STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  
EVENT LINKED BONDS - 80.2%      
Europe - 0.0% (a)      

Earthquake - 0.0% (a)

     

Azzurro Re II Class A

     

(3 Month Euribor + 4.500%), 01/17/2024 (b)(c)(d)(e) (Cost: $487,485; Original Acquisition Date: 07/06/2020)

   EUR 431,000      $ 523,928  
     

 

 

 
Global - 14.7%      

Earthquake - 2.8%

     

Acorn Re 2018-1 Class A

     

(3 Month Libor USD + 2.750%), 11/10/2021 (b)(c)(d)(e)(f)(g) (Cost: $10,819,769; Original Acquisition Date: 01/16/2020)

   $ 10,837,000        10,882,516  

IBRD CAR 116

     

(3 Month Libor USD + 2.500%), 02/15/2021 (b)(c)(d)(e)(g) (Cost: $10,542,177; Original Acquisition Date: 03/12/2020)

     10,546,000        10,538,618  

IBRD CAR 117

     

(3 Month Libor USD + 3.000%), 02/15/2021 (b)(c)(d)(e)(g) (Cost: $8,382,053; Original Acquisition Date: 01/21/2020)

     8,384,000        8,378,550  

IBRD CAR 120

     

(3 Month Libor USD + 6.000%), 02/15/2021 (b)(c)(d)(e) (Cost: $1,400,000; Original Acquisition Date: 02/02/2018)

     1,400,000        1,399,930  

IBRD CAR 123 Class A

     

(3 Month Libor USD + 5.500%), 12/02/2022 (b)(c)(d)(e) (Cost: $662,000; Original Acquisition Date: 11/15/2019)

     662,000        658,624  
     

 

 

 
        31,858,238  
     

 

 

 

Mortality/Longevity/Disease - 0.3%

     

Chesterfield 2014-1

     

4.500%, 12/15/2034 (d)(e)(h) (Cost: $2,981,250; Original Acquisition Date: 12/11/2014)

     2,981,250        2,960,679  
     

 

 

 

Multiperil - 11.6%

     

2001 Cat Re 2020-1 Class A

     

(T-Bill 3 Month + 12.000%), 01/08/2024 (b)(c)(d)(e) (Cost: $5,750,000; Original Acquisition Date: 11/13/2020)

     5,750,000        5,762,938  

3264 Re 2020-1 Class A

     

(T-Bill 3 Month + 9.750%), 02/07/2023 (b)(c)(d)(e)(g) (Cost: $1,500,000; Original Acquisition Date: 01/17/2020)

     1,500,000        1,532,550  

Atlas Capital 2020 DAC 2020-1

     

(T-Bill 3 Month + 8.250%), 06/10/2024 (b)(c)(d)(e) (Cost: $7,865,000; Original Acquisition Date: 04/23/2020)

     7,865,000        8,077,355  

Atlas Capital UK 2018 PLC

     

(3 Month Libor USD + 6.140%), 06/07/2022 (b)(c)(d)(e) (Cost: $8,750,000; Original Acquisition Date: 05/25/2018)

     8,750,000        8,711,937  

Atlas Capital UK 2019 PLC 2019-1

     

(3 Month Libor USD + 12.180%), 06/07/2023 (b)(c)(d)(e)(f) (Cost: $4,436,000; Original Acquisition Date: 05/24/2019)

     4,436,000        4,448,421  

Hypatia Ltd. 2020-1 Class A

     

(T-Bill 3 Month + 6.750%), 06/07/2023 (b)(c)(d)(e) (Cost: $3,763,000; Original Acquisition Date: 07/10/2020)

     3,763,000        3,950,774  

Hypatia Ltd. 2020-1 Class B

     

(T-Bill 3 Month + 9.750%), 06/07/2023 (b)(c)(d)(e) (Cost: $5,789,000; Original Acquisition Date: 07/10/2020)

     5,789,000        6,156,023  

Kendall Re 2018-1 Class A

     

(3 Month Libor USD + 5.250%), 05/06/2021 (b)(c)(d)(e) (Cost: $10,024,714; Original Acquisition Date: 03/05/2019)

     10,029,000        10,044,043  

Kilimanjaro Re II 2017-1 Class A-1

     

(6 Month Libor USD + 10.610%), 04/20/2021 (b)(c)(d)(e) (Cost: $13,633,293; Original Acquisition Date: 03/12/2020)

     13,666,000        13,802,660  

Kilimanjaro Re II 2017-1 Class B-1

     

(6 Month Libor USD + 7.910%), 04/20/2021 (b)(c)(d)(e)(f) (Cost: $14,222,452; Original Acquisition Date: 07/06/2018)

     14,224,000        14,312,900  

Kilimanjaro Re II 2017-1 Class C-1

     

(6 Month Libor USD + 6.300%), 04/20/2021 (b)(c)(d)(e)(f) (Cost: $18,628,606; Original Acquisition Date: 07/10/2018)

     18,627,000        18,776,016  

Kilimanjaro Re II 2017-2 Class A-2

     

(6 Month Libor USD + 10.610%), 04/21/2022 (b)(c)(d)(e) (Cost: $1,571,000; Original Acquisition Date: 04/06/2017)

     1,571,000        1,570,372  

 

1


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Kilimanjaro Re II 2017-2 Class B-2

     

(6 Month Libor USD + 7.910%), 04/21/2022 (b)(c)(d)(e) (Cost: $2,357,000; Original Acquisition Date: 04/06/2017)

   $ 2,357,000      $ 2,359,357  

Kilimanjaro Re II 2017-2 Class C-2

     

(6 Month Libor USD + 6.300%), 04/21/2022 (b)(c)(d)(e)(f) (Cost: $6,251,000; Original Acquisition Date: 03/28/2019)

     6,260,000        6,289,109  

Matterhorn Re Ltd 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 01/08/2024 (b)(c)(d)(e)(g) (Cost: $5,926,109; Original Acquisition Date: 01/25/2021)

     5,951,000        5,864,710  

Northshore Re 2018-1 Class A

     

(3 Month Libor USD + 8.000%), 07/08/2022 (b)(c)(d)(e)(f) (Cost: $13,911,931; Original Acquisition Date: 05/03/2019)

     14,010,000        14,226,454  

Northshore Re II 2019-1 Class A

     

(T-Bill 3 Month + 7.660%), 07/07/2023 (b)(c)(d)(e)(f) (Cost: $4,095,000; Original Acquisition Date: 06/21/2019)

            4,095,000        4,171,372  
     

 

 

 
        130,056,991  
     

 

 

 
        164,875,908  
     

 

 

 
Great Britain - 0.3%      

Terrorism - 0.3%

     

Baltic PCC 2019-1 Class A

     

(T-Bill 3 Month + 5.900%), 03/07/2027 (b)(c)(d)(e)(h)(i) (Cost: $2,906,566; Original Acquisition Date: 04/07/2020)

   GBP 2,300,000        3,159,211  
     

 

 

 
Japan - 5.3%      

Earthquake - 3.2%

     

Kizuna Re II 2018-1 Class B

     

(T-Bill 3 Month + 2.500%), 04/11/2023 (b)(c)(d)(e)(f) (Cost: $362,000; Original Acquisition Date: 03/16/2018)

   $ 362,000        362,000  

Nakama Re 2016-1 Class 1

     

(6 Month Libor USD + 2.200%), 10/13/2021 (b)(c)(d)(e)(f) (Cost: $7,500,000; Original Acquisition Date: 09/21/2016)

     7,500,000        7,494,375  

Nakama Re 2016-1 Class 2

     

(6 Month Libor USD + 3.250%), 10/13/2021 (b)(c)(d)(e)(f) (Cost: $4,830,000; Original Acquisition Date: 09/21/2016)

     4,830,000        4,828,793  

Nakama Re 2018-1 Class 1

     

(3 Month Libor USD + 2.000%), 04/13/2023 (b)(c)(d)(e)(f) (Cost: $15,240,196; Original Acquisition Date: 03/11/2019)

     15,256,000        15,191,925  

Nakama Re 2018-1 Class 2

     

(3 Month Libor USD + 3.000%), 04/13/2023 (b)(c)(d)(e)(f)(g) (Cost: $6,608,058; Original Acquisition Date: 02/22/2018)

     6,638,000        6,623,396  

Nakama Re 2020-1 Class 1

     

(T-Bill 3 Month + 2.200%), 01/14/2025 (b)(c)(d)(e)(g) (Cost: $1,129,000; Original Acquisition Date: 02/04/2020)

     1,129,000        1,130,185  
     

 

 

 
        35,630,674  
     

 

 

 

Multiperil - 1.5%

     

Akibare Re 2018-1 Class A

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e)(f)(g) (Cost: $8,953,923; Original Acquisition Date: 04/08/2020)

     9,195,000        9,211,091  

Akibare Re 2018-1 Class B

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e)(f)(g) (Cost: $7,407,537; Original Acquisition Date: 03/09/2020)

     7,513,000        7,530,280  
     

 

 

 
        16,741,371  
     

 

 

 

Windstorm - 0.6%

     

Aozora Re 2017-1 Class A

     

(6 Month Libor USD + 2.000%), 04/07/2021 (b)(c)(d)(e)(g) (Cost: $7,243,366; Original Acquisition Date: 09/16/2020)

     7,267,000        7,268,817  
     

 

 

 
        59,640,862  
     

 

 

 
Mexico - 1.1%      

Earthquake - 0.6%

     

IBRD CAR 125 Class A

     

(3 Month Libor USD + 3.500%), 03/13/2024 (b)(c)(d)(e)(g) (Cost: $5,631,000; Original Acquisition Date: 03/12/2020)

     5,631,000        5,542,875  

 

2


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

IBRD CAR 126 Class B

     

(3 Month Libor USD + 9.000%), 03/13/2024 (b)(c)(d)(e) (Cost: $1,111,000; Original Acquisition Date: 03/12/2020)

   $ 1,111,000      $ 1,096,446  
     

 

 

 
        6,639,321  
     

 

 

 

Windstorm - 0.5%

     

IBRD CAR 127 Class C

     

(3 Month Libor USD + 10.000%), 03/13/2024 (b)(c)(d)(e)(g) (Cost: $5,021,700; Original Acquisition Date: 03/12/2020)

