UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-22761
Investment Company Act file number
Stone Ridge Trust
(Exact name of registrant as specified in charter)
One Vanderbilt Avenue, 65th Floor
New York, New York 10017
(Address of principal executive offices) (Zip code)
Stone Ridge Asset Management LLC
One Vanderbilt Avenue, 65th Floor
New York, New York 10017
(Name and address of agent for service)
(855) 609-3680
Registrant’s telephone number, including area code
Date of fiscal year end: October 31, 2024
Date of reporting period: October 31, 2024
Item 1. Reports to Stockholders.
| | |
| Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| Class I | SHRIX |
| Annual Shareholder Report | October 31, 2024 |
This annual shareholder report contains important information about the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “Fund”) for the period of November 1, 2023, to October 31, 2024. You can find additional information about the Fund at https://www.stoneridgefunds.com/. You can also request this information by contacting us at 1-855-609-3680.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment(1) | Costs paid as a percentage of a $10,000 investment |
| Class I | $189 | 1.75% |
| (1) Expenses are equal to the share class’s expense ratio of 1.75%, multiplied by the average account value over the year. |
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended October 31, 2024, the Fund’s Class I shares had a total return of 15.48%. The Fund is designed to capture the reinsurance risk premium by investing in a broad set of reinsurance-related securities, primarily focused on higher-yielding catastrophe bonds.
WHAT FACTORS INFLUENCED PERFORMANCE
Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry.
The Fund’s performance is largely based on the occurrence or non-occurrence of natural or non-natural catastrophe events or other loss events around the world, which impact the performance of reinsurance-related securities. The Fund’s exposures span many different regions and types of events covered. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. Despite five landfalling hurricanes in the U.S. during the 2024 hurricane season (including major Hurricanes Helene and Milton), the combination of generationally-high premiums earned during the year and higher deductibles for reinsurance contributed to the strong performance for the Fund during the fiscal year.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $25,000,000 chart reflects a hypothetical $25,000,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, management fees and other expenses were deducted.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 1 | TSR-AR-861728400 |
CUMULATIVE PERFORMANCE (Initial Investment of $25,000,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | 10 Year |
Class I (without sales charge) | 15.48 | 7.49 | 5.41 |
ICE BofA US 3-Month Treasury Bill Total Return Index | 5.39 | 2.36 | 1.69 |
Visit https://www.stoneridgefunds.com/ for more recent performance information.
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of October 31, 2024)
| |
Net Assets | $3,311,248,942 |
Number of Holdings | 298 |
Net Advisory Fee | $42,495,160 |
Portfolio Turnover | 28.58% |
Visit https://www.stoneridgefunds.com/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of October 31, 2024)
| |
Fund Portfolio Allocation By Year of Scheduled Maturity(1) | (%) of Net Assets |
2024 | 3.7% |
2025 | 19.0% |
2026 | 25.6% |
2027 | 27.4% |
2028 | 7.1% |
2029 | 0.1% |
Not Applicable(2) | 10.4% |
Other(3) | 6.7% |
(1) Maturity dates listed for reinsurance-linked securities such as event-linked bonds and participation notes. |
(2) Preference shares do not have maturity dates. | |
(3) Cash, cash equivalents, short-term investments and other assets in excess of liabilities. | |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code shown above or visit https://www.stoneridgefunds.com/.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 2 | TSR-AR-861728400 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Stone Ridge Asset Management LLC documents not be householded, please contact Stone Ridge Asset Management LLC at 1-855-609-3680, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Stone Ridge Asset Management LLC or your financial intermediary.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 3 | TSR-AR-861728400 |
25000000262661572805745526695896286733342949603631185403318629142978621336659008423359462500000025004060250805482526132825684767263024702654349826558179267649512804269829553173
| | |
| Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| Class M | SHRMX |
| Annual Shareholder Report | October 31, 2024 |
This annual shareholder report contains important information about the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “Fund”) for the period of November 1, 2023, to October 31, 2024. You can find additional information about the Fund at https://www.stoneridgefunds.com/. You can also request this information by contacting us at 1-855-609-3680.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment(1) | Costs paid as a percentage of a $10,000 investment |
| Class M | $200 | 1.86% |
| (1) Expenses are equal to the share class’s expense ratio of 1.86%, multiplied by the average account value over the year. |
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended October 31, 2024, the Fund’s Class M shares had a total return of 15.26%. The Fund is designed to capture the reinsurance risk premium by investing in a broad set of reinsurance-related securities, primarily focused on higher-yielding catastrophe bonds.
WHAT FACTORS INFLUENCED PERFORMANCE
Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry.
The Fund’s performance is largely based on the occurrence or non-occurrence of natural or non-natural catastrophe events or other loss events around the world, which impact the performance of reinsurance-related securities. The Fund’s exposures span many different regions and types of events covered. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. Despite five landfalling hurricanes in the U.S. during the 2024 hurricane season (including major Hurricanes Helene and Milton), the combination of generationally-high premiums earned during the year and higher deductibles for reinsurance contributed to the strong performance for the Fund during the fiscal year.
HOW DID THE FUND PERFORM OVER THE PAST 10 YEARS?*
The $250,000 chart reflects a hypothetical $250,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, including 12b-1 fees, management fees and other expenses were deducted.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 1 | TSR-AR-861728509 |
CUMULATIVE PERFORMANCE (Initial Investment of $250,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | | |
| | 1 Year | 5 Year | 10 Year |
Class M (without sales charge) | 15.26 | 7.37 | 5.26 |
ICE BofA US 3-Month Treasury Bill Total Return Index | 5.39 | 2.36 | 1.69 |
Visit https://www.stoneridgefunds.com/ for more recent performance information.
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of October 31, 2024)
| |
Net Assets | $3,311,248,942 |
Number of Holdings | 298 |
Net Advisory Fee | $42,495,160 |
Portfolio Turnover | 28.58% |
Visit https://www.stoneridgefunds.com/ for more recent performance information.
WHAT DID THE FUND INVEST IN? (as of October 31, 2024)
| |
Fund Portfolio Allocation By Year of Scheduled Maturity(1) | (%) of Net Assets |
2024 | 3.7% |
2025 | 19.0% |
2026 | 25.6% |
2027 | 27.4% |
2028 | 7.1% |
2029 | 0.1% |
Not Applicable(2) | 10.4% |
Other(3) | 6.7% |
(1) Maturity dates listed for reinsurance-linked securities such as event-linked bonds and participation notes. |
(2) Preference shares do not have maturity dates. | |
(3) Cash, cash equivalents, short-term investments and other assets in excess of liabilities. | |
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code shown above or visit https://www.stoneridgefunds.com/.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 2 | TSR-AR-861728509 |
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Stone Ridge Asset Management LLC documents not be householded, please contact Stone Ridge Asset Management LLC at 1-855-609-3680, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Stone Ridge Asset Management LLC or your financial intermediary.
| Stone Ridge High Yield Reinsurance Risk Premium Fund | PAGE 3 | TSR-AR-861728509 |
500000524509559116531119569519585356618582630377588737724602835186500000500081501611505227513695526049530870531164535299560854591063
| | |
| Stone Ridge Diversified Alternatives Fund | |
| Class I | SRDAX |
| Annual Shareholder Report | October 31, 2024 |
This annual shareholder report contains important information about the Stone Ridge Diversified Alternatives Fund for the period of November 1, 2023, to October 31, 2024. You can find additional information about the Fund at https://www.stoneridgefunds.com/multi-strategy.html. You can also request this information by contacting us at 1-855-609-3680.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment(1) | Costs paid as a percentage of a $10,000 investment |
| Class I | $213 | 2.07% |
| (1) Expenses are equal to the share class’s expense ratio of 2.07%, multiplied by the average account value over the year. |
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended October 31, 2024,the Fund’s Class I shares had a total return of 5.59%. The Fund seeks to generate positive returns through exposure to a diversified set of risk premiums, including reinsurance, market risk transfer, style premium investing, alternative lending, single family real estate, and art. The reinsurance risk premium strategy seeks to generate returns by investing in insurance-linked securities that provide counterparties protection against catastrophic events such as hurricanes or other natural disasters. The market risk transfer strategy seeks to generate returns through the sale of delta-hedged call and put options that provide counterparties with protection against changes in the market price of various assets such as oil or wheat. Style premium investing seeks to generate returns by investing in assets with certain well-known risk characteristics such as value, momentum and carry that have historically rewarded investors with higher returns. The style premium strategy generally holds both long and short positions to gain exposure to the desired risk characteristics. Alternative lending seeks to generate returns by buying and selling consumer loans, small business loans and student loans originated through non-traditional lending marketplaces. Single family real estate seeks to generate returns by investing in securities related to single family rental homes. Art seeks to generate returns by investing primarily in paintings, sculptures or other artistic objects from the Post-War and Contemporary collecting periods (1945-present) as well as other collecting periods.
WHAT FACTORS INFLUENCED PERFORMANCE
As discussed above, during the fiscal year ending October 31, 2024, the reinsurance strategy was the largest positive contributor to fund returns. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. The alternative lending and single family real estate strategies were also positive contributors.
The style premia strategy was a negative contributor to Fund returns, with the commodity value and FX value styles the largest negative contributors to returns, while the commodity momentum style provided some positive offset. The market risk transfer strategy was also a modest negative contributor to Fund returns. The art strategy was not materially impactful to fund returns in the fiscal year.
During the fiscal year ending October 31, 2024, the reinsurance strategy was the largest positive contributor to fund returns. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. Despite five landfalling hurricanes in the U.S. during the 2024 hurricane season (including major Hurricanes Helene and Milton), the combination of generationally-high premiums earned during the year and higher deductibles for reinsurance contributed to the strong performance for the Diversified Alternatives Fund during the fiscal year. The alternative lending strategy was a positive contributor to returns as inflation moderated and the benefit of
| Stone Ridge Diversified Alternatives Fund | PAGE 1 | TSR-AR-861728624 |
tightened credit standards on newly originated loans was realized, resulting in delinquency rates that were in line with or lower than expectations. Single family real estate was a positive contributor to fund returns as macro-economic factors such as moderating inflation and a stable unemployment rate provided support for continued payment of single family rents.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $500,000 chart reflects a hypothetical $500,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $500,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(04/30/2020) |
Class I (without sales charge) | 5.59 | 9.52 |
ICE BofA US 3-Month Treasury Bill Total Return Index | 5.39 | 2.43 |
Visit https://www.stoneridgefunds.com/multi-strategy.html for more recent performance information.
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of October 31, 2024)
| |
Net Assets | $1,422,994,713 |
Number of Holdings | 8,569 |
Net Advisory Fee | $17,276,332 |
Portfolio Turnover | 35.60% |
Visit https://www.stoneridgefunds.com/multi-strategy.html for more recent performance information.
| Stone Ridge Diversified Alternatives Fund | PAGE 2 | TSR-AR-861728624 |
WHAT DID THE FUND INVEST IN? (as of October 31, 2024)
| |
Asset Type | (%) of Net Assets |
Asset-Backed Securities | 8.3% |
Event Linked Bonds | 25.7% |
Investment Companies | 5.6% |
Participation Notes | 2.8% |
Preference Shares | 4.0% |
Purchased Options | 0.7% |
Short-Term Investments | 40.8% |
Whole Loans- Consumer Loans | 3.4% |
Whole Loans- Small Business Loans | 0.6% |
Whole Loans- Student Loans | 0.0% |
Other(1) | 8.1% |
(1) Cash, cash equivalents, short-term investments and other assets in excess of liabilities. | |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.stoneridgefunds.com/multi-strategy.html.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Stone Ridge Asset Management LLC documents not be householded, please contact Stone Ridge Asset Management LLC at 1-855-609-3680, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Stone Ridge Asset Management LLC or your financial intermediary.
| Stone Ridge Diversified Alternatives Fund | PAGE 3 | TSR-AR-861728624 |
521500576722567464713939753240500321500598504495528580557051
| | |
| Stone Ridge Diversified Alternatives Fund | |
| Class J | SRDBX |
| Annual Shareholder Report | October 31, 2024 |
This annual shareholder report contains important information about the Stone Ridge Diversified Alternatives Fund for the period of November 1, 2023, to October 31, 2024. You can find additional information about the Fund at https://www.stoneridgefunds.com/multi-strategy.html. You can also request this information by contacting us at 1-855-609-3680.
WHAT WERE THE FUND COSTS FOR THE PAST YEAR? (based on a hypothetical $10,000 investment)
| | |
Class Name | Costs of a $10,000 investment(1) | Costs paid as a percentage of a $10,000 investment |
| Class J | $243 | 2.37% |
| (1) Expenses are equal to the share class’s expense ratio of 2.37%, multiplied by the average account value over the year. |
HOW DID THE FUND PERFORM LAST YEAR AND WHAT AFFECTED ITS PERFORMANCE?
For the 12-month period ended October 31, 2024,the Fund’s Class J shares had a total return of 5.16%. The Fund seeks to generate positive returns through exposure to a diversified set of risk premiums, including reinsurance, market risk transfer, style premium investing, alternative lending, single family real estate, and art. The reinsurance risk premium strategy seeks to generate returns by investing in insurance-linked securities that provide counterparties protection against catastrophic events such as hurricanes or other natural disasters. The market risk transfer strategy seeks to generate returns through the sale of delta-hedged call and put options that provide counterparties with protection against changes in the market price of various assets such as oil or wheat. Style premium investing seeks to generate returns by investing in assets with certain well-known risk characteristics such as value, momentum and carry that have historically rewarded investors with higher returns. The style premium strategy generally holds both long and short positions to gain exposure to the desired risk characteristics. Alternative lending seeks to generate returns by buying and selling consumer loans, small business loans and student loans originated through non-traditional lending marketplaces. Single family real estate seeks to generate returns by investing in securities related to single family rental homes. Art seeks to generate returns by investing primarily in paintings, sculptures or other artistic objects from the Post-War and Contemporary collecting periods (1945-present) as well as other collecting periods.
WHAT FACTORS INFLUENCED PERFORMANCE
As discussed above, during the fiscal year ending October 31, 2024, the reinsurance strategy was the largest positive contributor to fund returns. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. The alternative lending and single family real estate strategies were also positive contributors.
The style premia strategy was a negative contributor to Fund returns, with the commodity value and FX value styles the largest negative contributors to returns, while the commodity momentum style provided some positive offset. The market risk transfer strategy was also a modest negative contributor to Fund returns. The art strategy was not materially impactful to fund returns in the fiscal year.
During the fiscal year ending October 31, 2024, the reinsurance strategy was the largest positive contributor to fund returns. Positive performance was a function of two concurrent market dynamics: a substantial rise in reinsurance premiums as a result of losses experienced from Hurricane Ian in 2022 as well as a supply-demand imbalance for capital in the reinsurance industry. Despite five landfalling hurricanes in the U.S. during the 2024 hurricane season (including major Hurricanes Helene and Milton), the combination of generationally-high premiums earned during the year and higher deductibles for reinsurance contributed to the strong performance for the Diversified Alternatives Fund during the fiscal year. The alternative lending strategy was a positive contributor to returns as inflation moderated and the benefit of
| Stone Ridge Diversified Alternatives Fund | PAGE 1 | TSR-AR-861728616 |
tightened credit standards on newly originated loans was realized, resulting in delinquency rates that were in line with or lower than expectations. Single family real estate was a positive contributor to fund returns as macro-economic factors such as moderating inflation and a stable unemployment rate provided support for continued payment of single family rents.
HOW DID THE FUND PERFORM SINCE INCEPTION?*
The $500,000 chart reflects a hypothetical $500,000 investment in the class of shares noted and assumes the maximum sales charge. The chart uses total return NAV performance and assumes reinvestment of dividends and capital gains. Fund expenses, intermediary fees, management fees and other expenses were deducted.
CUMULATIVE PERFORMANCE (Initial Investment of $500,000)
ANNUAL AVERAGE TOTAL RETURN (%)
| | |
| | 1 Year | Since Inception
(04/30/2020) |
Class J (without sales charge) | 5.16 | 9.22 |
ICE BofA US 3-Month Treasury Bill Total Return Index | 5.39 | 2.43 |
Visit https://www.stoneridgefunds.com/multi-strategy.html for more recent performance information.
| * | The Fund’s past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
KEY FUND STATISTICS (as of October 31, 2024)
| |
Net Assets | $1,422,994,713 |
Number of Holdings | 8,569 |
Net Advisory Fee | $17,276,332 |
Portfolio Turnover | 35.60% |
Visit https://www.stoneridgefunds.com/multi-strategy.html for more recent performance information.
| Stone Ridge Diversified Alternatives Fund | PAGE 2 | TSR-AR-861728616 |
WHAT DID THE FUND INVEST IN? (as of October 31, 2024)
| |
Asset Type | (%) of Net Assets |
Asset-Backed Securities | 8.3% |
Event Linked Bonds | 25.7% |
Investment Companies | 5.6% |
Participation Notes | 2.8% |
Preference Shares | 4.0% |
Purchased Options | 0.7% |
Short-Term Investments | 40.8% |
Whole Loans- Consumer Loans | 3.4% |
Whole Loans- Small Business Loans | 0.6% |
Whole Loans- Student Loans | 0.0% |
Other(1) | 8.1% |
(1) Cash, cash equivalents, short-term investments and other assets in excess of liabilities. | |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit https://www.stoneridgefunds.com/multi-strategy.html.
HOUSEHOLDING
To reduce Fund expenses, only one copy of most shareholder documents may be mailed to shareholders with multiple accounts at the same address (Householding). If you would prefer that your Stone Ridge Asset Management LLC documents not be householded, please contact Stone Ridge Asset Management LLC at 1-855-609-3680, or contact your financial intermediary. Your instructions will typically be effective within 30 days of receipt by Stone Ridge Asset Management LLC or your financial intermediary.
| Stone Ridge Diversified Alternatives Fund | PAGE 3 | TSR-AR-861728616 |
521000574377563461706672743805500321500598504495528580557051
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any substantive amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that there is at least one audit committee financial expert serving on its audit committee. Jeffery Ekberg is the “audit committee financial expert” and is considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) - (d) The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for audit fees, audit-related fees, tax fees and all other fees by the principal accountant. “Audit fees” includes amounts related to an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit- related fees” covers the assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s annual financial statements and are not covered under “audit fees,” including review of the Fund’s prospectus. “Tax fees” covers the professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning, including review of the Funds’ tax returns, asset diversification and income testing, excise taxes, and fiscal year end income calculations. “All other fees” covers the aggregate fees for products and services provided by the principal accountant, other than the services reported in the foregoing three categories.
| | FYE 10/31/2024 | FYE 10/31/2023 |
| Audit Fees | $326,310 | $300,770 |
| Audit-Related Fees | $68,400 | $50,100 |
| Tax Fees | $91,025 | $101,100* |
| All Other Fees | $0 | $0 |
* $19,500 consists of fees related to Stone Ridge U.S. Hedged Equity Fund, which was liquidated on March 27, 2023.
(e)(1) To the extent required by applicable law, pre-approval by the audit committee is needed for all audit and permissible non-audit services rendered to the registrant and all permissible non-audit services rendered to Stone Ridge Asset Management LLC (the “Adviser”) or to various entities either controlling, controlled by, or under common control with the Adviser that
provide ongoing services to the registrant if the services relate directly to the operations and financial reporting of the registrant. Pre-approval is currently on an engagement-by-engagement basis.
(e)(2) The percentage of fees billed by Ernst & Young, LLP applicable to non-audit services that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits waiver of pre-approval, if certain conditions are satisfied) were as follows:
| | FYE 10/31/2024 | FYE 10/31/2023 |
| Audit-Related Fees | 0% | 0% |
| Tax Fees | 0% | 0% |
| All Other Fees | 0% | 0% |
(f) All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant.
(g) The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant for the last two fiscal years of the registrant.
| Non-Audit Related Fees | FYE 10/31/2024 | FYE 10/31/2023 |
| Registrant | $91,025 | $101,100* |
| Registrant’s Investment Adviser | $206,495 | $253,160 |
* $19,500 consists of fees related to Stone Ridge U.S. Hedged Equity Fund, which was liquidated on March 27, 2023.
(h) The audit committee of the board of trustees has considered whether the provision of any non-audit services that were rendered to the registrant’s investment adviser and any entity controlling, controlled by, or under common control with the registrant’s investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
| (a) | Schedule of Investments is included as part of the report to shareholders filed under Item 7 of this Form N-CSR. |
Item 7. Financial Statements and Financial Highlights for Open-End Investment Companies.
