns with low correlation to the performance of the overall equity and fixed income markets. Long/short market neutral equity strategies attempt to neutralize the risk of fluctuations in the equity markets by constructing two diversified portfolios of equity securities, one comprised of long positions in stocks believed to be undervalued, and the other comprised of short positions in stocks believed to be overvalued. As a result, the return of an Investment Fund that pursues a market neutral strategy can be expected primarily to be a function of its investment manager’s ability to identify investment opportunities, rather than a function of general market movements. The low correlation of returns of market neutral investment strategies to the equity and fixed income markets means that market neutral Investment Funds offer the potential to produce positive investment returns regardless of general market conditions.

International: International long/short equity managers invest primarily in non-U.S. companies and may employ growth, value, or opportunistic approaches to building their portfolios. Certain managers may also make investments in emerging markets.

Event-Driven: Event-driven strategies include, but are not limited to, investments in companies that are, or are expected to be, involved in mergers and acquisitions, spin-offs, reorganizations, bankruptcies, share buybacks, and other corporate events that are generally associated with substantial market price changes. The strategy also includes activist investment strategies pursued by managers that generally advocate for changes in corporate governance, policies, structure or goals to unlock value. These managers may often take a public stance on their investments, openly confronting senior management and boards of directors in seeking to effect changes.

The Fund’s Board of Directors (the “Board”) has overall responsibility to manage and control the business affairs of the Fund, including the exclusive authority to oversee and to establish policies regarding the management, conduct and operation of the Fund’s business. The Board has engaged the Adviser to provide investment advice regarding the selection of Investment Funds and to be responsible for the day-to-day management of the Fund. The Adviser is an indirect wholly-owned subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), and is registered as an investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Adviser has engaged Optima Fund Management LLC (the “Sub-Investment Adviser”), a registered investment adviser under the Advisers Act, to assist it in performing certain of its duties. BNY Mellon owns indirectly a 17.28% interest in the Sub-Investment Adviser.

The Sub-Investment Adviser, as part of the Investment Fund selection process, conducts reviews of the managers of such funds, their investment processes and organizations, and may conduct interviews with references and industry sources to complete its evaluations. The Adviser utilizes the results of the Sub-Investment Adviser’s analyses and recommendations in selecting Investment Funds.

SEI Global Services, Inc. provides accounting and administrative services to the Fund.

Units of limited liability company interests in the Fund (“Units”) are offered solely to eligible investment management clients of the Wealth Management Group of BNY Mellon in private placement transactions exempt from registration under the Securities Act of 1933, as amended. Initial and additional subscriptions for Units in the Fund by investors may be accepted at such times as the Fund may determine and are generally accepted monthly. The Fund reserves the right to reject any subscription for Units.

10

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(1) Organization (continued):

The Fund has elected to be taxed as a corporation for Federal tax purposes and intends to (i) elect to be treated as, and (ii) operate in a manner to qualify as, a “regulated investment company” (a “RIC”) under Subchapter M of the Revenue Code of 1986, as amended (the “Code”).

Units are offered at the net asset value per Unit, and each Unit purchased represents a capital investment in the Fund at that amount. Units are not redeemable. The Fund from time to time makes offers to persons holding Units (“Members”) to repurchase Units. These repurchases are made at such times and on such terms as may be determined by the Board, in its complete and exclusive discretion. The Adviser expects that it will recommend to the Board that the Fund offer to repurchase Units from Members twice each calendar year, near mid-year and year-end. Members can transfer or assign their Units only (i) by operation of law pursuant to the death, bankruptcy, insolvency or dissolution of a Member, or (ii) with the written consent of the Adviser, which may be withheld in its sole and absolute discretion.

Generally, except as provided under applicable law or under the Fund’s Limited Liability Company Agreement, a Member shall not be liable for the Fund’s debts, obligations and liabilities in any amount in excess of the Units of such Member, plus such Member’s share of undistributed profits and assets.

(2) Significant Accounting Policies:

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

The financial statements have been consolidated and include the accounts of the Fund and the Fund Subsidiaries. Accordingly, all inter-company transactions and balances have been eliminated.

A. Valuation of the Fund and its Investments

In accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP, the Fund discloses fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

• Level 1 — Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Fund has the ability to access at the measurement date;

• Level 2 — Quoted prices which are not active, quoted prices for restricted securities, or inputs that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

• Level 3 — Prices, inputs or exotic modelling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity).

Investments are classified within the level of the lowest significant input considered in determining fair value. If applicable, investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement. As a general matter, Investment Fund investments have been valued at the net asset value thereof as reported by the Investment Funds or their administrators, without adjustment.

