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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:811-21694

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MELLON OPTIMA L/S STRATEGY FUND, LLC

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(Exact name of Registrant as specified in charter)

BNY Mellon Financial Center

One Boston Place,024-0071

Boston, Massachusetts 02108

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(Address of principal executive offices) (Zip code)

Peter M. Sullivan, Esq.

BNY Mellon Financial Center

One Boston Place,024-0081

Boston, Massachusetts 02108

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(Name and address of agent for service)

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

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Date of fiscal year end: March 31

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Date of reporting period: March 31, 2020

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Item 1.   Reports to Stockholders.

The Annual Report to Members is attached herewith.

MELLON OPTIMA L/S STRATEGY FUND, LLC

ANNUAL REPORT TO MEMBERS

FOR THE YEAR ENDED MARCH 31, 2020

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 FormN-Q. FormsN-Q are available on the SEC’s web site at http://www.sec.gov. The Fund’s FormsN-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 calling1-800-SEC-0330. To request a copy of the most recent quarterly holdings report, semi-annual report or annual report, call1-877-257-0004.

To view the Fund’s proxy voting guidelines and proxy voting record for the12-month period ended June 30 visit the SEC’s web site at http://www.sec.gov. You may also call1-877-257-0004 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 Consolidated Financial Statements	9
Report of Independent Registered Public Accounting Firm	17
Factors Considered by the Board of Directors in Approving Advisory Agreements	18
Directors and Officers	22

Mellon Optima L/S Strategy Fund, LLC

Portfolio Summary - March 31, 2020
Investment Funds	Cost		Value		Percentage of       Net Assets
Opportunistic	$	19,175,981	$	24,898,421	21.7%
Growth		25,910,656		28,974,643	25.3%
Value		15,847,680		18,282,787	16.0%
Other		27,942,198		26,328,411	23.0%
Total Investment Funds	$	88,876,515	$	98,484,262	86.0%

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

1

Mellon Optima L/S Strategy Fund, LLC

Consolidated Schedule of Investments - March 31, 2020
Investment Funds*	Units		Cost		Value		Percentage of Net Assets		Liquidity			Redemption Notice Period (# of days)
Opportunistic
Isomer Fund L.P.
SeriesA-E		†	$	3,500,000	$	3,799,061		3.3%		Quarterly	(a)		45
SeriesB-E		†		1,603,100		1,688,015		1.5%		Quarterly	(a)		45
SEG Partners II, L.P.		†		1,956,139		4,858,020		4.2%		Quarterly	‡		45
SRS Partners US L.P.
Class A (NR)		†		3,067,102		3,618,441		3.1%		Quarterly	(a)		60
Class B (NR)		†		5,690,924		6,734,123		5.9%		Quarterly	(b)		60
Tiger Eye Partners, L.P.		†		3,358,716		4,200,761		3.7%		Quarterly	‡		60
				19,175,981		24,898,421		21.7%
Growth
Coatue Offshore Fund, Ltd.
Class M-6-Series 2016		34,439		3,618,703		4,850,608		4.2%		Quarterly	‡		45
Hawkes Bay Investors (Cayman) Ltd.
Class A1		1,156		3,391,586		3,880,681		3.4%		Quarterly	‡		45
Class A56		1,250		1,250,000		1,340,655		1.2%		Quarterly	‡		45
Light Street Argon, L.P. - Series A1 N		†		5,599,568		5,880,089		5.1%		Quarterly	‡		45
Whale Rock Flagship Fund L.P.		†		8,063,510		9,060,503		7.9%		Quarterly	‡		45
RTW Offshore Fund One, Ltd. -A-1N		3,987		3,987,289		3,962,107		3.5%		Quarterly	‡		60
				25,910,656		28,974,643		25.3%
Value
Bay II Resource Partners, L.P.		†		2,643,344		3,497,855		3.1%		Quarterly	‡		45
Long Pond Capital, Q.P. Fund, LP
Class B		†		4,807,550		4,728,835		4.1%		Quarterly	(a)		60
Class C		†		1,346,386		1,139,178		1.0%		Quarterly	(c)		60
Southpoint Qualified Fund, L.P.		†		2,586,339		4,813,852		4.2%		Quarterly	(a)		60
Rivulet Capital Partners, L.P. - Series B		†		4,464,061		4,103,067		3.6%		Annual	(d)		60
				15,847,680		18,282,787		16.0%
Other
Market Neutral
Renaissance Institutional Diversified Alpha Fund International L.P. - Series A		†		8,537,820		8,131,081		7.1%		Monthly	‡		60
A.R.T. International Investor (BVI), Ltd. Class A (2008)		1,696		4,495,220		4,531,003		4.0%		Quarterly	‡		30
International
Alvento Long Short Equity Fund Ltd -Class ANVUSD-1		5,519		5,519,337		5,399,433		4.7%		Monthly	‡		30
Hengistbury Fund Ltd. - Class ANon-Rest November 2012		25,822		4,847,203		3,559,854		3.1%		Quarterly	‡		90
Event-Driven
Third Point Offshore Fund, Ltd.
Class E - 1		10,624		3,542,618		3,839,147		3.3%		Quarterly	‡		60
Class E - 23		10,000		1,000,000		867,893		0.8%		Quarterly	‡		60
				27,942,198		26,328,411		23.0%
Total Investment Funds				88,876,515		98,484,262		86.0%
Affiliated Investment
Dreyfus Institutional Treasury
Securities Cash Advantage Fund
Institutional Shares		8,781,833		8,781,833		8,781,833		7.7%		Daily	(e)
Total Investments			$	97,658,348		107,266,095		93.7%
Other Assets in Excess of Liabilities						7,186,476		6.3%
Total Net Assets					$	114,452,571		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 - March 31, 2020

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

(b) Investment is subject to an annual 33% investor level gate.

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

(d) Investment is subject to a hardlock-up period with a 50% investor level gate per anniversary year of the investment date. Investment anniversary date is 4/1/19.

(e) Investment in affiliated money market mutual fund. The7-day yield at 3/31/20 was 0.43%.

† Investment Fund is not unitized.

‡ The investment amount has nolock-up or other redemption restrictions.

*With the exception of the position in Dreyfus Institutional Treasury Securities Cash Advantage Fund, all other investments are restricted andnon-income producing.

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

March 31, 2020

Assets
Investments in funds, at value (Cost $88,876,515) (Note 2A)			$	98,484,262
Investments in affiliated issuer, at value (Cost $8,781,833) (Note 2E)				8,781,833
Foreign currency (Cost $4,347) (Note 2F)				4,347
Receivable for investments sold				11,648,732
Prepaid expenses				69,779
Total assets				118,988,953
Liabilities
Payable for repurchase of Units (Note 8)	$	3,912,827
Accrued investment advisory fees (Note 3)		302,036
Accrued accounting, administration and member services fees		66,710
Accrued professional fees		207,276
Accrued Directors’ fees (Note 3)		17,693
Accrued custody fees (Note 3)		1,780
Other accrued expenses and other liabilities		28,060
Total liabilities				4,536,382
Net Assets			$	114,452,571
Composition of Net Assets (Note 2)
Paid-in capital			$	120,899,670
Total distributable earnings				(6,447,099)
Net Assets			$	114,452,571
Net Asset Value per Unit	$	67.50
Number of Units Outstanding (unlimited number of units authorized)		1,695,638

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 year ended March 31, 2020

Investment Income
Dividend income from affiliated investments (Note 2E)			$	282,163
Expenses
Investment advisory fee (Note 3)	$	2,405,148
Accounting, administration and member services fees		271,107
Directors’ fees (Note 3)		172,500
Legal fees		329,798
Insurance		139,808
Audit and tax service fees		285,900
Miscellaneous		43,195
Custody fees (Note 3)		19,000
Total expenses				3,666,456
Net investment loss				(3,384,293)
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments sold		20,198,621
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions		(22,322,617)
Net realized and unrealized loss				(2,123,996)
Net Decrease in Net Assets Derived from Investment Operations			$	(5,508,289)

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 Year Ended     March 31, 2020		For the Year Ended     March 31, 2019
Increase (Decrease) in Net Assets from
Investment Operations
Net investment loss	$	(3,384,293)	$	(4,362,702)
Net realized gain (loss) on investments sold		20,198,621		27,131,045
Net change in unrealized appreciation (depreciation) on investments and foreign currency transactions		(22,322,617)		(28,673,917)
Net Decrease in Net Assets Derived from Investment Operations		(5,508,289)		(5,905,574)
Dividend Distributions to Members		(17,509,828)		(21,072,144)
Capital Transactions
Proceeds from sale of Units		-		380,000
Reinvestment of Dividend Distributions		13,109,688		16,270,041
Repurchase of Units		(84,852,455)		(33,273,629)
Net Decrease in Net Assets Derived from Capital Transactions		(71,742,767)		(16,623,588)
Total Decrease in Net Assets		(94,760,884)		(43,601,306)
Net Assets
At beginning of year		209,213,455		252,814,761
At end of year	$	114,452,571	$	209,213,455
Change in Units Outstanding
Units outstanding, at beginning of year		2,572,071		2,749,819
Units sold		-		4,131
Reinvestments of Dividend Distributions		172,879		213,435
Units repurchased		(1,049,312)		(395,314)
Units outstanding, at end of year		1,695,638		2,572,071