Annual Report
October 31, 2024
Stone Ridge High Yield Reinsurance Risk Premium Fund
Stone Ridge Diversified Alternatives Fund
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | EVENT LINKED BONDS - 80.9% (a) |
| | Chile - 0.8%
| | | | | | |
| | Earthquake - 0.8%
| | | | | | |
| | IBRD CAR 131, 9.62% (SOFR + 4.79%), 03/31/2026 (Acquired 03/17/2023 - 02/29/2024; Cost $25,944,621) (b)(c)(d) | | | $ 25,833,000 | | | $26,196,767 |
| | Europe - 1.9%
| | | | | | |
| | Earthquake - 0.2%
| | | | | | |
| | Azzurro Re II DAC 2024-1 Class A, 9.72% (3 Month EURIBOR + 6.50%), 04/20/2028 (Acquired 03/21/2024; Cost $8,067,440) (b)(c)(d) | | | EUR 7,431,000 | | | 8,086,443 |
| | Multiperil - 0.5%
| | | | | | |
| | King Max Re DAC, 8.18% (3 Month EURIBOR + 5.00%), 01/06/2027 (Acquired 12/08/2023; Cost $7,971,841) (b)(c)(d) | | | 7,406,000 | | | 7,969,870 |
| | Lion III Re DAC 2021-1, 7.31% (3 Month EURIBOR + 4.13%), 07/16/2025 (Acquired 06/30/2023 - 07/27/2023; Cost $5,959,695) (b)(c)(d) | | | 5,493,000 | | | 5,884,694 |
| | Taranis Re DAC 2023-1 Class A, 11.39% (3 Month EURIBOR + 8.25%), 01/21/2028 (Acquired 11/29/2023; Cost $2,616,072) (b)(c)(d) | | | 2,384,000 | | | 2,599,685 |
| | | | | | | | 16,454,249 |
| | Terrorism - 0.3%
| | | | | | |
| | Baltic PCC 2022-1 Class A, 10.03% (3 Month U.S. Treasury Bill Money Market Yield + 5.49%), 03/07/2025 (Acquired 03/02/2022 - 02/26/2024; Cost $8,675,278) (b)(c)(d) | | | GBP 6,761,000 | | | 8,632,367 |
| | Windstorm - 0.9%
| | | | | | |
| | Blue Sky Re DAC 2023-1, 8.82% (3 Month EURIBOR + 5.75%), 01/26/2027 (Acquired 12/11/2023;
Cost $3,664,234) (b)(c)(d) | | | EUR 3,404,000 | | | 3,781,275 |
| | Eiffel Re 2023-1 Class A, 6.54% (3 Month EURIBOR + 3.33%), 01/19/2027 (Acquired 06/22/2023;
Cost $9,708,312) (b)(c)(d) | | | 8,860,000 | | | 9,485,837 |
| | Hexagon III Re Pte. Class B, 14.09% (3 Month EURIBOR + 11.04%), 01/15/2026 (Acquired 11/23/2021; Cost $2,250,098) (b)(c)(d)(e) | | | 2,000,000 | | | 1,468,461 |
| | Hexagon IV Re 2023-1 Class A, 11.72% (3 Month EURIBOR + 8.50%), 01/21/2028 (Acquired 11/07/2023; Cost $7,148,892) (b)(c)(d) | | | 6,684,000 | | | 7,226,842 |
| | Hexagon IV Re 2023-1 Class B, 19.72% (3 Month EURIBOR + 16.50%), 01/21/2026 (Acquired 11/07/2023; Cost $1,871,718) (b)(c)(d) | | | 1,750,000 | | | 1,884,671 |
| | Orange Capital Re 2023-1 Class A, 10.75% (3 Month EURIBOR + 7.50%), 01/08/2027 (Acquired 11/17/2023; Cost $2,134,785) (b)(c)(d) | | | 1,957,000 | | | 2,097,453 |
| | Quercus Re DAC, 11.67% (3 Month EURIBOR + 8.00%), 07/08/2027 (Acquired 07/15/2024; Cost $2,926,239) (b)(c)(d) | | | 2,685,000 | | | 2,880,821 |
| | | | | | | | 28,825,360 |
| | | | | | | | 61,998,419 |
| | Global- 7.1%
| | | | | | |
| | Cyber - 1.6%
| | | | | | |
| | East Lane Re VII 2024-1 Class A, 13.79% (3 Month U.S. Treasury Bill Money Market Yield + 9.25%), 03/31/2026 (Acquired 12/20/2023; Cost $6,031,000) (b)(c)(d) | | | $6,031,000 | | | 6,040,143 |
| | Long Walk Re 2024-1 Class A, 14.27% (3 Month U.S. Treasury Bill Money Market Yield + 9.75%), 01/30/2026 (Acquired 11/13/2023; Cost $3,158,000) (b)(c)(d) | | | 3,158,000 | | | 3,206,228 |
| | Matterhorn Re SR2023-1 Class CYB-A, 16.54% (3 Month U.S. Treasury Bill Money Market Yield + 12.00%), 01/08/2026 (Acquired 12/22/2023; Cost $14,530,000) (b)(c)(d) | | | 14,530,000 | | | 14,630,867 |
| | PoleStar Re 2024-1 Class A, 17.54% (3 Month U.S. Treasury Bill Money Market Yield + 13.00%), 01/07/2026 (Acquired 12/13/2023; Cost $9,603,000) (b)(c)(d) | | | 9,603,000 | | | 9,697,498 |
| | PoleStar Re 2024-3 Class A, 15.04% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 01/07/2028 (Acquired 09/19/2024; Cost $19,507,000) (b)(c)(d) | | | 19,507,000 | | | 19,475,740 |
| | | | | | | | 53,050,476 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 1 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Earthquake - 0.2%
| | | | | | |
| | Ashera Re 2024-1 Class A, 9.54% (3 Month U.S. Treasury Bill Money Market Yield + 5.00%), 04/07/2027 (Acquired 03/21/2024; Cost $5,986,000) (b)(c)(d) | | | $5,986,000 | | | $6,050,436 |
| | Multiperil - 4.9%
| | | | | | |
| | 3264 Re 2022-1 Class A, 23.52% (3 Month U.S. Treasury Bill Money Market Yield + 19.00%), 01/08/2025 (Acquired 12/16/2021; Cost $7,957,000) (b)(c)(d)(e) | | | 7,957,000 | | | 5,220,985 |
| | Aragonite Re 2024-1 Class A, 9.79% (3 Month U.S. Treasury Bill Money Market Yield + 5.25%), 04/07/2027 (Acquired 03/25/2024; Cost $7,442,000) (b)(c)(d) | | | 7,442,000 | | | 7,589,876 |
| | Atlas Capital 2022 DAC 2022-1 Class A, 14.79% (SOFR + 9.83%), 06/06/2025 (Acquired 05/24/2022; Cost $16,012,000) (b)(c)(d) | | | 16,012,000 | | | 16,366,618 |
| | Atlas Capital DAC 2023-1 Class A, 12.67% (SOFR + 7.72%), 06/05/2026 (Acquired 07/06/2023;
Cost $1,006,503) (b)(c)(d) | | | 1,000,000 | | | 1,023,508 |
| | Claveau Re 2021-1 Class A, 21.77% (3 Month U.S. Treasury Bill Money Market Yield + 17.25%), 07/08/2025 (Acquired 07/01/2021; Cost $6,556,010) (b)(c)(d) | | | 6,556,010 | | | 4,752,124 |
| | Herbie Re 2021-1 Class A, 22.82% (3 Month U.S. Treasury Bill Money Market Yield + 18.30%), 06/06/2025 (Acquired 05/19/2021; Cost $4,409,462) (b)(c)(d) | | | 4,409,462 | | | 3,902,374 |
| | Kendall Re 2024-1 Class A, 10.79% (3 Month U.S. Treasury Bill Money Market Yield + 6.25%), 04/30/2027 (Acquired 04/22/2024; Cost $11,957,000) (b)(c)(d) | | | 11,957,000 | | | 12,365,535 |
| | Kilimanjaro III Re 2021-1 Class A-1, 16.88% (3 Month U.S. Treasury Bill Money Market Yield + 12.36%), 04/21/2025 (Acquired 04/08/2021 - 05/19/2021; Cost $7,295,672) (b)(c)(d) | | | 7,294,000 | | | 7,362,604 |
| | Kilimanjaro III Re 2021-1 Class B-1, 9.38% (3 Month U.S. Treasury Bill Money Market Yield + 4.86%), 04/21/2025 (Acquired 04/08/2021; Cost $2,500,000) (b)(c)(d) | | | 2,500,000 | | | 2,508,211 |
| | Kilimanjaro III Re 2021-1 Class C-1, 9.08% (3 Month U.S. Treasury Bill Money Market Yield + 4.56%), 04/21/2025 (Acquired 04/08/2021 - 04/29/2022; Cost $5,516,509) (b)(c)(d) | | | 5,526,000 | | | 5,545,173 |
| | Kilimanjaro III Re 2021-2 Class A-2, 16.88% (3 Month U.S. Treasury Bill Money Market Yield + 12.36%), 04/20/2026 (Acquired 04/08/2021; Cost $5,968,000) (b)(c)(d) | | | 5,968,000 | | | 6,007,636 |
| | Kilimanjaro III Re 2021-2 Class B-2, 9.38% (3 Month U.S. Treasury Bill Money Market Yield + 4.86%), 04/20/2026 (Acquired 04/08/2021; Cost $2,652,000) (b)(c)(d) | | | 2,652,000 | | | 2,646,570 |
| | Kilimanjaro III Re 2021-2 Class C-2, 9.08% (3 Month U.S. Treasury Bill Money Market Yield + 4.56%), 04/20/2026 (Acquired 04/08/2021; Cost $2,431,000) (b)(c)(d) | | | 2,431,000 | | | 2,427,288 |
| | Kilimanjaro III Re 2022-1 Class A, 10.37% (3 Month U.S. Treasury Bill Money Market Yield + 5.85%), 06/25/2025 (Acquired 06/15/2022; Cost $7,515,000) (b)(c)(d) | | | 7,515,000 | | | 7,680,360 |
| | Matterhorn Re Argon 2022-1 Class A, 12.10% (SOFR + 7.25%), 01/25/2027 (Acquired 03/31/2022;
Cost $1,000,000) (b)(c)(d)(f) | | | 1,000,000 | | | 999,520 |
| | Matterhorn Re SR2020-2 Class A, 1.50% (3 Month U.S. Treasury Bill Money Market Yield + 1.50%), 01/08/2027 (Acquired 01/29/2020 - 09/21/2022; Cost $4,183,368) (b)(c)(d)(e)(f) | | | 4,183,481 | | | 3,346,784 |
| | Matterhorn Re SR2021-1 Class A, 10.67% (SOFR + 5.75%), 12/08/2025 (Acquired 12/15/2021 - 08/07/2024; Cost $13,094,274) (b)(c)(d) | | | 13,451,000 | | | 13,100,171 |
| | Matterhorn Re SR2022-1 Class A, 10.11% (SOFR + 5.25%), 03/24/2025 (Acquired 03/10/2022;
Cost $3,536,000) (b)(c)(d) | | | 3,536,000 | | | 3,535,996 |
| | Matterhorn Re SR2022-1 Class B, 12.61% (SOFR + 7.75%), 03/24/2025 (Acquired 03/10/2022;
Cost $3,536,000) (b)(c)(d) | | | 3,536,000 | | | 3,604,952 |
| | Montoya Re 2022-1 Class A, 11.62% (3 Month U.S. Treasury Bill Money Market Yield + 7.10%), 04/07/2025 (Acquired 03/23/2022 - 09/16/2022; Cost $8,549,739) (b)(c)(d) | | | 8,553,000 | | | 8,650,573 |
| | Northshore Re II 2022-1 Class A, 12.52% (3 Month U.S. Treasury Bill Money Market Yield + 8.00%), 07/08/2025 (Acquired 06/22/2022 - 05/02/2024; Cost $12,708,145) (b)(c)(d) | | | 12,582,000 | | | 12,927,961 |
| | Sakura Re 2021-1 Class A, 6.93% (3 Month U.S. Treasury Bill Money Market Yield + 2.41%), 04/07/2025 (Acquired 03/24/2021 - 09/05/2024; Cost $15,047,524) (b)(c)(d) | | | 15,080,000 | | | 15,133,051 |
| | Sakura Re 2021-1 Class B, 8.16% (3 Month U.S. Treasury Bill Money Market Yield + 3.64%), 04/07/2025 (Acquired 03/24/2021 - 06/23/2023; Cost $11,644,612) (b)(c)(d)(f) | | | 11,656,000 | | | 11,654,426 |
| | Wrigley Re 2023-1 Class A, 11.02% (3 Month U.S. Treasury Bill Money Market Yield + 6.50%), 08/07/2026 (Acquired 07/14/2023 - 03/20/2024; Cost $5,619,853) (b)(c)(d) | | | 5,603,000 | | | 5,757,066 |
| | | | | | | | 164,109,362 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
2 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Windstorm - 0.4%
| | | | | | |
| | Queen Street 2023 Re DAC, 12.02% (3 Month U.S. Treasury Bill Money Market Yield + 7.50%), 12/08/2025 (Acquired 05/12/2023 - 04/08/2024; Cost $13,316,495) (b)(c)(d) | | | $13,246,000 | | | $13,596,417 |
| | | | | | | | 236,806,691 |
| | Jamaica - 0.7%
| | | | | | |
| | Windstorm - 0.7%
| | | | | | |
| | IBRD CAR 136, 12.02% (SOFR + 7.19%), 12/29/2027 (Acquired 04/25/2024; Cost $24,768,000) (b)(c)(d) | | | 24,768,000 | | | 24,309,990 |
| | Japan - 2.5%
| | | | | | |
| | Earthquake - 1.4%
| | | | | | |
| | Kizuna Re III 2024-1 Class A, 7.29% (3 Month U.S. Treasury Bill Money Market Yield + 2.75%), 04/09/2029 (Acquired 03/13/2024; Cost $3,081,000) (b)(c)(d) | | | 3,081,000 | | | 3,104,180 |
| | Nakama Re 2020-1 Class 1, 6.72% (3 Month U.S. Treasury Bill Money Market Yield + 2.20%), 01/14/2025 (Acquired 02/04/2020 - 08/17/2023; Cost $2,128,527) (b)(c)(d)(f) | | | 2,129,000 | | | 2,124,027 |
| | Nakama Re 2023-1 Class 2, 8.40% (3 Month Term SOFR + 4.00%), 05/09/2028 (Acquired 04/14/2023; Cost $6,781,000) (b)(c)(d) | | | 6,781,000 | | | 6,907,042 |
| | Nakama Re Pte. 2021-1 Class 1, 6.57% (3 Month U.S. Treasury Bill Money Market Yield + 2.05%), 10/13/2026 (Acquired 09/22/2021 - 02/08/2024; Cost $23,750,566) (b)(c)(d)(f) | | | 23,778,000 | | | 23,702,612 |
| | Nakama Re Pte. 2021-1 Class 2, 7.27% (3 Month U.S. Treasury Bill Money Market Yield + 2.75%), 10/13/2026 (Acquired 09/22/2021 - 01/26/2024; Cost $10,142,097) (b)(c)(d)(f) | | | 10,155,000 | | | 10,104,448 |
| | | | | | | | 45,942,309 |
| | Multiperil - 0.9%
| | | | | | |
| | Tomoni Re Pte 2022-1 Class A-1, 6.61% (3 Month U.S. Treasury Bill Money Market Yield + 2.09%), 04/07/2026 (Acquired 07/24/2024 - 07/25/2024; Cost $4,680,365) (b)(c)(d) | | | 4,678,000 | | | 4,693,639 |
| | Tomoni Re Pte 2022-1 Class B-1, 7.27% (3 Month U.S. Treasury Bill Money Market Yield + 2.75%), 04/07/2026 (Acquired 03/28/2022 - 06/05/2023; Cost $2,989,633) (b)(c)(d) | | | 3,000,000 | | | 2,999,037 |
| | Tomoni Re Pte 2024-1 Class A, 7.79% (3 Month U.S. Treasury Bill Money Market Yield + 3.25%), 04/05/2028 (Acquired 03/25/2024; Cost $8,062,000) (b)(c)(d) | | | 8,062,000 | | | 8,076,229 |
| | Tomoni Re Pte 2024-1 Class B, 8.54% (3 Month U.S. Treasury Bill Money Market Yield + 4.00%), 04/05/2028 (Acquired 03/25/2024; Cost $10,129,000) (b)(c)(d) | | | 10,129,000 | | | 10,244,101 |
| | Umigame Re 2021-1
Class A-1, 6.77% (3 Month U.S. Treasury Bill Money Market Yield + 2.25%), 04/07/2025 (Acquired 06/18/2021 - 07/11/2023; Cost $2,570,354) (b)(c)(d) | | | 2,575,000 | | | 2,580,740 |
| | Umigame Re 2021-1
Class A-2, 7.02% (3 Month U.S. Treasury Bill Money Market Yield + 2.50%), 04/07/2025 (Acquired 06/18/2021; Cost $1,000,000) (b)(c)(d) | | | 1,000,000 | | | 1,003,395 |
| | Umigame Re 2021-1 Class B, 9.27% (3 Month U.S. Treasury Bill Money Market Yield + 4.75%), 04/07/2025 (Acquired 06/18/2021; Cost $750,000) (b)(c)(d) | | | 750,000 | | | 759,090 |
| | | | | | | | 30,356,231 |
| | Typhoon - 0.2%
| | | | | | |
| | Black Kite Re 2022-1 Class A, 11.34% (3 Month U.S. Treasury Bill Money Market Yield + 6.82%), 06/09/2025 (Acquired 05/27/2022; Cost $4,863,000) (b)(c)(d) | | | 4,863,000 | | | 4,991,779 |
| | | | | | | | 81,290,319 |
| | Mexico - 1.6%
| | | | | | |
| | Earthquake - 0.9%
| | | | | | |
| | IBRD CAR 132 Class A, 9.05% (SOFR + 4.22%), 04/24/2028 (Acquired 04/03/2024; Cost $21,820,000) (b)(c)(d) | | | 21,820,000 | | | 22,067,243 |
| | IBRD CAR 133 Class B, 16.05% (SOFR + 11.22%), 04/24/2028 (Acquired 04/03/2024; Cost $7,616,000) (b)(c)(d) | | | 7,616,000 | | | 7,636,045 |
| | | | | | | | 29,703,288 |
| | Windstorm - 0.7%
| | | | | | |
| | IBRD CAR 134 Class C, 18.55% (SOFR + 13.72%), 04/24/2028 (Acquired 04/03/2024; Cost $16,468,000) (b)(c)(d) | | | 16,468,000 | | | 17,299,494 |
| | IBRD CAR 135 Class D, 17.05% (SOFR + 12.22%), 04/24/2028 (Acquired 05/01/2024; Cost $7,236,000) (b)(c)(d) | | | 7,236,000 | | | 7,519,369 |
| | | | | | | | 24,818,863 |
| | | | | | | | 54,522,151 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 3 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | New Zealand - 0.3%
| | | | | | |
| | Multiperil - 0.3%
| | | | | | |
| | Totara Re Pte. 2023-1, 13.39%, 06/08/2027 (Acquired 05/24/2023; Cost $10,502,765) (b)(c)(d) | | | NZD 17,205,000 | | | $10,521,239 |
| | United States - 65.9%
| | | | | | |
| | Earthquake - 12.0%
| | | | | | |
| | Acorn Re 2021-1 Class A, 7.02% (3 Month U.S. Treasury Bill Money Market Yield + 2.50%), 11/07/2024 (Acquired 10/25/2021 - 05/28/2024; Cost $38,301,609) (b)(c)(d) | | | $ 38,311,000 | | | 38,250,756 |
| | Acorn Re 2023-1 Class A, 8.87% (3 Month U.S. Treasury Bill Money Market Yield + 4.35%), 11/06/2026 (Acquired 06/22/2023 - 09/12/2023; Cost $11,062,438) (b)(c)(d)(f) | | | 11,053,000 | | | 11,294,884 |
| | Acorn Re 2024-1 Class A, 7.64% (3 Month U.S. Treasury Bill Money Market Yield + 3.10%), 11/05/2027 (Acquired 10/25/2024; Cost $12,524,000) (b)(c)(d) | | | 12,524,000 | | | 12,523,361 |
| | Acorn Re 2024-1 Class B, 7.64% (3 Month U.S. Treasury Bill Money Market Yield + 3.10%), 11/07/2025 (Acquired 10/25/2024; Cost $13,140,000) (b)(c)(d) | | | 13,140,000 | | | 13,139,330 |
| | Herbie Re 2022-1 Class A, 18.02% (3 Month U.S. Treasury Bill Money Market Yield + 13.50%), 01/08/2027 (Acquired 11/18/2022; Cost $2,306,000) (b)(c)(d) | | | 2,306,000 | | | 2,528,641 |
| | Logistics Re 2021-1 Class A, 8.39% (3 Month U.S. Treasury Bill Money Market Yield + 3.88%), 12/20/2024 (Acquired 12/10/2021 - 05/16/2023; Cost $4,255,092) (b)(c)(d) | | | 4,257,000 | | | 4,248,622 |
| | Logistics Re 2024-1 Class A, 10.54% (3 Month U.S. Treasury Bill Money Market Yield + 6.00%), 12/21/2027 (Acquired 10/22/2024; Cost $1,750,000) (b)(c)(d) | | | 1,750,000 | | | 1,749,899 |
| | Merna Re II 2022-1 Class A, 8.37% (3 Month U.S. Treasury Bill Money Market Yield + 3.85%), 04/07/2025 (Acquired 03/25/2022 - 01/19/2024; Cost $22,514,607) (b)(c)(d)(f) | | | 22,511,000 | | | 22,705,754 |
| | Phoenician Re 2021-1 Class A, 7.42% (3 Month U.S. Treasury Bill Money Market Yield + 2.90%), 12/14/2024 (Acquired 12/01/2021 - 08/08/2024; Cost $12,243,518) (b)(c)(d) | | | 12,257,000 | | | 12,238,241 |
| | Sutter Re 2023-1 Class B, 11.27% (3 Month U.S. Treasury Bill Money Market Yield + 6.75%), 06/19/2026 (Acquired 06/06/2023 - 05/03/2024; Cost $18,665,472) (b)(c)(d) | | | 18,627,000 | | | 19,235,088 |
| | Sutter Re 2023-1 Class E, 14.27% (3 Month U.S. Treasury Bill Money Market Yield + 9.75%), 06/19/2026 (Acquired 06/06/2023 - 09/26/2023; Cost $18,052,885) (b)(c)(d) | | | 18,034,000 | | | 18,803,538 |
| | Torrey Pines Re 2022-1 Class A, 10.12% (3 Month U.S. Treasury Bill Money Market Yield + 5.60%), 06/06/2025 (Acquired 05/10/2022 - 08/31/2023; Cost $19,856,203) (b)(c)(d)(f) | | | 19,855,000 | | | 19,982,012 |
| | Torrey Pines Re 2022-1 Class B, 13.13% (3 Month U.S. Treasury Bill Money Market Yield + 8.61%), 06/06/2025 (Acquired 05/10/2022; Cost $11,378,000) (b)(c)(d) | | | 11,378,000 | | | 11,467,334 |
| | Torrey Pines Re 2023-1 Class A, 9.73% (3 Month U.S. Treasury Bill Money Market Yield + 5.22%), 06/05/2026 (Acquired 05/18/2023; Cost $8,738,000) (b)(c)(d) | | | 8,738,000 | | | 8,920,371 |
| | Torrey Pines Re 2024-1 Class A, 10.54% (3 Month U.S. Treasury Bill Money Market Yield + 6.00%), 06/07/2027 (Acquired 05/17/2024; Cost $23,461,000) (b)(c)(d) | | | 23,461,000 | | | 24,360,835 |
| | Torrey Pines Re 2024-1 Class B, 11.79% (3 Month U.S. Treasury Bill Money Market Yield + 7.25%), 06/07/2027 (Acquired 05/17/2024; Cost $15,920,000) (b)(c)(d) | | | 15,920,000 | | | 16,411,044 |
| | Torrey Pines Re 2024-1 Class C, 13.54% (3 Month U.S. Treasury Bill Money Market Yield + 9.00%), 06/05/2026 (Acquired 05/17/2024; Cost $7,541,000) (b)(c)(d) | | | 7,541,000 | | | 7,753,664 |
| | Ursa Re 2023-1 Class AA, 10.02% (3 Month U.S. Treasury Bill Money Market Yield + 5.50%), 12/06/2025 (Acquired 04/12/2023; Cost $4,722,000) (b)(c)(d) | | | 4,722,000 | | | 4,813,637 |
| | Ursa Re 2023-1 Class C, 12.77% (3 Month U.S. Treasury Bill Money Market Yield + 8.25%), 12/06/2025 (Acquired 04/12/2023 - 02/05/2024; Cost $4,565,107) (b)(c)(d) | | | 4,543,000 | | | 4,670,227 |
| | Ursa Re 2023-2 Class E, 13.77% (3 Month U.S. Treasury Bill Money Market Yield + 9.25%), 12/07/2026 (Acquired 10/10/2023; Cost $22,015,000) (b)(c)(d) | | | 22,015,000 | | | 22,991,046 |
| | Ursa Re 2023-3 Class AA, 10.04% (3 Month U.S. Treasury Bill Money Market Yield + 5.50%), 12/07/2026 (Acquired 12/01/2023 - 01/19/2024; Cost $22,446,066) (b)(c)(d) | | | 22,436,000 | | | 23,237,145 |
| | Ursa Re 2023-3 Class D, 13.29% (3 Month U.S. Treasury Bill Money Market Yield + 8.75%), 12/07/2026 (Acquired 12/01/2023 - 05/17/2024; Cost $27,073,285) (b)(c)(d) | | | 26,987,000 | | | 28,374,051 |
| | Ursa Re II 2021-1 Class F, 11.15% (3 Month U.S. Treasury Bill Money Market Yield + 6.63%), 12/06/2024 (Acquired 02/25/2021; Cost $8,620,000) (b)(c)(d) | | | 8,620,000 | | | 8,611,893 |
| | Ursa Re II 2022-1 Class A, 9.52% (3 Month U.S. Treasury Bill Money Market Yield + 5.00%), 06/16/2025 (Acquired 05/27/2022 - 10/19/2023; Cost $14,738,922) (b)(c)(d) | | | 14,749,000 | | | 14,840,621 |
| | Ursa Re II 2022-1 Class E, 12.27% (3 Month U.S. Treasury Bill Money Market Yield + 7.75%), 06/16/2025 (Acquired 05/27/2022; Cost $3,094,000) (b)(c)(d)(f) | | | 3,094,000 | | | 3,111,292 |
| | Ursa Re II 2022-2 Class AA, 11.52% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 12/06/2025 (Acquired 12/08/2022; Cost $2,419,000) (b)(c)(d) | | | 2,419,000 | | | 2,503,596 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
4 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Earthquake - 12.0% (continued)
|
| | Ursa Re II 2022-2 Class C, 14.77% (3 Month U.S. Treasury Bill Money Market Yield + 10.25%), 12/06/2025 (Acquired 12/08/2022 - 09/05/2023; Cost $4,430,219) (b)(c)(d) | | | $4,363,000 | | | $4,574,837 |
| | Veraison Re 2023-1 Class A, 11.43% (3 Month U.S. Treasury Bill Money Market Yield + 6.91%), 03/09/2026 (Acquired 12/14/2022; Cost $4,854,000) (b)(c)(d) | | | 4,854,000 | | | 5,056,426 |
| | Veraison Re 2023-1 Class B, 17.05% (3 Month U.S. Treasury Bill Money Market Yield + 12.53%), 03/09/2026 (Acquired 12/14/2022 - 10/26/2023; Cost $7,997,381) (b)(c)(d) | | | 7,885,000 | | | 8,441,362 |
| | Veraison Re 2024-1 Class A, 9.29% (3 Month U.S. Treasury Bill Money Market Yield + 4.75%), 03/08/2027 (Acquired 01/30/2024; Cost $8,449,000) (b)(c)(d) | | | 8,449,000 | | | 8,624,367 |
| | Wrigley Re 2023-1 Class B, 11.52% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 08/07/2026 (Acquired 07/14/2023 - 09/05/2023; Cost $12,813,413) (b)(c)(d) | | | 12,803,000 | | | 13,368,310 |
| | | | | | | | 398,832,184 |
| | Fire - 0.3%
| | | | | | |
| | SD Re 2021-1 Class A, 13.27% (3 Month U.S. Treasury Bill Money Market Yield + 8.75%), 11/19/2024 (Acquired 10/18/2021; Cost $2,431,000) (b)(c)(d) | | | 2,431,000 | | | 2,426,451 |
| | SD Re 2021-1 Class B, 13.77% (3 Month U.S. Treasury Bill Money Market Yield + 9.25%), 11/19/2024 (Acquired 10/18/2021; Cost $6,852,000) (b)(c)(d) | | | 6,852,000 | | | 6,838,909 |
| | | | | | | | 9,265,360 |
| | Flood - 3.1%
| | | | | | |
| | FloodSmart Re 2022-1 Class A, 16.35% (3 Month U.S. Treasury Bill Money Market Yield + 11.83%), 02/25/2025 (Acquired 02/14/2022; Cost $18,541,000) (b)(c)(d)(f) | | | 18,541,000 | | | 18,968,852 |