     5,021,000        5,034,305  
     

 

 

 
        11,673,626  
     

 

 

 
United States - 58.8%      

Earthquake - 10.3%

     

Merna Re 2018-1 Class A

     

(T-Bill 3 Month + 2.000%), 04/08/2021 (b)(c)(d)(e)(f) (Cost: $5,487,569; Original Acquisition Date: 03/24/2020)

     5,493,000        5,492,176  

Merna Re II 2019-1 Class A

     

(T-Bill 3 Month + 2.000%), 04/07/2022 (b)(c)(d)(e) (Cost: $1,976,735; Original Acquisition Date: 03/24/2020)

     2,000,000        1,997,700  

Phoenician Re Ltd. 2020-1 Class A

     

(T-Bill 3 Month + 3.000%), 12/14/2023 (b)(c)(d)(e) (Cost: $5,000,000; Original Acquisition Date: 11/24/2020)

     5,000,000        5,033,000  

Phoenician Re Ltd. 2020-2 Class A

     

(T-Bill 3 Month + 2.900%), 12/14/2023 (b)(c)(d)(e) (Cost: $3,000,000; Original Acquisition Date: 12/08/2020)

     3,000,000        3,017,250  

Sierra 2020-1 Class A

     

(T-Bill 3 Month + 3.250%), 12/28/2023 (b)(c)(d)(e)(g) (Cost: $2,000,000; Original Acquisition Date: 12/20/2019)

     2,000,000        2,034,800  

Sierra 2020-1 Class B

     

(T-Bill 3 Month + 5.750%), 12/28/2022 (b)(c)(d)(e)(g) (Cost: $3,750,000; Original Acquisition Date: 12/20/2019)

     3,750,000        3,807,750  

Sierra 2021-1 Class A

     

(T-Bill 3 Month + 2.700%), 01/31/2025 (b)(c)(d)(e) (Cost: $2,250,000; Original Acquisition Date: 01/25/2021)

     2,250,000        2,249,888  

Sierra 2021-1 Class B

     

(T-Bill 3 Month + 4.750%), 01/31/2024 (b)(c)(d)(e) (Cost: $1,000,000; Original Acquisition Date: 01/25/2021)

     1,000,000        999,950  

Sutter Re 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 06/06/2022 (b)(c)(d)(e) (Cost: $16,781,000; Original Acquisition Date: 05/13/2020)

     16,781,000        17,106,551  

Sutter Re 2020-2 Class F

     

(T-Bill 3 Month + 8.500%), 06/06/2022 (b)(c)(d)(e) (Cost: $15,523,000; Original Acquisition Date: 05/13/2020)

     15,523,000        15,890,895  

Ursa Re 2018-1 Class D

     

(T-Bill 3 Month + 5.230%), 09/24/2021 (b)(c)(d)(e)(f) (Cost: $15,429,719; Original Acquisition Date: 05/15/2020)

     15,488,000        15,526,720  

Ursa Re 2019-1 Class C

     

(T-Bill 3 Month + 5.750%), 12/10/2022 (b)(c)(d)(e)(g) (Cost: $21,348,921; Original Acquisition Date: 11/23/2020)

     21,348,000        21,572,154  

Ursa Re II 2020-1 Class AA

     

(T-Bill 3 Month + 3.750%), 12/07/2023 (b)(c)(d)(e) (Cost: $5,817,000; Original Acquisition Date: 10/08/2020)

     5,817,000        5,939,157  

Ursa Re II 2020-1 Class D

     

(T-Bill 3 Month + 6.250%), 12/07/2023 (b)(c)(d)(e) (Cost: $14,697,000; Original Acquisition Date: 10/08/2020)

     14,697,000        14,986,531  
     

 

 

 
        115,654,522  
     

 

 

 

Fire - 0.8%

     

Power Protective Re 2020-1 Class A

     

(T-Bill 3 Month + 10.750%), 12/15/2023 (b)(c)(d)(e) (Cost: $4,000,000; Original Acquisition Date: 12/03/2020)

     4,000,000        3,995,200  

SD Re 2018-1 Class A

     

(3 Month Libor USD + 4.000%), 10/19/2021 (b)(c)(d)(e)(g) (Cost: $3,707,713; Original Acquisition Date: 12/20/2019)

     3,750,000        3,653,250  

 

3


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

SD Re 2020-1 Class A

     

(T-Bill 1 Month + 9.750%), 07/14/2023 (b)(c)(d)(e) (Cost: $1,438,000; Original Acquisition Date: 07/02/2020)

   $ 1,438,000      $ 1,437,137  
     

 

 

 
        9,085,587  
     

 

 

 

Flood - 8.2%

     

FloodSmart Re 2018 Class A

     

(T-Bill 3 Month + 11.830%), 08/06/2024 (b)(c)(d)(e)(f) (Cost: $23,832,247; Original Acquisition Date: 08/11/2020)

             23,893,000        24,478,378  

FloodSmart Re 2018 Class B

     

(T-Bill 3 Month + 14.080%), 08/06/2024 (b)(c)(d)(e)(f) (Cost: $12,657,555; Original Acquisition Date: 07/08/2020)

     12,727,000        12,975,176  

FloodSmart Re 2019 Class A

     

(T-Bill 3 Month + 11.830%), 03/07/2022 (b)(c)(d)(e) (Cost: $17,622,330; Original Acquisition Date: 05/18/2020)

     17,797,000        17,896,663  

FloodSmart Re 2019 Class B

     

(T-Bill 3 Month + 15.080%), 03/07/2022 (b)(c)(d)(e) (Cost: $2,096,598; Original Acquisition Date: 07/17/2020)

     2,118,000        2,116,094  

FloodSmart Re 2020 Class A

     

(T-Bill 3 Month + 11.000%), 02/27/2026 (b)(c)(d)(e)(g) (Cost: $24,991,388; Original Acquisition Date: 07/22/2020)

     25,014,000        25,049,020  

FloodSmart Re 2020 Class B

     

(T-Bill 3 Month + 14.500%), 02/27/2023 (b)(c)(d)(e) (Cost: $9,000,000; Original Acquisition Date: 02/14/2020)

     9,000,000        9,105,750  
     

 

 

 
        91,621,081  
     

 

 

 

Mortality/Longevity/Disease - 1.8%

     

La Vie Re 2020-1 Class A

     

(3 Month Libor USD + 2.850%), 10/06/2023 (b)(c)(d)(e)(f) (Cost: $2,250,000; Original Acquisition Date: 10/19/2020)

     2,250,000        2,250,900  

Vitality Re IX 2018 Class A

     

(T-Bill 3 Month + 1.600%), 01/10/2022 (b)(c)(d)(e)(f) (Cost: $1,501,017; Original Acquisition Date: 09/24/2019)

     1,500,000        1,463,400  

Vitality Re IX 2018 Class B

     

(T-Bill 3 Month + 1.750%), 01/10/2022 (b)(c)(d)(e)(f) (Cost: $1,250,596; Original Acquisition Date: 09/24/2019)

     1,250,000        1,193,312  

Vitality Re X 2019 Class B

     

(T-Bill 3 Month + 2.000%), 01/10/2023 (b)(c)(d)(e)(f) (Cost: $3,692,422; Original Acquisition Date: 01/21/2021)

     3,750,000        3,544,313  

Vitality Re XI Limited 2020 Class A

     

(T-Bill 3 Month + 1.500%), 01/09/2024 (b)(c)(d)(e) (Cost: $1,000,000; Original Acquisition Date: 01/23/2020)

     1,000,000        959,500  

Vitality Re XI Limited 2020 Class B

     

(T-Bill 3 Month + 1.800%), 01/09/2024 (b)(c)(d)(e) (Cost: $3,611,362; Original Acquisition Date: 01/21/2021)

     3,750,000        3,545,625  

Vitality Re XII 2021 Class A

     

(T-Bill 3 Month + 2.250%), 01/07/2025 (b)(c)(d)(e) (Cost: $4,500,000; Original Acquisition Date: 01/29/2021)

     4,500,000        4,500,000  

Vitality Re XII 2021 Class B

     

(T-Bill 3 Month + 2.750%), 01/07/2025 (b)(c)(d)(e) (Cost: $3,000,000; Original Acquisition Date: 01/29/2021)

     3,000,000        3,000,000  
     

 

 

 
        20,457,050  
     

 

 

 

Multiperil - 25.4%

     

Armor Re II 2019-1 Class A

     

(T-Bill 3 Month + 6.330%), 06/08/2022 (b)(c)(d)(e) (Cost: $8,987,181; Original Acquisition Date: 06/08/2020)

     9,031,000        9,100,087  

Blue Halo Re 2016-1 Class A

     

(T-Bill 3 Month + 0.500%), 06/21/2022 (b)(c)(d)(e)(i) (Cost: $4,750,000; Original Acquisition Date: 06/10/2016)

     4,750,000        4,748,337  

Blue Halo Re 2016-1 Class B

     

(T-Bill 3 Month + 0.100%), 06/21/2022 (b)(c)(d)(e)(i) (Cost: $261,300; Original Acquisition Date: 06/10/2016)

     261,300        261,300  

Bonanza Re 2020-1 Class A

     

(T-Bill 3 Month + 4.750%), 02/20/2024 (b)(c)(d)(e) (Cost: $2,725,000; Original Acquisition Date: 02/13/2020)

     2,725,000        2,728,134  

 

4


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Bowline 2018-1 Class A

     

(T-Bill 3 Month + 4.760%), 05/23/2022 (b)(c)(d)(e)(f) (Cost: $13,907,757; Original Acquisition Date: 05/19/2020)

   $ 13,938,000      $ 14,002,812  

Bowline Re 2019-1 Class A

     

(T-Bill 3 Month + 4.500%), 03/20/2023 (b)(c)(d)(e)(f) (Cost: $4,017,000; Original Acquisition Date: 03/08/2019)

     4,017,000        4,054,358  

Bowline Re 2019-1 Class B

     

(T-Bill 3 Month + 8.850%), 03/20/2023 (b)(c)(d)(e)(g) (Cost: $5,428,952; Original Acquisition Date: 08/25/2020)