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

6

Mellon Optima L/S Strategy Fund, LLC

Financial Highlights

	For the Year Ended     March 31, 2020		For the Year Ended     March 31, 2019		For the Year Ended     March 31, 2018		For the Year Ended     March 31, 2017		For the Year Ended     March 31, 2016
Total Return		(6.59)%		(2.30)%		6.91%		8.21%		(11.27)%
Ratios to Average Net Assets:
Expenses(1)		2.33%		2.04%		1.97%		1.82%		1.75%
Net Investment loss		(2.15)%		(1.92)%		(1.94)%		(1.81)%		(1.75)%
Portfolio Turnover Rate		14%		28%		12%		9%		7%
Net Assets, End of year (in thousands)		$114,453		$209,213		$252,815		$309,872		$414,228

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

For a Unit Outstanding

	For the Year Ended     March 31, 2020			For the Year Ended     March 31, 2019			For the Year Ended     March 31, 2018			For the Year Ended     March 31, 2017			For the Year Ended     March 31, 2016
Net asset value per Unit, beginning of year	$	81.34		$	91.94		$	93.07		$	86.69		$	103.33
Income (loss) from investment operations
Net investment income (loss)*		(1.72	)		(1.68	)		(1.84	)		(1.63	)		(1.71	)
Net realized and unrealized gain (loss)		(2.59	)		(0.68	)		8.30			8.92			(9.48	)
Total from investment operations		(4.31	)		(2.36	)		6.46			7.29			(11.19	)
Dividend Distributions
Realized gains		(9.53	)		(8.24	)		(7.59	)		(0.91	)		(5.45	)
Total dividend distributions		(9.53	)		(8.24	)		(7.59	)		(0.91	)		(5.45	)
Net asset value per Unit, end of year	$	67.50		$	81.34		$	91.94		$	93.07		$	86.69

*  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 year ended March 31, 2020

Cash Flows from Operating Activities
Net decrease in net assets derived from investment operations	$	(5,508,289)
Adjustments to reconcile net decrease in net assets derived from investment operations to net cash provided by operating activities:
Purchases of long-term investments		(20,000,000)
Proceeds from sale of long-term investments		96,046,595
Net payments for purchase of short-term investments		(3,033,873)
Net realized gain on investments sold		(20,198,621)
Net change in unrealized depreciation on investments and foreign currency transactions		22,322,617
Decrease in advance investments in funds		14,000,000
Decrease in receivable for investments sold		3,633,266
Decrease in prepaid expenses		249
Decrease in accrued investment advisory fees		(423,710)
Increase in accrued professional fees		43,984
Increase in accrued accounting, administration and member services fees		20,523
Decrease in accrued Directors’ fees		(27,199)
Decrease in accrued custody fees		(3,090)
Decrease in other accrued expenses and other liabilities		(14,112)
Net cash provided by operating activities		86,858,340
Cash Flows from Financing Activities
Proceeds from sale of Units		-
Dividend Distributions to members (Note 2D)		(4,400,140)
Repurchase of Units		(82,458,145)
Net cash used in financing activities		(86,858,285)
Net change in cash and foreign currency		55
Cash and foreign currency at beginning of year		4,292
Cash and foreign currency at end of year	$	4,347
SupplementalNon-Cash Activities
Reinvestment of dividend distributions	$	13,109,688

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

8

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(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 aclosed-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. No investments were held in either of the Fund Subsidiaries as of March 31, 2020.

At a meeting held on March 3, 2020, and in consultation with Mellon Hedge Advisors LLC (the “Adviser”), the Fund’s investment adviser, the Board of Directors of the Fund (the “Board”) determined that it was in the best interests of members of the Fund (“Members”) to liquidate and dissolve the Fund in accordance with an Agreement and Plan of Liquidation to be adopted by the Board (the “Plan of Liquidation”). Thus, as of the date of these financial statements, the Fund is in the process of liquidating. The Adviser made its recommendation primarily due to the decline in the Fund’s total net assets resulting from repurchases of units of limited liability company interest in the Fund (“Units”), the lack of any significant subscriptions for Units and the corresponding increase in the Fund’s expense ratio. The Adviser has been appointed by the Board to serve as liquidator of the Fund and, in such capacity, has begun the process of liquidating the Fund’s investments in order to raise cash that will be distributed to Members as soon as practicable. The Adviser will have the authority under the Plan of Liquidation to take all actions necessary to wind up the affairs of the Fund and to distribute the proceeds of the liquidation of the Fund’s assets to Members.

The Fund is in the process of liquidating its holdings and expects to distribute a portion of the proceeds thereof to Members by August 2020. The Adviser anticipates that assets of the Fund that cannot be liquidated as of June 30, 2020, and various liabilities of the Fund, will be contributed to a liquidating trust. Each Member will have a pro rata interest in the liquidating trust that is the same as such Member’s pro rata interest in the Fund, and the liquidating trust will make distributions of its assets (net of liabilities) to Members. It is anticipated that the Fund will be terminated in accordance with the laws of the State of Delaware by August 31, 2020 and that the final distribution of the assets of the liquidating trust will be made to Members by June 30, 2022.

Prior to the Board’s approval of the liquidation of the Fund, the investment objective of the Fund was 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 operated as a fund of hedge funds that pursued 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 invested as a limited partner, member or shareholder along with other investors.

The Adviser, a Delaware limited liability company and wholly-owned, indirect subsidiary of The Bank of New York Mellon Corporation (“BNY Mellon”), serves as the Fund’s investment adviser. Effective July 1, 2019, Optima Asset Management LLC (the“Sub-Adviser”), a Delaware limited liability company, serves as the Fund’snon-discretionarysub-investment adviser. Prior to that date, Optima Fund Management LLC (“OFM”) served as thesub-investment adviser to the Fund. On July 1, 2019, the assets of OFM were acquired by FWM Acquisition LLC (“FWM Acquisition”). Immediately following this transaction, FWM Acquisition, which is the successor to the business of OFM, changed its name to Optima Asset Management LLC. Prior to the Board’s approval of the Fund’s liquidation, the Adviser allocated the Fund’s assets to Investment Funds that pursued long/short equity investment strategies, including opportunistic, growth, value and other strategies (including, but not limited to, market neutral, international and event-

9

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(1) Organization (continued):

driven strategies). The portion of the Fund’s assets allocated to each of opportunistic, growth, value and other strategies was generally expected to range from 15% to 35% of the Fund’s assets. The weightings of the strategies varied over time depending on the Adviser’s assessment of prevailing market and economic conditions and its expectations regarding the performance of the investment strategies and portfolio managers. Allocations were also affected by other factors, including market conditions, changes in the values of the Fund’s investments in Investment Funds, timing of investments in and withdrawals from Investment Funds, liquidity limitations, capacity limitations imposed by 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 year ended March 31, 2020:

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.

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.

Other:

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

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.

Event-Driven: Event-driven strategies generally seek to profit from investments in companies that are, or are expected to be, involved in mergers and acquisitions, spin-offs, reorganizations, bankruptcies, share buybacks or other corporate events that are typically 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 take a public stance on their investments, openly confronting senior management and boards of directors in seeking to effect changes.

10

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(1) Organization (continued):

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 engaged the Adviser to provide investment advice regarding the selection of Investment Funds and to be responsible for theday-to-day management of the Fund. The Adviser is registered as an investment adviser under the Investment Advisers Act of 1940, as amended (the “Advisers Act”). The Adviser engaged theSub-Adviser, also a registered investment adviser under the Advisers Act, to assist it in performing certain of its duties.

TheSub-Adviser, as part of the Investment Fund selection process, conducted reviews of the managers of such funds, their investment processes and organizations, and conducted interviews with references and industry sources to complete its evaluations. The Adviser utilized theSub-Adviser’s analyses and recommendations in selecting Investment Funds and making investment decisions on behalf of the Fund.

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

Until March 3, 2020, Units were offered solely to eligible investment management clients of BNY Mellon Wealth Management in private placement transactions exempt from registration under the Securities Act of 1933, as amended. Initial and additional subscriptions for Units by investors were accepted at such times as the Fund determined and were generally accepted monthly.