| | FloodSmart Re 2022-1 Class B, 18.85% (3 Month U.S. Treasury Bill Money Market Yield + 14.33%), 02/25/2025 (Acquired 02/14/2022 - 10/24/2023; Cost $9,021,981) (b)(c)(d)(f) | | | 9,033,000 | | | 8,129,659 |
| | FloodSmart Re 2022-1 Class C, 22.85% (3 Month U.S. Treasury Bill Money Market Yield + 18.33%), 02/25/2025 (Acquired 02/14/2022; Cost $1,750,000) (b)(c)(d) | | | 1,750,000 | | | 1,487,500 |
| | FloodSmart Re 2023-1 Class A, 21.67% (3 Month U.S. Treasury Bill Money Market Yield + 17.15%), 03/11/2026 (Acquired 02/24/2023; Cost $14,327,000) (b)(c)(d) | | | 14,327,000 | | | 14,690,920 |
| | FloodSmart Re 2023-1 Class B, 26.92% (3 Month U.S. Treasury Bill Money Market Yield + 22.40%), 03/11/2026 (Acquired 02/24/2023; Cost $3,536,000) (b)(c)(d) | | | 3,536,000 | | | 3,093,998 |
| | FloodSmart Re 2024-1 Class A, 18.54% (3 Month U.S. Treasury Bill Money Market Yield + 14.00%), 03/12/2027 (Acquired 02/29/2024 - 07/16/2024; Cost $44,105,692) (b)(c)(d) | | | 44,113,000 | | | 45,493,737 |
| | FloodSmart Re 2024-1 Class B, 21.79% (3 Month U.S. Treasury Bill Money Market Yield + 17.25%), 03/12/2027 (Acquired 02/29/2024 - 07/17/2024; Cost $11,145,049) (b)(c)(d) | | | 11,168,000 | | | 11,303,686 |
| | | | | | | | 103,168,352 |
| | Mortality/Longevity/Disease - 1.5%
| | | | | | |
| | Vita Capital VI 2021-1 Class B, 7.98% (SOFR + 3.12%), 01/08/2026 (Acquired 07/02/2021 - 02/22/2023; Cost $9,408,955) (b)(c)(d)(e) | | | 9,482,000 | | | 1 |
| | Vitality Re XII 2021 Class A, 6.77% (3 Month U.S. Treasury Bill Money Market Yield + 2.25%), 01/07/2025 (Acquired 01/29/2021 - 03/20/2024; Cost $14,604,434) (b)(c)(d) | | | 14,608,000 | | | 14,607,240 |
| | Vitality Re XII 2021 Class B, 7.27% (3 Month U.S. Treasury Bill Money Market Yield + 2.75%), 01/07/2025 (Acquired 01/29/2021 - 03/14/2024; Cost $8,706,732) (b)(c)(d) | | | 8,715,000 | | | 8,700,446 |
| | Vitality Re XIII 2022 Class A, 6.52% (3 Month U.S. Treasury Bill Money Market Yield + 2.00%), 01/06/2026 (Acquired 01/04/2023; Cost $3,794,848) (b)(c)(d) | | | 3,880,000 | | | 3,857,795 |
| | Vitality Re XIII 2022 Class B, 7.27% (3 Month U.S. Treasury Bill Money Market Yield + 2.75%), 01/06/2026 (Acquired 09/27/2023 - 03/14/2024; Cost $5,579,104) (b)(c)(d) | | | 5,635,000 | | | 5,591,484 |
| | Vitality Re XIV 2023 Class A, 8.02% (3 Month U.S. Treasury Bill Money Market Yield + 3.50%), 01/05/2027 (Acquired 03/07/2024 - 03/14/2024; Cost $7,522,896) (b)(c)(d) | | | 7,417,000 | | | 7,515,312 |
| | Vitality Re XIV 2023 Class B, 9.02% (3 Month U.S. Treasury Bill Money Market Yield + 4.50%), 01/05/2027 (Acquired 01/25/2023; Cost $2,416,000) (b)(c)(d) | | | 2,416,000 | | | 2,437,773 |
| | Vitality Re XV 2024 Class A, 7.04% (3 Month U.S. Treasury Bill Money Market Yield + 2.50%), 01/07/2028 (Acquired 01/22/2024; Cost $3,822,000) (b)(c)(d)(f) | | | 3,822,000 | | | 3,819,586 |
| | Vitality Re XV 2024 Class B, 8.04% (3 Month U.S. Treasury Bill Money Market Yield + 3.50%), 01/07/2028 (Acquired 01/22/2024; Cost $2,615,000) (b)(c)(d)(f) | | | 2,615,000 | | | 2,615,416 |
| | | | | | | | 49,145,053 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 5 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Multiperil - 20.8%
| | | | | | |
| | Aquila Re I 2023-1 Class A-1, 10.17% (3 Month U.S. Treasury Bill Money Market Yield + 5.65%), 06/08/2026 (Acquired 05/10/2023 - 09/11/2023; Cost $3,495,309) (b)(c)(d) | | | $3,485,000 | | | $3,605,919 |
| | Aquila Re I 2023-1 Class B-1, 12.79% (3 Month U.S. Treasury Bill Money Market Yield + 8.27%), 06/08/2026 (Acquired 05/10/2023; Cost $8,077,000) (b)(c)(d) | | | 8,077,000 | | | 8,520,431 |
| | Aquila Re I 2023-1 Class C-1, 13.70% (3 Month U.S. Treasury Bill Money Market Yield + 9.18%), 06/08/2026 (Acquired 05/10/2023 - 10/30/2024; Cost $11,647,132) (b)(c)(d) | | | 11,472,000 | | | 12,223,416 |
| | Aquila Re I 2024-1 Class A-1, 10.04% (3 Month U.S. Treasury Bill Money Market Yield + 5.50%), 06/07/2027 (Acquired 04/26/2024; Cost $5,778,000) (b)(c)(d) | | | 5,778,000 | | | 5,904,896 |
| | Aquila Re I 2024-1 Class B-1, 13.54% (3 Month U.S. Treasury Bill Money Market Yield + 9.00%), 06/07/2027 (Acquired 04/26/2024; Cost $3,508,000) (b)(c)(d) | | | 3,508,000 | | | 3,667,642 |
| | Baldwin Re 2021-1 Class A, 6.56% (3 Month U.S. Treasury Bill Money Market Yield + 2.04%), 07/07/2025 (Acquired 09/05/2023 - 02/06/2024; Cost $14,257,178) (b)(c)(d) | | | 14,346,000 | | | 14,326,812 |
| | Baldwin Re 2023-1 Class A, 9.02% (3 Month U.S. Treasury Bill Money Market Yield + 4.50%), 07/07/2027 (Acquired 06/21/2023; Cost $3,631,000) (b)(c)(d) | | | 3,631,000 | | | 3,717,269 |
| | Blue Halo Re 2022-1 Class A, 14.27% (3 Month U.S. Treasury Bill Money Market Yield + 9.75%), 02/24/2025 (Acquired 02/11/2022 - 08/29/2024; Cost $4,454,280) (b)(c)(d) | | | 4,583,000 | | | 4,590,095 |
| | Blue Halo Re 2022-1 Class B, 19.79% (3 Month U.S. Treasury Bill Money Market Yield + 15.25%), 02/24/2025 (Acquired 02/11/2022 - 02/14/2024; Cost $6,572,419) (b)(c)(d) | | | 6,552,000 | | | 6,158,877 |
| | Bonanza Re 2023-2 Class A, 4.54% (3 Month U.S. Treasury Bill Money Market Yield + 0.00%), 01/08/2025 (Acquired 12/19/2023; Cost $4,203,877) (b)(c)(d) | | | 4,406,000 | | | 3,629,498 |
| | Bowline Re 2022-1 Class A, 10.87% (3 Month U.S. Treasury Bill Money Market Yield + 6.35%), 05/23/2025 (Acquired 05/12/2022; Cost $2,652,000) (b)(c)(d)(f) | | | 2,652,000 | | | 2,694,432 |
| | Bowline Re 2022-1 Class B, 20.71% (3 Month U.S. Treasury Bill Money Market Yield + 16.19%), 05/23/2025 (Acquired 05/12/2022; Cost $2,431,000) (b)(c)(d) | | | 2,431,000 | | | 2,490,549 |
| | Bowline Re 2022-1 Class C, 12.27% (3 Month U.S. Treasury Bill Money Market Yield + 7.75%), 05/23/2025 (Acquired 05/12/2022; Cost $2,500,000) (b)(c)(d) | | | 2,500,000 | | | 2,527,350 |
| | Caelus Re 2018-1 Class A, 5.02% (3 Month U.S. Treasury Bill Money Market Yield + 0.50%), 06/09/2025 (Acquired 05/04/2018; Cost $2,319,000) (b)(c)(d) | | | 2,319,000 | | | 1,832,010 |
| | Caelus Re 2018-1 Class B, 4.62% (3 Month U.S. Treasury Bill Money Market Yield + 0.10%), 06/09/2025 (Acquired 05/04/2018 - 07/26/2018; Cost $1,902,959) (b)(c)(d)(e) | | | 1,905,000 | | | 4,858 |
| | Finca Re 2022-1 Class A, 12.78% (3 Month U.S. Treasury Bill Money Market Yield + 8.26%), 06/06/2025 (Acquired 06/28/2022; Cost $3,094,000) (b)(c)(d) | | | 3,094,000 | | | 3,184,035 |
| | Foundation Re 2023-1 Class A, 10.79% (3 Month U.S. Treasury Bill Money Market Yield + 6.25%), 01/08/2027 (Acquired 12/19/2023; Cost $10,253,000) (b)(c)(d) | | | 10,253,000 | | | 10,550,675 |
| | Four Lakes Re 2021-1 Class A, 8.91% (3 Month U.S. Treasury Bill Money Market Yield + 4.39%), 01/07/2025 (Acquired 12/15/2021 - 10/11/2023; Cost $4,183,470) (b)(c)(d) | | | 4,194,000 | | | 4,197,250 |
| | Four Lakes Re 2022-1 Class A, 10.98% (3 Month U.S. Treasury Bill Money Market Yield + 6.46%), 01/07/2026 (Acquired 12/22/2022; Cost $1,313,000) (b)(c)(d) | | | 1,313,000 | | | 1,346,333 |
| | Four Lakes Re 2023-1 Class A, 10.29% (3 Month U.S. Treasury Bill Money Market Yield + 5.75%), 01/07/2027 (Acquired 12/08/2023; Cost $3,003,000) (b)(c)(d) | | | 3,003,000 | | | 3,061,312 |
| | Fuchsia 2023-1 Class A, 14.54% (3 Month U.S. Treasury Bill Money Market Yield + 10.00%), 04/06/2027 (Acquired 12/14/2023; Cost $7,799,000) (b)(c)(d) | | | 7,799,000 | | | 8,140,861 |
| | Galileo Re 2023-1 Class A, 11.54% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 01/07/2028 (Acquired 12/04/2023; Cost $12,112,000) (b)(c)(d) | | | 12,112,000 | | | 12,543,000 |
| | Galileo Re 2023-1 Class B, 11.54% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 01/08/2026 (Acquired 12/04/2023; Cost $3,773,000) (b)(c)(d) | | | 3,773,000 | | | 3,849,843 |
| | Herbie Re 2020-2 Class A, 11.25% (3 Month U.S. Treasury Bill Money Market Yield + 6.73%), 01/08/2025 (Acquired 10/19/2020 - 04/08/2024; Cost $6,234,626) (b)(c)(d) | | | 6,246,000 | | | 6,253,936 |
| | Herbie Re 2020-2 Class B, 14.24% (3 Month U.S. Treasury Bill Money Market Yield + 9.72%), 01/08/2025 (Acquired 10/19/2020 - 03/31/2022; Cost $3,541,461) (b)(c)(d) | | | 3,536,000 | | | 3,560,073 |
| | Herbie Re 2020-2 Class C, 20.37% (3 Month U.S. Treasury Bill Money Market Yield + 15.85%), 01/08/2026 (Acquired 10/19/2020 - 05/05/2021; Cost $933,360) (b)(c)(d)(e) | | | 933,284 | | | 559,970 |
| | High Point Re 2023-1 Class A, 10.29% (3 Month U.S. Treasury Bill Money Market Yield + 5.75%), 01/06/2027 (Acquired 12/01/2023; Cost $23,828,000) (b)(c)(d) | | | 23,828,000 | | | 24,383,967 |
| | Hypatia Ltd. 2023-1 Class A, 15.02% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 04/08/2026 (Acquired 03/27/2023; Cost $2,761,000) (b)(c)(d) | | | 2,761,000 | | | 2,887,545 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
6 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Multiperil - 20.8% (continued)
|
| | Kilimanjaro III Re 2019-2 Class A-2, 21.18% (3 Month U.S. Treasury Bill Money Market Yield + 16.66%), 12/19/2024 (Acquired 12/09/2019 - 07/17/2020; Cost $8,562,382) (b)(c)(d) | | | $8,574,787 | | | $7,876,799 |
| | Kilimanjaro III Re 2019-2 Class B-2, 14.43% (3 Month U.S. Treasury Bill Money Market Yield + 9.91%), 12/19/2024 (Acquired 12/09/2019; Cost $8,178,000) (b)(c)(d) | | | 8,178,000 | | | 8,173,911 |
| | Locke Tavern Re 2023-1 Class A, 9.30% (3 Month U.S. Treasury Bill Money Market Yield + 4.78%), 04/09/2026 (Acquired 03/23/2023 - 10/23/2023; Cost $12,699,229) (b)(c)(d) | | | 12,633,000 | | | 12,960,599 |
| | Long Point Re IV 2022-1 Class A, 8.77% (3 Month U.S. Treasury Bill Money Market Yield + 4.25%), 06/01/2026 (Acquired 05/13/2022 - 07/16/2024; Cost $31,970,191) (b)(c)(d) | | | 31,973,000 | | | 32,531,584 |
| | Merna Re II 2022-2 Class A, 12.01% (3 Month U.S. Treasury Bill Money Market Yield + 7.49%), 07/07/2025 (Acquired 06/07/2022; Cost $6,631,000) (b)(c)(d) | | | 6,631,000 | | | 6,708,238 |
| | Merna Re II 2023-1 Class A, 12.27% (3 Month U.S. Treasury Bill Money Market Yield + 7.75%), 07/07/2026 (Acquired 04/05/2023; Cost $7,899,000) (b)(c)(d) | | | 7,899,000 | | | 8,301,434 |
| | Merna Re II 2023-2 Class A, 14.77% (3 Month U.S. Treasury Bill Money Market Yield + 10.25%), 07/07/2026 (Acquired 04/05/2023 - 06/03/2024; Cost $11,056,107) (b)(c)(d) | | | 11,036,000 | | | 11,700,091 |
| | Merna Re II 2024-1 Class A, 11.79% (3 Month U.S. Treasury Bill Money Market Yield + 7.25%), 07/07/2027 (Acquired 05/08/2024; Cost $16,602,000) (b)(c)(d) | | | 16,602,000 | | | 17,346,143 |
| | Merna Re II 2024-2 Class A, 13.29% (3 Month U.S. Treasury Bill Money Market Yield + 8.75%), 07/07/2027 (Acquired 05/08/2024; Cost $21,168,000) (b)(c)(d) | | | 21,168,000 | | | 21,618,878 |
| | Merna Re II 2024-3 Class A, 13.04% (3 Month U.S. Treasury Bill Money Market Yield + 8.50%), 07/07/2027 (Acquired 05/08/2024; Cost $35,280,000) (b)(c)(d) | | | 35,280,000 | | | 37,094,733 |
| | Mona Lisa Re 2021-1 Class A, 11.52% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 07/08/2025 (Acquired 06/22/2021 - 02/18/2022; Cost $10,750,690) (b)(c)(d)(f) | | | 10,745,000 | | | 10,904,569 |
| | Montoya Re 2022-2 Class A, 18.30% (3 Month U.S. Treasury Bill Money Market Yield + 13.78%), 04/07/2026 (Acquired 12/08/2022; Cost $1,319,000) (b)(c)(d) | | | 1,319,000 | | | 1,430,703 |
| | Mountain Re 2023-1 Class A, 11.34% (3 Month U.S. Treasury Bill Money Market Yield + 6.82%), 06/05/2026 (Acquired 05/24/2023 - 03/05/2024; Cost $7,878,498) (b)(c)(d) | | | 7,804,000 | | | 8,103,510 |
| | Mystic Re IV 2021-2 Class A, 10.62% (3 Month U.S. Treasury Bill Money Market Yield + 6.10%), 01/08/2025 (Acquired 06/09/2021 - 08/29/2024; Cost $15,187,186) (b)(c)(d) | | | 15,195,000 | | | 15,258,439 |
| | Mystic Re IV 2021-2 Class B, 16.21% (3 Month U.S. Treasury Bill Money Market Yield + 11.69%), 01/08/2025 (Acquired 06/09/2021; Cost $2,250,000) (b)(c)(d) | | | 2,250,000 | | | 2,271,884 |
| | Mystic Re IV 2023-1 Class A, 13.69% (3 Month U.S. Treasury Bill Money Market Yield + 9.17%), 01/08/2026 (Acquired 12/16/2022 - 06/12/2024; Cost $12,215,450) (b)(c)(d) | | | 12,098,000 | | | 12,572,133 |
| | Puerto Rico Parametric Re 2024-1 Class A, 9.00% (3 Month U.S. Treasury Bill Money Market Yield + 9.00%), 06/07/2027 (Acquired 06/14/2024; Cost $3,132,000) (b)(c)(d) | | | 3,132,000 | | | 3,263,921 |
| | Residential Re 2019-I Class 12, 4.62% (3 Month U.S. Treasury Bill Money Market Yield + 0.10%), 06/06/2026 (Acquired 05/08/2019; Cost $183,217) (b)(c)(d)(e) | | | 183,217 | | | 104,480 |
| | Residential Re 2020-II Class 3, 12.65% (3 Month U.S. Treasury Bill Money Market Yield + 8.13%), 12/06/2024 (Acquired 10/30/2020; Cost $914,000) (b)(c)(d) | | | 914,000 | | | 909,553 |
| | Residential Re 2020-II Class 4, 10.81% (3 Month U.S. Treasury Bill Money Market Yield + 6.29%), 12/06/2024 (Acquired 10/30/2020 - 02/24/2021; Cost $4,407,117) (b)(c)(d) | | | 4,404,000 | | | 4,385,019 |
| | Residential Re 2021-I Class 11, 14.45% (3 Month U.S. Treasury Bill Money Market Yield + 9.93%), 06/06/2025 (Acquired 05/06/2021 - 03/31/2022; Cost $8,423,664) (b)(c)(d) | | | 8,427,000 | | | 7,182,446 |
| | Residential Re 2021-I Class 12, 10.03% (3 Month U.S. Treasury Bill Money Market Yield + 5.51%), 06/06/2025 (Acquired 05/06/2021 - 07/17/2023; Cost $9,408,246) (b)(c)(d) | | | 9,621,000 | | | 9,483,473 |
| | Residential Re 2021-I Class 13, 8.40% (3 Month U.S. Treasury Bill Money Market Yield + 3.88%), 06/06/2025 (Acquired 05/06/2021 - 02/09/2022; Cost $5,305,925) (b)(c)(d) | | | 5,305,000 | | | 5,317,037 |
| | Residential Re 2021-I Class 14, 7.23% (3 Month U.S. Treasury Bill Money Market Yield + 2.71%), 06/06/2025 (Acquired 05/06/2021 - 03/31/2022; Cost $6,849,394) (b)(c)(d) | | | 6,852,000 | | | 6,832,194 |
| | Residential Re 2022-I Class 11, 17.03% (3 Month U.S. Treasury Bill Money Market Yield + 12.51%), 06/06/2026 (Acquired 05/02/2022; Cost $3,094,000) (b)(c)(d) | | | 3,094,000 | | | 2,762,286 |
| | Residential Re 2022-I Class 12, 12.31% (3 Month U.S. Treasury Bill Money Market Yield + 7.79%), 06/06/2026 (Acquired 05/02/2022; Cost $4,421,000) (b)(c)(d) | | | 4,421,000 | | | 4,075,214 |
| | Residential Re 2022-I Class 13, 10.06% (3 Month U.S. Treasury Bill Money Market Yield + 5.54%), 06/06/2026 (Acquired 05/02/2022 - 03/05/2024; Cost $11,549,432) (b)(c)(d) | | | 11,613,000 | | | 11,301,383 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 7 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Multiperil - 20.8% (continued)
|
| | Residential Re 2022-I Class 14, 8.73% (3 Month U.S. Treasury Bill Money Market Yield + 4.21%), 06/06/2026 (Acquired 05/02/2022; Cost $12,642,000) (b)(c)(d) | | | $12,642,000 | | | $12,451,921 |
| | Residential Re 2023-I Class 13, 15.68% (3 Month U.S. Treasury Bill Money Market Yield + 11.16%), 06/06/2027 (Acquired 04/28/2023; Cost $13,644,000) (b)(c)(d) | | | 13,644,000 | | | 13,522,159 |
| | Residential Re 2023-I Class 14, 11.05% (3 Month U.S. Treasury Bill Money Market Yield + 6.53%), 06/06/2027 (Acquired 04/28/2023 - 09/22/2023; Cost $24,484,420) (b)(c)(d) | | | 24,536,000 | | | 24,471,826 |
| | Residential Re 2023-II Class 2, 4.52% (3 Month U.S. Treasury Bill Money Market Yield + 0.00%), 12/06/2024 (Acquired 11/07/2023; Cost $2,128,501) (b)(c)(d) | | | 2,162,000 | | | 2,134,399 |
| | Residential Re 2023-II Class 3, 12.94% (3 Month U.S. Treasury Bill Money Market Yield + 8.42%), 12/06/2027 (Acquired 11/07/2023; Cost $7,078,000) (b)(c)(d) | | | 7,078,000 | | | 7,166,932 |
| | Residential Re 2023-II Class 5, 10.44% (3 Month U.S. Treasury Bill Money Market Yield + 5.92%), 12/06/2027 (Acquired 11/07/2023; Cost $16,515,000) (b)(c)(d) | | | 16,515,000 | | | 16,973,613 |
| | Residential Re 2024-I Class 14, 10.29% (3 Month U.S. Treasury Bill Money Market Yield + 5.75%), 06/06/2028 (Acquired 04/25/2024; Cost $5,160,000) (b)(c)(d) | | | 5,160,000 | | | 5,167,990 |
| | Riverfront Re 2021 Class A, 9.02% (3 Month U.S. Treasury Bill Money Market Yield + 4.50%), 01/07/2025 (Acquired 05/21/2021 - 07/13/2023; Cost $10,895,037) (b)(c)(d) | | | 10,902,000 | | | 10,873,698 |
| | Riverfront Re 2021 Class B, 11.79% (3 Month U.S. Treasury Bill Money Market Yield + 7.27%), 01/07/2025 (Acquired 05/21/2021; Cost $2,431,000) (b)(c)(d) | | | 2,431,000 | | | 2,427,813 |
| | Sakura Re 2022-1 Class A, 18.02% (3 Month U.S. Treasury Bill Money Market Yield + 13.50%), 01/05/2026 (Acquired 12/22/2022; Cost $5,224,000) (b)(c)(d) | | | 5,224,000 | | | 5,533,423 |
| | Sanders Re II 2021-1 Class A, 7.77% (3 Month U.S. Treasury Bill Money Market Yield + 3.25%), 04/07/2025 (Acquired 05/24/2021 - 10/26/2023; Cost $14,012,400) (b)(c)(d) | | | 14,115,000 | | | 14,127,344 |
| | Sanders Re II 2021-2 Class A, 7.52% (3 Month U.S. Treasury Bill Money Market Yield + 3.00%), 04/07/2025 (Acquired 11/23/2021 - 10/26/2023; Cost $7,714,297) (b)(c)(d) | | | 7,770,000 | | | 7,789,425 |
| | Sanders Re II 2021-2 Class B, 17.69% (3 Month U.S. Treasury Bill Money Market Yield + 13.17%), 04/07/2025 (Acquired 11/23/2021; Cost $1,500,000) (b)(c)(d) | | | 1,500,000 | | | 1,370,759 |
| | Sanders Re III 2022-1 Class A, 7.93% (3 Month U.S. Treasury Bill Money Market Yield + 3.41%), 04/07/2026 (Acquired 03/22/2022 - 10/02/2023; Cost $18,108,763) (b)(c)(d) | | | 18,425,000 | | | 18,328,453 |
| | Sanders Re III 2022-1 Class B, 15.12% (3 Month U.S. Treasury Bill Money Market Yield + 10.60%), 04/07/2026 (Acquired 03/22/2022; Cost $6,189,000) (b)(c)(d) | | | 6,189,000 | | | 5,861,828 |
| | Sanders Re III 2022-2 Class A, 10.97% (3 Month U.S. Treasury Bill Money Market Yield + 6.45%), 06/07/2025 (Acquired 05/26/2022 - 03/21/2024; Cost $10,167,828) (b)(c)(d) | | | 10,138,000 | | | 10,388,145 |
| | Sanders Re III 2022-2 Class B, 12.98% (3 Month U.S. Treasury Bill Money Market Yield + 8.46%), 06/07/2025 (Acquired 05/26/2022 - 03/28/2024; Cost $10,347,518) (b)(c)(d) | | | 10,301,000 | | | 10,543,068 |
| | Sanders Re III 2022-3 Class A, 10.79% (3 Month U.S. Treasury Bill Money Market Yield + 6.27%), 04/07/2027 (Acquired 12/01/2022; Cost $4,607,000) (b)(c)(d) | | | 4,607,000 | | | 4,798,082 |
| | Sanders Re III 2023-1 Class A, 10.07% (3 Month U.S. Treasury Bill Money Market Yield + 5.55%), 04/07/2027 (Acquired 03/24/2023; Cost $3,162,000) (b)(c)(d) | | | 3,162,000 | | | 3,238,283 |
| | Sanders Re III 2023-1 Class B, 15.50% (3 Month U.S. Treasury Bill Money Market Yield + 15.50%), 04/07/2027 (Acquired 03/24/2023; Cost $3,954,000) (b)(c)(d) | | | 3,954,000 | | | 3,810,155 |
| | Sanders Re III 2023-2 Class A, 12.66% (3 Month U.S. Treasury Bill Money Market Yield + 8.14%), 06/05/2026 (Acquired 05/24/2023; Cost $16,799,000) (b)(c)(d) | | | 16,799,000 | | | 17,853,398 |
| | Sanders Re III 2024-1 Class A, 10.29% (3 Month U.S. Treasury Bill Money Market Yield + 5.75%), 04/07/2028 (Acquired 01/16/2024; Cost $16,873,000) (b)(c)(d) | | | 16,873,000 | | | 17,465,166 |
| | Solomon Re 2023-1 Class A, 10.04% (3 Month U.S. Treasury Bill Money Market Yield + 5.52%), 06/08/2026 (Acquired 06/12/2023 - 08/16/2023; Cost $4,731,294) (b)(c)(d) | | | 4,719,000 | | | 4,849,334 |
| | Stabilitas Re 2023-1 Class A, 13.01% (3 Month U.S. Treasury Bill Money Market Yield + 8.49%), 06/05/2026 (Acquired 06/07/2023; Cost $1,500,000) (b)(c)(d) | | | 1,500,000 | | | 1,545,959 |
| | Sussex Capital UK PCC 2020-1, 12.88% (3 Month U.S. Treasury Bill Money Market Yield + 8.36%), 01/08/2025 (Acquired 12/07/2020 - 10/25/2024; Cost $13,975,808) (b)(c)(d) | | | 13,962,000 | | | 14,023,105 |
| | Titania Re 2021-2 Class A, 11.10% (3 Month U.S. Treasury Bill Money Market Yield + 6.58%), 12/27/2024 (Acquired 12/08/2021; Cost $3,979,000) (b)(c)(d) | | | 3,979,000 | | | 3,983,468 |
| | Topanga Re 2021-1 Class A, 9.57% (3 Month U.S. Treasury Bill Money Market Yield + 5.05%), 01/08/2026 (Acquired 12/08/2021; Cost $6,189,000) (b)(c)(d) | | | 6,189,000 | | | 6,154,499 |
| | Topanga Re 2021-1 Class B, 10.50% (3 Month U.S. Treasury Bill Money Market Yield + 5.96%), 01/04/2028 (Acquired 12/08/2021; Cost $2,652,000) (b)(c)(d) | | | 2,652,000 | | | 2,081,820 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
8 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Multiperil - 20.8% (continued)