The net asset value of the Fund is determined by or at the direction of the Adviser as of the close of business at the end of each calendar month and on any other date the Board may designate in accordance with the valuation principles set forth below or as may be determined from time to time pursuant to policies established by the Board.

11

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(2) Significant Accounting Policies (continued):

A. Valuation of the Fund and its Investments (continued)

The Board has approved procedures pursuant to which the Fund values its investments in Investment Funds at fair value. In accordance with these procedures, fair value as of the end of each calendar month and on any other date the Board may designate for the determination of net asset value ordinarily is the value determined as of such date for each Investment Fund in accordance with the Investment Fund’s valuation policies and reported at the time of the Fund’s valuation. As a general matter, the fair value of the Fund’s interest in an Investment Fund represents the amount that the Fund could reasonably expect to receive from an Investment Fund if the Fund’s capital was withdrawn from the Investment Fund at the time of valuation, based on information reasonably available at the time the valuation is made and that the Fund believes to be reliable. All valuations utilize financial information supplied by the Investment Funds or their administrators and are net of management fees and performance-based incentive fees or allocations payable to the Investment Funds’ managers or pursuant to the Investment Funds’ agreements. In the event that an Investment Fund does not report a value to the Fund as of the end of a calendar month on a timely basis, the Fund determines the fair value of its interest in such Investment Fund based on the most recent value reported by the Investment Fund and consideration of any other relevant information available at the time the Fund values its portfolio. Pursuant to ASU 2015-07, the fair value of investments in Investment Funds is ordinarily measured using net asset value as the practical expedient and therefore excluded from the fair value hierarchy.

Shares of registered, open-end investment companies are valued at their net asset value. At September 30, 2017, all investments in affiliated investment companies were considered Level 1 of the fair value hierarchy.

B. Securities Transactions and Income

Securities transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date. Realized gains and losses from Investment Fund transactions are calculated on the average cost basis. The Investment Funds in which the Fund invests do not generally distribute income or realized gains from their underlying investment activity. Such undistributed amounts are captured in the values of the Investment Funds in the form of unrealized appreciation (depreciation).

C. Fund Costs

The Fund bears all expenses incurred in the ongoing business of the Fund including, but not limited to, the following: all costs and expenses related to portfolio transactions and positions for the Fund’s account; investment advisory fees; administration fees; Directors fees; legal fees; auditing fees; tax advisory fees; accounting fees; costs of computing the Fund’s net asset value, including valuation services provided by third parties; costs of insurance; certain printing costs; custody fees; and expenses of meetings of the Board and Members.

D. Income Taxes

It is the policy of the Fund to continue to qualify as a RIC, if such qualification is in the best interest of its Members, by complying with the applicable provisions of the Code. Under Subchapter M of the Code, each year that the Fund qualifies as a RIC and distributes to its Members generally at least 90% of its “investment company taxable income” (as defined in the Code, but without regard to the dividends paid deduction and net tax-exempt income), it will pay no U.S. federal income tax on the earnings or capital gains it distributes. This avoids a “double tax” on that income and net capital gains since holders of Units normally will be taxed on the dividends and net capital gains they receive from the Fund (unless their Units are held in a retirement account that permits tax deferral or the holder is exempt from tax).

Tax exempt U.S. Members generally will not incur unrelated business taxable income with respect to an investment in Units if they have not borrowed to make their investments.

12

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(2) Significant Accounting Policies (continued):

D. Income Taxes (continued)

The Fund evaluates tax positions taken or expected to be taken in the course of preparing its tax return to determine whether it is “more-likely-than-not” (i.e., greater than 50%) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The Fund did not record any tax provision in the current period. If the tax law requires interest or penalties to be paid on an underpayment of income taxes, such interest and penalties will be classified as income taxes in the income tax expense in the Consolidated Statement of Operations, if applicable. During the fiscal year, the Fund did not incur any interest or penalties. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, examination by tax authorities (i.e., the last four tax year ends), on-going analysis of and changes to tax laws, regulations and interpretations thereof.

Under the Regulated Investment Company Modernization Act of 2010 (the “2010 Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 (“post-enactment losses”) for an unlimited period. Furthermore, post-enactment capital loss carryovers retain their character as either short-term or long-term capital losses rather than short-term as they were under the previous statute. The 2010 Act requires post-enactment losses to be utilized before the utilization of losses incurred in taxable years prior to the effective date of the 2010 Act (“pre-enactment losses”). As a result of this ordering rule, pre-enactment losses may be more likely to expire unused, although this in not likely to affect the Fund.

During the tax year ended September 30, 2017, as a result of permanent book to tax differences, primarily due to the tax treatment for net operating losses and limited partnerships adjustments, and disposition of passive foreign investment company investments, the Fund increased accumulated undistributed investment income-net by $6,200,750, increased accumulated net realized gain (loss) on investments by $6,011,161 and decreased paid-in capital by $12,211,911.