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

Units were 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. However, the Fund from time to time made offers to Members holding Units (“Members”) to repurchase Units at their net asset value. These offers were made at such times and on such terms as was determined by the Board and were generally made twice each calendar year. 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. To assure that all Members are treated fairly in connection with the Fund’s liquidation and receive their pro rata shares of the Fund’s assets, the Board does not intend to make any further offers to repurchase Units.

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

11

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(2) Significant Accounting Policies (continued):

A. Valuation of the Fund and its Investments:

In accordance with the authoritative guidance on fair value measurements 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 on the sale of an asset, or the amount 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, the fair value measurements of which consider 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 arevalued 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.

The Board has approved procedures pursuant to which the Fund values its investments in Investment Funds at fair value. In accordance with these procedures, such fair value of the Fund’s interest in an Investment Fund ordinarily is the value of such interest as determined by the Investment Fund in accordance with its valuation policies as of 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 the 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 of the Fund’s investments in Investment Funds as of March 31, 2020 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. They do not reflect the impact of any early redemption or withdrawal fees that might be incurred in connection with a redemption or withdrawal as of the valuation date. 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 ASU2015-07, 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 March 31, 2020, all investments in affiliated investment companies valued at $8,781,833 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 theex-dividend date. Realized gains and losses from Investment Fund transactions are calculated on the average cost basis. The Investment Funds in which the Fund has invested do not generally distribute income earned on their investments or gains realized

12

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(2) Significant Accounting Policies (continued):

B. Securities Transactions and Income (continued)

from their 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; audit 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. The Fund will also bear various expenses in connection with its liquidation.

D. Income Taxes

It is the policy of the Fund to continue to qualify as a RIC 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 nettax-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.

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 themore-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 fiscal year. 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. During the current fiscal year, the Fund did not incur any interest or penalties. Each tax year in the four years ended September 30, 2019 remains subject to examination by the Internal Revenue Service and state taxing authorities.

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 as short-term capital losses as was previously the case. 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 is not likely to affect the Fund.

During the tax year ended September 30, 2019, as a result of permanent book to tax differences, primarily due to the tax treatment of net operating losses and limited partnership adjustments, and disposition of passive foreign investment company investments, the Fund increased distributable earnings by $4,555,160, and decreasedpaid-in capital by $4,555,160.

The tax character of distributions paid to shareholders for the tax years ended September 30, 2019 and September 30, 2018 were as follows: long-term capital gains of $20,330,433 and $21,880,568, respectively.

13

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(2) Significant Accounting Policies (continued):

D. Income Taxes (continued)

At September 30, 2019, the components of accumulated earnings on a tax basis were as follows: undistributed capital gains $17,434,216 and unrealized appreciation $5,521,023. In addition, the Fund had currency gains after October 31, 2018 of $314,236 and ordinary losses after December 31, 2018 of $5,275,267, which were deferred for tax purposes to the first day of the following year.

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 Investment Funds taxable as partnerships on each such fund’s calendar year ScheduleK-1. The aggregate cost of investments and the gross unrealized appreciation and depreciation on investments for federal income tax purposes as of March 31, 2020 are noted below.

Federal tax cost of investments	$	113,814,022
Gross unrealized appreciation		12,225,945
Gross unrealized depreciation		(18,773,872	)
Net unrealized depreciation	$	(6,547,927	)

E. Affiliated Investment Companies

Investments in affiliated investment companies during the year ended March 31, 2020 were as follows:

Affiliated Investment Company	Value at March 31, 2019		Purchases		Sales			Value at March 31, 2020		Dividend Income
Dreyfus Institutional Treasury Securities Cash Advantage Fund - Institutional Shares	$	5,747,960	$	103,384,368	$	(100,350,495	)	$	8,781,833	$	282,163

F. Cash and Short-Term Investments

Short-term investments consist of liquid investments with maturities of less than 90 days. At March 31, 2020, the Fund had $8,781,833 invested in Institutional Shares of Dreyfus Institutional Treasury Securities Cash Advantage Fund, an affiliated institutional money market fund, including $3,912,313 of assets segregated for payout of cash holdbacks related to repurchases of Units. See Note 8.

The Fund also holds $33,689 Hong Kong Dollars, which have a value of approximately $4,347 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, until March 31, 2020, the Fund paid 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 $2,405,148 for the year ended March 31, 2020.

Pursuant to aSub-Investment Advisory Agreement, and until March 31, 2020 the Adviser pays theSub-Adviser a monthly fee, computed at the annual rate of 0.75% of the Fund’s net assets determined as of the close of business on the last day of the month (the“Sub-Investment Advisory Fee”).

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Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

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

In view of the decision to liquidate the Fund, the Adviser and theSub-Adviser voluntarily agreed to reduce their fees by 50%, therefore the Investment Advisory Fee will be 0.75% and theSub-Investment Advisory Fee will be 0.375%, effective April 1, 2020.

The Fund has retained 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 is paid a fee by the Fund and also earns interest on cash balances of the Fund maintained with BNYM, including disbursement balances and balances arising from purchase and sale transactions. The Fund reimburses BNYM for certain expenses it incurs in providing services to the Fund. Pursuant to the Custody Agreement, the Fund was charged $19,000 for custody service fees and expenses for the year ended March 31, 2020.

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 Directors for their reasonableout-of-pocket expenses. The Fund paid Directors’ fees of $172,500 for the year ended March 31, 2020.

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

(4) Investment Transactions:

During the year ended March 31, 2020, the Fund had aggregate contributions of capital to and withdrawals of capital from Investment Funds of $20,000,000 and $96,046,595, 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.

(6) Financial Instruments withOff-Balance Sheet Risk:

In the normal course of business, the Investment Funds in which the Fund invested trade various financial instruments and enter into various investment activities withoff-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 with respect to any Investment Funds is generally limited to the value of the Fund’s interest in that 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 allocated assets to a select group of portfolio managers and invested 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: risks arising from the volatility of the equity, fixed income, commodity and currency markets; risks of borrowings and short sales; risks arising from leverage associated with trading in the equities, currencies andover-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 value of the Fund’s investments in Investment Funds and the securities in which those funds invest may be affected by political, regulatory, economic and social developments, and developments that impact specific economic sectors, industries or segments of the market. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers. This could adversely affect the performance of

15

Mellon Optima L/S Strategy Fund, LLC

Notes to Consolidated Financial Statements

March 31, 2020

(7) Risk Factors (continued):

Investment Funds and thus, the investment performance of the Fund. Global economies and financial markets are becoming increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies world-wide. A recent example of this are the aggressive measures taken in response to theCOVID-19 pandemic by governments throughout the world - including closing borders, restricting international and domestic travel, and imposing prolonged quarantines of large populations - and by businesses - including changes to operations and reducing staff. TheCOVID-19 pandemic and these responses have contributed to increased volatility in global securities markets and will likely affect certain countries, companies, industries and market sectors more dramatically than others. TheCOVID-19 pandemic has had, and any other outbreak of an infectious disease or other serious public health concern could have, a significant negative impact on economic and market conditions and could trigger a prolonged period of global economic slowdown. To the extent an Investment Fund in which the Fund invests focuses its investments in particular countries, companies, industries or market sectors, the Fund will have greater exposure to potential losses from adverse developments affecting those countries, companies, industries or sectors. 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 havinglock-up provisions under which capital withdrawals or redemptions are prohibited for a specified period following the date of the Fund’s investment. Certain Investment Funds permit early withdrawals or redemptions prior to expiration of these periods, subject to approval, but 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 additionallock-up restrictions or may suspend or otherwise restrict the ability of their investors (including the Fund) to redeem their interests in or withdraw their capital from the funds.

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

(8) Unit Repurchases:

The following is a summary of the Fund’s repurchases of Units during the year ended March 31, 2020:

Repurchase Value	Commencement	Expiration Date	Number of	Value of Units
Date	Date of Offer	of Offer	Repurchased	Repurchased
			Units
June 30, 2019	March 25, 2019	May 10, 2019	734,875	$61,008,445
December 31, 2019	September 20, 2019	October 18, 2019	314,435	$23,844,010

The Fund initially paid approximately 95% of the estimated value of the repurchased Units to Members within one month after the value of the Units was determined for purposes of repurchase. The remaining amount payable by the Fund with respect to these Units is expected to be paid no later than June 12, 2020.