|
| | Vista Re 2022-1 Class A, 19.01% (3 Month U.S. Treasury Bill Money Market Yield + 14.49%), 05/21/2025 (Acquired 04/21/2022; Cost $3,979,000) (b)(c)(d) | | | $3,979,000 | | | $4,077,287 |
| | Yosemite Re 2022-1 Class A, 15.11% (3 Month U.S. Treasury Bill Money Market Yield + 10.60%), 06/06/2025 (Acquired 05/31/2022; Cost $4,421,000) (b)(c)(d) | | | 4,421,000 | | | 4,560,262 |
| | | | | | | | 688,457,122 |
| | Windstorm - 28.2%
| | | | | | |
| | 3264 Re 2024-1 Class A, 11.54% (3 Month U.S. Treasury Bill Money Market Yield + 7.00%), 07/08/2027 (Acquired 06/24/2024; Cost $1,750,000) (b)(c)(d) | | | 1,750,000 | | | 1,846,577 |
| | 3264 Re 2024-1 Class B, 22.54% (3 Month U.S. Treasury Bill Money Market Yield + 18.00%), 07/08/2027 (Acquired 06/24/2024; Cost $3,133,000) (b)(c)(d) | | | 3,133,000 | | | 3,417,437 |
| | Alamo Re 2022-1 Class A, 12.04% (3 Month U.S. Treasury Bill Money Market Yield + 7.52%), 06/07/2025 (Acquired 05/23/2022 - 07/30/2024; Cost $17,588,099) (b)(c)(d) | | | 17,598,000 | | | 17,951,025 |
| | Alamo Re 2023-1 Class A, 12.91% (3 Month U.S. Treasury Bill Money Market Yield + 8.39%), 06/07/2026 (Acquired 04/12/2023 - 07/30/2024; Cost $19,353,793) (b)(c)(d)(f) | | | 19,352,000 | | | 20,162,017 |
| | Alamo Re 2024-1 Class A, 6.00% (3 Month U.S. Treasury Bill Money Market Yield + 1.46%), 06/07/2027 (Acquired 04/04/2024 - 08/07/2024; Cost $44,274,535) (b)(c)(d) | | | 44,250,000 | | | 46,226,780 |
| | Alamo Re 2024-1 Class B, 12.29% (3 Month U.S. Treasury Bill Money Market Yield + 7.75%), 06/07/2027 (Acquired 04/04/2024; Cost $56,072,000) (b)(c)(d) | | | 56,072,000 | | | 58,290,292 |
| | Alamo Re 2024-1 Class C, 15.79% (3 Month U.S. Treasury Bill Money Market Yield + 11.25%), 06/07/2026 (Acquired 04/04/2024; Cost $45,353,000) (b)(c)(d) | | | 45,353,000 | | | 47,925,377 |
| | Armor Re II 2024-1 Class A, 14.79% (3 Month U.S. Treasury Bill Money Market Yield + 10.25%), 05/07/2027 (Acquired 04/11/2024; Cost $16,231,000) (b)(c)(d) | | | 16,231,000 | | | 16,934,849 |
| | Astro Re 2021-1 Class A, 13.27% (3 Month U.S. Treasury Bill Money Market Yield + 8.75%), 07/08/2025 (Acquired 07/06/2021; Cost $3,183,000) (b)(c)(d)(e) | | | 3,183,000 | | | 1,114,050 |
| | Bayou Re 2023-1 Class A, 17.43% (3 Month U.S. Treasury Bill Money Market Yield + 12.91%), 05/26/2026 (Acquired 05/11/2023; Cost $5,665,000) (b)(c)(d) | | | 5,665,000 | | | 6,065,235 |
| | Bayou Re 2023-1 Class B, 24.22% (3 Month U.S. Treasury Bill Money Market Yield + 19.70%), 05/26/2026 (Acquired 05/11/2023; Cost $8,678,000) (b)(c)(d) | | | 8,678,000 | | | 9,632,033 |
| | Bayou Re 2024-1 Class A, 13.04% (3 Month U.S. Treasury Bill Money Market Yield + 8.50%), 04/30/2027 (Acquired 04/18/2024; Cost $14,875,000) (b)(c)(d) | | | 14,875,000 | | | 15,596,185 |
| | Bayou Re 2024-1 Class B, 23.04% (3 Month U.S. Treasury Bill Money Market Yield + 18.50%), 04/30/2027 (Acquired 04/18/2024; Cost $4,958,000) (b)(c)(d) | | | 4,958,000 | | | 5,378,300 |
| | Blue Ridge Re 2023-1 Class A, 9.77% (3 Month U.S. Treasury Bill Money Market Yield + 5.25%), 01/08/2027 (Acquired 11/14/2023; Cost $18,166,000) (b)(c)(d) | | | 18,166,000 | | | 18,488,310 |
| | Blue Ridge Re 2023-1 Class B, 12.52% (3 Month U.S. Treasury Bill Money Market Yield + 8.00%), 01/08/2027 (Acquired 11/14/2023; Cost $22,115,000) (b)(c)(d) | | | 22,115,000 | | | 22,979,575 |
| | Bonanza Re 2020-2 Class A, 9.45% (3 Month U.S. Treasury Bill Money Market Yield + 4.93%), 12/23/2024 (Acquired 12/15/2020; Cost $2,510,000) (b)(c)(d)(f) | | | 2,510,000 | | | 2,501,553 |
| | Bonanza Re 2022-2 Class A, 10.14% (3 Month U.S. Treasury Bill Money Market Yield + 5.62%), 03/16/2025 (Acquired 03/11/2022; Cost $3,979,000) (b)(c)(d) | | | 3,979,000 | | | 3,833,766 |
| | Cape Lookout Re 2022-1 Class A, 14.11% (3 Month U.S. Treasury Bill Money Market Yield + 9.59%), 03/28/2025 (Acquired 03/16/2022 - 05/22/2024; Cost $22,159,085) (b)(c)(d) | | | 22,162,000 | | | 22,530,587 |
| | Cape Lookout Re 2023-1 Class A, 12.94% (3 Month U.S. Treasury Bill Money Market Yield + 8.42%), 04/28/2026 (Acquired 04/14/2023 - 09/17/2024; Cost $26,155,284) (b)(c)(d)(f) | | | 26,048,000 | | | 27,156,642 |
| | Cape Lookout Re 2024-1 Class A, 12.54% (3 Month U.S. Treasury Bill Money Market Yield + 8.00%), 04/05/2027 (Acquired 03/12/2024 - 09/13/2024; Cost $50,062,175) (b)(c)(d) | | | 49,952,000 | | | 51,162,337 |
| | Catahoula Re II 2022-1 Class A, 15.76% (3 Month U.S. Treasury Bill Money Market Yield + 11.24%), 06/16/2025 (Acquired 06/02/2022 - 04/02/2024; Cost $13,239,952) (b)(c)(d) | | | 13,200,000 | | | 13,965,065 |
| | Catahoula Re II 2022-1 Class B, 17.88% (3 Month U.S. Treasury Bill Money Market Yield + 13.36%), 06/16/2025 (Acquired 06/02/2022; Cost $7,073,000) (b)(c)(d) | | | 7,073,000 | | | 7,413,827 |
| | Charles River Re 2024-1 Class A, 11.29% (3 Month U.S. Treasury Bill Money Market Yield + 6.75%), 05/10/2027 (Acquired 04/05/2024 - 08/12/2024; Cost $11,777,831) (b)(c)(d) | | | 11,775,000 | | | 12,094,479 |
| | Citrus Re 2022-1 Class A, 9.58% (3 Month U.S. Treasury Bill Money Market Yield + 5.06%), 06/07/2025 (Acquired 04/11/2022; Cost $5,526,000) (b)(c)(d) | | | 5,526,000 | | | 5,625,473 |
| | Citrus Re 2023-1 Class A, 11.11% (3 Month U.S. Treasury Bill Money Market Yield + 6.59%), 06/07/2026 (Acquired 04/27/2023 - 08/15/2024; Cost $8,681,854) (b)(c)(d) | | | 8,663,000 | | | 9,036,523 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 9 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Windstorm - 28.2% (continued)
|
| | Citrus Re 2023-1 Class B, 13.29% (3 Month U.S. Treasury Bill Money Market Yield + 8.77%), 06/07/2026 (Acquired 04/27/2023; Cost $6,655,000) (b)(c)(d) | | | $6,655,000 | | | $6,950,515 |
| | Citrus Re 2024-1 Class A, 13.79% (3 Month U.S. Treasury Bill Money Market Yield + 9.25%), 06/07/2027 (Acquired 03/19/2024; Cost $3,105,000) (b)(c)(d) | | | 3,105,000 | | | 3,199,311 |
| | Citrus Re 2024-1 Class B, 15.04% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 06/07/2027 (Acquired 03/19/2024; Cost $5,980,000) (b)(c)(d) | | | 5,980,000 | | | 6,182,205 |
| | Commonwealth Re 2022-1 Class A, 8.28% (3 Month U.S. Treasury Bill Money Market Yield + 3.76%), 07/08/2025 (Acquired 06/15/2022; Cost $1,750,000) (b)(c)(d) | | | 1,750,000 | | | 1,773,982 |
| | Commonwealth Re 2023-1 Class A, 8.79% (3 Month U.S. Treasury Bill Money Market Yield + 4.27%), 07/08/2026 (Acquired 06/07/2023 - 08/18/2023; Cost $8,647,244) (b)(c)(d) | | | 8,630,000 | | | 8,859,834 |
| | Everglades Re II 2024-1 Class A, 15.04% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 05/13/2027 (Acquired 05/15/2024; Cost $36,490,000) (b)(c)(d) | | | 36,490,000 | | | 38,177,188 |
| | Everglades Re II 2024-1 Class B, 16.04% (3 Month U.S. Treasury Bill Money Market Yield + 11.50%), 05/13/2027 (Acquired 05/15/2024 - 06/24/2024; Cost $38,491,800) (b)(c)(d) | | | 38,499,000 | | | 40,267,760 |
| | Everglades Re II 2024-1 Class C, 17.29% (3 Month U.S. Treasury Bill Money Market Yield + 12.75%), 05/13/2027 (Acquired 05/15/2024; Cost $25,439,000) (b)(c)(d) | | | 25,439,000 | | | 26,715,783 |
| | First Coast Re III 2021-1 Class A, 11.26% (3 Month U.S. Treasury Bill Money Market Yield + 6.74%), 04/07/2025 (Acquired 03/04/2021 - 08/18/2023; Cost $6,245,308) (b)(c)(d) | | | 6,288,000 | | | 6,324,156 |
| | First Coast Re IV 2023-1 Class A, 9.52% (3 Month U.S. Treasury Bill Money Market Yield + 9.52%), 04/07/2026 (Acquired 03/24/2023; Cost $2,000,000) (b)(c)(d) | | | 2,000,000 | | | 2,087,505 |
| | Fish Pond Re 2024-1 Class A, 8.54% (3 Month U.S. Treasury Bill Money Market Yield + 4.00%), 01/08/2027 (Acquired 12/22/2023; Cost $9,081,000) (b)(c)(d) | | | 9,081,000 | | | 9,258,597 |
| | Frontline 2018-1 Class A, 4.62% (3 Month U.S. Treasury Bill Money Market Yield + 0.10%), 07/06/2026 (Acquired 06/12/2018; Cost $265,400) (b)(c)(d) | | | 265,400 | | | 88,909 |
| | Gateway Re 2022-1 Class A, 13.80% (3 Month U.S. Treasury Bill Money Market Yield + 9.28%), 05/12/2025 (Acquired 04/22/2022 - 01/10/2024; Cost $10,149,452) (b)(c)(d) | | | 10,140,000 | | | 10,356,626 |
| | Gateway Re 2023-1 Class A, 18.48% (3 Month U.S. Treasury Bill Money Market Yield + 13.96%), 02/24/2026 (Acquired 02/03/2023; Cost $13,725,000) (b)(c)(d) | | | 13,725,000 | | | 14,770,653 |
| | Gateway Re 2023-1 Class B, 24.92% (3 Month U.S. Treasury Bill Money Market Yield + 20.40%), 02/24/2026 (Acquired 02/03/2023; Cost $3,113,000) (b)(c)(d) | | | 3,113,000 | | | 3,370,770 |
| | Gateway Re 2023-3 Class A, 14.52% (3 Month U.S. Treasury Bill Money Market Yield + 10.00%), 07/08/2026 (Acquired 07/14/2023; Cost $5,404,000) (b)(c)(d) | | | 5,404,000 | | | 5,631,946 |
| | Gateway Re 2024-1 Class A, 4.54% (3 Month U.S. Treasury Bill Money Market Yield + 0.00%), 12/23/2024 (Acquired 03/11/2024; Cost $8,498,312) (b)(c)(d) | | | 8,623,000 | | | 8,518,567 |
| | Gateway Re 2024-1 Class AA, 10.04% (3 Month U.S. Treasury Bill Money Market Yield + 5.50%), 07/08/2027 (Acquired 03/11/2024 - 07/11/2024; Cost $9,827,548) (b)(c)(d) | | | 9,853,000 | | | 10,118,716 |
| | Gateway Re 2024-2 Class C, 4.54% (3 Month U.S. Treasury Bill Money Market Yield + 0.00%), 12/23/2024 (Acquired 03/28/2024; Cost $12,929,713) (b)(c)(d) | | | 13,159,000 | | | 12,933,034 |
| | Gateway Re 2024-4 Class A, 4.54% (3 Month U.S. Treasury Bill Money Market Yield + 0.00%), 01/08/2025 (Acquired 06/24/2024; Cost $4,903,491) (b)(c)(d) | | | 5,215,000 | | | 5,035,046 |
| | Gateway Re II 2023-1 Class A, 13.42% (3 Month U.S. Treasury Bill Money Market Yield + 8.90%), 04/27/2026 (Acquired 04/13/2023; Cost $4,542,000) (b)(c)(d) | | | 4,542,000 | | | 4,836,651 |
| | Hestia Re 2022-1 Class A, 14.60% (3 Month U.S. Treasury Bill Money Market Yield + 10.08%), 04/22/2025 (Acquired 04/04/2022 - 03/20/2024; Cost $16,147,020) (b)(c)(d) | | | 16,247,000 | | | 13,403,775 |
| | Hestia Re 2023-1 Class A, 15.27% (3 Month U.S. Treasury Bill Money Market Yield + 10.75%), 04/07/2026 (Acquired 03/16/2023 - 07/19/2023; Cost $3,759,538) (b)(c)(d) | | | 3,750,000 | | | 3,898,018 |
| | Integrity Re 2022-1 Class A, 11.35% (3 Month U.S. Treasury Bill Money Market Yield + 6.83%), 06/06/2025 (Acquired 05/09/2022; Cost $5,968,000) (b)(c)(d)(e) | | | 5,968,000 | | | 746,000 |
| | Integrity Re 2023-1 Class A, 17.38% (3 Month U.S. Treasury Bill Money Market Yield + 12.86%), 06/06/2025 (Acquired 03/23/2023; Cost $5,139,000) (b)(c)(d) | | | 5,139,000 | | | 5,036,210 |
| | Integrity Re 2024-1 Class A, 15.04% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 06/06/2026 (Acquired 03/01/2024; Cost $5,694,000) (b)(c)(d)(f) | | | 5,694,000 | | | 5,521,358 |
| | Integrity Re 2024-1 Class B, 17.79% (3 Month U.S. Treasury Bill Money Market Yield + 13.25%), 06/06/2026 (Acquired 03/01/2024; Cost $3,254,000) (b)(c)(d) | | | 3,254,000 | | | 2,662,579 |
| | Integrity Re 2024-1 Class C, 21.54% (3 Month U.S. Treasury Bill Money Market Yield + 17.00%), 06/06/2026 (Acquired 03/01/2024; Cost $5,694,000) (b)(c)(d) | | | 5,694,000 | | | 4,469,784 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
10 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | Windstorm - 28.2% (continued)
|
| | Integrity Re 2024-1 Class D, 27.54% (3 Month U.S. Treasury Bill Money Market Yield + 23.00%), 06/06/2026 (Acquired 03/01/2024; Cost $8,948,000) (b)(c)(d) | | | $8,948,000 | | | $5,793,821 |
| | Lightning Re 2023-1 Class A, 15.52% (3 Month U.S. Treasury Bill Money Market Yield + 11.00%), 03/31/2026 (Acquired 03/20/2023 - 04/10/2024; Cost $46,376,690) (b)(c)(d) | | | 44,870,000 | | | 47,450,003 |
| | Longleaf Pine Re 2024-1 Class A, 22.04% (3 Month U.S. Treasury Bill Money Market Yield + 17.50%), 05/25/2027 (Acquired 05/10/2024; Cost $14,579,000) (b)(c)(d) | | | 14,579,000 | | | 15,826,139 |
| | Lower Ferry Re 2023-1 Class A, 8.95% (3 Month U.S. Treasury Bill Money Market Yield + 4.43%), 07/08/2026 (Acquired 06/23/2023 - 08/25/2023; Cost $7,471,091) (b)(c)(d) | | | 7,458,000 | | | 7,657,401 |
| | Lower Ferry Re 2023-1 Class B, 9.79% (3 Month U.S. Treasury Bill Money Market Yield + 5.27%), 07/08/2026 (Acquired 06/23/2023 - 07/15/2024; Cost $11,702,076) (b)(c)(d) | | | 11,681,000 | | | 12,054,068 |
| | Mayflower Re 2023-1 Class A, 4.69% (3 Month U.S. Treasury Bill Money Market Yield + 4.69%), 07/08/2026 (Acquired 06/26/2023 - 08/17/2023; Cost $8,343,892) (b)(c)(d) | | | 8,338,000 | | | 8,581,274 |
| | Mayflower Re 2023-1 Class B, 10.53% (3 Month U.S. Treasury Bill Money Market Yield + 6.02%), 07/08/2026 (Acquired 06/26/2023; Cost $17,393,000) (b)(c)(d) | | | 17,393,000 | | | 18,123,062 |
| | Mayflower Re 2024-1 Class A, 4.50% (3 Month U.S. Treasury Bill Money Market Yield + 4.50%), 07/08/2027 (Acquired 06/21/2024; Cost $8,145,000) (b)(c)(d) | | | 8,145,000 | | | 8,369,737 |
| | Metrocat Re 2023-1 Class A, 5.75% (3 Month U.S. Treasury Bill Money Market Yield + 5.75%), 05/08/2026 (Acquired 05/12/2023; Cost $2,429,000) (b)(c)(d) | | | 2,429,000 | | | 2,490,026 |
| | Nature Coast Re 2023-1 Class A, 14.54% (3 Month U.S. Treasury Bill Money Market Yield + 10.00%), 12/07/2026 (Acquired 11/16/2023; Cost $11,876,000) (b)(c)(d) | | | 11,876,000 | | | 12,029,414 |
| | Nature Coast Re 2023-1 Class B, 18.04% (3 Month U.S. Treasury Bill Money Market Yield + 13.50%), 12/07/2026 (Acquired 11/16/2023; Cost $4,156,000) (b)(c)(d) | | | 4,156,000 | | | 4,193,198 |
| | Nature Coast Re 2024-1 Class A, 19.29% (3 Month U.S. Treasury Bill Money Market Yield + 14.75%), 06/07/2028 (Acquired 06/17/2024; Cost $5,845,000) (b)(c)(d) | | | 5,845,000 | | | 6,124,444 |
| | Palm Re 2024-1 Class A, 14.04% (3 Month U.S. Treasury Bill Money Market Yield + 9.50%), 06/07/2027 (Acquired 04/04/2024; Cost $10,926,000) (b)(c)(d) | | | 10,926,000 | | | 11,311,098 |
| | Pelican IV Re 2021-1 Class B, 5.02% (3 Month U.S. Treasury Bill Money Market Yield + 0.50%), 05/07/2027 (Acquired 04/29/2021; Cost $2,873,000) (b)(c)(d)(e) | | | 2,873,000 | | | 144 |
| | Purple Re 2023-1 Class A, 17.55% (1 Month Term SOFR + 12.81%), 04/24/2026 (Acquired 04/06/2023 - 04/02/2024; Cost $9,168,471) (b)(c)(d) | | | 9,109,000 | | | 9,025,184 |
| | Purple Re 2023-2 Class A, 15.02% (3 Month U.S. Treasury Bill Money Market Yield + 10.50%), 06/05/2026 (Acquired 06/27/2023 - 07/15/2024; Cost $8,213,690) (b)(c)(d) | | | 8,212,000 | | | 8,437,239 |
| | Purple Re 2024-1 Class A, 13.54% (3 Month U.S. Treasury Bill Money Market Yield + 9.00%), 06/07/2027 (Acquired 04/02/2024; Cost $27,796,000) (b)(c)(d) | | | 27,796,000 | | | 28,343,998 |
| | Sabine Re 2024-1 Class A, 12.79% (3 Month U.S. Treasury Bill Money Market Yield + 8.25%), 04/07/2027 (Acquired 03/26/2024; Cost $5,786,000) (b)(c)(d) | | | 5,786,000 | | | 5,998,343 |
| | Winston Re 2024-1 Class A, 14.79% (3 Month U.S. Treasury Bill Money Market Yield + 10.25%), 02/26/2027 (Acquired 02/14/2024; Cost $9,723,000) (b)(c)(d) | | | 9,723,000 | | | 9,725,377 |
| | Winston Re 2024-1 Class B, 16.29% (3 Month U.S. Treasury Bill Money Market Yield + 11.75%), 02/26/2027 (Acquired 02/14/2024; Cost $4,051,000) (b)(c)(d) | | | 4,051,000 | | | 3,354,975 |
| | | | | | | | 933,412,717 |
| | | | | | | | 2,182,280,788 |
| | TOTAL EVENT LINKED BONDS
(Cost $2,662,589,616) | | | | | | 2,677,926,364 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 11 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | QUOTA SHARES AND OTHER REINSURANCE-RELATED SECURITIES - 12.5% (a) |
| | Participation Notes - 2.1%
| | | | | | |
| | Global - 2.1%
| | | | | | |
| | Multiperil - 2.1% | | | | | | |
| | Eden Re II 2021-1 Class A (Acquired 12/14/2020; Cost $688,639) (b)(c)(d)(e)(g)(h) | | | $688,639 | | | $— |
| | Eden Re II 2021-1 Class B (Acquired 12/21/2020; Cost $823,113) (b)(c)(d)(e)(g)(h) | | | 823,113 | | | 101,213 |
| | Eden Re II 2022-1 Class A (Acquired 12/14/2021; Cost $155,230) (b)(c)(d)(e)(g)(h) | | | 155,230 | | | 118,843 |
| | Eden Re II 2022-1 Class B (Acquired 12/17/2021; Cost $141,799) (b)(c)(d)(e)(g)(h) | | | 141,799 | | | 129,023 |
| | Eden Re II 2023-1 Class B (Acquired 12/22/2022; Cost $104,160) (b)(c)(d)(e)(g) | | | 104,160 | | | 1,959,800 |
| | Eden Re II 2024-1 Class B (Acquired 12/20/2023; Cost $37,000,000) (b)(c)(d)(e)(g)(h) | | | 37,000,000 | | | 42,373,877 |
| | Phoenix 2 Re Pte. Ltd. 2022-1 Class A (Acquired 12/21/2021; Cost $598,461) (b)(c)(d)(e) | | | 750,000 | | | 795,450 |
| | Phoenix Re Pte. Ltd. 2022-1 Class B (Acquired 12/21/2021; Cost $342,970) (b)(c)(d)(e) | | | 926,471 | | | 921,190 |
| | Sector Re V Series 2022-Dec Class GL-R (Acquired 12/22/2022; Cost $8,171) (c)(d)(e) | | | 8,171 | | | 195,230 |
| | Sector Re V Series 2023-Apr Class GL-R (Acquired 04/25/2023; Cost $21,867) (c)(d)(e) | | | 21,867 | | | 989,491 |
| | Sector Re V Series 2023-Dec Class GL-R (Acquired 12/08/2023; Cost $3,812,600) (c)(d)(e)(h) | | | 3,812,600 | | | 4,892,083 |
| | Sector Re V Series 2024-Apr Class GL-R (Acquired 04/29/2024; Cost $15,407,864) (c)(d)(e)(h) | | | 15,407,864 | | | 17,636,992 |
| | | | | | | | 70,113,192 |
| | TOTAL PARTICIPATION NOTES
(Cost $59,104,873) | | | | | | 70,113,192 |
| | | | | | | | |
| | | | | | | | |
| | Preference Shares - 10.4%
| | | | | | |
| | Global - 10.2%
| | | | | | |
| | Multiperil - 10.2% | | | | | | |
| | Arenal (Artex Segregated Account Company) (Acquired 05/07/2015 - 03/28/2016;
Cost $6,256,510) (c)(d)(e)(g) | | | 18,011 | | | 4,704,234 |
| | Hatteras (Artex Segregated Account Company) (Acquired 12/30/2014 - 11/01/2021;
Cost $30,502,685) (c)(d)(e)(g) | | | 37,256 | | | 34,651,005 |
| | Hudson Charles 2 (Mt. Logan Re) (Acquired 04/02/2014; Cost $11,534,500) (c)(d)(e)(g) | | | 11,535 | | | 21,699,885 |
| | Hudson Charles 3 (Mt. Logan Re) (Acquired 06/19/2014 - 07/22/2024; Cost
$31,639,470) (c)(d)(e)(g) | | | 31,639 | | | 35,185,492 |
| | Labrador (Horseshoe Re) (Acquired 07/22/2022 - 01/05/2023; Cost
$34,121,000) (c)(d)(e)(g) | | | 34,121 | | | 59,792,240 |
| | Lyndhurst (Horseshoe Re) (Acquired 12/31/2020; Cost $2,696,725) (c)(d)(e)(g) | | | 27,200 | | | 809,966 |
| | Madison (Artex Segregated Account Company) (Acquired 02/03/2020; Cost
$1,010,838) (c)(d)(e)(g)(h) | | | 5,011 | | | 919,467 |
| | Magnolia (Artex Segregated Account Company) (Acquired 06/20/2024; Cost
$10,645,520) (c)(d)(e)(g) | | | 10,646 | | | 12,488,462 |
| | Peregrine HYR (Acquired 12/21/2020; Cost $16,629,628) (c)(d)(e)(g) | | | 1,800,000 | | | 23,333,278 |
| | Rondout (Artex Segregated Account Company) (Acquired 05/29/2015 - 11/17/2023;
Cost $83,904,155) (c)(d)(e)(g) | | | 150,090 | | | 132,521,163 |
| | Thopas Re Ltd. 2024-2 (S) (Acquired 06/26/2024; Cost $10,594,074) (c)(d)(e)(g)(h) | | | 105,941 | | | 11,527,922 |
| | Yoho (Artex Segregated Account Company) (Acquired 05/17/2016 - 09/13/2021;
Cost $3,204,971) (c)(d)(e)(g)(h) | | | 39,886 | | | 440,675 |
| | | | | | | | 338,073,789 |
| | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | (Continued) |
| | | | | | | |
12 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | October 31, 2024 |
| | | | |
| | | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund | |
| | | |
| | | | | | | | |
| | United States - 0.2%
Multiperil - 0.2% | | | | | | |
| | Trouvaille Re Ltd. (Acquired 03/25/2024; Cost $4,393,040) (c)(d)(e)(g)(h) | | | $439,304 | | | $4,875,845 |
| | TOTAL PREFERENCE SHARES
(Cost $247,133,116) | | | | | | 342,949,634 |
| | TOTAL QUOTA SHARES AND OTHER REINSURANCE-
RELATED SECURITIES
(Cost $306,237,989) | | | | | | 413,062,826 |
| | SHORT-TERM INVESTMENTS - 6.0%
| | | | | | |
| | Money Market Funds - 6.0% | | | | | | |
| | Fidelity Investments Money Market Funds - Government Portfolio - Class Institutional, 4.70% (i) | | | 99,532,392 | | | 99,532,392 |
| | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Class Institutional, 4.78% (i) | | | 99,532,393 | | | 99,532,393 |
| | TOTAL SHORT-TERM INVESTMENTS
(Cost $199,064,785) | | | | | | 199,064,785 |
| | TOTAL INVESTMENTS - 99.4%
(Cost $3,167,892,390) | | | | | | 3,290,053,975 |
| | Other Assets in Excess of Liabilities - 0.6% | | | | | | 21,194,967 |
| | TOTAL NET ASSETS - 100.0% | | | | | | $3,311,248,942 |
| | | | | | | | |
Principal amounts stated in U.S. dollars unless otherwise stated.