     5,438,000        5,536,428  

Caelus Re 2018-1 Class A

     

(T-Bill 3 Month + 3.190%), 06/07/2021 (b)(c)(d)(e) (Cost: $2,319,000; Original Acquisition Date: 05/04/2018)

     2,319,000        1,878,390  

Caelus Re 2018-1 Class B

     

(T-Bill 3 Month + 4.030%), 06/07/2021 (b)(c)(d)(e) (Cost: $1,902,959; Original Acquisition Date: 07/26/2018)

     1,905,000        923,925  

Caelus Re 2018-1 Class C

     

(T-Bill 3 Month + 7.240%), 06/07/2021 (b)(c)(d)(e)(h) (Cost: $2,782,000; Original Acquisition Date: 05/04/2018)

     2,782,000        653,770  

Caelus Re 2018-1 Class D

     

(T-Bill 3 Month + 10.700%), 06/07/2021 (b)(c)(d)(e)(h) (Cost: $464,000; Original Acquisition Date: 05/04/2018)

     464,000        35,960  

Caelus Re 2020-1 Class A-1

     

(T-Bill 3 Month + 5.500%), 06/07/2023 (b)(c)(d)(e) (Cost: $6,800,721; Original Acquisition Date: 04/20/2020)

     6,865,000        6,950,812  

Caelus Re 2020-1 Class B-1

     

(T-Bill 3 Month + 5.500%), 06/07/2024 (b)(c)(d)(e) (Cost: $4,000,000; Original Acquisition Date: 02/20/2020)

             4,000,000               4,042,800  

Caelus Re V 2017-1 Class B

     

(T-Bill 3 Month + 0.500%), 06/05/2024 (b)(c)(d)(e) (Cost: $648,500; Original Acquisition Date: 04/27/2017)

     648,500        593,377  

Caelus Re V 2017-1 Class C

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (b)(c)(d)(e)(h)(Cost: $830,000; Original Acquisition Date: 04/27/2017)

     830,000        20,791  

Caelus Re V 2017-1 Class D

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (b)(c)(d)(e)(h) (Cost: $366,684; Original Acquisition Date: 04/27/2017)

     366,684        37  

Easton Re 2020-1 Class A

     

(T-Bill 3 Month + 4.000%), 01/08/2027 (b)(c)(d)(e) (Cost: $2,353,000; Original Acquisition Date: 12/15/2020)

     2,353,000        2,349,824  

Espada Reinsurance 2016-1 Class 20

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(h)(i) (Cost: $351,359; Original Acquisition Date: 02/12/2016)

     351,359        232,038  

Fortius Re 2017-1

     

(6 Month Libor USD + 3.420%), 07/07/2021 (b)(c)(d)(e) (Cost: $2,510,000; Original Acquisition Date: 01/08/2020)

     2,510,000        2,517,279  

Four Lakes Re 2020-1 Class A

     

(T-Bill 3 Month + 7.000%), 01/05/2024 (b)(c)(d)(e) (Cost: $750,000; Original Acquisition Date: 11/05/2020)

     750,000        746,513  

Four Lakes Re 2020-1 Class B

     

(T-Bill 3 Month + 9.500%), 01/05/2024 (b)(c)(d)(e) (Cost: $1,750,000; Original Acquisition Date: 11/05/2020)

     1,750,000        1,737,925  

Galileo Re 2019-1 Class C

     

(T-Bill 3 Month + 9.250%), 01/08/2024 (b)(c)(d)(e) (Cost: $3,000,000; Original Acquisition Date: 12/06/2019)

     3,000,000        3,005,550  

Galileo Re 2019-1 Class D

     

(T-Bill 3 Month + 7.450%), 01/08/2027 (b)(c)(d)(e)(g) (Cost: $2,000,000; Original Acquisition Date: 12/06/2019)

     2,000,000        2,001,500  

Golden State Re II 2018-1 Class A

     

(3 Month Libor USD + 2.200%), 01/08/2023 (b)(c)(d)(e)(f) (Cost: $7,250,000; Original Acquisition Date: 11/29/2018)

     7,250,000        7,248,550  

Herbie Re 2020-1 Class A

     

(T-Bill 3 Month + 9.000%), 07/08/2024 (b)(c)(d)(e) (Cost: $6,899,000; Original Acquisition Date: 06/09/2020)

     6,899,000        7,104,935  

Herbie Re 2020-2 Class A

     

(T-Bill 3 Month + 6.250%), 01/08/2025 (b)(c)(d)(e) (Cost: $1,250,000; Original Acquisition Date: 10/19/2020)

     1,250,000        1,261,500  

 

5


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Herbie Re 2020-2 Class B

     

(T-Bill 3 Month + 9.000%), 01/08/2025 (b)(c)(d)(e) (Cost: $1,000,000; Original Acquisition Date: 10/19/2020)

   $ 1,000,000      $ 1,015,650  

Herbie Re 2020-2 Class C

     

(T-Bill 3 Month + 16.000%), 01/06/2023 (b)(c)(d)(e) (Cost: $500,000; Original Acquisition Date: 10/19/2020)

     500,000        501,825  

Kilimanjaro III Re 2019-1 Class A-1

     

(T-Bill 3 Month + 15.750%), 12/19/2023 (b)(c)(d)(e) (Cost: $6,750,000; Original Acquisition Date: 12/09/2019)

     6,750,000        6,748,650  

Kilimanjaro III Re 2019-1 Class A-2

     

(T-Bill 3 Month + 15.750%), 12/19/2024 (b)(c)(d)(e) (Cost: $10,837,915; Original Acquisition Date: 07/17/2020)

     11,117,000        11,128,673  

Kilimanjaro III Re 2019-1 Class B-1

     

(T-Bill 3 Month + 9.500%), 12/19/2023 (b)(c)(d)(e) (Cost: $12,500,000; Original Acquisition Date: 12/09/2019)

     12,500,000        12,650,000  

Kilimanjaro III Re 2019-1 Class B-2

     

(T-Bill 3 Month + 9.500%), 12/19/2024 (b)(c)(d)(e) (Cost: $9,250,000; Original Acquisition Date: 12/09/2019)

     9,250,000        9,370,250  

Kilimanjaro Re 2018-1 Class A-1

     

(3 Month Libor USD + 13.610%), 05/06/2022 (b)(c)(d)(e) (Cost: $5,918,045; Original Acquisition Date: 05/22/2020)

     6,229,000        6,182,283  

Kilimanjaro Re 2018-1 Class B-1

     

(3 Month Libor USD + 4.940%), 05/06/2022 (b)(c)(d)(e)(f) (Cost: $8,023,961; Original Acquisition Date: 04/21/2020)

     8,036,000        8,056,492  

Kilimanjaro Re 2018-2 Class A-2

     

(3 Month Libor USD + 13.610%), 05/05/2023 (b)(c)(d)(e) (Cost: $2,232,387; Original Acquisition Date: 06/03/2020)

     2,340,000        2,284,542  

Kilimanjaro Re 2018-2 Class B-2

     

(3 Month Libor USD + 4.940%), 05/05/2023 (b)(c)(d)(e)(f) (Cost: $4,305,000; Original Acquisition Date: 04/18/2018)

     4,305,000        4,298,758  

Long Point Re III 2018-1 Class A

     

(T-Bill 3 Month + 2.750%), 06/01/2022 (b)(c)(d)(e)(f) (Cost: $16,203,353; Original Acquisition Date: 08/20/2019)

     16,196,000        16,178,184  

MetroCat Re 2020-1 Class A

     

(T-Bill 3 Month + 5.500%), 05/28/2024 (b)(c)(d)(e) (Cost: $3,578,578; Original Acquisition Date: 09/18/2020)

     3,533,000        3,583,522  

Mona Lisa Re 2020-1 Class A

     

(T-Bill 3 Month + 7.500%), 01/09/2023 (b)(c)(d)(e)(g) (Cost: $7,750,000; Original Acquisition Date: 12/30/2019)

     7,750,000        7,831,375  

Mona Lisa Re 2020-1 Class B

     

(T-Bill 3 Month + 8.000%), 01/09/2023 (b)(c)(d)(e)(g) (Cost: $6,500,000; Original Acquisition Date: 12/30/2019)

     6,500,000        6,549,725  

Mystic Re IV 2021-1 Class A

     

(T-Bill 3 Month + 9.000%), 12/08/2027 (b)(c)(d)(e) (Cost: $3,138,000; Original Acquisition Date: 12/15/2020)

     3,138,000        3,129,057  

Northshore Re II 2021-1 Class A

     

(T-Bill 3 Month + 5.750%), 01/08/2024 (b)(c)(d)(e) (Cost: $7,500,000; Original Acquisition Date: 12/02/2020)

     7,500,000        7,483,875  

Residential Re 2015-I Class 10

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(h) (Cost: $6,034,176; Original Acquisition Date: 10/01/2020)

     6,034,176        603,418  

Residential Re 2016-I Class 10

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(h) (Cost: $701,983; Original Acquisition Date: 04/28/2016)

     701,983        35  

Residential Re 2017-I Class 11

     

(T-Bill 3 Month + 5.170%), 06/06/2024 (b)(c)(d)(e) (Cost: $1,769,000; Original Acquisition Date: 04/19/2017)

     1,769,000        1,640,040  

Residential Re 2017-II Class 2

     

(T-Bill 3 Month + 13.040%), 12/06/2021 (b)(c)(d)(e) (Cost: $1,222,077; Original Acquisition Date: 05/27/2020)

     1,261,000        1,257,406  

Residential Re 2018-I Class 13

     

(T-Bill 3 Month + 3.360%), 06/06/2025 (b)(c)(d)(e) (Cost: $6,388,176; Original Acquisition Date: 05/11/2020)

     6,397,000        6,246,351  

Residential Re 2018-II Class 2

     

(T-Bill 3 Month + 11.790%), 12/06/2022 (b)(c)(d)(e) (Cost: $4,500,000; Original Acquisition Date: 11/15/2018)

     4,500,000        4,486,500  

 

6


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Residential Re 2019-I Class 12

     

(T-Bill 3 Month + 8.680%), 06/06/2023 (b)(c)(d)(e) (Cost: $495,000; Original Acquisition Date: 05/08/2019)