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Ernst & Young LLP 5 Times Square New York, NY 10036-6530 Tel: +1 212 773 3000 Fax: +1 212 773 6350 www.ey.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Members of Mellon Optima L/S Strategy Fund, LLC

Opinion on the Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities of Mellon Optima L/S Strategy Fund, LLC (the “Fund”), including the consolidated schedule of investments, as of March 31, 2020, and the related consolidated statements of operations and cash flows for the year then ended, the consolidated statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the consolidated financial position of the Fund at March 31, 2020, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended and its financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

Basis for opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of the Fund’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of March 31, 2020, by correspondence with the custodian and management and custodians of the investment funds. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

We have served as the Fund’s auditor since 2004.

New York, New York

May 29, 2020

A member firm of Ernst & Young Global Limited

17

Factors Considered by the Board of Directors in Approving Advisory Agreements (Unaudited)

The 1940 Act requires that, for an investment advisory agreement to remain in effect after an initial two year term, its continuance must be approved annually by a fund’s board of directors, including the separate vote of a majority of the directors who are not parties to the agreement or “interested persons,” as defined by the 1940 Act, of any such party (“Independent Directors”). At a meeting of the Board of Directors (the “Board”) of Mellon Optima L/S Strategy Fund, LLC (the “Fund”) held on December 11, 2019, the continuance of the investment advisory agreement between the Fund and Mellon Hedge Advisors LLC (the “Adviser”) (the “Advisory Agreement”) for an additional annual period was approved unanimously by the Board and by the Independent Directors. In determining to approve continuance of the Advisory Agreement, the Board conducted the review and made the determinations described below. In conducting this review and in making those determinations, the Independent Directors received, reviewed and discussed information provided by the Adviser in response to written requests prepared on their behalf by their independent counsel. Representatives of the Adviser attended the meeting to provide additional information and to respond to questions and comments arising in connection with the Board’s review of these materials and its deliberations.

Although the annual continuance of the agreement between the Adviser and the Fund’ssub-investment adviser is typically also presented to the Board for approval in December of each year, a newsub-investment advisory agreement with Optima Asset Management LLC (the“Sub-Adviser”) (the successor to the business of the formersub-investment adviser of the Fund) became effective on November 26, 2019 and has an initial term expiring November 26, 2021. For this reason, the Board did not consider the continuance of the agreement with theSub-Adviser at its meeting on December 11, 2019.

The information requested by the Independent Directors and reviewed by the Board in connection with the review of the Advisory Agreement included, among other things:

(i) Financial and Profitability Data: Financial statements of the Adviser and The Bank of New York Mellon Corporation (“BNY Mellon”), the parent of the Adviser, as well as analyses of the profitability of the Adviser attributable to the Fund;

(ii) Management Team and Operations: The Form ADV of the Adviser, as well as information concerning the Adviser’s executive management and organizational structures;

(iii) Comparative Performance and Fees: Analyses prepared by the Adviser comparing the Fund’s investment performance, investment advisory fee and expense ratio to those of peer groups of similar funds; and

(iv) Other Benefits: Information concerning indirect benefits flowing to the Adviser and its affiliates from their relationships with Fund, as well as information about the ownership of the Adviser by BNY Mellon.

In considering the proposal to approve the continuation of the Advisory Agreement, the Board, including the Independent Directors, did not identify any single factor in isolation, nor was any

18

single factor considered by the Board to be determinative to the decision to approve the renewal of the Advisory Agreement. The Board determined that the fees payable to the Adviser under the Advisory Agreement are fair and reasonable in relation to the nature and quality of services provided by the Adviser, and that the advisory fee payable by the Fund is appropriate in light of the fees payable by other similar registered funds of hedge funds. The following summary describes some, but not all, of the information and matters considered by the Board in making its determinations, and discusses the factors that figured prominently in the Board’s determinations.

Nature, Scope and Quality of Services

The Board considered the nature, scope and quality of the services provided by the Adviser. In their deliberations, the Directors were mindful of the fact that, by choosing to invest in the Fund, the Fund’s investors have determined to entrust the Adviser with the responsibility to manage the assets of the Fund, under the supervision of the Board and utilizing advice provided by theSub-Adviser.

Among the specific factors the Board reviewed were the investment management, administrative, compliance and other services provided by the Adviser. In this regard, the Board reviewed a summary of the various support activities the Adviser and BNY Mellon perform as part of the investment process and operations of the Fund.

The Board considered the background and experience of the Adviser’s investment personnel and considered information it was provided regarding the Adviser’s organization, personnel and resources. It also considered the differing scope and nature of the investment advisory services provided by the Adviser and theSub-Adviser. In its deliberations, the Board focused in particular on the Adviser’s expertise with regard to the selection of portfolio funds in which the Fund invests (“Portfolio Funds”), its investment review process, and the qualifications and experience of the staff of the Adviser providing services.    

Based on consideration of these matters, the Board determined that the Adviser was providing all required services and that the services provided by the Adviser have been of high quality.

Investment Performance

The Board considered the investment performance of the Fund over various periods relative to the performance of its benchmark, the HFRX Equity Hedge Index (the “HFRX Index”), and its performance relative to the performance of the S&P 500 Index (the “S&P Index”). It also received and considered information comparing the Fund’s Sharpe Ratio, standard deviation and maximum drawdown to that of the HFRX Index and the S&P Index in view of the fact that 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 Index. In addition, the Board reviewed the performance of the Fund as compared to the performance of other long/short equity, 1940 Act registered funds of hedge funds that the Adviser and theSub-Adviser view as the Fund’s performance peers (the “Performance Comparison Peer Group”), and as compared to the performance of a peer group of funds comprised of funds within

19

Morningstar’s Equity Hedge Fund of Funds category, which includes funds with investment strategies similar to that of the Fund, but that are not registered under the 1940 Act.

The Board concluded that the Fund’s investment performance was reasonable in comparison to its 1940 Act registered fund peers in light of the Fund’s investment objective, the applicability of the requirements of Subchapter M of the Internal Revenue Code to the Fund and other relevant factors, notwithstanding that the Fund generally underperformed funds in the Performance Comparison Peer Group during relevant periods. The Board also concluded that the Fund’s performance was satisfactory in comparison to its benchmark index, with the Fund outperforming the HFRX Index for fifteen of sixteen trailing1-,3-,5- and10-year periods reported for four different year ends. In addition, it was noted that, for the period March 1, 2016 to September 30, 2019, the Fund produced a cumulative return of 15.21%, provided positive returns in 29 of 44 months and outperformed the HFRX Index by 130 basis points.

Advisory Fee and Other Expenses

The Board also reviewed the advisory fee and expense ratio of the Fund as compared to those of a peer group of 29 other 1940 Act registered funds of hedge funds (the “Fee Comparison Peer Group”). The Board took into account the complexity and quality of the investment management and support services required by the Fund. The Board also noted that, although the fee paid to the Adviser (and from which the Adviser pay theSub-Adviser) is at the high end of the asset-based advisory fees paid by funds in the Fee Comparison Peer Group, certain of the peer group funds that pay or bear lower asset-based advisory fees also pay performance-based fees and that several funds in the peer group that have lower advisory fee rates than the Fund pay additional types of fees to their advisers (or to affiliates of their advisers) (such as distribution, management, or servicing fees), and have expense ratios that are higher than that of the Fund, which does not pay such fees. In this regard, the Board observed that the Fund’s total operating expense ratio put it near the middle of its peer group, and that some peer group funds with lower expense ratios than the Fund have significantly greater net assets than the Fund.

The Board noted that, because the Fund is a fund of funds, Fund investors bear not only the fees and expenses of the Fund itself, but also indirectly bear the fees, including asset-based fees and performance-based allocations and fees, and other expenses of the Portfolio Funds in which the Fund invests. It also noted that investors in the Fund generally also bear investment advisory fees payable for services unrelated to the Fund that are provided to them by BNY Mellon Wealth Management.    

The Board concluded that the advisory fee payable by the Fund to the Adviser under the Advisory Agreement is fair and reasonable in relation to the nature and quality of the services provided by the Adviser, and further concluded that the advisory fee payable by the Fund was appropriate in relation to fees paid by other similar 1940 Act registered funds of hedge funds.

The Adviser’s Profitability

The Board considered the profitability of the Adviser derived from providing advisory services to the Fund during the past three completed calendar years, as well as the methodology used to compute such profitability and to determine the various direct and indirect expenses incurred by

20

the Adviser in providing services to the Fund. In this regard, the Board concluded that the profits derived by the Adviser from the Fund were reasonable and not excessive given the quality and scope of services provided to the Fund.

Economies of Scale

The Board recognized that economies of scale in the costs of providing advisory services may be realized as a fund’s net assets increase and that it is appropriate to consider whether the advisory fee payable to the Adviser by the Fund properly reflects any such economies for the benefit of members of the Fund. However, the Board noted that the net assets of the Fund have been declining in recent years as a result of the Fund’s repurchases of units of limited liability interests in the Fund and that, based on cost and profitability information provided to the Board, economies of scale in the costs of services do not appear to have been realized in recent years.