Percentages are stated as a percent of net assets.
SOFR - Secured Overnight Financing Rate
EUR - Euro
GBP - British Pound
NZD - New Zealand Dollar
(a)
| Country shown is geographic area of peril risk.
|
(b)
| Although security is restricted as to resale, the Fund’s Adviser has determined this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at October 31, 2024 was $2,724,325,760, which represented 82.3% of net assets.
|
(c)
| Security is restricted as to resale.
|
(d)
| Foreign issued security. Total foreign securities by country of domicile are $3,090,989,190. Foreign concentration is as follows: Bermuda: 80.2%, Cayman Islands: 3.6%, Singapore: 3.3%, Supranational: 3.2%, Ireland: 2.4%, Great Britain: 0.5%, and Hong Kong: 0.2%.
|
(e)
| Value determined using significant unobservable inputs.
|
(f)
| All or a portion of the security is pledged as collateral for the Fund’s reverse repurchase agreements. |
(g)
| Security is fair valued by the Adviser Valuation Committee using an insurance industry model pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $387,632,390, which represents 11.7% of net assets.
|
(h)
| Non-income producing security.
|
(i)
| The rate shown represents the 7-day annualized effective yield as of October 31, 2024. |
| | | | | | | |
| | | The accompanying notes are an integral part of these financial statements.
| | | |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 13 |
| | | | | | | |
TABLE OF CONTENTS
Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND | |
| | | |
Reverse Repurchase Agreements
| | | | | | | | | |
| | REVERSE REPURCHASE AGREEMENTS SOLD | | | | | | | |
| | Repurchase Agreement with JP Morgan Chase Securities, Inc., dated 10/25/2024, 6.23%, collateralized by $16,286,102 Event Linked Bonds, due 11/25/2024 | | | $5,000,001 | | | $5,000,001 | |
| | TOTAL REVERSE REPURCHASE AGREEMENTS SOLD | | | $5,000,001 | | | $5,000,001 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Schedule of Investments.
| | | |
| | | | | | | |
14 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | | | | | | | |
| | ASSET-BACKED SECURITIES - 8.3% | | | | | | | | | | | | | |
| | United States - 8.3% | | | | | | | | | | | | | |
| | Achieve ABS Trust 2024-2PL (a)(b)(c) | | | 8/28/2024 | | | $12,200 | | | $4,073,910 | | | $5,134,580 | |
| | Affirm Asset Securitization Trust 2023-B (a)(b)(c) | | | 9/12/2023 | | | 1,500,000 | | | 1,499,807 | | | 1,550,527 | |
| | Affirm Asset Securitization Trust 2024-X1 (a)(b)(c) | | | 5/02/2024 | | | 45,355 | | | 2,159,245 | | | 2,030,220 | |
| | AMSR 2022-SFR3 Trust (a)(b)(d)(e) | | | 8/11/2022 | | | 2,000,000 | | | 1,758,228 | | | 1,860,867 | |
| | AMSR 2023-SFR1 Trust (a)(b)(d) | | | 2/22/2023 | | | 2,000,000 | | | 1,636,654 | | | 1,788,266 | |
| | AMSR 2023-SFR2 Trust (a)(b)(d) | | | 7/17/2023 | | | 2,000,000 | | | 1,499,804 | | | 1,563,032 | |
| | AMSR 2023-SFR2 Trust-2 (a)(b)(d) | | | 7/17/2023 | | | 5,000,000 | | | 3,926,650 | | | 4,077,424 | |
| | AMSR 2024-SFR2 Trust (a)(b)(d) | | | 10/29/2024 | | | 5,000,000 | | | 4,298,470 | | | 4,298,470 | |
| | Firstkey Homes 2021-SFR1 Trust (a)(b)(d) | | | 12/15/2022 | | | 2,000,000 | | | 1,755,823 | | | 1,857,409 | |
| | Freed ABS Trust 2022-4FP (a)(b)(c) | | | 10/21/2022 | | | 231,066 | | | 231,036 | | | 232,019 | |
| | Home Partners of America 2021-2 Trust (a)(b)(d) | | | 1/12/2023 | | | 2,401,406 | | | 2,281,606 | | | 2,200,754 | |
| | Lendingpoint 2022-C Asset Securitization Trust (a)(b)(c) | | | 9/23/2022 | | | 3,000,000 | | | 2,955,443 | | | 1,302,869 | |
| | Marlette Funding Trust 2022-2 (a)(b)(c) | | | 6/28/2022 | | | 1,000,000 | | | 984,948 | | | 1,002,688 | |
| | Marlette Funding Trust 2023-3 (a)(b)(c) | | | 7/18/2023 | | | 3,840 | | | 468,752 | | | 1,091,418 | |
| | Progress Re 2021-SFR1 (a)(b)(d) | | | 2/11/2021 | | | 1,750,000 | | | 1,749,957 | | | 1,620,289 | |
| | Progress Re 2021-SFR2 Trust (a)(b)(d) | | | 4/07/2021 | | | 3,000,000 | | | 2,999,930 | | | 2,810,386 | |
| | Progress Re 2021-SFR10 Trust (a)(b)(d) | | | 11/19/2021 | | | 4,683,425 | | | 4,683,306 | | | 3,996,015 | |
| | Progress Re 2022-SFR3 Trust (a)(b)(d) | | | 4/05/2022 | | | 3,000,000 | | | 2,917,628 | | | 2,864,840 | |
| | Progress Re 2023-SFR2 Trust (a)(b)(d)(e) | | | 9/19/2023 | | | 2,000,000 | | | 1,797,789 | | | 1,822,976 | |
| | Progress Re 2024-SFR4 Trust (a)(b)(d) | | | 6/21/2024 | | | 3,000,000 | | | 2,344,141 | | | 2,313,874 | |
| | Prosper Marketplace Issuance Trust Series 2023-1 (a)(b)(c) | | | 9/19/2023 | | | 3,600,000 | | | 3,599,464 | | | 3,698,398 | |
| | Upgrade Master Credit Pass-Thru Trust Series 2021-ST3 (a)(b)(c) | | | 5/27/2021 | | | 1,419,000 | | | 14,883 | | | 21,835 | |
| | Upgrade Master Pass-Thru Trust Series 2023-PT1 (a)(b)(c) | | | 7/31/2023 | | | 23,608,166 | | | 23,245,107 | | | 22,970,916 | |
| | Upstart Asset Trust I Series 2023-1-GS (a)(b)(c) | | | 12/05/2023 | | | 29,494,636 | | | 28,601,644 | | | 28,269,532 | |
| | Upstart Pass-Through 2021-ST3 (a)(b)(c) | | | 4/08/2021 | | | 2,850,000 | | | 475,822 | | | 190,883 | |
| | Upstart Pass-Through 2021-ST4 (a)(b)(c) | | | 5/13/2021 | | | 3,060,000 | | | 699,946 | | | 274,581 | |
| | Upstart Pass-Through 2021-ST5 (a)(b)(c) | | | 6/03/2021 | | | 1,000,000 | | | 384,257 | | | 173,882 | |
| | Upstart Securitization Trust 2022-1 (a)(b)(c) | | | 4/01/2022 | | | 4,200,000 | | | 4,129,938 | | | 2,328,182 | |
| | Upstart Securitization Trust 2022-2 (a)(b)(c) | | | 5/26/2022 | | | 3,150,000 | | | 3,133,513 | | | 2,720,145 | |
| | Upstart Securitization Trust 2022-3 (a)(b)(c) | | | 6/29/2022 | | | 3,600,000 | | | 3,529,864 | | | 3,393,911 | |
| | Upstart Securitization Trust 2022-4 (a)(b)(c) | | | 8/16/2022 | | | 1,214,000 | | | 1,213,697 | | | 1,183,706 | |
| | Upstart Securitization Trust 2023-2 (a)(b)(c) | | | 6/29/2023 | | | 2,500,000 | | | 2,499,800 | | | 2,613,774 | |
| | Upstart Securitization Trust 2024-1 (a)(b)(c) | | | 10/30/2024 | | | 5,000,000 | | | 4,999,975 | | | 4,999,975 | |
| | Upstart Structured Pass-Through Trust Series 2022-4A (a)(b)(c) | | | 10/17/2022 | | | 500,000 | | | 488,906 | | | 491,629 | |
| | TOTAL ASSET-BACKED SECURITIES (Cost $123,039,943) | | | | | | | | | | | | 118,750,272 | |
| | | | | | | | | | | | | | | |
| | | | | | | | | |
| | EVENT LINKED BONDS - 25.7% (f) | | | | | | | |
| | Chile - 0.3% | | | | | | | |
| | Earthquake - 0.3% | | | | | | | |
| | IBRD CAR 131, 9.62%
(SOFR + 4.79%), 03/31/2026 (Acquired 04/21/2023 - 02/29/2024; Cost $3,999,698) (g)(h)(i) | | | $3,971,000 | | | 4,026,917 | |
| | Europe - 0.6% | | | | | | | |
| | Earthquake - 0.1% | | | | | | | |
| | Azzurro Re II DAC 2024-1 Class A, 9.72%
(3 Month EURIBOR + 6.50%), 04/20/2028 (Acquired 03/21/2024; Cost $1,021,594) (g)(h)(i) | | | EUR 941,000 | | | 1,024,000 | |
| | Multiperil - 0.1% | | | | | | | |
| | King Max Re DAC, 8.18%
(3 Month EURIBOR + 5.00%), 01/06/2027 (Acquired 12/08/2023; Cost $1,151,751) (g)(h)(i) | | | 1,070,000 | | | 1,151,467 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 15 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Multiperil - 0.1% (continued) | | | | | | | |
| | Lion III Re DAC 2021-1, 7.31%
(3 Month EURIBOR + 4.13%), 07/16/2025 (Acquired 06/30/2023; Cost $560,854) (g)(h)(i) | | | $518,000 | | | $554,938 | |
| | Taranis Re DAC 2023-1 Class A, 11.39%
(3 Month EURIBOR + 8.25%), 01/21/2028 (Acquired 11/29/2023; Cost $393,947) (g)(h)(i) | | | 359,000 | | | 391,479 | |
| | | | | | | | 2,097,884 | |
| | Terrorism - 0.1% | | | | | | | |
| | Baltic PCC 2022-1 Class A, 10.03% (U.S. Treasury Bill Rate + 5.49%), 03/07/2025
(Acquired 02/14/2024 - 02/26/2024; Cost $870,339) (g)(h)(i)(j) | | | GBP 689,000 | | | 879,707 | |
| | Windstorm - 0.3% | | | | | | | |
| | Blue Sky Re DAC 2023-1, 8.82% (3 Month EURIBOR + 5.75%), 01/26/2027
(Acquired 12/11/2023; Cost $530,690) (g)(h)(i) | | | EUR 493,000 | | | 547,641 | |
| | Eiffel Re 2023-1 Class A, 6.54% (3 Month EURIBOR + 3.33%), 01/19/2027
(Acquired 06/22/2023 - 07/07/2023; Cost $1,717,211) (g)(h)(i) | | | 1,567,000 | | | 1,677,687 | |
| | Hexagon IV Re 2023-1 Class A, 11.72% (3 Month EURIBOR + 8.50%), 01/21/2028
(Acquired 11/07/2023; Cost $1,116,613) (g)(h)(i) | | | 1,044,000 | | | 1,128,789 | |
| | Orange Capital Re 2023-1 Class A, 10.75% (3 Month EURIBOR + 7.50%), 01/08/2027
(Acquired 11/17/2023; Cost $319,618) (g)(h)(i) | | | 293,000 | | | 314,028 | |
| | Quercus Re DAC, 11.67% (3 Month EURIBOR + 8.00%), 07/08/2027
(Acquired 07/15/2024; Cost $343,302) (g)(h)(i) | | | 315,000 | | | 337,973 | |
| | | | | | | | 4,006,118 | |
| | | | | | | | 8,007,709 | |
| | Global - 2.2% | | | | | | | |
| | Cyber - 0.5% | | | | | | | |
| | East Lane Re VII 2024-1 Class A, 13.79% (U.S. Treasury Bill Rate + 9.25%), 03/31/2026
(Acquired 12/20/2023; Cost $900,000) (g)(h)(i) | | | $900,000 | | | 901,364 | |
| | Long Walk Re 2024-1 Class A, 14.27% (U.S. Treasury Bill Rate + 9.75%), 01/30/2026
(Acquired 11/13/2023; Cost $482,000) (g)(h)(i) | | | 482,000 | | | 489,361 | |
| | Matterhorn Re SR2023-1 Class CYB-A, 16.54% (U.S. Treasury Bill Rate + 12.00%), 01/08/2026 (Acquired 12/22/2023; Cost $2,124,000) (g)(h)(i) | | | 2,124,000 | | | 2,138,745 | |
| | PoleStar Re 2024-1 Class A, 17.54% (U.S. Treasury Bill Rate + 13.00%), 01/07/2026
(Acquired 12/13/2023; Cost $1,397,000) (g)(h)(i) | | | 1,397,000 | | | 1,410,747 | |
| | PoleStar Re 2024-3 Class A, 15.04% (U.S. Treasury Bill Rate + 10.50%), 01/07/2028
(Acquired 09/19/2024; Cost $2,561,000) (g)(h)(i) | | | 2,561,000 | | | 2,556,896 | |
| | | | | | | | 7,497,113 | |
| | Earthquake - 0.1% | | | | | | | |
| | Ashera Re 2024-1 Class A, 9.54% (U.S. Treasury Bill Rate + 5.00%), 04/07/2027
(Acquired 03/21/2024; Cost $758,000) (g)(h)(i) | | | 758,000 | | | 766,160 | |
| | Multiperil - 1.5% | | | | | | | |
| | 3264 Re 2022-1 Class A, 23.52% (U.S. Treasury Bill Rate + 19.00%), 01/08/2025
(Acquired 04/21/2023; Cost $1,016,470) (g)(h)(i)(j) | | | 1,043,000 | | | 684,364 | |
| | Aragonite Re 2024-1 Class A, 9.79% (U.S. Treasury Bill Rate + 5.25%), 04/07/2027
(Acquired 03/25/2024; Cost $931,000) (g)(h)(i) | | | 931,000 | | | 949,499 | |
| | Atlas Capital 2022 DAC 2022-1 Class A, 14.79% (SOFR + 9.83%), 06/06/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $2,950,062) (g)(h)(i) | | | 2,988,000 | | | 3,054,175 | |
| | Claveau Re 2021-1 Class A, 21.77% (U.S. Treasury Bill Rate + 17.25%), 07/08/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $987,656) (g)(h)(i) | | | 1,223,757 | | | 887,041 | |
| | Herbie Re 2021-1 Class A, 22.82% (U.S. Treasury Bill Rate + 18.30%), 06/06/2025
(Acquired 04/21/2023; Cost $505,624) (g)(h)(i) | | | 577,636 | | | 511,208 | |
| | Kendall Re 2024-1 Class A, 10.79% (U.S. Treasury Bill Rate + 6.25%), 04/30/2027
(Acquired 04/22/2024; Cost $1,520,000) (g)(h)(i) | | | 1,520,000 | | | 1,571,934 | |
| | Kilimanjaro III Re 2021-1 Class A-1, 16.88% (U.S. Treasury Bill Rate + 12.36%), 04/21/2025
(Acquired 04/21/2023; Cost $909,237) (g)(h)(i) | | | 956,000 | | | 964,992 | |
| | Kilimanjaro III Re 2021-1 Class C-1, 9.08% (U.S. Treasury Bill Rate + 4.56%), 04/21/2025
(Acquired 04/21/2023; Cost $706,879) (g)(h)(i) | | | 724,000 | | | 726,512 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
16 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Multiperil - 1.5% (continued) | | | | | | | |
| | Kilimanjaro III Re 2021-2 Class A-2, 16.88% (U.S. Treasury Bill Rate + 12.36%), 04/20/2026
(Acquired 04/21/2023; Cost $673,793) (g)(h)(i) | | | $782,000 | | | $787,194 | |
| | Kilimanjaro III Re 2021-2 Class B-2, 9.38% (U.S. Treasury Bill Rate + 4.86%), 04/20/2026
(Acquired 04/21/2023; Cost $323,299) (g)(h)(i) | | | 348,000 | | | 347,287 | |
| | Kilimanjaro III Re 2021-2 Class C-2, 9.08% (U.S. Treasury Bill Rate + 4.56%), 04/20/2026
(Acquired 04/21/2023; Cost $297,246) (g)(h)(i) | | | 319,000 | | | 318,513 | |
| | Kilimanjaro III Re 2022-1 Class A, 10.37% (U.S. Treasury Bill Rate + 5.85%), 06/25/2025
(Acquired 04/21/2023; Cost $967,560) (g)(h)(i) | | | 985,000 | | | 1,006,674 | |
| | Matterhorn Re SR2020-2 Class A, 1.50% (U.S. Treasury Bill Rate + 1.50%), 01/08/2027
(Acquired 04/21/2023; Cost $548,049) (g)(h)(i)(j) | | | 548,049 | | | 438,439 | |
| | Matterhorn Re SR2021-1 Class A, 10.67% (SOFR + 5.75%), 12/08/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $1,597,424) (e)(g)(h)(i) | | | 1,688,000 | | | 1,643,974 | |
| | Matterhorn Re SR2022-1 Class A, 10.11% (SOFR + 5.25%), 03/24/2025
(Acquired 04/21/2023; Cost $454,968) (g)(h)(i) | | | 464,000 | | | 464,000 | |
| | Matterhorn Re SR2022-1 Class B, 12.61% (SOFR + 7.75%), 03/24/2025
(Acquired 04/21/2023; Cost $454,741) (g)(h)(i) | | | 464,000 | | | 473,048 | |
| | Montoya Re 2022-1 Class A, 11.62% (U.S. Treasury Bill Rate + 7.10%), 04/07/2025
(Acquired 04/21/2023; Cost $1,110,486) (g)(h)(i) | | | 1,121,000 | | | 1,133,788 | |
| | Northshore Re II 2022-1 Class A, 12.52% (U.S. Treasury Bill Rate + 8.00%), 07/08/2025
(Acquired 01/19/2024 - 05/02/2024; Cost $867,977) (g)(h)(i) | | | 863,000 | | | 886,729 | |
| | Sakura Re 2021-1 Class A, 6.93% (U.S. Treasury Bill Rate + 2.41%), 04/07/2025
(Acquired 04/21/2023 - 11/09/2023; Cost $1,521,180) (g)(h)(i) | | | 1,532,000 | | | 1,537,390 | |
| | Sakura Re 2021-1 Class B, 8.16% (U.S. Treasury Bill Rate + 3.64%), 04/07/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $2,211,053) (e)(g)(h)(i) | | | 2,229,000 | | | 2,228,699 | |
| | Wrigley Re 2023-1 Class A, 11.02% (U.S. Treasury Bill Rate + 6.50%), 08/07/2026
(Acquired 07/14/2023; Cost $640,000) (g)(h)(i) | | | 640,000 | | | 657,598 | |
| | | | | | | | 21,273,058 | |
| | Windstorm - 0.1% | | | | | | | |
| | Queen Street 2023 Re DAC, 12.02% (U.S. Treasury Bill Rate + 7.50%), 12/08/2025
(Acquired 05/12/2023 - 07/07/2023; Cost $1,725,975) (g)(h)(i) | | | 1,728,000 | | | 1,773,713 | |
| | | | | | | | 31,310,044 | |
| | Jamaica - 0.2% | | | | | | | |
| | Windstorm - 0.2% | | | | | | | |
| | IBRD CAR 136, 12.02% (SOFR + 7.19%), 12/29/2027 (Acquired 04/25/2024; Cost $3,124,000) (g)(h)(i) | | | 3,124,000 | | | 3,066,231 | |
| | Japan - 0.7% | | | | | | | |
| | Earthquake - 0.5% | | | | | | | |
| | Kizuna Re III 2024-1 Class A, 7.29% (U.S. Treasury Bill Rate + 2.75%), 04/09/2029
(Acquired 03/13/2024; Cost $403,000) (g)(h)(i) | | | 403,000 | | | 406,032 | |
| | Nakama Re 2023-1 Class 2, 8.40% (3 Month Term SOFR + 4.00%), 05/09/2028
(Acquired 04/14/2023; Cost $667,000) (g)(h)(i) | | | 667,000 | | | 679,398 | |
| | Nakama Re Pte. 2021-1 Class 1, 6.57% (U.S. Treasury Bill Rate + 2.05%), 10/13/2026
(Acquired 04/21/2023 - 02/08/2024; Cost $3,889,015) (e)(g)(h)(i) | | | 3,915,000 | | | 3,902,588 | |
| | Nakama Re Pte. 2021-1 Class 2, 7.27% (U.S. Treasury Bill Rate + 2.75%), 10/13/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $1,568,022) (e)(g)(h)(i) | | | 1,612,000 | | | 1,603,975 | |
| | | | | | | | 6,591,993 | |
| | Multiperil - 0.2% | | | | | | | |
| | Tomoni Re Pte 2022-1 Class A-1, 6.61% (U.S. Treasury Bill Rate + 2.09%), 04/07/2026
(Acquired 07/25/2024; Cost $322,284) (g)(h)(i) | | | 322,000 | | | 323,076 | |
| | Tomoni Re Pte 2024-1 Class A, 7.79% (U.S. Treasury Bill Rate + 3.25%), 04/05/2028
(Acquired 03/25/2024; Cost $1,009,000) (g)(h)(i) | | | 1,009,000 | | | 1,010,781 | |
| | Tomoni Re Pte 2024-1 Class B, 8.54% (U.S. Treasury Bill Rate + 4.00%), 04/05/2028
(Acquired 03/25/2024; Cost $1,268,000) (g)(h)(i) | | | 1,268,000 | | | 1,282,409 | |
| | | | | | | | 2,616,266 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 17 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Typhoon - 0.0% (k) | | | | | | | |
| | Black Kite Re 2022-1 Class A, 11.34% (U.S. Treasury Bill Rate + 6.82%), 06/09/2025
(Acquired 04/21/2023; Cost $628,049) (g)(h)(i) | | | $637,000 | | | $653,869 | |
| | | | | | | | 9,862,128 | |
| | Mexico - 0.5% | | | | | | | |
| | Earthquake - 0.3% | | | | | | | |
| | IBRD CAR 132 Class A, 9.05% (SOFR + 4.22%), 04/24/2028
(Acquired 04/03/2024; Cost $2,815,000) (g)(h)(i) | | | 2,815,000 | | | 2,846,897 | |
| | IBRD CAR 133 Class B, 16.05% (SOFR + 11.22%), 04/24/2028
(Acquired 04/03/2024; Cost $983,000) (g)(h)(i) | | | 983,000 | | | 985,587 | |
| | | | | | | | 3,832,484 | |
| | Windstorm - 0.2% | | | | | | | |
| | IBRD CAR 134 Class C, 18.55% (SOFR + 13.72%), 04/24/2028
(Acquired 04/03/2024; Cost $2,124,000) (g)(h)(i) | | | 2,124,000 | | | 2,231,244 | |
| | IBRD CAR 135 Class D, 17.05% (SOFR + 12.22%), 04/24/2028
(Acquired 05/01/2024; Cost $901,000) (g)(h)(i) | | | 901,000 | | | 936,284 | |
| | | | | | | | 3,167,528 | |
| | | | | | | | 7,000,012 | |
| | New Zealand - 0.1% | | | | | | | |
| | Multiperil - 0.1% | | | | | | | |
| | Totara Re Pte. 2023-1, 13.39%, 06/08/2027
(Acquired 05/24/2023 - 07/07/2023; Cost $1,611,338) (g)(h)(i) | | | NZD 2,624,000 | | | 1,604,634 | |
| | United States - 21.1% | | | | | | | |
| | Earthquake - 3.9% | | | | | | | |
| | Acorn Re 2021-1 Class A, 7.02% (U.S. Treasury Bill Rate + 2.50%), 11/07/2024
(Acquired 04/21/2023 - 05/28/2024; Cost $5,525,835) (g)(h)(i) | | | $5,528,000 | | | 5,519,307 | |
| | Acorn Re 2023-1 Class A, 8.87% (U.S. Treasury Bill Rate + 4.35%), 11/06/2026
(Acquired 06/22/2023 - 07/07/2023; Cost $1,596,262) (e)(g)(h)(i) | | | 1,601,000 | | | 1,636,036 | |
| | Acorn Re 2024-1 Class A, 7.64% (U.S. Treasury Bill Rate + 3.10%), 11/05/2027
(Acquired 10/25/2024; Cost $1,646,000) (g)(h)(i) | | | 1,646,000 | | | 1,645,916 | |
| | Acorn Re 2024-1 Class B, 7.64% (U.S. Treasury Bill Rate + 3.10%), 11/07/2025
(Acquired 10/25/2024; Cost $1,727,000) (g)(h)(i) | | | 1,727,000 | | | 1,726,912 | |
| | Herbie Re 2022-1 Class A, 18.02% (U.S. Treasury Bill Rate + 13.50%), 01/08/2027
(Acquired 04/21/2023; Cost $307,093) (g)(h)(i) | | | 302,000 | | | 331,158 | |
| | Logistics Re 2021-1 Class A, 8.39% (U.S. Treasury Bill Rate + 3.88%), 12/20/2024
(Acquired 04/21/2023; Cost $491,534) (g)(h)(i) | | | 493,000 | | | 492,030 | |
| | Merna Re II 2022-1 Class A, 8.37% (U.S. Treasury Bill Rate + 3.85%), 04/07/2025
(Acquired 04/21/2023 - 01/19/2024; Cost $3,609,345) (e)(g)(h)(i) | | | 3,613,000 | | | 3,644,258 | |
| | Phoenician Re 2021-1 Class A, 7.42% (U.S. Treasury Bill Rate + 2.90%), 12/14/2024
(Acquired 04/21/2023 - 05/21/2024; Cost $1,450,200) (g)(h)(i) | | | 1,454,000 | | | 1,451,775 | |
| | Sutter Re 2023-1 Class B, 11.27% (U.S. Treasury Bill Rate + 6.75%), 06/19/2026
(Acquired 06/06/2023 - 05/03/2024; Cost $2,894,651) (g)(h)(i) | | | 2,890,000 | | | 2,984,346 | |
| | Sutter Re 2023-1 Class E, 14.27% (U.S. Treasury Bill Rate + 9.75%), 06/19/2026
(Acquired 06/06/2023 - 09/26/2023; Cost $3,043,252) (g)(h)(i) | | | 3,039,000 | | | 3,168,679 | |
| | Torrey Pines Re 2022-1 Class A, 10.12% (U.S. Treasury Bill Rate + 5.60%), 06/06/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $3,127,949) (e)(g)(h)(i) | | | 3,145,000 | | | 3,165,119 | |
| | Torrey Pines Re 2022-1 Class B, 13.13% (U.S. Treasury Bill Rate + 8.61%), 06/06/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $2,088,913) (g)(h)(i) | | | 2,122,000 | | | 2,138,661 | |