   $ 495,000      $ 488,639  

Residential Re 2019-I Class 13

     

(T-Bill 3 Month + 4.650%), 06/06/2023 (b)(c)(d)(e) (Cost: $1,154,500; Original Acquisition Date: 05/11/2020)

     1,162,000        1,145,964  

Residential Re 2019-II Class 2

     

(T-Bill 3 Month + 12.370%), 12/06/2027 (b)(c)(d)(e) (Cost: $1,456,000; Original Acquisition Date: 11/05/2019)

     1,456,000        1,451,268  

Residential Re 2020-I Class 13

     

(T-Bill 3 Month + 5.500%), 06/06/2024 (b)(c)(d)(e) (Cost: $2,241,000; Original Acquisition Date: 05/27/2020)

     2,241,000        2,242,793  

Residential Re 2020-II Class 1

     

23.845%, 12/06/2021 (b)(d)(e)(j) (Cost: $722,194; Original Acquisition Date: 10/30/2020)

     914,000        685,409  

Residential Re 2020-II Class 3

     

(T-Bill 3 Month + 8.250%), 12/06/2024 (b)(c)(d)(e) (Cost: $914,000; Original Acquisition Date: 10/30/2020)

     914,000        909,841  

Residential Re 2020-II Class 4

     

(T-Bill 3 Month + 6.250%), 12/06/2024 (b)(c)(d)(e) (Cost: $1,981,000; Original Acquisition Date: 10/30/2020)

     1,981,000        1,988,726  

Sanders Re 2017-1 Class A

     

(6 Month Libor USD + 2.930%), 12/06/2021 (b)(c)(d)(e) (Cost: $10,399,825; Original Acquisition Date: 09/04/2019)

     10,427,000        10,375,386  

Sanders Re 2018-1 Class A

     

(T-Bill 3 Month + 5.500%), 04/07/2022 (b)(c)(d)(e) (Cost: $19,321,798; Original Acquisition Date: 09/11/2019)

     19,421,000        17,547,845  

Sanders Re II 2020-1 Class A

     

(3 Month Libor USD + 4.500%), 04/07/2024 (b)(c)(d)(e) (Cost: $4,811,000; Original Acquisition Date: 03/18/2020)

             4,811,000               4,851,172  

Spectrum Capital Ltd. 2017-1 A

     

(6 Month Libor USD + 5.750%), 06/08/2021 (b)(c)(d)(e) (Cost: $11,657,000; Original Acquisition Date: 06/13/2017)

     11,657,000        11,673,903  

Stratosphere Re 2020-1 Class A

     

(T-Bill 3 Month + 2.750%), 02/07/2027 (b)(c)(d)(e)(g) (Cost: $1,925,010; Original Acquisition Date: 04/20/2020)

     1,932,000        1,931,710  

Sussex Capital UK PCC 2020-1

     

(T-Bill 3 Month + 7.750%), 01/08/2025 (b)(c)(d)(e) (Cost: $12,000,000; Original Acquisition Date: 12/07/2020)

     12,000,000        11,968,200  

Tailwind Re 2017-1 Class A

     

(T-Bill 3 Month + 7.650%), 01/08/2022 (b)(c)(d)(e) (Cost: $3,101,614; Original Acquisition Date: 10/14/2020)

     3,064,000        3,090,197  

Tailwind Re 2017-1 Class B

     

(T-Bill 3 Month + 9.460%), 01/08/2022 (b)(c)(d)(e) (Cost: $5,084,582; Original Acquisition Date: 10/14/2020)

     5,057,000        5,102,260  

Tailwind Re 2017-1 Class C

     

(T-Bill 3 Month + 11.550%), 01/08/2022 (b)(c)(d)(e) (Cost: $4,666,297; Original Acquisition Date: 08/02/2019)

     4,673,000        4,704,543  
     

 

 

 
        285,121,399  
     

 

 

 

Windstorm - 12.3%

     

Alamo Re 2018-1 Class A

     

(T-Bill 3 Month + 3.400%), 06/07/2024 (b)(c)(d)(e)(g) (Cost: $20,957,641; Original Acquisition Date: 03/26/2019)

     20,994,000        21,089,523  

Alamo Re 2019-1 Class A

     

(T-Bill 3 Month + 4.450%), 06/08/2022 (b)(c)(d)(e)(g) (Cost: $2,708,000; Original Acquisition Date: 05/21/2019)

     2,708,000        2,729,122  

Alamo Re 2020-1 Class A

     

(T-Bill 1 Month + 5.750%), 06/08/2023 (b)(c)(d)(e)(g) (Cost: $15,680,000; Original Acquisition Date: 05/29/2020)

     15,680,000        16,297,008  

Blue Halo Re 2020-1 Class A

     

(T-Bill 3 Month + 13.250%), 06/28/2023 (b)(c)(d)(e) (Cost: $4,884,000; Original Acquisition Date: 06/16/2020)

     4,884,000        5,042,242  

Bonanza Re 2020-2 Class A

     

(T-Bill 3 Month + 4.750%), 12/23/2028 (b)(c)(d)(e) (Cost: $2,510,000; Original Acquisition Date: 12/15/2020)

     2,510,000        2,504,729  

 

7


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Cape Lookout Re 2019-1 Class A

     

(T-Bill 3 Month + 4.240%), 02/25/2022 (b)(c)(d)(e)(g) (Cost: $13,384,084; Original Acquisition Date: 02/05/2020)

   $ 13,391,000      $ 13,632,038  

Cape Lookout Re 2019-2 Class A

     

(T-Bill 3 Month + 6.490%), 05/09/2022 (b)(c)(d)(e) (Cost: $2,690,000; Original Acquisition Date: 06/14/2019)

     2,690,000        2,747,566  

Citrus Re 2016-1 Class D-50

     

(T-Bill 3 Month + 0.100%), 02/25/2021 (b)(c)(d)(e)(h) (Cost: $1,937,160; Original Acquisition Date: 02/19/2016)

     1,937,160        484  

Everglades II 2020-2 A

     

(T-Bill 3 Month + 6.250%), 05/04/2023 (b)(c)(d)(e) (Cost: $2,101,000; Original Acquisition Date: 05/21/2020)

     2,101,000        2,139,763  

Everglades Re II 2018-1 A

     

(T-Bill 3 Month + 4.730%), 05/04/2021 (b)(c)(d)(e)(g) (Cost: $6,970,000; Original Acquisition Date: 05/09/2018)

     6,970,000        7,010,426  

First Coast Re 2019-1 Class A

     

(T-Bill 3 Month + 5.660%), 06/07/2023 (b)(c)(d)(e) (Cost: $494,000; Original Acquisition Date: 05/16/2019)

     494,000        496,124  

Frontline 2018-1 Class A

     

(T-Bill 3 Month + 7.560%), 07/06/2022 (b)(c)(d)(e)(f) (Cost: $4,000,000; Original Acquisition Date: 06/12/2018)

     4,000,000        2,033,600  

Integrity Re 2020-1 Class A

     

(3 Month Libor USD + 7.250%), 04/12/2023 (b)(c)(d)(e) (Cost: $3,689,000; Original Acquisition Date: 03/18/2020)

     3,689,000        3,789,525  

Manatee Re II 2018-1 Class A

     

(T-Bill 3 Month + 4.530%), 06/07/2021 (b)(c)(d)(e) (Cost: $5,460,223; Original Acquisition Date: 03/11/2020)

     5,470,000        5,491,607  

Manatee Re II 2018-1 Class B

     

(T-Bill 3 Month + 8.280%), 06/07/2021 (b)(c)(d)(e) (Cost: $2,441,194; Original Acquisition Date: 07/08/2020)

     2,451,000        2,452,593  

Manatee Re III 2019-1 Class B

     

(T-Bill 3 Month + 9.620%), 06/07/2022 (b)(c)(d)(e) (Cost: $493,000; Original Acquisition Date: 05/23/2019)

     493,000        490,757  

Matterhorn Re Ltd 2020-1 Class A

     

(T-Bill 3 Month + 5.250%), 12/07/2021 (b)(c)(d)(e) (Cost: $8,503,153; Original Acquisition Date: 11/04/2020)

     8,500,000        8,466,000  

Matterhorn Re Ltd 2020-1 Class B

     

(T-Bill 3 Month + 7.500%), 12/07/2021 (b)(c)(d)(e)(g) (Cost: $16,821,968; Original Acquisition Date: 06/11/2020)

     16,892,000        16,873,419  

Matterhorn Re Ltd 2020-2 Class B

     

(T-Bill 3 Month + 6.250%), 12/07/2021 (b)(c)(d)(e) (Cost: $5,647,098; Original Acquisition Date: 07/07/2020)

     5,653,000        5,647,912  

Matterhorn Re Ltd 2020-4 Class A

     

(T-Bill 3 Month + 10.000%), 12/07/2021 (b)(c)(d)(e) (Cost: $1,435,000; Original Acquisition Date: 06/25/2020)

     1,435,000        1,458,965  

Matterhorn Re Ltd 2020-4 Class B

     

6.017%, 12/07/2021 (b)(d)(e)(j) (Cost: $4,889,059; Original Acquisition Date: 06/25/2020)

     5,322,000        4,942,009  

Matterhorn Re Ltd SR2020-5 Class A

     

(3 Month Libor USD + 4.250%), 12/07/2022 (b)(c)(d)(e) (Cost: $5,000,000; Original Acquisition Date: 11/24/2020)

     5,000,000        4,973,000  

Matterhorn Re Ltd SR2020-5 Class B

     

(3 Month Libor USD + 5.500%), 12/07/2022 (b)(c)(d)(e) (Cost: $5,500,000; Original Acquisition Date: 11/24/2020)

     5,500,000        5,462,050  

Pelican Re 2018-1 Class A

     

(3 Month Libor USD + 2.000%), 05/07/2021 (b)(c)(d)(e)(g) (Cost: $2,043,725; Original Acquisition Date: 04/17/2020)

     2,046,000        2,044,159  
     

 

 

 
        137,814,621  
     

 

 

 
        659,754,260  
     

 

 

 
TOTAL EVENT LINKED BONDS (Cost $908,982,546)         899,627,795  
     

 