Other Benefits

As part of its review, the Board also considered the extent to which the Adviser and its affiliates may derive other benefits from their relationships with the Fund in addition to the advisory fee paid by the Fund. It determined that, although there may possibly be such benefits, these benefits cannot be precisely determined or quantified, and are not likely to be economically significant.    

*         *         *

The foregoing factors and considerations were among those weighed by the Board in determining whether to approve the annual continuance of the Advisory Agreement. Based on such factors and considerations, and other matters considered, the Board and the Independent Directors determined that the continuance of the Advisory Agreement was appropriate and in the best interests of the Fund and investors in the Fund, and unanimously approved the continuance of the Advisory Agreement.

21

Directors and Officers (Unaudited)

The following table lists the Fund’s directors and officers; their ages, addresses and years of birth; their position(s) with the Fund; the length of time holding such position(s) with the Fund; their principal occupation(s) during the past five years; the number of portfolios in the fund complex they oversee; and other directorships they hold in companies subject to registration or reporting requirements of the Securities Exchange Act of 1934 (generally called “public companies”) or in registered investment companies; and total remuneration paid as of the year ended March 31, 2020. The Fund’s Confidential Offering Memorandum includes additional information about the Fund’s directors and is available, without charge to qualified clients of BNY Mellon Wealth Management, upon request by writing Mellon Optima L/S Strategy Fund, LLC at One Boston Place, Suite024-0071, Boston, MA 02108 or calling toll free1-877-257-0004.

Independent Directors
Name (Age), Position(s) with Fund, Address and Year of Birth	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director Outside Fund Complex	Director Remuneration (year ended March 31, 2020)
Robert Bowen (83), Director c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1937	Term – Indefinite Length – Since December 2008	Retired; Board Member, Friends of Foster Children (2013-present); formerly Executive Vice President, Callan Associates	1	None	$31,000
Robert J. Dwyer (76), Director c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1943	Term – Indefinite Length – Since December 2008	Retired; Advisory Director of Morgan Stanley & Co. and President of Dwyer Family Foundation	1	Bimini Capital Management, Inc. (REIT);Mas-Tec Inc. (special construction)	$31,000
Carla Diane Hunter (65), Director and Chair of Audit Committee c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1954	Term – Indefinite Length – Since December 2008	Chief Executive Officer and Chief Investment Officer, Weizmann Global Endowment Trust, 2002- present	1	None	$36,000
Arthur Williams III (78), Director c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1941	Term – Indefinite Length – Since December 2008	Retired; former President and Chief Investment Officer, 1994-2011 and former Chairman, 2011-2012, Pine Grove Associates, Inc.	1	None	$28,500
Rodney S. Yanker (60), Director c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1959	Term – Indefinite Length – Since December 2008	Co-Founder and Senior Partner, Alternative Asset Managers, LP, 2004-present	1	None	$31,000

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Interested Directors
Name (Age), Position(s) with Fund, Address and Year of Birth	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Director	Other Directorships Held by Director Outside Fund Complex	Director Remuneration (year ended March 31, 2020)
Newton P.S. Merrill (80), Director (Chairman) c/o Mellon Optima L/S Strategy Fund One Boston Place, Suite024-0071 Boston, MA 02108 1939	Term – Indefinite Length – Since December 2008	Retired; formerly Senior Executive Vice President, The Bank of New York, Inc.	1	M&T Bank Corporation and M&T Bank	$36,000

Principal Officers Who Are Not Directors
Name (Age), Address and Year of Birth	Position(s) Held with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Anthony J. Mastrocola (43) BNY Mellon Wealth Management One Boston Place, Suite024-0071 Boston, MA 02108 1977	President and Chief Executive Officer; formerly Vice President (October 2008 – December 2019)	Term – Indefinite Length – Since December 2019	Vice President, BNY Mellon Wealth Management Group (since 2004), Vice President, Mellon Hedge Advisors, LLC (since 2005)
Jennifer L. Carnes (48) BNY Mellon Wealth Management 500 Grant St, 39th Floor Pittsburgh, PA 15258 1971	Vice President, Treasurer and Chief Financial Officer	Term – Indefinite Length – Since September 2010	Vice President, BNY Mellon Wealth Management Group (since 2014), and Vice President, Mellon Hedge Advisors, LLC (since 2015); formerly Vice President BNY Mellon Asset Management (2000- 2014)
Scott Barber (55) Chief Compliance Officer c/o BNY Mellon 200 Park Avenue 8th Floor New York, NY 10166	Chief Compliance Officer	Term – Indefinite Length – Since January 2019	Managing Director and Head of BNY Mellon Wealth Management Compliance (since 2011), Chief Compliance Officer, Mellon Hedge Advisors, LLC (since January 2019), Chief Compliance Officer BNY Investment Strategy and Solutions, LLC (since January 2019)
Peter M. Sullivan (52) BNY Mellon Corporation One Boston Place, Suite024-0081 Boston, MA 02108 1968	Secretary	Term – Indefinite Length – Since February 2009	Managing Counsel – Investment Management and Managing Director, BNY Mellon (since 2008); formerly Senior Counsel and Vice President, Mellon Financial Corporation (2004-2008)
Terry Sylvester Charron (56) BNY Mellon Wealth Management One Boston Place, Suite024-0104 Boston, MA 02108 1963	Vice President	Term – Indefinite Length – Since December 2015	Vice President, BNY Mellon Wealth Management Group and Vice President, Mellon Hedge Advisors, LLC; formerly Director of Alternative Strategies

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Item 2.   Code of Ethics.

On February 22, 2005, the Registrant adopted a Code of Ethics, as defined in Item 2(b) of FormN-CSR that applies to the Principal Executive Officer and Principal Financial Officer. For the fiscal year ended March 31, 2020, there were no substantive amendments to a provision of the Code of Ethics nor were there any waivers granted from a provision of the Code of Ethics to the Registrant’s Principal Executive Officer or Principal Financial Officer that relates to any element of the definition of code of ethics as enumerated in Item 2(b) of FormN-CSR. A copy of the Registrant’s Code of Ethics that applies to the Principal Executive Officer and Principal Financial Officer is filed as an exhibit to this FormN-CSR under Item 12(a)(1).

Item 3.   Audit Committee Financial Expert.

The Registrant’s Board of Directors has determined that the Registrant has one audit committee financial expert, as defined in Item 3 of FormN-CSR, serving on its audit committee. The audit committee financial expert serving on the Registrant’s audit committee is Carla Diane Hunter, who is “independent” pursuant to paragraph (a)(2) of Item 3 of FormN-CSR. Ms. Hunter is the Chief Executive Officer and Chief Investment Officer of Weizmann Global Endowment Management Trust, and formerly served as the Director of Investments and Treasury of the Museum of Modern Art, New York City. She has been a member of the Registrant’s audit committee since December 1, 2008.

Item 4.   Principal Accountant Fees and Services.

(a) AUDIT FEES: The aggregate fees billed for professional services rendered by the principal accountant, Ernst & Young LLP, for the audit of the Registrant’s annual financial statements or for services that are normally provided by the accountant in connection with statutory and regulatory filings for the fiscal years ended March 31, 2020 and 2019 were $106,600 and $104,500, respectively.

(b) AUDIT RELATED FEES: The aggregate fees billed in the fiscal years ended March 31, 2020 and 2019 for assurance and related services by Ernst & Young LLP that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this Item were $8,080 and $7,920, respectively. The nature of the services comprising the fees disclosed under this Item include: the examination of investments as required by Rule17f-2 of the Investment Company Act of 1940.

(c) TAX FEES:The aggregate fees billed in the fiscal years ended March 31, 2020 and 2019 for professional services rendered by Ernst & Young LLP for tax compliance, tax advice, and tax planning were $113,660 and $64,389, respectively. Services rendered included the preparation and filing of U.S. federal, state and local tax returns.

(d) ALL OTHER FEES:No such fees were billed to the Registrant by Ernst & Young LLP in the fiscal years ended March 31, 2020 and 2019.

(e) (1) AUDIT COMMITTEEPRE-APPROVAL POLICY:The Registrant’s audit committeepre-approves all audit andnon-audit services to be performed by the Registrant’s accountant before the accountant is engaged by the Registrant to perform such services.

(2) None, or 0% of the services described in each of paragraphs (b) through (d) of this Item 4 were approved by the Registrant’s audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule2-01 of RegulationS-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).

(f) Not applicable.

(g) The aggregatenon-audit fees billed by Ernst & Young LLP for services rendered to the Registrant and the Registrant’s investment advisers, and any entity controlling, controlled by or under common control with the advisers that provides ongoing services to the Registrant for the fiscal years ended March 31, 2020 and 2019 were $753,595 and $438,876, respectively.