| | Torrey Pines Re 2023-1 Class A, 9.73% (U.S. Treasury Bill Rate + 5.22%), 06/05/2026
(Acquired 05/18/2023; Cost $880,000) (e)(g)(h)(i) | | | 880,000 | | | 898,366 | |
| | Torrey Pines Re 2024-1 Class A, 10.54% (U.S. Treasury Bill Rate + 6.00%), 06/07/2027
(Acquired 05/17/2024; Cost $2,677,000) (g)(h)(i) | | | 2,677,000 | | | 2,779,675 | |
| | Torrey Pines Re 2024-1 Class B, 11.79% (U.S. Treasury Bill Rate + 7.25%), 06/07/2027
(Acquired 05/17/2024; Cost $1,817,000) (g)(h)(i) | | | 1,817,000 | | | 1,873,044 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
18 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Earthquake - 3.9% (continued) | | | | | | | |
| | Torrey Pines Re 2024-1 Class C, 13.54% (U.S. Treasury Bill Rate + 9.00%), 06/05/2026
(Acquired 05/17/2024; Cost $861,000) (g)(h)(i) | | | $861,000 | | | $885,281 | |
| | Ursa Re 2023-1 Class AA, 10.02% (U.S. Treasury Bill Rate + 5.50%), 12/06/2025
(Acquired 04/12/2023 - 04/21/2023; Cost $1,144,938) (g)(h)(i) | | | 1,145,000 | | | 1,167,220 | |
| | Ursa Re 2023-1 Class C, 12.77% (U.S. Treasury Bill Rate + 8.25%), 12/06/2025
(Acquired 04/12/2023 - 04/21/2023; Cost $615,967) (g)(h)(i) | | | 616,000 | | | 633,251 | |
| | Ursa Re 2023-2 Class E, 13.77% (U.S. Treasury Bill Rate + 9.25%), 12/07/2026
(Acquired 10/10/2023; Cost $2,996,000) (g)(h)(i) | | | 2,996,000 | | | 3,128,829 | |
| | Ursa Re 2023-3 Class AA, 10.04% (U.S. Treasury Bill Rate + 5.50%), 12/07/2026
(Acquired 12/01/2023 - 01/19/2024; Cost $3,371,467) (g)(h)(i) | | | 3,370,000 | | | 3,490,336 | |
| | Ursa Re 2023-3 Class D, 13.29% (U.S. Treasury Bill Rate + 8.75%), 12/07/2026
(Acquired 12/01/2023 - 05/17/2024; Cost $3,656,340) (g)(h)(i) | | | 3,649,000 | | | 3,836,548 | |
| | Ursa Re II 2021-1 Class F, 11.15% (U.S. Treasury Bill Rate + 6.63%), 12/06/2024
(Acquired 04/21/2023; Cost $1,124,404) (g)(h)(i) | | | 1,130,000 | | | 1,128,937 | |
| | Ursa Re II 2022-1 Class A, 9.52% (U.S. Treasury Bill Rate + 5.00%), 06/16/2025
(Acquired 04/21/2023 - 10/19/2023; Cost $2,524,571) (g)(h)(i) | | | 2,544,000 | | | 2,559,803 | |
| | Ursa Re II 2022-1 Class E, 12.27% (U.S. Treasury Bill Rate + 7.75%), 06/16/2025
(Acquired 04/21/2023; Cost $396,891) (e)(g)(h)(i) | | | 406,000 | | | 408,269 | |
| | Ursa Re II 2022-2 Class C, 14.77% (U.S. Treasury Bill Rate + 10.25%), 12/06/2025
(Acquired 09/05/2023; Cost $370,319) (g)(h)(i) | | | 361,000 | | | 378,528 | |
| | Veraison Re 2023-1 Class A, 11.43% (U.S. Treasury Bill Rate + 6.91%), 03/09/2026
(Acquired 04/21/2023; Cost $639,632) (g)(h)(i) | | | 636,000 | | | 662,523 | |
| | Veraison Re 2023-1 Class B, 17.05% (U.S. Treasury Bill Rate + 12.53%), 03/09/2026
(Acquired 04/21/2023; Cost $617,853) (g)(h)(i) | | | 611,000 | | | 654,112 | |
| | Veraison Re 2024-1 Class A, 9.29% (U.S. Treasury Bill Rate + 4.75%), 03/08/2027
(Acquired 01/30/2024; Cost $1,225,000) (g)(h)(i) | | | 1,225,000 | | | 1,250,426 | |
| | Wrigley Re 2023-1 Class B, 11.52% (U.S. Treasury Bill Rate + 7.00%), 08/07/2026
(Acquired 07/14/2023 - 09/05/2023; Cost $1,782,447) (e)(g)(h)(i) | | | 1,781,000 | | | 1,859,639 | |
| | | | | | | | 55,498,984 | |
| | Fire - 0.1% | | | | | | | |
| | SD Re 2021-1 Class A, 13.27% (U.S. Treasury Bill Rate + 8.75%), 11/19/2024
(Acquired 04/21/2023; Cost $318,578) (g)(h)(i) | | | 319,000 | | | 318,403 | |
| | SD Re 2021-1 Class B, 13.77% (U.S. Treasury Bill Rate + 9.25%), 11/19/2024
(Acquired 04/21/2023; Cost $898,000) (g)(h)(i) | | | 898,000 | | | 896,284 | |
| | | | | | | | 1,214,687 | |
| | Flood - 1.0% | | | | | | | |
| | FloodSmart Re 2022-1 Class A, 16.35% (U.S. Treasury Bill Rate + 11.83%), 02/25/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $3,404,571) (e)(g)(h)(i) | | | 3,459,000 | | | 3,538,820 | |
| | FloodSmart Re 2022-1 Class B, 18.85% (U.S. Treasury Bill Rate + 14.33%), 02/25/2025
(Acquired 04/21/2023 - 10/24/2023; Cost $1,167,152) (e)(g)(h)(i) | | | 1,192,000 | | | 1,072,795 | |
| | FloodSmart Re 2023-1 Class A, 21.67% (U.S. Treasury Bill Rate + 17.15%), 03/11/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $2,676,172) (g)(h)(i) | | | 2,673,000 | | | 2,740,897 | |
| | FloodSmart Re 2023-1 Class B, 26.92% (U.S. Treasury Bill Rate + 22.40%), 03/11/2026
(Acquired 04/21/2023; Cost $463,420) (g)(h)(i) | | | 464,000 | | | 406,000 | |
| | FloodSmart Re 2024-1 Class A, 18.54% (U.S. Treasury Bill Rate + 14.00%), 03/12/2027
(Acquired 02/29/2024; Cost $5,788,000) (g)(h)(i) | | | 5,788,000 | | | 5,969,164 | |
| | FloodSmart Re 2024-1 Class B, 21.79% (U.S. Treasury Bill Rate + 17.25%), 03/12/2027
(Acquired 02/29/2024; Cost $1,365,000) (g)(h)(i) | | | 1,365,000 | | | 1,381,584 | |
| | | | | | | | 15,109,260 | |
| | Mortality/Longevity/Disease - 0.4% | | | | | | | |
| | Vita Capital VI 2021-1 Class B, 7.98% (SOFR + 3.12%), 01/08/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $1,642,908) (g)(h)(i)(j) | | | 1,769,000 | | | — | |
| | Vitality Re XII 2021 Class A, 6.77% (U.S. Treasury Bill Rate + 2.25%), 01/07/2025
(Acquired 04/21/2023 - 03/20/2024; Cost $1,886,948) (g)(h)(i) | | | 1,889,000 | | | 1,888,902 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 19 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Mortality/Longevity/Disease - 0.4% (continued) | | | | | | | |
| | Vitality Re XII 2021 Class B, 7.27% (U.S. Treasury Bill Rate + 2.75%), 01/07/2025
(Acquired 04/21/2023 - 03/07/2024; Cost $1,016,834) (g)(h)(i) | | | $1,019,000 | | | $1,017,298 | |
| | Vitality Re XIII 2022 Class A, 6.52% (U.S. Treasury Bill Rate + 2.00%), 01/06/2026
(Acquired 04/21/2023; Cost $500,287) (g)(h)(i) | | | 509,000 | | | 506,087 | |
| | Vitality Re XIII 2022 Class B, 7.27% (U.S. Treasury Bill Rate + 2.75%), 01/06/2026
(Acquired 09/27/2023 - 03/07/2024; Cost $608,141) (g)(h)(i) | | | 615,000 | | | 610,251 | |
| | Vitality Re XIV 2023 Class A, 8.02% (U.S. Treasury Bill Rate + 3.50%), 01/05/2027
(Acquired 03/07/2024 - 03/14/2024; Cost $967,621) (e)(g)(h)(i) | | | 954,000 | | | 966,645 | |
| | Vitality Re XV 2024 Class A, 7.04% (U.S. Treasury Bill Rate + 2.50%), 01/07/2028
(Acquired 01/22/2024; Cost $556,000) (e)(g)(h)(i) | | | 556,000 | | | 555,649 | |
| | Vitality Re XV 2024 Class B, 8.04% (U.S. Treasury Bill Rate + 3.50%), 01/07/2028
(Acquired 01/22/2024; Cost $380,000) (e)(g)(h)(i) | | | 380,000 | | | 380,061 | |
| | | | | | | | 5,924,893 | |
| | Multiperil - 6.7% | | | | | | | |
| | Aquila Re I 2023-1 Class B-1, 12.79% (U.S. Treasury Bill Rate + 8.27%), 06/08/2026
(Acquired 05/10/2023; Cost $844,000) (g)(h)(i) | | | 844,000 | | | 890,336 | |
| | Aquila Re I 2023-1 Class C-1, 13.70% (U.S. Treasury Bill Rate + 9.18%), 06/08/2026
(Acquired 05/10/2023 - 10/30/2024; Cost $1,811,898) (g)(h)(i) | | | 1,787,000 | | | 1,904,048 | |
| | Aquila Re I 2024-1 Class A-1, 10.04% (U.S. Treasury Bill Rate + 5.50%), 06/07/2027
(Acquired 04/26/2024; Cost $730,000) (g)(h)(i) | | | 730,000 | | | 746,032 | |
| | Aquila Re I 2024-1 Class B-1, 13.54% (U.S. Treasury Bill Rate + 9.00%), 06/07/2027
(Acquired 04/26/2024; Cost $443,000) (g)(h)(i) | | | 443,000 | | | 463,160 | |
| | Baldwin Re 2021-1 Class A, 6.56% (U.S. Treasury Bill Rate + 2.04%), 07/07/2025
(Acquired 09/05/2023 - 01/31/2024; Cost $1,908,886) (g)(h)(i) | | | 1,921,000 | | | 1,918,431 | |
| | Baldwin Re 2023-1 Class A, 9.02% (U.S. Treasury Bill Rate + 4.50%), 07/07/2027
(Acquired 06/21/2023; Cost $446,000) (g)(h)(i) | | | 446,000 | | | 456,596 | |
| | Blue Halo Re 2022-1 Class A, 14.27% (U.S. Treasury Bill Rate + 9.75%), 02/24/2025
(Acquired 08/29/2024; Cost $399,590) (g)(h)(i) | | | 417,000 | | | 417,646 | |
| | Blue Halo Re 2022-1 Class B, 19.79% (U.S. Treasury Bill Rate + 15.25%), 02/24/2025
(Acquired 01/30/2024; Cost $553,054) (g)(h)(i) | | | 551,000 | | | 517,940 | |
| | Bonanza Re 2023-2 Class A, 4.54% (U.S. Treasury Bill Rate + 0.00%), 01/08/2025
(Acquired 12/19/2023; Cost $606,824) (g)(h)(i) | | | 636,000 | | | 523,913 | |
| | Bowline Re 2022-1 Class A, 10.87% (U.S. Treasury Bill Rate + 6.35%), 05/23/2025
(Acquired 04/21/2023; Cost $339,669) (e)(g)(h)(i) | | | 348,000 | | | 353,568 | |
| | Bowline Re 2022-1 Class B, 20.71% (U.S. Treasury Bill Rate + 16.19%), 05/23/2025
(Acquired 04/21/2023; Cost $311,598) (g)(h)(i) | | | 319,000 | | | 326,814 | |
| | Finca Re 2022-1 Class A, 12.78% (U.S. Treasury Bill Rate + 8.26%), 06/06/2025
(Acquired 04/21/2023; Cost $401,559) (g)(h)(i) | | | 406,000 | | | 417,815 | |
| | Foundation Re 2023-1 Class A, 10.79% (U.S. Treasury Bill Rate + 6.25%), 01/08/2027
(Acquired 12/19/2023; Cost $1,529,000) (g)(h)(i) | | | 1,529,000 | | | 1,573,391 | |
| | Four Lakes Re 2021-1 Class A, 8.91% (U.S. Treasury Bill Rate + 4.39%), 01/07/2025
(Acquired 04/21/2023; Cost $396,239) (g)(h)(i) | | | 406,000 | | | 406,315 | |
| | Four Lakes Re 2023-1 Class A, 10.29% (U.S. Treasury Bill Rate + 5.75%), 01/07/2027
(Acquired 12/08/2023; Cost $433,000) (g)(h)(i) | | | 433,000 | | | 441,408 | |
| | Fuchsia 2023-1 Class A, 14.54% (U.S. Treasury Bill Rate + 10.00%), 04/06/2027
(Acquired 12/14/2023; Cost $1,136,000) (g)(h)(i) | | | 1,136,000 | | | 1,185,795 | |
| | Galileo Re 2023-1 Class A, 11.54% (U.S. Treasury Bill Rate + 7.00%), 01/07/2028
(Acquired 12/04/2023; Cost $1,825,000) (g)(h)(i) | | | 1,825,000 | | | 1,889,942 | |
| | Galileo Re 2023-1 Class B, 11.54% (U.S. Treasury Bill Rate + 7.00%), 01/08/2026
(Acquired 12/04/2023; Cost $568,000) (g)(h)(i) | | | 568,000 | | | 579,568 | |
| | Herbie Re 2020-2 Class A, 11.25% (U.S. Treasury Bill Rate + 6.73%), 01/08/2025
(Acquired 04/08/2024; Cost $596,639) (g)(h)(i) | | | 598,000 | | | 598,760 | |
| | Herbie Re 2020-2 Class B, 14.24% (U.S. Treasury Bill Rate + 9.72%), 01/08/2025
(Acquired 04/21/2023; Cost $459,557) (g)(h)(i) | | | 464,000 | | | 467,159 | |
| | High Point Re 2023-1 Class A, 10.29% (U.S. Treasury Bill Rate + 5.75%), 01/06/2027
(Acquired 12/01/2023; Cost $3,590,000) (g)(h)(i) | | | 3,590,000 | | | 3,673,764 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
20 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Multiperil - 6.7% (continued) | | | | | | | |
| | Hypatia Ltd. 2023-1 Class A, 15.02% (U.S. Treasury Bill Rate + 10.50%), 04/08/2026
(Acquired 04/21/2023; Cost $361,801) (g)(h)(i) | | | $362,000 | | | $378,592 | |
| | Kilimanjaro III Re 2019-1 Class A-1, 4.62% (U.S. Treasury Bill Rate + 0.10%), 01/08/2027
(Acquired 04/21/2023; Cost $715,710) (g)(h)(i) | | | 715,710 | | | 676,775 | |
| | Kilimanjaro III Re 2019-2 Class A-2, 21.18% (U.S. Treasury Bill Rate + 16.66%), 12/19/2024
(Acquired 04/21/2023 - 07/07/2023; Cost $1,517,899) (g)(h)(i) | | | 1,599,821 | | | 1,469,596 | |
| | Kilimanjaro III Re 2019-2 Class B-2, 14.43% (U.S. Treasury Bill Rate + 9.91%), 12/19/2024
(Acquired 04/21/2023; Cost $1,066,667) (g)(h)(i) | | | 1,072,000 | | | 1,071,464 | |
| | Locke Tavern Re 2023-1 Class A, 9.30% (U.S. Treasury Bill Rate + 4.78%), 04/09/2026
(Acquired 04/21/2023 - 08/21/2023; Cost $1,211,029) (g)(h)(i) | | | 1,206,000 | | | 1,237,274 | |
| | Long Point Re IV 2022-1 Class A, 8.77% (U.S. Treasury Bill Rate + 4.25%), 06/01/2026
(Acquired 04/21/2023 - 09/28/2023; Cost $5,631,197) (g)(h)(i) | | | 5,666,000 | | | 5,764,988 | |
| | Merna Re II 2022-2 Class A, 12.01% (U.S. Treasury Bill Rate + 7.49%), 07/07/2025
(Acquired 04/21/2023; Cost $819,172) (g)(h)(i) | | | 869,000 | | | 879,122 | |
| | Merna Re II 2023-1 Class A, 12.27% (U.S. Treasury Bill Rate + 7.75%), 07/07/2026
(Acquired 04/21/2023; Cost $1,034,120) (g)(h)(i) | | | 1,035,000 | | | 1,087,731 | |
| | Merna Re II 2023-2 Class A, 14.77% (U.S. Treasury Bill Rate + 10.25%), 07/07/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $1,697,400) (g)(h)(i) | | | 1,685,000 | | | 1,786,395 | |
| | Merna Re II 2024-1 Class A, 11.79% (U.S. Treasury Bill Rate + 7.25%), 07/07/2027
(Acquired 05/08/2024; Cost $2,019,000) (g)(h)(i) | | | 2,019,000 | | | 2,109,497 | |
| | Merna Re II 2024-2 Class A, 13.29% (U.S. Treasury Bill Rate + 8.75%), 07/07/2027
(Acquired 05/08/2024; Cost $2,574,000) (g)(h)(i) | | | 2,574,000 | | | 2,628,826 | |
| | Merna Re II 2024-3 Class A, 13.04% (U.S. Treasury Bill Rate + 8.50%), 07/07/2027
(Acquired 05/08/2024; Cost $4,289,000) (g)(h)(i) | | | 4,289,000 | | | 4,509,618 | |
| | Mona Lisa Re 2021-1 Class A, 11.52% (U.S. Treasury Bill Rate + 7.00%), 07/08/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $1,934,979) (e)(g)(h)(i) | | | 2,005,000 | | | 2,034,775 | |
| | Mountain Re 2023-1 Class A, 11.34% (U.S. Treasury Bill Rate + 6.82%), 06/05/2026
(Acquired 05/24/2023 - 03/05/2024; Cost $901,638) (g)(h)(i) | | | 892,000 | | | 926,234 | |
| | Mystic Re IV 2021-2 Class A, 10.62% (U.S. Treasury Bill Rate + 6.10%), 01/08/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $2,526,941) (g)(h)(i) | | | 2,555,000 | | | 2,565,667 | |
| | Mystic Re IV 2023-1 Class A, 13.69% (U.S. Treasury Bill Rate + 9.17%), 01/08/2026
(Acquired 04/21/2023 - 06/12/2024; Cost $1,513,082) (g)(h)(i) | | | 1,498,000 | | | 1,556,708 | |
| | Puerto Rico Parametric Re 2024-1 Class A, 9.00% (U.S. Treasury Bill Rate + 9.00%), 06/07/2027 (Acquired 06/14/2024; Cost $368,000) (g)(h)(i) | | | 368,000 | | | 383,500 | |
| | Residential Re 2020-II Class 4, 10.81% (U.S. Treasury Bill Rate + 6.29%), 12/06/2024
(Acquired 04/21/2023; Cost $575,364) (g)(h)(i) | | | 577,000 | | | 574,513 | |
| | Residential Re 2021-I Class 11, 14.45% (U.S. Treasury Bill Rate + 9.93%), 06/06/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $1,461,512) (g)(h)(i) | | | 1,573,000 | | | 1,340,689 | |
| | Residential Re 2021-I Class 12, 10.03% (U.S. Treasury Bill Rate + 5.51%), 06/06/2025
(Acquired 04/21/2023 - 07/12/2023; Cost $1,026,803) (g)(h)(i) | | | 1,078,000 | | | 1,062,591 | |
| | Residential Re 2021-I Class 13, 8.40% (U.S. Treasury Bill Rate + 3.88%), 06/06/2025
(Acquired 04/21/2023; Cost $668,755) (g)(h)(i) | | | 695,000 | | | 696,577 | |
| | Residential Re 2021-I Class 14, 7.23% (U.S. Treasury Bill Rate + 2.71%), 06/06/2025
(Acquired 04/21/2023; Cost $873,345) (g)(h)(i) | | | 898,000 | | | 895,404 | |
| | Residential Re 2022-I Class 11, 17.03% (U.S. Treasury Bill Rate + 12.51%), 06/06/2026
(Acquired 04/21/2023; Cost $356,289) (g)(h)(i) | | | 406,000 | | | 362,472 | |
| | Residential Re 2022-I Class 12, 12.31% (U.S. Treasury Bill Rate + 7.79%), 06/06/2026
(Acquired 04/21/2023; Cost $520,128) (g)(h)(i) | | | 579,000 | | | 533,714 | |
| | Residential Re 2022-I Class 13, 10.06% (U.S. Treasury Bill Rate + 5.54%), 06/06/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $1,741,689) (g)(h)(i) | | | 1,887,000 | | | 1,836,365 | |
| | Residential Re 2022-I Class 14, 8.73% (U.S. Treasury Bill Rate + 4.21%), 06/06/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $2,237,688) (g)(h)(i) | | | 2,358,000 | | | 2,322,546 | |
| | Residential Re 2023-I Class 13, 15.68% (U.S. Treasury Bill Rate + 11.16%), 06/06/2027
(Acquired 04/28/2023 - 07/07/2023; Cost $2,220,725) (g)(h)(i) | | | 2,219,000 | | | 2,199,184 | |
| | Residential Re 2023-I Class 14, 11.05% (U.S. Treasury Bill Rate + 6.53%), 06/06/2027
(Acquired 04/28/2023 - 09/22/2023; Cost $3,632,499) (g)(h)(i) | | | 3,642,000 | | | 3,632,474 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 21 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Multiperil - 6.7% (continued) | | | | | | | |
| | Residential Re 2023-II Class 2, 4.52% (U.S. Treasury Bill Rate + 0.00%), 12/06/2024
(Acquired 11/07/2023; Cost $332,763) (g)(h)(i) | | | $338,000 | | | $333,685 | |
| | Residential Re 2023-II Class 3, 12.94% (U.S. Treasury Bill Rate + 8.42%), 12/06/2027
(Acquired 11/07/2023; Cost $1,105,000) (g)(h)(i) | | | 1,105,000 | | | 1,118,884 | |
| | Residential Re 2023-II Class 5, 10.44% (U.S. Treasury Bill Rate + 5.92%), 12/06/2027
(Acquired 11/07/2023; Cost $2,579,000) (g)(h)(i) | | | 2,579,000 | | | 2,650,618 | |
| | Residential Re 2024-I Class 14, 10.29% (U.S. Treasury Bill Rate + 5.75%), 06/06/2028
(Acquired 04/25/2024; Cost $651,000) (g)(h)(i) | | | 651,000 | | | 652,008 | |
| | Riverfront Re 2021 Class A, 9.02% (U.S. Treasury Bill Rate + 4.50%), 01/07/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $1,833,697) (e)(g)(h)(i) | | | 1,848,000 | | | 1,843,203 | |
| | Riverfront Re 2021 Class B, 11.79% (U.S. Treasury Bill Rate + 7.27%), 01/07/2025
(Acquired 04/21/2023; Cost $314,145) (g)(h)(i) | | | 319,000 | | | 318,582 | |
| | Sakura Re 2022-1 Class A, 18.02% (U.S. Treasury Bill Rate + 13.50%), 01/05/2026
(Acquired 04/21/2023; Cost $681,086) (g)(h)(i) | | | 685,000 | | | 725,573 | |
| | Sanders Re II 2021-1 Class A, 7.77% (U.S. Treasury Bill Rate + 3.25%), 04/07/2025
(Acquired 04/21/2023 - 07/24/2023; Cost $1,335,970) (g)(h)(i) | | | 1,352,000 | | | 1,353,182 | |
| | Sanders Re II 2021-2 Class A, 7.52% (U.S. Treasury Bill Rate + 3.00%), 04/07/2025
(Acquired 04/21/2023 - 10/26/2023; Cost $721,379) (g)(h)(i) | | | 730,000 | | | 731,825 | |
| | Sanders Re III 2022-1 Class A, 7.93% (U.S. Treasury Bill Rate + 3.41%), 04/07/2026
(Acquired 04/21/2023 - 09/28/2023; Cost $2,590,468) (g)(h)(i) | | | 2,675,000 | | | 2,660,983 | |
| | Sanders Re III 2022-1 Class B, 15.12% (U.S. Treasury Bill Rate + 10.60%), 04/07/2026
(Acquired 04/21/2023; Cost $744,679) (g)(h)(i) | | | 811,000 | | | 768,128 | |
| | Sanders Re III 2022-2 Class A, 10.97% (U.S. Treasury Bill Rate + 6.45%), 06/07/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $1,580,637) (g)(h)(i) | | | 1,612,000 | | | 1,651,774 | |
| | Sanders Re III 2022-2 Class B, 12.98% (U.S. Treasury Bill Rate + 8.46%), 06/07/2025
(Acquired 04/21/2023 - 03/28/2024; Cost $1,316,136) (g)(h)(i) | | | 1,342,000 | | | 1,373,536 | |
| | Sanders Re III 2022-3 Class A, 10.79% (U.S. Treasury Bill Rate + 6.27%), 04/07/2027
(Acquired 04/21/2023; Cost $612,175) (g)(h)(i) | | | 604,000 | | | 629,052 | |
| | Sanders Re III 2023-1 Class A, 10.07% (U.S. Treasury Bill Rate + 5.55%), 04/07/2027
(Acquired 04/21/2023; Cost $416,285) (g)(h)(i) | | | 415,000 | | | 425,012 | |
| | Sanders Re III 2023-1 Class B, 15.50% (U.S. Treasury Bill Rate + 15.50%), 04/07/2027
(Acquired 04/21/2023; Cost $516,860) (g)(h)(i) | | | 518,000 | | | 499,155 | |
| | Sanders Re III 2023-2 Class A, 12.66% (U.S. Treasury Bill Rate + 8.14%), 06/05/2026
(Acquired 05/24/2023 - 07/07/2023; Cost $2,568,539) (g)(h)(i) | | | 2,572,000 | | | 2,733,433 | |
| | Sanders Re III 2024-1 Class A, 10.29% (U.S. Treasury Bill Rate + 5.75%), 04/07/2028
(Acquired 01/16/2024; Cost $2,500,000) (g)(h)(i) | | | 2,500,000 | | | 2,587,739 | |
| | Solomon Re 2023-1 Class A, 10.04% (U.S. Treasury Bill Rate + 5.52%), 06/08/2026
(Acquired 06/12/2023; Cost $402,000) (g)(h)(i) | | | 402,000 | | | 413,103 | |
| | Sussex Capital UK PCC 2020-1, 12.88% (U.S. Treasury Bill Rate + 8.36%), 01/08/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $2,333,777) (g)(h)(i) | | | 2,358,000 | | | 2,368,320 | |
| | Titania Re 2021-2 Class A, 11.10% (U.S. Treasury Bill Rate + 6.58%), 12/27/2024
(Acquired 04/21/2023; Cost $515,571) (g)(h)(i) | | | 521,000 | | | 521,585 | |
| | Topanga Re 2021-1 Class A, 9.57% (U.S. Treasury Bill Rate + 5.05%), 01/08/2026