 

 
PARTICIPATION NOTES - 9.6%      
Global - 9.6%      

Multiperil - 9.6%

     

Eden Re II 2019-1 Class A 03/22/2023 (b)(d)(e)(h)(i) (Cost: $71,858; Original Acquisition Date: 12/14/2018)

     71,858        833,729  

 

8


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Eden Re II 2020-1 Class A 03/22/2024 (b)(d)(e)(h)(i)(k) (Cost: $1,275,000; Original Acquisition Date: 12/16/2019)

   $ 1,275,000      $ 2,622,657  

Eden Re II 2020-1 Class B 03/22/2024 (b)(d)(e)(h)(i)(k) (Cost: $2,470,000; Original Acquisition Date: 12/26/2019)

     2,470,000        5,081,169  

Eden Re II 2021-1 Class A 03/21/2025 (b)(d)(e)(h)(i)(k) (Cost: $24,800,000; Original Acquisition Date: 12/14/2020)

             24,800,000               24,952,461  

Eden Re II 2021-1 Class B 03/21/2025 (b)(d)(e)(h)(i)(k) (Cost: $33,700,000; Original Acquisition Date: 12/21/2020)

     33,700,000        33,914,547  

Limestone Re 2018-1 A 03/01/2022 (b)(d)(e)(h)(i) (Cost: $1,049; Original Acquisition Date: 06/20/2018)

     1,049        57,162  

Limestone Re 2019-1 A 09/09/2022 (b)(d)(e)(h)(i) (Cost: $23,349; Original Acquisition Date: 12/24/2018)

     24,777        248,651  

Limestone Re 2019-2 A 03/01/2023 (b)(d)(e)(h)(i)(k) (Cost: $372,677; Original Acquisition Date: 06/25/2019)

     372,677        670,091  

Limestone Re 2019-2 B 03/01/2023 (b)(d)(e)(h)(i)(k) (Cost: $925,329; Original Acquisition Date: 06/25/2019)

     925,329        1,664,343  

Limestone Re 2020-1 B 03/01/2024 (b)(d)(e)(h)(i)(k) (Cost: $1,527,971; Original Acquisition Date: 12/27/2019)

     1,527,971        1,817,445  

Limestone Re 2020-2 B 10/01/2024 (b)(d)(e)(h)(k) (Cost: $9,900,000; Original Acquisition Date: 06/26/2020)

     9,900,000        10,528,155  

Sector Re V Series 10 Class B 03/01/2025 (b)(e)(h)(k) (Cost: $7,333,868; Original Acquisition Date: 04/24/2020)

     7,333,868        8,882,826  

Sector Re V Series 10 Class C 12/01/2025 (b)(e)(h)(k) (Cost: $4,000,000; Original Acquisition Date: 12/04/2020)

     4,000,000        4,074,203  

Sector Re V Series 10 Class G 03/01/2025 (b)(e)(h)(k) (Cost: $8,829,996; Original Acquisition Date: 04/24/2020)

     8,829,996        9,805,472  

Sector Re V Series 9 Class A 03/01/2023 (b)(e)(h)(k) (Cost: $3,605,992; Original Acquisition Date: 04/24/2019)

     3,605,992        1,548,072  

Sector Re V Series 9 Class B 03/01/2023 (b)(e)(h)(k) (Cost: $1,283,254; Original Acquisition Date: 04/24/2019)

     1,283,254        550,908  

Sector Re V Series 9 Class G 03/01/2023 (b)(e)(h) (Cost: $18,782; Original Acquisition Date: 04/24/2019)

     18,782        489,420  
     

 

 

 
TOTAL PARTICIPATION NOTES (Cost $100,139,125)         107,741,311  
     

 

 

 
     SHARES         
PREFERENCE SHARES - 9.2%      
Global - 9.2%      

Multiperil - 9.2%

     

Arenal (Artex Segregated Account Company) (b)(e)(h)(i)(k) (Cost: $8,052,460; Original Acquisition Date: 03/28/2016)

     18,011        3,922,243  

Biscayne (Artex Segregated Account Company) (b)(e)(h)(i) (Cost: $0; Original Acquisition Date: 12/26/2014)

     28,192        516,165  

Hatteras (Artex Segregated Account Company) (b)(e)(h)(i)(k) (Cost: $15,502,685; Original Acquisition Date: 12/31/2019)

     18,297        14,664,447  

Hudson Charles 2 (Mt. Logan Re) (b)(e)(h)(k) (Cost: $11,534,500; Original Acquisition Date: 04/02/2014)

     11,535        9,464,352  

Hudson Charles 3 (Mt. Logan Re) (b)(e)(h)(k) (Cost: $15,350,000; Original Acquisition Date: 06/19/2014)

     15,350        12,306,100  

Lyndhurst (Horseshoe Re) (b)(e)(h)(i)(k) (Cost: $27,139,272; Original Acquisition Date: 12/31/2020)

     27,200        27,500,052  

Madison (Artex Segregated Account Company) (b)(e)(h)(i)(k) (Cost: $2,722,962; Original Acquisition Date: 02/03/2020)

     5,011        2,876,600  

Peregrine HYR (b)(e)(h)(i)(k) (Cost: $18,022,873; Original Acquisition Date: 12/21/2020)

     1,800,000        18,307,296  

Rondout (Artex Segregated Account Company) (b)(e)(h)(i)(k) (Cost: $14,040,096; Original Acquisition Date: 07/15/2019)

     13,910        12,490,483  

Yoho (Artex Segregated Account Company) (b)(e)(h)(i) (Cost: $3,976,019; Original Acquisition Date: 06/05/2020)

     14,890        1,767,938  
     

 

 

 
TOTAL PREFERENCE SHARES (Cost $116,340,867)         103,815,676  
     

 

 

 
SHORT-TERM INVESTMENTS - 2.2%      

Money Market Fund - 2.2%

     

Fidelity Institutional Money Market Funds-Government Portfolio-Institutional Class-0.01% (l)

     12,165,329        12,165,329  

 

9


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     SHARES      VALUE  

Morgan Stanley Institutional Liquidity Funds-Government Portfolio-Institutional Class-0.03% (l)

   $ 12,165,329      $ 12,165,329  
     

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $24,330,658)         24,330,658  
     

 

 

 
TOTAL INVESTMENTS (Cost $1,149,793,196) - 101.2%         1,135,515,440  
     

 

 

 
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)%         (13,108,508
     

 

 

 
TOTAL NET ASSETS-100.0%       $ 1,122,406,932  
     

 

 

 

Principal amounts stated in U.S. dollars unless otherwise stated.

Country shown is geographic area of peril risk.

Percentages are stated as a percent of net assets.

(a)

Rounds to zero.

(b)

Foreign issued security. Total foreign securities by country of domicile are $1,108,224,102. Foreign concentration is as follows: Bermuda: 84.0%, Cayman Islands: 6.5%, Supranational: 2.9%, Singapore: 2.1%, Ireland: 1.8%, and Great Britain: 1.5%.

(c)

Variable rate security. Reference rates as of January 31, 2021 are as follows: 3 Month Euribor -0.54%, 3 Month Libor 0.20%, T-Bill 3 Month 0.06%, and 6 Month Libor 0.22%. Actual reference rates may vary based on the reset date of the security.

(d)

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 January 31, 2021 was $982,018,204, which represented 87.5% of net assets.

(e)

Security is restricted as to resale.

(f)

All or a portion of the security is pledged as collateral for the Fund’s financing facility.

(g)

All or a portion of the security is pledged as collateral for the Fund’s reverse repurchase agreements.

(h)

Value determined using significant unobservable inputs.

(i)

Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $162,308,365, which represents 14.5% of net assets.

(j)

Zero-coupon bond. The rate shown is the yield to maturity based upon original cost which may differ from current cost due to returns of capital received.

(k)

Non-income producing security.

(l)

Rate shown is the 7-day effective yield.

The accompanying Notes are an integral part of the Schedule of Investments.

 

10


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

Reverse Repurchase Agreements

 

                                                       

DESCRIPTION

   PRINCIPAL VALUE      AMORTIZED COST  
REVERSE REPURCHASE AGREEMENTS SOLD      
Repurchase Agreement with JP Morgan Chase Securities, Inc., dated 1/19/21, 1.43%, collateralized by $12,884,534 Event Linked Bonds, due 2/19/2021    $ 5,000,000      $ 5,000,000  
Repurchase Agreement with JP Morgan Chase Securities, Inc., dated 1/19/21, 1.43%, collateralized by $12,918,763 Event Linked Bonds, due 3/16/2021      5,000,000        5,000,000  
  

 

 

    

 

 

 
TOTAL REVERSE REPURCHASE AGREEMENTS SOLD    $  10,000,000      $ 10,000,000  
  

 

 

    

 

 

 
(Premiums Received $10,000,000)      

 

11


STONE RIDGE U.S. HEDGED EQUITY FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   
     NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
PURCHASED OPTIONS - (a) 0.0%

 

     
PUT OPTIONS - (a) 0.0%

 

     
CBOE S&P 500 Index, Expires 2/5/2021, Strike Price $2,300.00      101      $  37,513,824      $ 1,010  
CBOE S&P 500 Index, Expires 2/5/2021, Strike Price $2,350.00      25        9,285,600        250  
     

 

 

 
TOTAL PURCHASED OPTIONS (Cost $1,353)

 

        1,260  
     

 

 

 
            SHARES      FAIR VALUE  
SHORT-TERM INVESTMENTS - 102.0%

 

     
Money Market Funds - 0.1%

 

     
Fidelity Investments Money Market Funds - Government Portfolio - Institutional Class - 0.01% (b)

 

     13,787      $ 13,787  
First American Government Obligations Fund - Class Z - 0.04% (b)

 

     13,787        13,787  
First American Treasury Obligations Fund - Class Z - 0.03% (b)

 

     13,787        13,787  
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.03% (b)

 

     13,788        13,788  
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.01% (b)

 

     13,788        13,788  
     

 

 

 
        68,937  
     

 

 

 
            PRINCIPAL
AMOUNT
     FAIR VALUE  
U.S. Treasury Bills - 101.9%

 

     
0.096%, 2/18/2021 (c)(d)

 

   $ 4,275,000        4,274,934  
0.135%, 2/25/2021 (c)(d)

 

     8,055,000        8,054,785  
0.095%, 3/18/2021 (c)(d)

 

     5,975,000        5,974,608  
0.154%, 3/25/2021 (c)(d)

 

     5,900,000        5,899,574  
0.154%, 4/22/2021 (c)(d)

 

     8,150,000        8,149,094  
0.115%, 6/17/2021 (c)(d)

 

     2,450,300        2,449,698  
0.092%, 8/12/2021 (c)(d)

 

     3,050,000        3,049,024  
0.106%, 9/9/2021 (c)(d)

 

     6,425,000        6,422,252  
0.097%, 11/4/2021 (c)(d)

 

     2,120,000        2,118,781  
0.095%, 12/30/2021 (c)(d)

 

     1,235,000        1,234,160  
  

 

 

 
           47,626,910  
        

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $47,689,263)

 

        47,695,847  
     

 

 

 
TOTAL INVESTMENTS (Cost $47,690,616) - 102.0%

 

        47,697,107  
     

 

 

 
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)%

 

        (957,384
     

 

 

 
TOTAL NET ASSETS - 100.0%

 

      $ 46,739,723  
     

 

 

 

Percentages are stated as a percent of net assets.