(h) Because all of thenon-audit services rendered to the Registrant’s investment adviser or any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant (“Service Affiliates”) that relate directly to the Registrant’s operations and financial reporting werepre-approved by the Registrant’s audit committee of the Board of Directors, and no suchnon-audit services were notpre-approved, the audit committee was not asked to consider whether the provision ofnon-audit services rendered to the Registrant’s Service Affiliates which were notpre-approved by the Registrant’s audit committee is compatible with maintaining the principal accountant’s independence..

Item 5.   Audit Committee of Listed Registrants.

Not applicable to the Registrant.

Item 6.   Investments

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

(b) Not applicable to this filing.

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

The Proxy Voting Policies are as follows:

MELLON HEDGE ADVISORS, LLC POLICIES AND PROCEDURES
Chapter: PROXY VOTING	Document Number: 504
Section:	Issued/Revised Date: Revised 3/2012
Subject:	Page Number: 1
Issuing Department: COMPLIANCE	Responsible Department: INVESTMENT COUNCIL

BACKGROUND: Proxy voting is an important right of shareholders and reasonable care and diligence must be undertaken to ensure that such rights are properly and timely exercised.

Investment advisers registered with the SEC, and which exercise voting authority with respect to client securities, are required by Rule206(4)-6 of the Advisers Act to (a) adopt and implement written policies and procedures that are reasonably designed to ensure that client securities are voted in the best interests of clients, which must include how an adviser addresses material conflicts that may arise between an adviser’s interests and those of its clients; (b) to disclose to clients how they may obtain information from the adviser with respect to the voting of proxies for their securities; (c) to describe to clients a summary of its proxy voting policies and procedures and, upon request, furnish a copy to its clients; and (d) maintain certain records relating to the adviser’s proxy voting activities when the adviser does have proxy voting authority.

REFERENCE: Rules206(4)-6 and204-2 under the Investment Advisers Act of 1940.

POLICY: Mellon Hedge Advisors, LLC (“MHA” or the “Firm”), as a matter of policy and as a fiduciary to our clients, has responsibility for voting proxies for portfolio securities consistent with the best economic interests of the clients. Given the nature of securities purchased (interests in unregistered investment vehicles, or “Investment Funds”) for our fund of hedge funds clients that are registered investment companies under the Investment Company Act of 1940 (the “ICA”), it may be advisable, at times, to irrevocably waive voting rights on certain securities. In such cases, the investment management agreement provides the authority to waive such rights on behalf of our clients.

For purposes of this policy, the ICA definition of voting security (Section 2(a)(42)) will be used: “Voting security” means any security presently entitling the owner or holder thereof to vote for the election of directors of a company.

Waiver of Voting Rights for Registered Investment Company Clients

In managing assets of a fund of hedge funds, MHA expects to purchase a class ofnon-voting securities or enter into an agreement, typically before purchase, to relinquish the right to vote in respect of its investments in Investment Funds. For any Investment Fund for where MHA does not do either of the foregoing (and it does not anticipate that it would not be able to do so), it intends to limit its holdings of the relevant Investment Fund to less than 5% of the Investment Fund’s voting securities.

Where a separatenon-voting security class is not otherwise available, MHA would seek to create by contract the same result as owning anon-voting security class: namely, a security that affords its registered fund client, and each subsequent holder, no legal right to vote. This result would be accomplished through a written agreement between MHA on behalf of the registered fund client and the Investment Fund where MHA and the registered fund irrevocably foregoes the right to vote, and does so in a manner that legally binds both the fund and all subsequent holders. The agreement also will include a statement of the parties’ intention that the agreement should be interpreted broadly to effect the parties’ desire that the fund’s interest be identical to that of a separatenon-voting class. The form of the agreement is attached to this policy asExhibit A. In each instance, MHA will determine if the fund will waive the fund’s voting rights. When it does so, MHA will consider only the interests of the fund and not the interests of MHA or those of MHA’s other clients.

MHA will vote proxies received in accordance with its client’s guidelines, if any, for proxy voting. We maintain written policies and procedures as to the handling, research, voting and reporting of proxy voting and makes appropriate disclosures about our firm’s proxy policies and practices. Our policy and practice includes the responsibility to receive and vote client proxies and disclose any potential conflicts of interest as well as making information available to clients about the voting of proxies for their portfolio securities and maintaining relevant and required records.

In addition, due to the nature of the securities in which we invest and our ability to waive voting rights as disclosed above, MHA will seek advice from fund counsel when necessary to determine whether the subject matter of a solicitation sent by an Investment Fund to a class of interests holders is such that the class of interests may be deemed to be a “voting security” under the ICA. Generally, however, MHA will not seek to vote on any matters presented to it where it has waived its rights to vote.

RESPONSIBILITY: The Investment Council has the responsibility for the implementation and monitoring of our proxy voting policy and practices.

The Chief Compliance Officer has the responsibility to ensure that the firm’s proxy voting policy is properly disclosed to its clients and to assist the Investment Council in analyzing and resolving conflicts of interest.

PROCEDURES: MHA has adopted procedures to implement the firm’s policy and reviews to monitor and insure the firm’s policy is observed, implemented properly and amended or updated, as appropriate, which include the following:

Voting Procedures

• All employees will forward any proxy or similar materials received on behalf of clients to an employee designated by the Investment Council;

• The designated employee will determine which client accounts hold the security to which the proxy relates;

• The designated employee will summarize the information and identify any known material conflicts for the Investment Council.

• The Investment Council will review the proxy and assess, for its registered fund clients, whether fund counsel should be consulted to assist in determining whether the subject matter of a solicitation sent by an Investment Fund to a class of interests holders is such that the class of interests may be deemed to be a “voting security” under the ICA.

• Where MHA has waived its rights to vote, MHA will generally not seek to vote on the matter even if the matter is such that the class of interests would not be deemed a “voting security”. MHA will consult with counsel as needed to determine if a vote or other action is needed.

• The Investment Council will review the proxy and will assess whether there is any conflict of interest as a result of an employee’s personal relationships and/or due to any special circumstances arising during the conduct of the Adviser’s business. If any conflict exists for any member of the Council, he or she will promptly notify the other Council members and the Chief Compliance Officer of the conflict.

• The Investment Council, the Chief Compliance Officer, and MHA’s legal department, if appropriate, will determine if the conflict of interest is material. A conflict of interest will be considered material to the extent that it is determined that such conflict has the potential to influence MHA’s decision making in voting the proxy. MHA will maintain a record of all materiality determinations.

• If it is determined that a conflict of interest is not material, MHA will vote the proxies as determined by the Investment Council, by meeting or vote in lieu of meeting, notwithstanding the existence of the conflict.

• If it is determined that a conflict of interest is material, the Chief Compliance Officer and Investment Council Chairman will consult with legal to determine a method to resolve such conflict. Such methods may include but are not limited to disclosing the conflict to the client and obtaining consent before voting, engaging a third party to recommend a vote, engaging another party on behalf of the client to vote the proxy on its behalf.

• The designated MHA employee will vote the proxy as determined above in a timely and appropriate manner and shall maintain written records of the vote including, if applicable, a written record of the method used to resolve a material conflict of interest.

Disclosure

• MHA will provide conspicuously displayed information in its Disclosure Document, if required, summarizing this proxy voting policy and procedures, including a statement that clients may request information regarding how MHA voted a client’s proxies, and that clients may request a copy of these policies and procedures.

Client Requests for Information

• All client requests for information regarding proxy votes, or policies and procedures, received by any employee should be forwarded to the above referenced designated employee.

• In response to any request the designated employee will prepare a written response to the client with the information requested, and, as applicable, will include the name of the issuer, the proposal voted upon, and how MHA voted the client’s proxy with respect to each proposal about which client inquired.

Voting Guidelines

• In the absence of specific voting guidelines from the client, MHA will vote proxies in the best interests of each particular client. MHA’s policy is to vote all proxies from a specific issuer the same way for each client absent qualifying restrictions from a client. Clients are permitted

to place reasonable restrictions on MHA’s voting authority in the same manner that they may place such restrictions on the actual selection of account securities.

• MHA will generally vote with management’s recommendations on routine corporate housekeeping proposals such as the selection of auditors absent conflicts of interest raised by an auditor’snon-audit services.

• When MHA has waived rights to vote for a registered fund client and the issue presented for vote is such that the class of interests would be deemed a “voting security”, MHA will not vote on the matter.

• Other matters will be voted on acase-by-case basis.

Item 8. Portfolio Managers ofClosed-End Management Investment Companies.