(Acquired 04/21/2023; Cost $762,397) (g)(h)(i) | | | 811,000 | | | 806,479 | |
| | Topanga Re 2021-1 Class B, 10.50% (N/A + 0.50%), 01/04/2028
(Acquired 04/21/2023; Cost $347,876) (g)(h)(i) | | | 348,000 | | | 273,180 | |
| | Vista Re 2022-1 Class A, 19.01% (U.S. Treasury Bill Rate + 14.49%), 05/21/2025
(Acquired 04/21/2023; Cost $513,156) (g)(h)(i) | | | 521,000 | | | 533,869 | |
| | Yosemite Re 2022-1 Class A, 15.11% (U.S. Treasury Bill Rate + 10.60%), 06/06/2025
(Acquired 04/21/2023; Cost $572,223) (g)(h)(i) | | | 579,000 | | | 597,238 | |
| | | | | | | | 94,845,838 | |
| | Windstorm - 9.0% | | | | | | | |
| | 3264 Re 2024-1 Class B, 22.54% (U.S. Treasury Bill Rate + 18.00%), 07/08/2027
(Acquired 06/24/2024; Cost $367,000) (g)(h)(i) | | | 367,000 | | | 400,319 | |
| | Alamo Re 2022-1 Class A, 12.04% (U.S. Treasury Bill Rate + 7.52%), 06/07/2025
(Acquired 04/21/2023 - 03/27/2024; Cost $2,211,213) (g)(h)(i) | | | 2,221,000 | | | 2,265,554 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
22 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Windstorm - 9.0% (continued) | | | | | | | |
| | Alamo Re 2023-1 Class A, 12.91% (U.S. Treasury Bill Rate + 8.39%), 06/07/2026
(Acquired 04/12/2023 - 07/07/2023; Cost $5,580,676) (e)(g)(h)(i) | | | $5,569,000 | | | $5,802,102 | |
| | Alamo Re 2024-1 Class A, 6.00% (U.S. Treasury Bill Rate + 6.00%), 06/07/2027
(Acquired 04/04/2024 - 08/07/2024; Cost $5,682,396) (g)(h)(i) | | | 5,679,000 | | | 5,932,698 | |
| | Alamo Re 2024-1 Class B, 12.29% (U.S. Treasury Bill Rate + 7.75%), 06/07/2027
(Acquired 04/04/2024; Cost $7,167,000) (g)(h)(i) | | | 7,167,000 | | | 7,450,537 | |
| | Alamo Re 2024-1 Class C, 15.79% (U.S. Treasury Bill Rate + 11.25%), 06/07/2026
(Acquired 04/04/2024; Cost $5,796,000) (g)(h)(i) | | | 5,796,000 | | | 6,124,743 | |
| | Armor Re II 2024-1 Class A, 14.79% (U.S. Treasury Bill Rate + 10.25%), 05/07/2027
(Acquired 04/11/2024; Cost $1,948,000) (g)(h)(i) | | | 1,948,000 | | | 2,032,474 | |
| | Astro Re 2021-1 Class A, 13.27% (U.S. Treasury Bill Rate + 8.75%), 07/08/2025
(Acquired 04/21/2023; Cost $377,702) (g)(h)(i)(j) | | | 417,000 | | | 145,950 | |
| | Bayou Re 2023-1 Class A, 17.43% (U.S. Treasury Bill Rate + 12.91%), 05/26/2026
(Acquired 05/11/2023; Cost $585,000) (g)(h)(i) | | | 585,000 | | | 626,331 | |
| | Bayou Re 2023-1 Class B, 24.22% (U.S. Treasury Bill Rate + 19.70%), 05/26/2026
(Acquired 05/11/2023 - 07/07/2023; Cost $1,364,441) (g)(h)(i) | | | 1,366,000 | | | 1,516,174 | |
| | Bayou Re 2024-1 Class A, 13.04% (U.S. Treasury Bill Rate + 8.50%), 04/30/2027
(Acquired 04/18/2024; Cost $1,868,000) (g)(h)(i) | | | 1,868,000 | | | 1,958,566 | |
| | Bayou Re 2024-1 Class B, 23.04% (U.S. Treasury Bill Rate + 18.50%), 04/30/2027
(Acquired 04/18/2024; Cost $623,000) (g)(h)(i) | | | 623,000 | | | 675,813 | |
| | Blue Ridge Re 2023-1 Class A, 9.77% (U.S. Treasury Bill Rate + 5.25%), 01/08/2027
(Acquired 11/14/2023; Cost $2,766,000) (g)(h)(i) | | | 2,766,000 | | | 2,815,076 | |
| | Blue Ridge Re 2023-1 Class B, 12.52% (U.S. Treasury Bill Rate + 8.00%), 01/08/2027
(Acquired 11/14/2023; Cost $3,367,000) (g)(h)(i) | | | 3,367,000 | | | 3,498,631 | |
| | Bonanza Re 2022-2 Class A, 10.14% (U.S. Treasury Bill Rate + 5.62%), 03/16/2025
(Acquired 04/21/2023; Cost $500,441) (g)(h)(i) | | | 521,000 | | | 501,983 | |
| | Cape Lookout Re 2022-1 Class A, 14.11% (U.S. Treasury Bill Rate + 9.59%), 03/28/2025
(Acquired 04/21/2023 - 07/07/2023; Cost $4,041,804) (g)(h)(i) | | | 4,088,000 | | | 4,155,990 | |
| | Cape Lookout Re 2023-1 Class A, 12.94% (U.S. Treasury Bill Rate + 8.42%), 04/28/2026
(Acquired 04/14/2023 - 09/17/2024; Cost $7,025,276) (e)(g)(h)(i) | | | 7,007,000 | | | 7,305,228 | |
| | Cape Lookout Re 2024-1 Class A, 12.54% (U.S. Treasury Bill Rate + 8.00%), 04/05/2027
(Acquired 03/12/2024 - 09/13/2024; Cost $6,382,202) (g)(h)(i) | | | 6,368,000 | | | 6,522,297 | |
| | Catahoula Re II 2022-1 Class A, 15.76% (U.S. Treasury Bill Rate + 11.24%), 06/16/2025
(Acquired 04/21/2023 - 03/28/2024; Cost $1,274,912) (g)(h)(i) | | | 1,300,000 | | | 1,375,347 | |
| | Catahoula Re II 2022-1 Class B, 17.88% (U.S. Treasury Bill Rate + 13.36%), 06/16/2025
(Acquired 04/21/2023; Cost $912,354) (g)(h)(i) | | | 927,000 | | | 971,669 | |
| | Charles River Re 2024-1 Class A, 11.29% (U.S. Treasury Bill Rate + 6.75%), 05/10/2027
(Acquired 04/05/2024; Cost $1,340,000) (g)(h)(i) | | | 1,340,000 | | | 1,376,357 | |
| | Citrus Re 2022-1 Class A, 9.58% (U.S. Treasury Bill Rate + 5.06%), 06/07/2025
(Acquired 04/21/2023; Cost $715,905) (g)(h)(i) | | | 724,000 | | | 737,033 | |
| | Citrus Re 2023-1 Class A, 11.11% (U.S. Treasury Bill Rate + 6.59%), 06/07/2026
(Acquired 04/27/2023; Cost $828,000) (e)(g)(h)(i) | | | 828,000 | | | 863,701 | |
| | Citrus Re 2023-1 Class B, 13.29% (U.S. Treasury Bill Rate + 8.77%), 06/07/2026
(Acquired 04/27/2023; Cost $719,000) (g)(h)(i) | | | 719,000 | | | 750,927 | |
| | Citrus Re 2024-1 Class A, 13.79% (U.S. Treasury Bill Rate + 9.25%), 06/07/2027
(Acquired 03/19/2024; Cost $395,000) (g)(h)(i) | | | 395,000 | | | 406,998 | |
| | Citrus Re 2024-1 Class B, 15.04% (U.S. Treasury Bill Rate + 10.50%), 06/07/2027
(Acquired 03/19/2024; Cost $762,000) (g)(h)(i) | | | 762,000 | | | 787,766 | |
| | Commonwealth Re 2023-1 Class A, 8.79% (U.S. Treasury Bill Rate + 4.27%), 07/08/2026
(Acquired 06/07/2023; Cost $837,000) (g)(h)(i) | | | 837,000 | | | 859,291 | |
| | Everglades Re II 2024-1 Class A, 15.04% (U.S. Treasury Bill Rate + 10.50%), 05/13/2027
(Acquired 05/15/2024; Cost $4,296,000) (g)(h)(i) | | | 4,296,000 | | | 4,494,634 | |
| | Everglades Re II 2024-1 Class B, 16.04% (U.S. Treasury Bill Rate + 11.50%), 05/13/2027
(Acquired 05/15/2024; Cost $4,321,000) (g)(h)(i) | | | 4,321,000 | | | 4,519,520 | |
| | Everglades Re II 2024-1 Class C, 17.29% (U.S. Treasury Bill Rate + 12.75%), 05/13/2027
(Acquired 05/15/2024; Cost $2,995,000) (g)(h)(i) | | | 2,995,000 | | | 3,145,319 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 23 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Windstorm - 9.0% (continued) | | | | | | | |
| | First Coast Re III 2021-1 Class A, 11.26% (U.S. Treasury Bill Rate + 6.74%), 04/07/2025
(Acquired 04/21/2023 - 08/18/2023; Cost $817,142) (g)(h)(i) | | | $834,000 | | | $838,795 | |
| | Fish Pond Re 2024-1 Class A, 8.54% (U.S. Treasury Bill Rate + 4.00%), 01/08/2027
(Acquired 12/22/2023; Cost $1,327,000) (g)(h)(i) | | | 1,327,000 | | | 1,352,952 | |
| | Gateway Re 2022-1 Class A, 13.80% (U.S. Treasury Bill Rate + 9.28%), 05/12/2025
(Acquired 04/21/2023 - 01/10/2024; Cost $1,346,756) (g)(h)(i) | | | 1,360,000 | | | 1,389,054 | |
| | Gateway Re 2023-1 Class A, 18.48% (U.S. Treasury Bill Rate + 13.96%), 02/24/2026
(Acquired 04/21/2023 - 07/07/2023; Cost $2,590,972) (g)(h)(i) | | | 2,560,000 | | | 2,755,036 | |
| | Gateway Re 2023-1 Class B, 24.92% (U.S. Treasury Bill Rate + 20.40%), 02/24/2026
(Acquired 04/21/2023; Cost $404,571) (g)(h)(i) | | | 408,000 | | | 441,784 | |
| | Gateway Re 2023-3 Class A, 14.52% (U.S. Treasury Bill Rate + 10.00%), 07/08/2026
(Acquired 07/14/2023; Cost $752,000) (g)(h)(i) | | | 752,000 | | | 783,720 | |
| | Gateway Re 2024-1 Class A, 4.54% (U.S. Treasury Bill Rate + 0.00%), 12/23/2024
(Acquired 03/11/2024; Cost $1,116,617) (g)(h)(i) | | | 1,133,000 | | | 1,119,278 | |
| | Gateway Re 2024-1 Class AA, 10.04% (U.S. Treasury Bill Rate + 5.50%), 07/08/2027
(Acquired 03/11/2024 - 07/11/2024; Cost $1,256,011) (g)(h)(i) | | | 1,259,000 | | | 1,292,953 | |
| | Gateway Re 2024-2 Class C, 4.54% (U.S. Treasury Bill Rate + 0.00%), 12/23/2024
(Acquired 03/28/2024; Cost $1,670,379) (g)(h)(i) | | | 1,700,000 | | | 1,670,808 | |
| | Gateway Re 2024-4 Class A, 4.54% (U.S. Treasury Bill Rate + 0.00%), 01/08/2025
(Acquired 06/24/2024; Cost $573,563) (g)(h)(i) | | | 610,000 | | | 588,951 | |
| | Gateway Re II 2023-1 Class A, 13.42% (U.S. Treasury Bill Rate + 8.90%), 04/27/2026
(Acquired 04/13/2023 - 04/21/2023; Cost $1,099,941) (g)(h)(i) | | | 1,100,000 | | | 1,171,360 | |
| | Hestia Re 2022-1 Class A, 14.60% (U.S. Treasury Bill Rate + 10.08%), 04/22/2025
(Acquired 04/21/2023 - 03/20/2024; Cost $2,543,784) (g)(h)(i) | | | 2,644,000 | | | 2,181,300 | |
| | Integrity Re 2022-1 Class A, 11.35% (U.S. Treasury Bill Rate + 6.83%), 06/06/2025
(Acquired 04/21/2023; Cost $743,826) (g)(h)(i)(j) | | | 782,000 | | | 97,750 | |
| | Integrity Re 2023-1 Class A, 17.38% (U.S. Treasury Bill Rate + 12.86%), 06/06/2025
(Acquired 04/21/2023; Cost $672,551) (g)(h)(i) | | | 674,000 | | | 660,519 | |
| | Integrity Re 2024-1 Class A, 15.04% (U.S. Treasury Bill Rate + 10.50%), 06/06/2026
(Acquired 03/01/2024; Cost $764,000) (e)(g)(h)(i) | | | 764,000 | | | 740,836 | |
| | Integrity Re 2024-1 Class B, 17.79% (U.S. Treasury Bill Rate + 13.25%), 06/06/2026
(Acquired 03/01/2024; Cost $436,000) (g)(h)(i) | | | 436,000 | | | 356,756 | |
| | Integrity Re 2024-1 Class C, 21.54% (U.S. Treasury Bill Rate + 17.00%), 06/06/2026
(Acquired 03/01/2024; Cost $764,000) (g)(h)(i) | | | 764,000 | | | 599,739 | |
| | Integrity Re 2024-1 Class D, 27.54% (U.S. Treasury Bill Rate + 23.00%), 06/06/2026
(Acquired 03/01/2024; Cost $1,200,000) (g)(h)(i) | | | 1,200,000 | | | 776,999 | |
| | Lightning Re 2023-1 Class A, 15.52% (U.S. Treasury Bill Rate + 11.00%), 03/31/2026
(Acquired 04/21/2023 - 04/10/2024; Cost $6,547,494) (g)(h)(i) | | | 6,340,000 | | | 6,704,547 | |
| | Longleaf Pine Re 2024-1 Class A, 22.04% (U.S. Treasury Bill Rate + 17.50%), 05/25/2027
(Acquired 05/10/2024; Cost $1,731,000) (g)(h)(i) | | | 1,731,000 | | | 1,879,076 | |
| | Lower Ferry Re 2023-1 Class A, 8.95% (U.S. Treasury Bill Rate + 4.43%), 07/08/2026
(Acquired 06/23/2023; Cost $586,000) (g)(h)(i) | | | 586,000 | | | 601,668 | |
| | Lower Ferry Re 2023-1 Class B, 9.79% (U.S. Treasury Bill Rate + 5.27%), 07/08/2026
(Acquired 06/23/2023 - 07/07/2023; Cost $1,929,815) (g)(h)(i) | | | 1,930,000 | | | 1,991,640 | |
| | Mayflower Re 2023-1 Class A, 4.69% (U.S. Treasury Bill Rate + 4.69%), 07/08/2026
(Acquired 06/26/2023; Cost $1,075,000) (g)(h)(i) | | | 1,075,000 | | | 1,106,365 | |
| | Mayflower Re 2023-1 Class B, 10.53% (U.S. Treasury Bill Rate + 6.02%), 07/08/2026
(Acquired 06/26/2023 - 07/07/2023; Cost $3,524,701) (g)(h)(i) | | | 3,525,000 | | | 3,672,960 | |
| | Mayflower Re 2024-1 Class A, 4.50% (U.S. Treasury Bill Rate + 4.50%), 07/08/2027
(Acquired 06/21/2024; Cost $955,000) (g)(h)(i) | | | 955,000 | | | 981,350 | |
| | Nature Coast Re 2023-1 Class A, 14.54% (U.S. Treasury Bill Rate + 10.00%), 12/07/2026
(Acquired 11/16/2023; Cost $1,783,000) (g)(h)(i) | | | 1,783,000 | | | 1,806,033 | |
| | Nature Coast Re 2023-1 Class B, 18.04% (U.S. Treasury Bill Rate + 13.50%), 12/07/2026
(Acquired 11/16/2023; Cost $624,000) (g)(h)(i) | | | 624,000 | | | 629,585 | |
| | Nature Coast Re 2024-1 Class A, 19.29% (U.S. Treasury Bill Rate + 14.75%), 06/07/2028
(Acquired 06/17/2024; Cost $686,000) (g)(h)(i) | | | 686,000 | | | 718,797 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
24 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | |
| | Windstorm - 9.0% (continued) | | | | | | | |
| | Palm Re 2024-1 Class A, 14.04% (U.S. Treasury Bill Rate + 9.50%), 06/07/2027
(Acquired 04/04/2024; Cost $1,396,000) (g)(h)(i) | | | $1,396,000 | | | $1,445,203 | |
| | Pelican IV Re 2021-1 Class B, 5.02% (U.S. Treasury Bill Rate + 0.50%), 05/07/2027
(Acquired 04/21/2023; Cost $356,289) (g)(h)(i)(j) | | | 377,000 | | | 19 | |
| | Purple Re 2023-1 Class A, 17.55% (1 Month Term SOFR + 12.81%), 04/24/2026
(Acquired 04/21/2023; Cost $931,907) (g)(h)(i) | | | 932,000 | | | 923,424 | |
| | Purple Re 2023-2 Class A, 15.02% (U.S. Treasury Bill Rate + 10.50%), 06/05/2026
(Acquired 06/27/2023; Cost $864,000) (g)(h)(i) | | | 864,000 | | | 887,698 | |
| | Purple Re 2024-1 Class A, 13.54% (U.S. Treasury Bill Rate + 9.00%), 06/07/2027
(Acquired 04/02/2024; Cost $3,581,000) (g)(h)(i) | | | 3,581,000 | | | 3,651,599 | |
| | Sabine Re 2024-1 Class A, 12.79% (U.S. Treasury Bill Rate + 8.25%), 04/07/2027
(Acquired 03/26/2024; Cost $726,000) (g)(h)(i) | | | 726,000 | | | 752,644 | |
| | Winston Re 2024-1 Class A, 14.79% (U.S. Treasury Bill Rate + 10.25%), 02/26/2027
(Acquired 02/14/2024; Cost $1,350,000) (g)(h)(i) | | | 1,350,000 | | | 1,350,330 | |
| | Winston Re 2024-1 Class B, 16.29% (U.S. Treasury Bill Rate + 11.75%), 02/26/2027
(Acquired 02/14/2024; Cost $562,000) (g)(h)(i) | | | 562,000 | | | 465,440 | |
| | | | | | | | 128,405,996 | |
| | | | | | | | 300,999,658 | |
| | TOTAL EVENT LINKED BONDS (Cost $361,339,903) | | | | | | 365,877,333 | |
| | | | | | | | | |
| | | | | | | | | |
| | INVESTMENT COMPANIES - 5.6% | | | | | | | |
| | Open-End Mutual Funds - 5.6% | | | | | | | |
| | Stone Ridge Art Risk Premium Fund (l) | | | 1,198,422 | | | 12,799,145 | |
| | Stone Ridge High Yield Reinsurance Risk Premium Fund - Class I (l) | | | 7,154,010 | | | 66,389,214 | |
| | TOTAL INVESTMENT COMPANIES (Cost $78,005,227) | | | | | | 79,188,359 | |
| | | | | | | | | |
| | | | | | | | | |
| | PARTICIPATION NOTES (f) - 2.8% | | | | | | | |
| | Global - 2.8% | | | | | | | |
| | Multiperil- 2.8% | | | | | | | |
| | Eden Re II 2021-1 Class B (Acquired 04/21/2023; Cost $100,693) (g)(h)(i)(j)(m)(n) | | | 107,899 | | | 13,268 | |
| | Eden Re II 2022-1 Class A (Acquired 04/21/2023; Cost $15,737) (g)(h)(i)(j)(m)(n) | | | 20,352 | | | 15,581 | |
| | Eden Re II 2022-1 Class B (Acquired 04/21/2023; Cost $15,032) (g)(h)(i)(j)(m)(n) | | | 18,588 | | | 16,913 | |
| | Eden Re II 2023-1 Class B (Acquired 07/07/2023; Cost $20,459) (g)(h)(i)(j)(m) | | | 19,431 | | | 365,605 | |
| | Eden Re II 2024-1 Class B (Acquired 12/20/2023; Cost $7,200,000) (g)(h)(i)(j)(m)(n) | | | 7,200,000 | | | 8,245,727 | |
| | Sector Re V Series 2022-Dec Class GL-R (Acquired 04/21/2023; Cost $1,107) (h)(i)(j)(n) | | | 1,070 | | | 25,566 | |
| | Sector Re V Series 2023-Apr Class GL-N (Acquired 04/25/2023; Cost $35,480) (h)(i)(j) | | | 35,480 | | | 1,605,485 | |
| | Sector Re V Series 2023-Apr Class GL-R (Acquired 07/07/2023; Cost $1,100) (h)(i)(j) | | | 1,073 | | | 48,554 | |
| | Sector Re V Series 2023-Dec Class GL-R (Acquired 12/08/2023; Cost $499,400) (h)(i)(j)(n) | | | 499,400 | | | 640,798 | |
| | Sector Re V Series 2024-Apr Class GL-R (Acquired 04/29/2024; Cost $25,756,000) (h)(i)(j)(n) | | | 25,756,000 | | | 29,482,241 | |
| | TOTAL PARTICIPATION NOTES (Cost $33,645,010) | | | | | | 40,459,738 | |
| | | | | | | | | |
| | | | | | | | | |
| | PREFERENCE SHARES (f) - 4.0% | | | | | | | |
| | Global - 4.0% | | | | | | | |
| | Multiperil - 4.0% | | | | | | | |
| | Longleaf (Artex Segregated Account Company) (Acquired 07/07/2023; Cost $35,082,000) (h)(i)(j)(m)(n) | | | 35,082 | | | 57,044,707 | |
| | TOTAL PREFERENCE SHARES (Cost $35,082,000) | | | | | | 57,044,707 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 25 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | | | | |
| | PURCHASED OPTIONS - 0.7% | | | | | | | | | | |
| | Call Options - 0.0% (k) | | | | | | | | | | |
| | Australian Dollar Future, Expires 11/08/2024 Strike Price $67.00 | | | 338 | | | $22,231,950 | | | $41,361 | |
| | Euro FX Future, Expires 11/08/2024 Strike Price $1.1000 | | | 124 | | | 16,879,500 | | | 48,344 | |
| | Euro FX Future, Expires 11/08/2024 Strike Price $1.1100 | | | 128 | | | 17,424,000 | | | 32,303 | |
| | Japanese Yen Future, Expires 11/08/2024 Strike Price $67.25 | | | 143 | | | 11,820,737 | | | 50,389 | |
| | Japanese Yen Future, Expires 11/08/2024 Strike Price $67.50 | | | 123 | | | 10,167,488 | | | 35,591 | |
| | Japanese Yen Future, Expires 11/08/2024 Strike Price $69.50 | | | 146 | | | 12,068,725 | | | 9,465 | |
| | Japanese Yen Future, Expires 11/08/2024 Strike Price $70.00 | | | 190 | | | 15,705,875 | | | 9,938 | |
| | TOTAL CALL OPTIONS (Cost $227,391) | | | | | | | | | 227,391 | |
| | Put Options - 0.7% | | | | | | | | | | |
| | S&P 500 Index, Expires 11/15/2024; Strike Price: $4,900.00 | | | 150 | | | 85,581,750 | | | 84,750 | |
| | S&P 500 Index, Expires 11/22/2024; Strike Price: $4,650.00 | | | 250 | | | 142,636,250 | | | 153,750 | |
| | S&P 500 Index, Expires 12/06/2024; Strike Price: $4,950.00 | | | 170 | | | 96,992,650 | | | 263,500 | |
| | S&P 500 Index, Expires 12/20/2024; Strike Price: $5,150.00 | | | 100 | | | 57,054,500 | | | 343,000 | |
| | S&P 500 Index, Expires 12/18/2026; Strike Price: $4,450.00 | | | 100 | | | 57,054,500 | | | 1,486,000 | |
| | S&P 500 Index, Expires 12/18/2026; Strike Price: $4,500.00 | | | 91 | | | 51,919,595 | | | 1,410,955 | |
| | S&P 500 Index, Expires 12/18/2026; Strike Price: $4,550.00 | | | 155 | | | 88,434,475 | | | 2,507,900 | |
| | S&P 500 Index, Expires 12/18/2026; Strike Price: $4,600.00 | | | 100 | | | 57,054,500 | | | 1,687,500 | |
| | S&P 500 Index, Expires 12/18/2026; Strike Price: $4,650.00 | | | 83 | | | 47,355,235 | | | 1,460,385 | |
| | | | | | | | | | | 9,397,740 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | OTC Put Options - 0.0% (k) | | | | | | | | | | |
| | AUD/JPY, Expires: 12/27/2024, Strike Price: $91.00 | | | Barclays | | | 120,000,000 | | | 204,481 | |
| | AUD/JPY, Expires: 01/17/2025, Strike Price: $93.00 | | | BNP Paribas | | | 100,000,000 | | | 426,383 | |
| | | | | | | | | | | 630,864 | |
| | TOTAL PUT OPTIONS (Cost $10,787,780) | | | | | | | | | 10,028,604 | |
| | TOTAL PURCHASED OPTIONS (Cost $11,015,171) | | | | | | | | | 10,255,995 | |
| | | | | | | | | | | | |
| | | | | | | | | |
| | SHORT-TERM INVESTMENTS - 40.7% | | | | | | | |
| | Money Market Funds - 5.5% | | | | | | | |
| | First American Government Obligations Fund - Class X 4.78% (o) | | | 39,401,202 | | | 39,401,202 | |
| | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class 4.78% (o) | | | 39,401,202 | | | 39,401,202 | |
| | | | | | | | 78,802,404 | |
| | | | | | | | | |
| | | | | | | | | |
| | U.S. Treasury Bills - 35.2% | | | | | | | |
| | 4.877%, 11/29/2024 (p)(q) | | | $35,500,000 | | | 35,373,170 | |
| | 4.848%, 12/26/2024 (p)(q) | | | 68,000,000 | | | 67,526,075 | |
| | 4.880%, 01/23/2025 (p)(q) | | | 29,000,000 | | | 28,703,648 | |
| | 5.036%, 02/20/2025 (p)(q) | | | 39,000,000 | | | 38,468,272 | |
| | 5.166%, 03/20/2025 (p)(q) | | | 20,000,000 | | | 19,662,782 | |
| | 5.220%, 04/17/2025 (p)(q) | | | 29,000,000 | | | 28,419,035 | |
| | 5.216%, 05/15/2025 (p)(q) | | | 35,000,000 | | | 34,201,958 | |
| | 5.155%, 06/12/2025 (p)(q) | | | 28,470,000 | | | 27,736,660 | |
| | 4.809% 07/10/2025 (p)(q) | | | 42,500,000 | | | 41,274,052 | |
| | 4.459% 08/07/2025 (p)(q) | | | 102,000,000 | | | 98,730,769 | |
| | 4.024% 09/04/2025 (p)(q) | | | 53,000,000 | | | 51,129,671 | |
| | 4.248%, 10/02/2025 (p)(q) | | | 30,000,000 | | | 28,860,414 | |
| | | | | | | | 500,086,506 | |
| | TOTAL SHORT-TERM INVESTMENTS (Cost $578,442,391) | | | | | | 578,888,910 | |
| | | | | | | | | |
| | | | | | | |
| | | The accompanying Notes are an integral part of the Consolidated Schedule of Investments.