 

(a)

Rounds to zero.

(b)

Rate shown is the 7-day effective yield.

(c)

Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

(d)

All or a portion of this security is held as collateral for written put options.

Written Options

 

                                                                                                               

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
PUT OPTIONS         
CBOE S&P 500 Index, Expires 2/1/2021, Strike Price $3,840.00      5      $ 1,857,120      $ 66,150  
CBOE S&P 500 Index, Expires 2/1/2021, Strike Price $3,845.00      5        1,857,120        68,625  
CBOE S&P 500 Index, Expires 2/1/2021, Strike Price $3,850.00      25        9,285,600        354,750  
CBOE S&P 500 Index, Expires 2/1/2021, Strike Price $3,855.00      5        1,857,120        73,550  
CBOE S&P 500 Index, Expires 2/3/2021, Strike Price $3,720.00      30        11,142,720        162,600  
CBOE S&P 500 Index, Expires 2/3/2021, Strike Price $3,750.00      5        1,857,120        33,875  
CBOE S&P 500 Index, Expires 2/3/2021, Strike Price $3,780.00      5        1,857,120        42,600  

 

12


STONE RIDGE U.S. HEDGED EQUITY FUND

Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                                               

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
CBOE S&P 500 Index, Expires 2/5/2021, Strike Price $3,720.00      26      $ 9,657,024      $ 169,156  
CBOE S&P 500 Index, Expires 2/5/2021, Strike Price $3,730.00      20        7,428,480        138,100  
  

 

 

 
TOTAL PUT OPTIONS            1,109,406  
(Premiums Received $587,157)         
  

 

 

 
TOTAL WRITTEN OPTIONS          $  1,109,406  
  

 

 

 
(Premiums Received $587,157)         

The accompanying Notes are an integral part of the Schedule of Investments.

 

13


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   
            SHARES      FAIR VALUE  
INVESTMENT COMPANIES - 60.4%         
Open-End Mutual Funds - 60.4%         
Stone Ridge High Yield Reinsurance Risk Premium Fund - Class I (a)         3,489,681      $ 31,790,990  
        

 

 

 
TOTAL INVESTMENT COMPANIES (Cost $31,575,802)            31,790,990  
        

 

 

 
        
     NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
PURCHASED OPTIONS - 0.1%         
Put Options - 0.1%         
S&P 500 Emini Index, Expires: 02/05/21, Strike Price: $3,350.00      1      $ 185,260      $ 276  
S&P 500 Emini Index, Expires: 02/19/21, Strike Price: $2,550.00      80               14,820,800        8,200  
S&P 500 Emini Index, Expires: 02/26/21, Strike Price: $2,700.00      80        14,820,800        22,400  
        

 

 

 
           30,876  
        

 

 

 
        
     COUNTERPARTY                
OTC Put Options (b) - 0.0%         
Japanese Yen, Expires: 02/09/21, Strike Price AUD 75.25     

Morgan Stanley
Capital
Services LLC
 
 
 
     22,000,000        1,524  
Japanese Yen, Expires: 02/24/21, Strike Price AUD 75.00      BNP Paribas        24,000,000        9,723  
        

 

 

 
           11,247  
        

 

 

 
TOTAL PURCHASED OPTIONS (Cost $50,274)            42,123  
        

 

 

 
        
            SHARES      FAIR VALUE  
SHORT-TERM INVESTMENTS - 42.1%         
Money Market Funds - 9.5%         
First American Government Obligations Fund - Class X 0.04% (c)         2,513,901        2,513,901  
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class 0.03% (c)         2,513,901        2,513,901  
        

 

 

 
           5,027,802  
        

 

 

 
        
            PRINCIPAL
AMOUNT
     FAIR VALUE  
U.S. Treasury Bills - 32.6%         
0.154%, 04/22/2021 (d)(e)         5,500,000        5,499,389  
0.096%, 12/30/2021 (d)(e)         10,700,000        10,692,723  
0.083%, 01/27/2022 (d)(e)         1,000,000        999,175  
        

 

 

 
           17,191,287  
        

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $22,215,716)            22,219,089  
        

 

 

 
        
TOTAL INVESTMENTS (Cost $53,841,792) - 102.6%            54,052,202  
        

 

 

 
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.6)%            (1,379,839
        

 

 

 
TOTAL NET ASSETS - 100.0%          $      52,672,363  
        

 

 

 

Percentages are stated as a percent of net assets.

 

(a)

Affiliated company. See Note 3.

(b)

Rounds to zero.

(c)

Rate shown is the 7-day effective yield.

(d)

All or a portion of this security is held as collateral for derivative contracts.

(e)

Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

The accompanying Notes are an integral part of the Consolidated Schedule of Investments.

 

14


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

Written Options

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
CALL OPTIONS         
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $78.00      9        687,780      $ 450  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $78.25      25        1,905,500        875  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $78.50      25        1,905,500        625  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.00      16        1,219,520        160  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.25      25        1,905,500        250  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.50      8        609,760        40  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $80.00      11        838,420        55  
Australian Dollar Future, March 2021 Settlement, Expires 03/05/2020, Strike Price $80.00      5        381,100        400  
Australian Dollar Future, March 2021 Settlement, Expires 03/05/2020, Strike Price $80.50      9        685,980        540  
Australian Dollar Future, March 2021 Settlement, Expires 03/05/2020, Strike Price $81.00      5        381,100        200  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $136.50      19        1,627,469        11,400  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $137.00      25        2,141,406        10,312  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $137.50      24        2,055,750        6,600  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $138.00      44        3,768,875        7,700  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $138.50      11        942,219        1,169  
British Pound Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $140.50      4        342,625        675  
British Pound Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $141.00      1        85,656        131  
British Pound Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $141.50      30        2,569,688        3,000  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.00      11        859,320        660  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.25      25        1,953,000        1,000  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $79.50      46        3,593,520        1,150  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $80.00      27        2,109,240        270  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $80.50      9        703080        45  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $79.50      37        2,890,440        7,030  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $80.00      6        468,720        720  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $81.00      14        1,093,680        560  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $81.50      26        2,031,120        650  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,550.00      4        101,240        1,320  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,600.00      34        860,540        6,120  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,650.00      60        1,518,600        5,400  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,700.00      57        1,442,670        2,850  

 

15


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,750.00      70        1,771,700      $ 2,100  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,800.00      29        733,990        290  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,850.00      25        632,750        250  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,900.00      32        809,920        320  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $2,950.00      10        253,100        100  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $3,000.00      19        480,890        190  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $3,050.00      31        784,610        310  
Cocoa Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $3,100.00      17        430,270        170  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $132.50      8        368,850        1,980  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $135.00      12        553,275        2,025  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $137.50      26        1,198,763        3,022  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $140.00      25        1,152,656        1,969  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $142.50      21        968,231        1,181  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $145.00      9        414,956        337  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $545.00      3        82,050        3,075  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $550.00      26        711,100        23,725  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $555.00      52        1,422,200        42,250  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $560.00      96        2,625,600        69,000  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $565.00      66        1,805,100        42,075  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $570.00      43        1,176,050        24,187  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $575.00      26        711,100        12,837  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $580.00      11        300,850        4,812  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $585.00      22        601,700        8,388  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $590.00      11        300,850        3,713  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $595.00      3        82,050        881  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $600.00      15        410,250        3,938  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $605.00      21        574,350        4,856  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $610.00      2        54,700        400  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $71.00      1        40,320        4,825  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $72.00      7        282,240        30,275  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $73.00      7        282,240        26,775  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $74.00      9        362,880        29,970  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $75.00      20        806,400        56,700  

 

16


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $76.00      23        927,360      $ 53,935  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $77.00      16        645,120        29,840  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $78.00      11        443,520        15,510  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $79.00      13        524,160        13,000  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $80.00      6        241,920        3,990  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $81.00      7        282,240        2,940  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $82.00      7        282,240        1,820  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $83.00      8        322,560        1,280  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $84.00      6        241,920        570  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $85.00      5        201,600        300  
Crude Oil Future, March 2021 Settlement, Expires 02/17/2021, Strike Price $63.50      1        52,200        30  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $58.00      7        385,280        5,180  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $58.25      3        165,120        2,040  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $58.50      33        1,816,320        20,460  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $58.75      6        330,240        3,360  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $59.00      43        2,366,720        21,930  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $59.75      2        110,080        780  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $60.50      14        770,560        4,200  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $61.50      3        165,120        630  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $62.00      18        990,720        3,060  
Euro FX Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $1.233      1        151,250        25  
Euro FX Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $1.240      1        151,250        13  
Euro FX Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $1.245      3        453,750        19  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,930.00      4        740,120        4,120  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,935.00      1        185,030        970  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,940.00      1        185,030        900  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,945.00      12        2,220,360        10,080  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,950.00      17        3,145,510        13,260  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,955.00      4        740,120        2,920  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,960.00      15        2,775,450        10,350  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,965.00      21        3,885,630        13,440  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,970.00      6        1,110,180        3,660  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,975.00      2        370,060        1,140  