(a)(1) IDENTIFICATION OF PORTFOLIO MANAGERS:The table below provides information concerning the persons employed by Mellon Hedge Advisors, LLC, the Registrant’s investment adviser (the “Adviser”) and Optima Asset Management LLC, the Registrant’ssub-investment adviser (the“Sub-Investment Adviser”) who are primarily responsible for theday-to-day management of the Registrant’s portfolio by virtue of their membership on the investment council or committee of their respective firms (each, an “Investment Committee”). All information provided in the table is as of March 31, 2020.    No single individual has exclusive responsibility for investment recommendations or decisions concerning the Registrant.

The Adviser

Name	Title, Length of Service and Business Experience in Last Five Years
Anthony Mastrocola	Vice President (since July 2009) and Assistant Vice President (2004 – July 2009), BNY Mellon Wealth Management Group; Vice President (since 2009) and Assistant Vice President (2005-2009), Mellon Hedge Advisors, LLC; President (since December 2019), Vice President (October 2010 – December 2019) and Assistant Vice President (October 2008 – October 2010), Mellon Optima L/S Strategy Fund.
Terry Sylvester Charron	Vice President and Senior Portfolio Manager (since 2010), BNY Mellon Wealth Management Group, Vice President, Mellon Hedge Advisors, LLC (since 2012).
Patrick T. Crowe	Managing Director (since 2003), National Director of Investment Analytics Advisory and Solutions (since 2014), Regional Managing Director II (2008-2014), Head of Personal Asset Management (2005-2007) Director of Equity Research (2003-2005) and Vice President (1993-2002), BNY Mellon Wealth Management Group.
Ridgway H. Powell	Managing Director, BNY Mellon Wealth Management Group (since 1998). Vice President, Mellon Hedge Advisors, LLC (since 2005).
Andrew Tepper	Managing Director, BNY Mellon Wealth Management Group (since 2008), Vice President, Mellon Hedge Advisors, LLC (since 2014).

TheSub-Investment Adviser

Name	Title, Length of Service and Business Experience in Last Five years
Dixon Boardman	Chief Executive Officer (since 2019), Optima Asset Management LLC; Managing Member (1988 - 2019), Optima Fund Management LLC.
Thomas Gimbel	Executive Managing Director, Optima Asset Management LLC (since 2019); Executive Managing Director, Chief Portfolio Risk Officer, Optima Fund Management LLC (2004 - 2019).
Geoffrey Lewis	Chief Financial Officer, Optima Asset Management LLC (since 2019); Chief Financial Officer and Chief Compliance Officer, Optima Fund Management LLC (1989 - 2019).
Michael Spelman	Chief Financial Officer, Optima Asset Management LLC (since 2019);Co- Chief Investment Officer, Optima Fund Management LLC (since March 2012). Managing Director, Oppenheimer Asset Management (2009-2012), Senior Director, Optima Fund Management LLC (2005-2009).

Yehuda Spindler Managing Director - Research, Optima Asset Management LLC (since 2019); Managing Director – Research, Optima Fund Management LLC (2006 - 2019).

(a)(2)(i)-(iii) OTHER ACCOUNTS MANAGED BY THE PORTFOLIO MANAGERS:

The table below indicates for each member of the Investment Committee of the Adviser and theSub-Investment Adviser information about the other accounts over which such person hasday-to-day investment responsibility. All information on the number of accounts and total assets in the table is as of March 31, 2020. For purposes of the table, “Other Pooled Investment Vehicles” may include investment partnerships and group trusts, and “Other Accounts” may include separate accounts for institutions or individuals, insurance company general or separate accounts, pension funds and other similar institutional accounts.

The Adviser

Name	Other Accounts Managed by the Portfolio Managers
Anthony Mastrocola	Other Registered Investment Companies: None Other Pooled Investment Vehicles: None Other Accounts: None.
Terry Sylvester Charron	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: None. Other Accounts: 106 accounts with total assets of approximately $633 million
Patrick T. Crowe	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: None. Other Accounts: None.
Ridgway H. Powell	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: None. Other Accounts: None.
Andrew Tepper	Other Registered Investment Companies: None Other Pooled Investment Vehicles: None Other Accounts: None

The Adviser receives no fees based on the investment performance of any account.

TheSub-Investment Adviser

Name	Other Accounts Managed by the Portfolio Managers
Dixon Boardman	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: 14 entities with total assets of approximately $531 million. Other Accounts: 7 accounts with total assets of approximately $126 million.
Thomas Gimbel	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: 14 entities with total assets of approximately $531 million. Other Accounts: 7 accounts with total assets of approximately $126 million.
Geoffrey Lewis	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: 14 entities with total assets of approximately $531 million. Other Accounts: 7 accounts with total assets of approximately $126 million.
Michael Spelman	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: 14 entities with total assets of approximately $531 million. Other Accounts: 7 accounts with total assets of approximately $126 million.
Yehuda Spindler	Other Registered Investment Companies: None. Other Pooled Investment Vehicles: 14 entities with total assets of approximately $531 million. Other Accounts: 7 accounts with total assets of approximately $126 million.

TheSub-Investment Adviser receives a fee based upon the investment performance of:

● No Registered Investment Companies.

● 14 Other Pooled Investment Vehicles with total assets of $531 million.

● 7 Other Accounts with total assets of approximately $126 million.

(a)(2)(iv) CONFLICTS OF INTEREST:

When a portfolio manager is responsible for the management of more than one account, the potential arises for the portfolio manager to favor one account over another. The principal types of potential conflicts of interest that may arise in this context are discussed below. For the reasons outlined below, the Registrant does not believe that any material conflicts are likely to arise out of the Investment Committees’ members’ responsibility for the management of the Registrant as well as one or more other accounts. The Adviser and theSub-Investment Adviser have adopted procedures that are intended to monitor compliance with the policies referred to in the following paragraphs.

Generally, the risks of such conflicts of interests are increased to the extent that a portfolio manager has a financial incentive to favor one account over another.

A portfolio manager could favor one account over another in allocating new investment opportunities that have limited supply. For example, an Investment Fund manager may inform the Adviser orSub-Investment Adviser that the Investment Fund will accept only a specified aggregate investment from the firm, due to investment capacity constraints or other reasons. If the Adviser orSub-Investment Adviser were to allocate a disproportionate amount of the investment opportunity to one or more accounts, and the Investment Fund outperformed other investments, the accounts participating on a disproportionate basis would outperform the remaining accounts and the remaining accounts would be disadvantaged. The Adviser generally does not invest the assets of any clients other than the Registrant in the types of Investment Funds in which the Registrant will invest. Although theSub-Investment Adviser will invest assets of other clients in such Investment Funds, theSub-Investment Adviser has policies that require a portfolio manager to allocate all investment opportunities in which the Registrant might invest in an equitable manner and generally to allocate such investments proportionately among all accounts with similar investment objectives, subject to differences and exceptions resulting from consideration of the factors described below.

Conversely, a portfolio manager could favor one account over another in the amounts or the sequence in which orders to redeem interests in Investment Funds are placed. If a portfolio manager determines that a particular Investment Fund in which client accounts are invested is underperforming, its investment strategy is out of favor or the Investment Fund is otherwise no longer a desirable investment, but that Investment Funds imposes restrictions as to the amount it can or will redeem, the portfolio manager may not be able to redeem the desired amount as to each client. If the portfolio manager were to place redemption orders in disproportionate amounts for one or more clients or place certain redemption orders ahead of others (requiring others to wait until the next liquidation date), the remaining clients may be disadvantaged. When a portfolio manager, due to investment outlook, intends to redeem interests in an Investment Fund for more than one account, the policies of the Adviser and theSub-Investment Adviser generally require that such orders be placed proportionately and at the same time, again subject to differences and exceptions as described below.

In order to ensure that theSub-Investment Adviser will fairly allocate investment opportunities among its clients taking into account the legitimate needs and circumstances of each client, theSub-Investment Adviser’s Investment Policy Committee and Portfolio Committee will consider the following factors, among other things, in allocating investment opportunities among clients, which factors may indicate the need for exceptions from a strict pro rata allocation: (i) any specific client requirements for underlying liquidity; (ii) client requirements for specific asset allocation; (iii) the imposition of penalty fees associated with withdrawal from such an investment in light of anticipated client liquidity needs or events; (iv) specific client requests to invest with a particular manager or to not invest with such a manager; (v) client cash inflows and outflows and available cash balances; (vi) the time of entry of such an investment opportunity; (vii) portfolio construction constraints; (viii) materiality of position; (ix) a client’s ERISA status, if applicable, and the existence of limitations at the Investment Fund level on investments by ERISA plans; and (x) specific client requirements to hold an actual meeting with underlying managers (which may result in a delay in making the implementation of a particular investment for such a client). In instances of limited manager

capacity, theSub-Investment Adviser will allocate such investment opportunities among clients as fairly as possible within specific client constraints.