| | | (Continued) |
| | | | | | | |
26 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | | | | | | | | | | |
| | WHOLE LOANS - 4.1% | | | | | | | | | | | | | | | | |
| | Consumer Loans - 3.4% | | | | | | | | | | | | | | | | |
| | United States - 3.4% | | | | | | | | | | | | | | | | |
| | 185222071.SRDLC, 14.19%, 2/9/2025 (a)(n)(r) | | | Lending Club | | | 2/11/2022 | | | $ 1,175 | | | $1,175 | | | $120 | |
| | 185240121.SRDLC, 14.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 3,819 | | | 3,819 | | | 3,796 | |
| | 185241731.SRDLC, 18.49%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 7,540 | | | 7,540 | | | 7,399 | |
| | 185262054.SRDLC, 8.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,996 | | | 2,996 | | | 2,971 | |
| | 185262514.SRDLC, 27.99%, 2/23/2025 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 1,699 | | | 1,699 | | | 531 | |
| | 185340369.SRDLC, 5.00%, 2/18/2028 (a)(n)(r) | | | Lending Club | | | 2/23/2022 | | | 9,277 | | | 9,277 | | | 948 | |
| | 185434476.SRDLC, 9.59%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,886 | | | 1,886 | | | 1,874 | |
| | 185456190.SRDLC, 12.49%, 2/8/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,786 | | | 1,786 | | | 1,770 | |
| | 185537602.SRDLC, 11.49%, 2/22/2027 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 21,511 | | | 21,511 | | | 20,784 | |
| | 185539968.SRDLC, 23.99%, 11/23/2027 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 4,563 | | | 4,563 | | | 4,563 | |
| | 185623354.SRDLC, 9.24%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 4,007 | | | 4,007 | | | 3,982 | |
| | 185668066.SRDLC, 5.99%, 8/9/2025 (a)(n)(r) | | | Lending Club | | | 2/11/2022 | | | 9,987 | | | 9,987 | | | 1,385 | |
| | 185670728.SRDLC, 7.49%, 5/14/2025 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 2,034 | | | 2,034 | | | — | |
| | 185670829.SRDLC, 12.49%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,043 | | | 1,043 | | | 1,029 | |
| | 185710985.SRDLC, 9.49%, 2/28/2027 (a)(r) | | | Lending Club | | | 3/02/2022 | | | 7,567 | | | 7,567 | | | 7,397 | |
| | 185741639.SRDLC, 17.94%, 7/13/2025 (a)(n)(r) | | | Lending Club | | | 2/15/2022 | | | 5,084 | | | 5,084 | | | 520 | |
| | 185754712.SRDLC, 7.74%, 2/10/2025 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 1,474 | | | 1,474 | | | 1,465 | |
| | 185780292.SRDLC, 21.49%, 2/10/2027 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 10,758 | | | 10,758 | | | 10,540 | |
| | 185783823.SRDLC, 11.19%, 2/28/2027 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 5,395 | | | 5,395 | | | 5,170 | |
| | 185790106.SRDLC, 18.99%, 2/24/2025 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 5,283 | | | 5,283 | | | 5,286 | |
| | 185805124.SRDLC, 12.49%, 2/21/2025 (a)(n)(r) | | | Lending Club | | | 2/17/2022 | | | 4,910 | | | 4,910 | | | 4,863 | |
| | 185816655.SRDLC, 8.74%, 3/4/2025 (a)(r) | | | Lending Club | | | 3/08/2022 | | | 1,395 | | | 1,395 | | | 1,383 | |
| | 185816728.SRDLC, 10.99%, 2/28/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 2,327 | | | 2,327 | | | 2,292 | |
| | 185818512.SRDLC, 12.74%, 2/15/2027 (a)(r) | | | Lending Club | | | 3/02/2022 | | | 21,578 | | | 21,578 | | | 20,827 | |
| | 185821978.SRDLC, 6.49%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 2,419 | | | 2,419 | | | 2,400 | |
| | 185865725.SRDLC, 11.49%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 1,550 | | | 1,550 | | | 1,528 | |
| | 185884862.SRDLC, 30.49%, 6/22/2025 (a)(n)(r) | | | Lending Club | | | 2/24/2022 | | | 1,935 | | | 1,935 | | | 198 | |
| | 185890987.SRDLC, 16.49%, 3/7/2025 (a)(n)(r) | | | Lending Club | | | 3/09/2022 | | | 5,198 | | | 5,198 | | | 531 | |
| | 185947404.SRDLC, 16.74%, 2/15/2027 (a)(n)(r) | | | Lending Club | | | 2/17/2022 | | | 25,981 | | | 25,981 | | | 2,655 | |
| | 185970566.SRDLC, 5.09%, 2/18/2025 (a)(r) | | | Lending Club | | | 2/23/2022 | | | 326 | | | 326 | | | 324 | |
| | 185983273.SRDLC, 5.09%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 2,197 | | | 2,197 | | | 2,181 | |
| | 185994538.SRDLC, 10.09%, 2/15/2025 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 5,089 | | | 5,089 | | | 5,053 | |
| | 186002006.SRDLC, 5.94%, 5/25/2025 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 2,238 | | | 2,238 | | | 2,210 | |
| | 186008277.SRDLC, 17.94%, 2/23/2025 (a)(n)(r) | | | Lending Club | | | 2/25/2022 | | | 17,722 | | | 17,722 | | | 1,811 | |
| | 186008308.SRDLC, 11.24%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 1,541 | | | 1,541 | | | 1,522 | |
| | 186016502.SRDLC, 14.19%, 4/19/2027 (a)(r) | | | Lending Club | | | 3/08/2022 | | | 13,897 | | | 13,897 | | | 13,675 | |
| | 186019656.SRDLC, 23.99%, 2/11/2025 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 948 | | | 948 | | | 937 | |
| | 186023728.SRDLC, 5.99%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 961 | | | 961 | | | 954 | |
| | 186029660.SRDLC, 6.59%, 2/15/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 14,721 | | | 14,721 | | | 14,424 | |
| | 186035989.SRDLC, 6.49%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 870 | | | 870 | | | 864 | |
| | 186036790.SRDLC, 7.44%, 2/15/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 17,950 | | | 17,950 | | | 17,597 | |
| | 186038736.SRDLC, 10.49%, 2/25/2025 (a)(n)(r) | | | Lending Club | | | 2/24/2022 | | | 2,809 | | | 2,809 | | | 287 | |
| | 186058758.SRDLC, 5.09%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 2,613 | | | 2,613 | | | 2,591 | |
| | 186061425.SRDLC, 6.59%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 2,422 | | | 2,422 | | | 2,401 | |
| | 186063741.SRDLC, 20.49%, 7/4/2025 (a)(r) | | | Lending Club | | | 3/08/2022 | | | 4,567 | | | 4,588 | | | 4,518 | |
| | 186063949.SRDLC, 4.99%, 2/10/2025 (a)(n)(r) | | | Lending Club | | | 2/14/2022 | | | 1,686 | | | 1,686 | | | 172 | |
| | 186068704.SRDLC, 8.49%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 4,184 | | | 4,184 | | | 4,156 | |
| | 186070979.SRDLC, 7.24%, 2/10/2025 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 610 | | | 610 | | | 606 | |
| | 186075189.SRDLC, 28.99%, 2/11/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 6,404 | | | 6,404 | | | 6,707 | |
| | 186078991.SRDLC, 13.74%, 3/28/2027 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 5,281 | | | 5,281 | | | 5,124 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of the consolidated financial statements.
| | | (Continued) |
| | | | | | | |
| | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | 27 |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | | | | | | | | | | |
| | United States - 3.4% (continued) | |
| | 186080289.SRDLC, 6.49%, 2/10/2025 (a)(r) | | | Lending Club | | | 2/14/2022 | | | $846 | | | $846 | | | $840 | |
| | 186083977.SRDLC, 10.24%, 2/10/2027 (a)(n)(r) | | | Lending Club | | | 2/14/2022 | | | 4,708 | | | 4,708 | | | 2,550 | |
| | 186086541.SRDLC, 24.99%, 2/11/2027 (a)(n)(r) | | | Lending Club | | | 2/15/2022 | | | 4,687 | | | 4,687 | | | 4,561 | |
| | 186087410.SRDLC, 11.99%, 2/9/2025 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 1,641 | | | 1,641 | | | 1,618 | |
| | 186089886.SRDLC, 16.94%, 7/9/2027 (a)(n)(r) | | | Lending Club | | | 2/11/2022 | | | 12,967 | | | 12,967 | | | 1,325 | |
| | 186092349.SRDLC, 15.99%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/11/2022 | | | 11,094 | | | 11,094 | | | 10,814 | |
| | 186094747.SRDLC, 10.59%, 2/24/2025 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 2,992 | | | 2,992 | | | 2,955 | |
| | 186094950.SRDLC, 6.99%, 2/16/2025 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 1,004 | | | 1,004 | | | 997 | |
| | 186096639.SRDLC, 7.59%, 2/10/2027 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 20,038 | | | 20,038 | | | 19,636 | |
| | 186098721.SRDLC, 12.24%, 2/11/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 17,600 | | | 17,600 | | | 17,348 | |
| | 186100035.SRDLC, 16.99%, 2/18/2025 (a)(n)(r) | | | Lending Club | | | 2/14/2022 | | | 2,701 | | | 2,701 | | | 276 | |
| | 186106421.SRDLC, 5.99%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 2,163 | | | 2,163 | | | 2,146 | |
| | 186106808.SRDLC, 23.49%, 2/10/2027 (a)(n)(r) | | | Lending Club | | | 2/14/2022 | | | 4,379 | | | 4,379 | | | 2,758 | |
| | 186107208.SRDLC, 18.49%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 8,167 | | | 8,167 | | | 8,006 | |
| | 186110286.SRDLC, 9.24%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 689 | | | 688 | | | 683 | |
| | 186116099.SRDLC, 18.19%, 2/10/2027 (a)(r) | | | Lending Club | | | 2/14/2022 | | | 4,626 | | | 4,626 | | | 4,506 | |
| | 186118888.SRDLC, 29.49%, 3/17/2027 (a)(n)(r) | | | Lending Club | | | 3/04/2022 | | | 10,700 | | | 10,700 | | | 11,128 | |
| | 186118898.SRDLC, 10.59%, 2/17/2025 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 2,547 | | | 2,547 | | | 2,516 | |
| | 186119250.SRDLC, 16.19%, 6/28/2025 (a)(n)(r) | | | Lending Club | | | 2/23/2022 | | | 1,504 | | | 1,504 | | | 1,481 | |
| | 186124468.SRDLC, 9.34%, 2/22/2027 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 6,820 | | | 6,820 | | | 6,664 | |
| | 186126018.SRDLC, 19.99%, 2/24/2027 (a)(r) | | | Lending Club | | | 2/28/2022 | | | 5,197 | | | 5,197 | | | 5,120 | |
| | 186127839.SRDLC, 15.19%, 2/21/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 3,662 | | | 3,662 | | | 3,568 | |
| | 186131293.SRDLC, 15.19%, 2/26/2027 (a)(n)(r) | | | Lending Club | | | 2/15/2022 | | | 8,212 | | | 8,212 | | | 8,133 | |
| | 186133242.SRDLC, 9.34%, 2/11/2025 (a)(n)(r) | | | Lending Club | | | 2/15/2022 | | | 2,027 | | | 2,027 | | | 207 | |
| | 186133493.SRDLC, 14.49%, 2/15/2025 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 2,420 | | | 2,420 | | | 2,406 | |
| | 186135609.SRDLC, 10.49%, 2/11/2025 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 1,272 | | | 1,272 | | | 1,255 | |
| | 186135953.SRDLC, 19.99%, 2/24/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 4,807 | | | 4,807 | | | 4,795 | |
| | 186136661.SRDLC, 6.49%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,087 | | | 1,087 | | | 1,079 | |
| | 186137516.SRDLC, 23.49%, 2/11/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 15,236 | | | 15,236 | | | 15,513 | |
| | 186137950.SRDLC, 4.99%, 2/28/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 14,002 | | | 14,002 | | | 13,703 | |
| | 186139447.SRDLC, 20.44%, 3/25/2028 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 30,287 | | | 30,287 | | | 6,541 | |
| | 186143484.SRDLC, 18.44%, 3/12/2025 (a)(n)(r) | | | Lending Club | | | 3/09/2022 | | | 1,512 | | | 1,512 | | | 155 | |
| | 186144111.SRDLC, 12.34%, 2/23/2025 (a)(n)(r) | | | Lending Club | | | 2/15/2022 | | | 1,993 | | | 1,993 | | | 657 | |
| | 186144333.SRDLC, 6.59%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 7,279 | | | 7,279 | | | 7,136 | |
| | 186147186.SRDLC, 18.49%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 3,505 | | | 3,505 | | | 3,432 | |
| | 186152237.SRDLC, 18.49%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 8,120 | | | 8,120 | | | 7,968 | |
| | 186154920.SRDLC, 4.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,254 | | | 2,254 | | | 2,237 | |
| | 186156292.SRDLC, 14.49%, 2/11/2027 (a)(r) | | | Lending Club | | | 2/15/2022 | | | 8,897 | | | 8,897 | | | 8,667 | |
| | 186161317.SRDLC, 23.19%, 3/2/2027 (a)(r) | | | Lending Club | | | 3/04/2022 | | | 12,476 | | | 12,476 | | | 12,642 | |
| | 186163058.SRDLC, 20.44%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 3,551 | | | 3,551 | | | 3,488 | |
| | 186163232.SRDLC, 8.99%, 3/6/2025 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 1,602 | | | 1,602 | | | 1,587 | |
| | 186164619.SRDLC, 9.84%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 4,161 | | | 4,161 | | | 4,127 | |
| | 186165363.SRDLC, 7.59%, 2/15/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 5,138 | | | 5,138 | | | 5,037 | |
| | 186165439.SRDLC, 8.74%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,709 | | | 2,709 | | | 2,691 | |
| | 186170688.SRDLC, 9.49%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 10,510 | | | 10,510 | | | 10,265 | |
| | 186176306.SRDLC, 9.24%, 2/25/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,574 | | | 2,574 | | | 2,552 | |
| | 186177952.SRDLC, 9.34%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 3,992 | | | 3,992 | | | 3,960 | |
| | 186178681.SRDLC, 22.99%, 7/19/2025 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 2,107 | | | 2,107 | | | 2,054 | |
| | 186187343.SRDLC, 9.34%, 2/17/2025 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 1,124 | | | 1,124 | | | 1,115 | |
| | 186188347.SRDLC, 15.24%, 2/14/2027 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 5,194 | | | 5,194 | | | 2,937 | |
| | 186193863.SRDLC, 21.49%, 3/7/2025 (a)(r) | | | Lending Club | | | 3/09/2022 | | | 1,407 | | | 1,409 | | | 1,398 | |
| | 186194306.SRDLC, 6.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,191 | | | 2,191 | | | 2,174 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | The accompanying notes are an integral part of the consolidated financial statements.
| | | (Continued) |
| | | | | | | |
28 | | | Stone Ridge Funds | Annual Report | October 31, 2024 | | | |
| | | | | | | |
TABLE OF CONTENTS
Consolidated Schedule of Investments | | | as of October 31, 2024 |
| | | | |
| | | |
| | STONE RIDGE DIVERSIFIED ALTERNATIVES FUND | |
| | | |
| | | | | | | | | | | | | | | | | | |
| | United States - 3.4% (continued) | |
| | 186198172.SRDLC, 8.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | $4,556 | | | $4,556 | | | $4,518 | |
| | 186200044.SRDLC, 20.99%, 2/14/2027 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 33,761 | | | 33,761 | | | 3,450 | |
| | 186203190.SRDLC, 29.99%, 2/24/2027 (a)(n)(r) | | | Lending Club | | | 2/28/2022 | | | 14,044 | | | 14,044 | | | — | |
| | 186205905.SRDLC, 8.59%, 2/15/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 7,280 | | | 7,280 | | | 7,110 | |
| | 186207781.SRDLC, 9.49%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 13,138 | | | 13,138 | | | 12,831 | |
| | 186208596.SRDLC, 4.99%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 15,936 | | | 15,936 | | | 15,597 | |
| | 186208796.SRDLC, 11.84%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 895 | | | 895 | | | 886 | |
| | 186211572.SRDLC, 14.99%, 2/28/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 2,836 | | | 2,836 | | | 2,767 | |
| | 186219997.SRDLC, 6.99%, 2/14/2027 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 15,804 | | | 15,804 | | | 8,488 | |
| | 186222490.SRDLC, 17.19%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 22,891 | | | 22,891 | | | 22,322 | |
| | 186223918.SRDLC, 7.59%, 2/14/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 9,248 | | | 9,248 | | | 9,065 | |
| | 186226030.SRDLC, 23.49%, 2/23/2027 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 6,133 | | | 6,133 | | | 6,281 | |
| | 186227792.SRDLC, 14.19%, 3/2/2025 (a)(r) | | | Lending Club | | | 3/04/2022 | | | 3,309 | | | 3,309 | | | 3,264 | |
| | 186228314.SRDLC, 12.49%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,955 | | | 1,955 | | | 1,939 | |
| | 186229168.SRDLC, 12.19%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,299 | | | 1,299 | | | 1,282 | |
| | 186230040.SRDLC, 8.24%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 198 | | | 198 | | | 196 | |
| | 186232907.SRDLC, 5.09%, 1/31/2025 (a)(n)(r) | | | Lending Club | | | 2/16/2022 | | | 1,951 | | | 1,951 | | | 388 | |
| | 186233955.SRDLC, 6.49%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 1,209 | | | 1,209 | | | 1,200 | |
| | 186235024.SRDLC, 5.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/16/2022 | | | 601 | | | 601 | | | 596 | |
| | 186243926.SRDLC, 5.09%, 2/15/2025 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 2,613 | | | 2,613 | | | 2,594 | |
| | 186261645.SRDLC, 9.84%, 3/10/2025 (a)(r) | | | Lending Club | | | 3/14/2022 | | | 1,728 | | | 1,728 | | | 1,709 | |
| | 186262246.SRDLC, 23.99%, 10/28/2027 (a)(n)(r) | | | Lending Club | | | 2/22/2022 | | | 26,639 | | | 26,639 | | | 2,722 | |
| | 186263527.SRDLC, 15.94%, 2/25/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 19,294 | | | 19,293 | | | 19,128 | |
| | 186263958.SRDLC, 12.99%, 2/14/2025 (a)(r) | | | Lending Club | | | 2/28/2022 | | | 1,268 | | | 1,268 | | | 1,252 | |
| | 186264830.SRDLC, 9.34%, 2/22/2027 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 11,541 | | | 11,541 | | | 11,278 | |
| | 186266713.SRDLC, 8.99%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 12,538 | | | 12,538 | | | 12,247 | |
| | 186266842.SRDLC, 10.49%, 2/18/2025 (a)(r) | | | Lending Club | | | 2/23/2022 | | | 381 | | | 381 | | | 377 | |
| | 186269763.SRDLC, 10.24%, 2/16/2027 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 6,361 | | | 6,361 | | | 6,214 | |
| | 186271799.SRDLC, 20.49%, 2/15/2027 (a)(r) | | | Lending Club | | | 2/17/2022 | | | 13,030 | | | 13,030 | | | 12,759 | |
| | 186272685.SRDLC, 8.99%, 3/15/2025 (a)(r) | | | Lending Club | | | 3/09/2022 | | | 2,761 | | | 2,761 | | | 2,731 | |
| | 186280147.SRDLC, 20.99%, 9/30/2027 (a)(n)(r) | | | Lending Club | | | 2/17/2022 | | | 12,284 | | | 12,284 | | | 2,820 | |
| | 186285554.SRDLC, 8.99%, 3/17/2025 (a)(r) | | | Lending Club | | | 3/11/2022 | | | 3,159 | | | 3,159 | | | 3,125 | |
| | 186290975.SRDLC, 16.49%, 2/18/2027 (a)(r) | | | Lending Club | | | 2/23/2022 | | | 3,408 | | | 3,408 | | | 3,326 | |
| | 186291079.SRDLC, 28.99%, 2/25/2027 (a)(n)(r) | | | Lending Club | | | 3/01/2022 | | | 10,836 | | | 10,836 | | | 11,441 | |
| | 186295500.SRDLC, 14.69%, 2/28/2027 (a)(r) | | | Lending Club | | | 2/23/2022 | | | 15,206 | | | 15,206 | | | 15,111 | |
| | 186296041.SRDLC, 7.59%, 2/17/2027 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 5,896 | | | 5,896 | | | 5,782 | |
| | 186297344.SRDLC, 9.24%, 2/17/2025 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 200 | | | 200 | | | 199 | |
| | 186298102.SRDLC, 28.99%, 3/16/2025 (a)(n)(r) | | | Lending Club | | | 3/18/2022 | | | 2,781 | | | 2,817 | | | 284 | |
| | 186301354.SRDLC, 12.12%, 2/17/2027 (a)(r) | | | Lending Club | | | 2/22/2022 | | | 21,665 | | | 21,665 | | | 20,922 | |
| | 186305524.SRDLC, 7.09%, 2/18/2027 (a)(n)(r) | | | Lending Club | | | 2/23/2022 | | | 11,042 | | | 11,042 | | | 1,129 | |
| | 186305780.SRDLC, 5.99%, 2/22/2025 (a)(r) | | | Lending Club | | | 2/24/2022 | | | 1,923 | | | 1,923 | | | 1,908 | |
| | 186306461.SRDLC, 5.99%, 2/16/2025 (a)(r) | | | Lending Club | | | 2/18/2022 | | | 865 | | | 865 | | | 859 | |
| | 186308416.SRDLC, 12.49%, 2/18/2025 (a)(r) | | | |