The tax character of distributions paid to shareholders for the tax periods ended September 30, 2017 and September 30, 2016 were as follows: long-term capital gains of $3,642,691 and $25,647,509, respectively.

The cost of investments for federal income tax purposes is adjusted for items of accumulated taxable income allocated to the Fund from its investments. The allocated taxable income is reported to the Fund by the Investment Funds on each such fund’s calendar year Schedule K-1. The aggregate cost of investments and the gross unrealized appreciation and depreciation on investments for federal income tax purposes as of September 30, 2017 are noted below.

Federal tax cost of investments	$	239,326,671
Gross unrealized appreciation		66,299,533
Gross unrealized depreciation		(43,580,848	)
Net unrealized appreciation	$	22,718,685

13

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(2) Significant Accounting Policies (continued):

E. Affiliated Investment Companies

Investments in affiliated investment companies during the period ended September 30, 2017 were as follows:

Affiliated Investment Company	Value at March 31, 2017		Purchases		Sales			Value at September 30, 2017		Dividend Income
Dreyfus Institutional Treasury Securities Cash Advantage Fund	$	7,897,346	$	79,627,070	$	(81,709,639	)	$	5,814,777	$	53,884

F. Short-Term Investments

Short-term investments consist of liquid investments with maturities of less than 90 days. At September 30, 2017, the Fund had $5,814,777 invested in shares of Dreyfus Institutional Treasury Securities Cash Advantage Fund, an affiliated institutional money market fund, including $2,082,579 of assets segregated for payout of cash holdbacks related to repurchase offers. See Note 8.

The Fund also holds 33,689 Hong Kong Dollars (which have a value of approximately $4,313 USD).

(3) Investment Advisory Fee and Other Transactions with Affiliates:

The Adviser provides investment advisory services to the Fund pursuant to an Investment Advisory Agreement. Pursuant to that agreement, the Fund pays the Adviser a monthly fee, computed at the annual rate of 1.50% of the Fund’s net assets determined as of the close of business on the last day of the month (the “Investment Advisory Fee”). The Fund was charged Investment Advisory Fees of $2,192,421 for the period ended September 30, 2017.

The Fund compensates The Bank of New York Mellon (“BNYM”), a wholly-owned direct subsidiary of BNY Mellon, under a Custody Agreement to provide custody services to the Fund. In consideration for these services, BNYM earns interest on cash balances maintained with BNYM, including disbursement balances and balances arising from purchase and sale transactions, and the Fund reimburses certain of BNYM’s expenses. Pursuant to this agreement, the Fund was charged $18,822 for custody service fees and expenses for the period ended September 30, 2017.

The Fund pays each Director who is not a director, officer or employee of the Adviser or its affiliates a $12,500 annual retainer and meeting attendance fees which range, depending on the meeting type and length, from $1,500 to $2,500 per meeting. The Chairman of the Board and Audit Committee Chairperson each are paid an additional annual retainer of $5,000. The Fund also reimburses the Directors for their reasonable out-of-pocket expenses. The Fund paid Directors’ fees of $84,087 for the period ended September 30, 2017.

The Directors do not receive any pension or retirement benefits from the Fund.

(4) Investment Transactions:

During the period ended September 30, 2017, the Fund had aggregate contributions of capital to and withdrawals of capital from investments of $22,500,000 and $60,302,130, respectively.

(5) Indemnification:

In the ordinary course of business, the Fund may enter into contracts or agreements that contain indemnifications or warranties. The Fund’s maximum exposure under these arrangements is unknown. Future events could occur that lead to the execution of these provisions against the Fund. Based on the Fund’s history and experience, management believes that the likelihood of such an event is remote.

14

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(6) Financial Instruments with Off-Balance Sheet Risk:

In the normal course of business, the Investment Funds in which the Fund invests trade various financial instruments and enter into various investment activities with off-balance sheet risk. These include, but are not limited to, short selling activities, writing option contracts, contracts for differences, and equity swaps. The Fund’s risk of loss in these Investment Funds is generally limited to the value of the Fund’s interest in each Investment Fund.

(7) Risk Factors:

An investment in the Fund involves a high degree of risk, including the risk that the entire amount invested may be lost. The Fund allocates assets to a select group of portfolio managers and invests in Investment Funds that invest in and actively trade securities and other financial instruments using a variety of strategies and investment techniques with significant risk characteristics, including: the risks arising from the volatility of the equity, fixed income, commodity and currency markets; the risks of borrowings and short sales; the risks arising from leverage associated with trading in the equities, currencies and over-the-counter derivatives markets and the illiquidity of derivative instruments and the risk of loss from counter-party defaults. No guarantee or representation is made that the Fund’s investment program will be successful.