A portfolio manager might have an incentive to favor an account if the portfolio manager’s compensation is tied to the performance of that account rather than all accounts managed by the portfolio manager. If, for example, the portfolio manager receives a bonus based upon the performance of certain accounts relative to a benchmark while other accounts are disregarded for this purpose, the portfolio manager will have a financial incentive to seek to have the accounts that determine the portfolio manager’s bonus achieve the best possible performance to the possible detriment of other accounts. Similarly, if the Adviser or theSub-Investment Adviser receives a performance-based advisory fee as to one account but not another, the portfolio manager may favor the account subject to the performance fee, whether or not the performance of that account directly determines the portfolio manager’s compensation. See “Compensation of Portfolio Managers” below for a description of the structure of the compensation arrangements of the members of the Investment Committee of each firm. The Adviser charges no performance based advisory fees on any clients account. TheSub-Investment Adviser receives performance fees with respect to several accounts other than the Registrant. As noted above, however, both the Adviser and theSub-Investment Adviser have policies designed to ensure equitable treatment of accounts, regardless of performance fees.

A portfolio manager might also seek to favor an account: (i) if the portfolio manager has a beneficial interest in the account, (ii) in order to benefit a large client or (iii) to compensate a client that previously had poor returns. For example, if the portfolio manager held an interest in an investment partnership that was one of the accounts managed by the portfolio manager, the portfolio manager would have an economic incentive to favor the account in which the portfolio manager held an interest. The Adviser or theSub-Investment Adviser imposes certain trading restrictions and reporting requirements as to accounts in which a portfolio manager or certain family members have a personal interest in order to assist these firms in monitoring any such conflicts and to seek to ensure that such accounts are not favored over other accounts. In addition, both firms monitor dispersion of performance between similar accounts and seek to identify the reasons for such dispersion.

(a)(3) COMPENSATION OF PORTFOLIO MANAGERS:

The Adviser has adopted a system of compensation for portfolio managers and others involved in the investment process that is applied systematically among investment professionals and seeks to align the financial interests of the investment professionals with those of the Adviser. This is achieved, among other means, through incentive payments based in part upon their respective firm’s financial performance.

Compensation of the Adviser’s Portfolio Managers.

The Adviser has no employees of its own. All members of the Adviser’s Investment Council are employed and compensated by affiliates of The Bank of New York Mellon Corporation (“BNY Mellon”). Compensation arrangements of these investment professionals are determined on the basis of the investment professional’s overall services to the Adviser and one or more other BNY Mellon affiliated entities and not on the basis of any specific funds or accounts managed by these investment professionals. The structure of compensation of all of the members of the Adviser’s Investment Council is currently comprised of the following basic components: base salary and participation in an annual bonus plan, as well as customary benefits that are offered generally to all full-time employees of BNY Mellon affiliated investment firms. In addition, all members of the Adviser’s Investment Council may also receive options of common shares or restricted stock of common shares of BNY Mellon. The following describes each component of the compensation package of the members of the Adviser’s Investment Council:

1. Base salary. Base compensation is fixed and normally reevaluated on an annual basis. Base compensation is a significant component of an investment professional’s overall compensation. BNY Mellon affiliates seek to set compensation at competitive market rates, taking into account the experience and responsibilities of the investment professional.

2 Annual Bonus Plan.Under the annual bonus plan, investment professionals are eligible for an annual bonus, which is a function both of the size of the overall bonus pool for such year and of factors specific to each individual. The size of the overall bonus pool is determined by the financial performance of BNY Mellon overall

and the investment business of BNY Mellon’s Wealth Management division. In the case of all members of the Investment Council, the size of an individual’s participation in such bonus pool is determined by reference to: (i) the person’s base salary, and (ii) the achievement of certain previously prescribed professional goals and objectives, none having to do with the investment performance of a specific account or group of accounts. Any bonus under the plan is completely discretionary.

3. Stock Awards. Investment professionals may receive options to purchase shares of stock of BNY Mellon, the parent company of the Adviser. Such options permit the investment professional to purchase a specified amount of stock at the strike price which is the fair market value on the date of grant. The option will vest over a set period and must be exercised within aten-year period from the date of grant. Investment professionals may also receive restricted stock as part of their compensation. If granted, restricted stock normally vests ratably over a period of generally three years, although the time period could vary. In the case of either options or restricted stock, if an employee leaves before vesting, the unvested options or stock are forfeited.

Compensation of theSub-Investment Adviser’s Portfolio Managers.

TheSub-Investment Adviser’s compensation arrangements with investment professionals are determined on the basis of the investment professional’s overall services to theSub-Investment Adviser and not on the basis of specific funds or accounts managed by the investment professional. At theSub-Investment Adviser, the structure of compensation of investment professionals is currently comprised of the following basic components: base salary and an annual investment bonus plan as well as customary benefits that are offered generally to all full-time employees of theSub-Investment Adviser. The following describes each component of the compensation package for the members of theSub-Investment Adviser’s Investment Committee:

1. Base salary. Base compensation is fixed and normally reevaluated on an annual basis. TheSub-Investment Adviser considers base compensation a significant component of an investment professional’s overall compensation and seeks to set compensation at market rates, taking into account the experience and responsibilities of the investment professional.

2. Investment Bonus Plan. Under theSub-Investment Adviser’s plan, members of the Investment Committee are eligible for an annual bonus. The plan is intended to provide a competitive level of annual bonus compensation that is tied to the investment professional achieving superior investment performance and aligns the financial incentives of the adviser and the investment professional. Any bonus under the plan is completely discretionary, with a maximum annual bonus that may be in excess of base salary. While the amount of any bonus is discretionary, the following factors are generally used in determining bonuses under the plan:

(i) Investment Performance:Although no one individual employed by theSub-Investment Adviser has exclusive responsibility as to any specific account, the investment performance of all accounts as to which the Investment Committee hasday-to-day responsibility over aone-year period is considered. Thepre-tax performance of each account is measured relative to an appropriate peer group benchmark. In addition, the investment performance of any Investment Fund held by the firm on behalf of any clients as a result of such individual’s identification and recommendation of such fund is taken into account. The amount of total assets in all accounts for which the Committee hasday-to-day responsibility is also considered.

(ii) The Profitability of theSub-Investment Adviser:The profitability of all operations theSub-Investment Adviser’s parent company is also considered in determining bonus awards.

(iii) Non-Investment Performance:The more intangible contributions of an investment professional to theSub-Investment Adviser’s business, including the investment professional’s achievement of previously prescribed goals and objectives, support of sales activities, new fund/strategy idea generation, professional growth and development, and management responsibility, where applicable, are evaluated in determining the amount of any bonus award.

(a)(4) FUND OWNERSHIP BY PORTFOLIO MANAGERS:

The following table indicates as of March 31, 2019, the value, within the indicated range, of shares beneficially owned by the Adviser’s Investment Council in the Registrant. For purposes of this table, the following letters indicates the range indicated below:

A	–	$0
B	–	$1 - $10,000
C	–	$10,001 - $50,000
D	–	$50,001 - $100,000
E	–	$100,001 - $500,000
F	–	$500,001 - $1,000,000
G	–	More than $1 million

ADVISER’S PORTFOLIO       MANAGER NAME	OWNERSHIP	SUB-INVESTMENT ADVISER’S PORTFOLIO MANAGER NAME	OWNERSHIP
Anthony Mastrocola	A	Dixon Boardman	A
Terry Sylvester Charron	A	Thomas Gimbel	A
Patrick T. Crowe	A	Geoffrey Lewis	A
Ridgway H. Powell	A	Yehuda Spindler	A
Andrew Tepper	A	Michael Spelman	A

(b) Not applicable to this filing.

Item 9. Purchases of Equity Securities byClosed-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 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 7(d)(2)(ii)(G) of Schedule 14A, or this Item 10 of FormN-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 Rule30a-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 Rule30a-3(d) under the Investment Company Act of 1940 that occurred during the Registrant’s second 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) Code of Ethics required by Item  2 is attached hereto as Exhibit 12(a)(1).

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

(b) Certifications as required by Rule30a-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/ ANTHONY J. MASTROCOLA
	Anthony J. Mastrocola, President and Chief Executive Officer
	Date: June 5, 2020

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/ ANTHONY J. MASTROCOLA
	Anthony J. Mastrocola, President and Chief Executive Officer
	Date: June 5, 2020

By (Signature and Title):	/s/ JENNIFER L. CARNES
	Jennifer L. Carnes, Vice President, Treasurer and Chief Financial Officer
	Date: June 5, 2020