 

17


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,980.00      1        185,030      $ 540  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $2,000.00      2        370,060        880  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $370.00      56        4,978,400        58,800  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $382.00      4        355,600        2,100  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $383.00      4        355,600        2,000  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $384.00      4        355,600        1,900  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $385.00      1        88,900        450  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $386.00      1        88,900        437  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $388.00      2        177,800        800  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $390.00      1        88,900        363  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $97.00      10        1,193,875        188  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $97.50      9        1,074,488        56  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $98.00      20        2,387,750        125  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $99.00      10        1,193,875        63  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $70.00      5        139,600        1,700  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $72.00      4        111,680        360  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $75.00      4        111,680        80  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $114.00      21        966,420        13,440  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $117.00      4        184,080        360  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $118.00      1        46,020        60  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $119.00      42        1,932,840        1,260  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $120.00      12        552,240        240  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $121.00      23        1,058,460        230  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $122.00      9        414,180        90  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $123.00      5        230,100        50  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $28.50      4        538,200        23,500  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $28.75      1        134,550        5,555  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $29.00      2        269,100        10,510  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $29.25      2        269,100        9,940  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $29.50      2        269,100        9,410  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $30.00      3        403,650        12,645  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $31.50      2        269,100        6,200  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $35.00      1        134,550        1,635  

 

18


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $36.00      1        134,550      $ 1,405  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $36.25      2        269,100        2,710  
Silver Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $36.50      1        134,550        1,310  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1520.00      16        1,096,000        4,000  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1530.00      23        1,575,500        5,175  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1540.00      45        3,082,500        9,000  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1550.00      53        3,630,500        9,606  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1560.00      42        2,877,000        6,562  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1570.00      23        1,575,500        3,163  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1580.00      32        2,192,000        4,000  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1590.00      11        753,500        1,238  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1600.00      1        68,500        100  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1620.00      4        274,000        325  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1630.00      1        68,500        75  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $47.00      6        160,632        2,646  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $47.50      21        562,212        7,686  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $48.00      47        1,258,284        14,241  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $48.50      33        883,476        8,415  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $49.00      17        455,124        3,570  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $49.50      24        642,528        4,104  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $50.00      15        401,580        2,070  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $50.50      3        80,316        342  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $51.00      4        107,088        384  
Soybean Oil Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $51.50      2        53,544        162  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $16.00      15        265,944        6,720  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $17.50      16        283,674        1,792  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $17.75      50        886,480        4,480  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $18.00      17        301,403        1,333  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $18.25      35        620,536        1,960  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $18.50      24        425,510        1,344  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $18.75      42        744,643        1,882  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $19.00      32        567,347        1,075  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $19.50      33        585,077        739  

 

19


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $20.00      9        159,566      $ 202  
Sugar Future, April 2021 Settlement, Expires 03/15/2021, Strike Price $17.00      34        602,806        8,758  
        

 

 

 
TOTAL CALL OPTIONS (Premiums Received $936,230)            1,013,576  
        

 

 

 
PUT OPTIONS         
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $74.00      7        534,940        245  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $75.00      6        458,520        540  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $75.50      24        1,834,080        4,080  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $76.00      38        2,903,960        11,400  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $76.50      45        3,438,900        22,950  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $77.00      30        2,292,600        24,000  
Australian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $77.50      5        382,100        5,950  
Australian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $72.50      9        687,780        1,260  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $131.50      3        256,969        19  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $132.00      2        171,313        12  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $132.50      15        1,284,844        94  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $133.00      16        1,370,500        100  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $133.50      22        1,884,438        275  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $134.00      25        2,141,406        625  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $134.50      22        1,884,438        825  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $135.00      18        1,541,813        1,125  
British Pound Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $135.50      5        428,281        500  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $76.00      4        312,480        80  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $77.50      11        859,320        1,430  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $78.00      41        3,202,920        11,480  
Canadian Dollar Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $78.50      11        859,320        6,050  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $76.00      11        859,320        1,430  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $76.50      8        624,960        1,600  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $77.00      22        1,718,640        6,380  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $77.50      24        1,874,880        10,320  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $78.00      44        3,437,280        27,280  
Canadian Dollar Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $78.50      6        468,720        5,280  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $105.00      1        46,106        19  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $107.50      5        230,531        131  

 

20


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $110.00      9        414,956      $ 371  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $112.50      25        1,152,656        1,875  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $115.00      16        737,700        2,340  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $117.50      4        184,425        1,155  
Coffee ‘C’ Future, March 2021 Settlement, Expires 02/10/2021, Strike Price $120.00      11        507,169        6,146  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $430.00      27        738,450        169  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $435.00      67        1,832,450        419  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $440.00      34        929,900        212  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $445.00      39        1,066,650        487  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $480.00      2        54,700        138  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $485.00      9        246,150        788  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $490.00      20        547,000        2,250  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $495.00      96        2,625,600        13,800  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $500.00      121        3,309,350        21,931  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $505.00      93        2,543,550        20,344  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $510.00      93        2,543,550        25,575  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $515.00      82        2,242,700        27,162  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $520.00      40        1,094,000        16,250  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $525.00      6        164,100        2,925  
Corn Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $530.00      14        382,900        8,138  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $68.00      5        201,600        25  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $69.00      3        120,960        15  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $70.00      9        362,880        45  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $71.00      7        282,240        35  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $72.00      23        927,360        115  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $73.00      19        766,080        95  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $74.00      13        524,160        130  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $75.00      13        524,160        195  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $79.00      8        322,560        1,440  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $80.00      9        362,880        3,105  
Cotton Future, March 2021 Settlement, Expires 02/05/2021, Strike Price $81.00      7        282,240        4,200  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $47.00      4        22,016        1,400  

 

21


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $48.00      8        44,032      $ 3,440  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $48.25      2        11,008        900  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $48.50      21        115,584        9,870  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $48.75      15        82,560        7,350  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $49.00      3        16,512        1,560  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $49.75      11        60,544        6,600  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $50.00      24        132,096        15,360  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $50.25      11        60,544        7,370  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $50.50      10        55,040        7,100  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $50.75      12        66,048        9,000  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $51.00      17        93,568        13,430  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $51.25      4        22,016        3,320  
Crude Oil Future, April 2021 Settlement, Expires 02/23/2021, Strike Price $51.50      11        60,544        9,680  
Euro FX Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $1.220      5        756,250        4,625  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,705.00      1        185,030        220  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,725.00      1        185,030        300  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,730.00      3        555,090        990  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,735.00      7        1,295,210        2,520  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,740.00      10        1,850,300        4,000  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,745.00      3        555,090        1,290  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,750.00      11        2,035,330        5,280  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,755.00      12        2,220,360        6,360  
Gold Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $1,760.00      7        1,295,210        4,060  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $335.00      3        266,700        1,537  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $336.00      8        711,200        4,500  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $337.00      5        444,500        3,063  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $338.00      4        355,600        2,650  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $339.00      2        177,800        1,450  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $340.00      11        977,900        8,662  
HG Copper Future, March 2021 Settlement, Expires 02/23/2021, Strike Price $345.00      56        4,978,400        64,400  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $95.50      57        6,805,088        19,950  
Japanese Yen Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $96.00      10        1,193,875        7,500  

 

22


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Japanese Yen Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $94.50      20        2,387,750      $ 6,250  
Japanese Yen Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $95.00      29        3,462,238        14,862  
Japanese Yen Future, March 2021 Settlement, Expires 03/05/2021, Strike Price $95.50      19        2,268,363        14,963  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $55.00      5        139,600        25  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $57.00      4        111,680        20  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $58.00      4        111,680        40  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $59.00      9        251,280        90  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $60.00      4        111,680        80  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $61.00      23        642,160        460  
Lean Hogs Future, February 2021 Settlement, Expires 02/12/2021, Strike Price $63.00      14        390,880        280  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $99.00      6        276,120        60  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $100.00      2        92,040        100  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $109.00      7        322,140        420  
Live Cattle Future, February 2021 Settlement, Expires 02/05/2021, Strike Price $110.00      10        460,200        100  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,365.00      10        1,852,600        3,862  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,370.00      19        3,519,940        6,700  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,375.00      9        1,667,340        2,216  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,380.00      20        3,705,200        5,849  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,385.00      21        3,890,460        6,860  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,395.00      50        9,263,000        12,959  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,400.00      19        3,519,940        5,557  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,405.00      30        5,557,800        7,835  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,410.00      20        3,705,200        4,599  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,415.00      47        8,707,220        12,738  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,420.00      30        5,557,800        8,085  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,425.00      19        3,519,940        4,725  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,430.00      10        1,852,600        4,362  
S&P 500 Emini Index, February 2021 Settlement, Expires 02/05/2021, Strike Price $3,435.00      10        1,852,600        2,612  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.20      6        807,300        3,600  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.25      3        403,650        1,860  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.30      5        672,750        3,200  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.35      4        538,200        2,660  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.40      4        538,200        2,760  

 

23


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.45      9        1,210,950      $ 6,435  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.50      2        269,100        1,480  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.55      4        538,200        3,060  
Silver Future, March 2021 Settlement, Expires 02/23/2020, Strike Price $22.60      1        134,550        790  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,170.00      3        205,500        150  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,180.00      6        411,000        337  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,190.00      23        1,575,500        1,581  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,200.00      46        3,151,000        3,738  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,210.00      37        2,534,500        3,700  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,220.00      48        3,288,000        5,700  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,230.00      54        3,699,000        7,763  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,240.00      24        1,644,000        4,200  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,250.00      29        1,986,500        6,162  
Soybean Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $1,260.00      13        890,500        3,412  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $350.00      5        215,500        50  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $355.00      6        258,600        90  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $360.00      10        431,000        200  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $365.00      17        732,700        425  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $370.00      15        646,500        450  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $375.00      20        862,000        800  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $380.00      4        172,400        220  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $385.00      6        258,600        420  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $395.00      1        43,100        125  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $400.00      1        43,100        170  
Soybean Meal Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $405.00      5        215,500        1,200  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $14.75      14        248,214        1,411  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $15.50      42        744,643        14,112  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $15.75      51        904,210        23,990  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $16.00      46        815,562        29,366  
Sugar Future, March 2021 Settlement, Expires 02/16/2021, Strike Price $16.25      34        602,806        27,798  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $585.00      2        66,300        113  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $590.00      14        464,100        963  