The Fund’s interests in Investment Funds are themselves illiquid and subject to substantial restrictions on transfer. The Fund may liquidate an interest and withdraw capital from an Investment Fund pursuant to limited withdrawal rights. The illiquidity of these interests may adversely affect the Fund if it is unable to withdraw its investment in an Investment Fund promptly after it determines to do so.

The Investment Funds generally provide for periodic capital withdrawals or redemptions, with some Investment Funds having hard lock-up provisions. Certain Investment Funds provide for early withdrawals or redemptions, subject to approval, and in connection therewith may charge penalties which, generally, are determined as a percentage of the amount of the withdrawal or redemption. Additionally, certain Investment Funds may amend their liquidity provisions and impose additional lock-up restrictions or otherwise restrict the ability of Members to redeem their interests or withdraw their capital in the Fund.

In order to satisfy certain prohibitions on affiliated transactions imposed by the 1940 Act, the Fund may limit its investment position in any one Investment Fund to less than 5% of the Investment Fund’s outstanding voting securities. To facilitate investments in Investment Funds deemed attractive by the Adviser, the Fund may purchase non-voting securities of, or waive irrevocably its right to vote securities of, certain Investment Funds. In cases where the Fund purchases non-voting securities of, or waives its right to vote securities of, an Investment Fund, the Fund may not be entitled to vote on certain matters that required the approval of security holders of the Investment Fund, possibly including matters that may adversely affect the Fund and its Members.

(8) Unit Repurchases:

The following is a summary of the Fund’s repurchase of Units for the period ended September 30, 2017:

Repurchase Value Date	Commencement Date of Offer		Expiration Date of Offer		Number of Units Repurchased		Value of Units Repurchased
June 30, 2017		March 27, 2017		April 21, 2017		546,696	$	51,467,776

The Fund initially paid approximately 96% of the estimated value of the repurchased Units of Members within one month after the value of the Units was determined for the purpose of repurchase. The remaining amount is expected to be paid no later than June 2018.

15

Mellon Optima L/S Strategy Fund, LLC

Notes to Financial Statements

September 30, 2017 (unaudited)

(9) Subsequent Events:

On September 22, 2017, the Fund offered to repurchase up to $75,000,000 of Units from Members at a price equal to their net asset value determined as of December 31, 2017. The offer expired by its terms on October 20, 2017. The Fund received and accepted pursuant to this offer, repurchase requests for Units with an estimated value as of September 30, 2017 of $21,146,698. Pursuant to the terms of the repurchase offer, the Fund will initially pay out 97% of the estimated net asset value of these repurchased Units (determined as of December 31, 2017). The remaining amount payable, which is subject to audit adjustment, will be determined and paid in June 2018, following completion of the audit of the Fund’s financial statements for the fiscal year ending March 31, 2018.

16

Item 2. Code of Ethics.

Not applicable to this semi-annual filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this semi-annual filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this semi-annual filing.

Item 5. Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6. Investments

(a) The Schedule of Investments in securities of unaffiliated issuers is included as part of the Annual Report to Investors filed under Item 1 of this Form N-CSR.

(b) Not applicable to this semi-annual filing.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to this semi-annual filing.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

(a) Not applicable to this semi-annual filing.

(b) Effective on or about May 1, 2017, David Breitweiser is no longer a member of the Investment Committee of Mellon Hedge Advisors, LLC. There have been no changes to the Investment Committee of Optima Fund Management, LLC since the Registrant’s most recent Form N-CSR filing.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which members 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 7(d)(2)(ii)(G) of Schedule 14A, or this Item 10 of Form N-CSR.

Item 11. Controls and Procedures.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures are effective based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days prior to the filing date of this report (the “Evaluation Date” as defined in Rule 30a-3(c) under the Investment Company Act of 1940).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 that occurred during the Registrant’s initial fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable to this semi-annual filing.

(a)(2) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto as Exhibit 12(a)(2)

(b) Certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940 and pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as Exhibit 12(b).

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)	Mellon Optima L/S Strategy Fund, LLC
By (Signature and Title):	/s/ TED A. BERENBLUM
	Ted A. Berenblum, President and Chief Executive Officer
	Date: December 8, 2017

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/ TED A. BERENBLUM
	Ted A. Berenblum, President and Chief Executive Officer
	Date: December 8, 2017
By (Signature and Title):	/s/ JENNIFER L. CARNES
	Jennifer L. Carnes, Vice President, Treasurer and Chief Financial Officer
	Date: December 8, 2017