 

24


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $595.00      5        165,750      $ 469  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $605.00      4        132,600        600  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $610.00      5        165,750        938  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $615.00      5        165,750        1,187  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $625.00      1        33,150        356  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $630.00      4        132,600        1,700  
Wheat Future, March 2021 Settlement, Expires 02/19/2021, Strike Price $635.00      10        331,500        5,063  
        

 

 

 
TOTAL PUT OPTIONS            848,605  
        

 

 

 
(Premiums Received $1,301,823)         
        

 

 

 
TOTAL WRITTEN OPTIONS          $ 1,862,181  
        

 

 

 
(Premiums Received $2,238,053)         

Open Futures Contracts

 

                                                                          

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
VALUE
     VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
FUTURES CONTRACTS SOLD         
Amsterdam Index, February 2021 Settlement      4      $ 617,832      $ 5,347  
Australian Dollar, March 2021 Settlement      33        2,521,695        13  
Canadian Dollar, March 2021 Settlement      22        1,718,640        (105
Coffee ‘C’, March 2021 Settlement      4        184,425        (9,115
Coffee ‘C’, July 2021 Settlement      5        238,031        (2,302
Corn, March 2021 Settlement      7        191,450        (11,918
DAX Index, March 2021 Settlement      3        1,223,438        (7,271
FTSE China A50 Index, February 2021 Settlement      71        1,286,662        45,147  
FTSE Taiwan Index, February 2021 Settlement      1        52,910        2,497  
FTSE/JSE Top 40 Index, March 2021 Settlement      34        1,288,920        (29,111
Gold 100 Oz, June 2021 Settlement      5        926,350        (312
Japanese Yen, March 2021 Settlement      43        5,133,663        12,401  
KC HRW Wheat, July 2021 Settlement      22        702,625        (41,135
KOSPI2 Index, March 2021 Settlement      7        632,744        (66,205
Lean Hogs, July 2021 Settlement      2        70,040        (2,096
Live Cattle, June 2021 Settlement      1        47,040        (2,929
Low Su Gasoil, July 2021 Settlement      3        136,500        2,395  
Natural Gas, July 2021 Settlement      1        27,520        1,448  
Nikkei 225, March 2021 Settlement      3        789,632        (18,253
NY Harbor ULSD, July 2021 Settlement      2        133,820        (227
S&P500 Emini, March 2021 Settlement      13        2,408,380        (3,179
SGX Nifty 50 Index, February 2021 Settlement      46        1,262,286        74,442  
Silver, March 2021 Settlement      3        403,710        (7,966
Silver, July 2021 Settlement      8        1,079,800        (59,443
Sugar #11, March 2021 Settlement      21        372,322        (31,296
Wheat Future, July 2021 Settlement      20        643,000        (1,367
     

 

 

    

 

 

 
TOTAL FUTURES CONTRACTS SOLD       $ 24,093,435      $ (150,540
     

 

 

    

 

 

 
FUTURES CONTRACTS PURCHASED         
British Pound, March 2021 Settlement      29        2,484,031        (4,716
Brent Crude, July 2021 Settlement      19        1,029,990        (23,150
CAC 40 Index, February 2021 Settlement      19        1,244,178        (55,761
Cocoa, March 2021 Settlement      58        1,467,980        (77,562
Copper, March 2021 Settlement      10        889,000        (30,194
Copper, May 2021 Settlement      2        177,825        (3,555
Corn, July 2021 Settlement      23        616,975        49,912  

 

25


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                          

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
VALUE
     VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Cotton No.2, March 2021 Settlement      95      $ 3,830,400      $ 83,751  
Cotton No.2, July 2021 Settlement      12        496,680        7,421  
Euro Stoxx 50 Index, March 2021 Settlement      15        633,108        (9,164
FTSE 100 Index, March 2021 Settlement      15        1,307,323        (29,313
FTSE/MIB Index, March 2021 Settlement      10        1,306,870        (35,303
Gasoline RBOB, July 2021 Settlement      14        964,144        5,533  
Gold 100 Oz, April 2021 Settlement      1        185,030        (322
IBEX 35 Index, February 2021 Settlement      7        658,367        (47,807
Live Cattle, February 2021 Settlement      6        276,120        872  
OMXS30 Index, February 2021 Settlement      2        46,534        (442
S&P/TSX 60 Index, March 2021 Settlement      8        1,280,125        (13,425
Soybean, March 2021 Settlement      4        274,000        (12,414
Soybean, July 2021 Settlement      9        606,938        (8,537
Soybean Meal, March 2021 Settlement      23        991,300        (27,633
Soybean Meal, July 2021 Settlement      14        593,740        (22,778
Soybean Oil, March 2021 Settlement      15        401,580        30,533  
Soybean Oil, July 2021 Settlement      21        545,328        19,845  
Sugar #11, May 2021 Settlement      10        168,896        (4,735
Sugar #11, July 2021 Settlement      71        1,160,992        30,540  
Swiss Market Index, March 2021 Settlement      11        1,299,500        (8,255
Wheat Future, March 2021 Settlement      5        165,750        (1,627
WTI Crude, July 2021 Settlement      19        975,460        (15,383
     

 

 

    

 

 

 
TOTAL FUTURES CONTRACTS PURCHASED       $ 26,078,164      $ (203,669
     

 

 

    

 

 

 

Open Forward Currency Contracts

 

                                                                                                                                                           

COUNTERPARTY

  

FORWARD
SETTLEMENT
DATE

  

CURRENCY TO BE
RECEIVED

   AMOUNT OF
CURRENCY TO BE
RECEIVED IN
LOCAL
CURRENCY
     CURRENCY TO BE
DELIVERED
   AMOUNT OF
CURRENCY TO BE
DELIVERED IN
LOCAL
CURRENCY
     UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Morgan Stanley Capital Services LLC    4/7/2021    British Pound      1,608,690      United States Dollar      2,190,580      $ 14,430  
Morgan Stanley Capital Services LLC    4/5/2021    Canadian Dollar      2,968,774      United States Dollar      2,336,072        (14,111
Morgan Stanley Capital Services LLC    4/7/2021    Euro      1,686,689      United States Dollar      2,078,151        (28,059
Morgan Stanley Capital Services LLC    4/6/2021    Indian Rupee      194,771,084      United States Dollar      2,640,570        4,730  
Morgan Stanley Capital Services LLC    4/6/2021    Indonesian Rupiah      23,016,391,143      United States Dollar      1,648,715        (17,863
Morgan Stanley Capital Services LLC    4/6/2021    Mexican Peso      1,649,791      United States Dollar      82,671        (2,779
Morgan Stanley Capital Services LLC    4/7/2021    New Zealand Dollar      191,823      United States Dollar      138,258        (414
Morgan Stanley Capital Services LLC    4/2/2021    Russian Ruble      128,462,089      United States Dollar      1,731,386        (43,172
Morgan Stanley Capital Services LLC    4/6/2021    Signapore Dollar      1,409,878      United States Dollar      1,070,007        (8,699
Morgan Stanley Capital Services LLC    4/7/2021    South African Rand      5,628,493      United States Dollar      381,659        (12,837
Morgan Stanley Capital Services LLC    4/7/2021    Sweedish Krona      5,540,691      United States Dollar      675,737        (12,164
Morgan Stanley Capital Services LLC    4/5/2021    Turkish Lira      16,013,452      United States Dollar      2,101,108        28,914  
Morgan Stanley Capital Services LLC    4/7/2021    United States Dollar      1,612,737      Australian Dollar      2,090,319        14,573  
Morgan Stanley Capital Services LLC    4/6/2021    United States Dollar      1,337,089      Chilean Peso      941,217,060        55,337  
Morgan Stanley Capital Services LLC    4/7/2021    United States Dollar      1,731,386      Czeck Koruna      36,829,939        13,696  

 

26


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                                                                                                                           

COUNTERPARTY

  

FORWARD
SETTLEMENT
DATE

  

CURRENCY TO BE RECEIVED

   AMOUNT OF
CURRENCY TO BE
RECEIVED IN
LOCAL
CURRENCY
     CURRENCY TO BE
DELIVERED
     AMOUNT OF
CURRENCY TO BE
DELIVERED IN
LOCAL
CURRENCY
     UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Morgan Stanley Capital Services LLC    4/6/2021    United States Dollar      1,136,043        Israeli New Shekel        3,635,316      $ 27,602  
Morgan Stanley Capital Services LLC    4/6/2021    United States Dollar      137,785        Japanese Yen        14,184,346        2,272  
Morgan Stanley Capital Services LLC    4/7/2021    United States Dollar      82,671        New Taiwan Dollar        2,277,065        842  
Morgan Stanley Capital Services LLC    4/7/2021    United States Dollar      2,060,502        Norwegian Krone        17,513,746        16,191  
Morgan Stanley Capital Services LLC    4/6/2021    United States Dollar      82,671        Polish Zloty        305,881        510  
Morgan Stanley Capital Services LLC    4/5/2021    United States Dollar      1,648,715        South Korean Won        1,785,433,043        52,089  
Morgan Stanley Capital Services LLC    4/7/2021    United States Dollar      1,354,272        Swiss Franc        1,188,922        16,829  
                 

 

 

 
                  $ 107,917  
                 

 

 

 

The accompanying Notes are an integral part of the Consolidated Schedule of Investments.    

 

27


Notes to Financial Statements

1. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “High Yield Reinsurance Fund”), the Stone Ridge U.S. Hedged Equity Fund (the “U.S. Hedged Equity Fund”) and the Stone Ridge Diversified Alternatives Fund (the “Diversified Alternatives Fund”) (together, the “Funds”) in the preparation of their financial statements. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America. The Funds are investment companies and apply specific accounting and financial reporting requirements under Financial Accounting Standards Board Accounting Standards Topic 946, Financial Services – Investment Companies.

2. Investment Valuation and Fair Value Measurement

The Board of Trustees (“Board”) has approved procedures pursuant to which each Fund values its investments (the “Valuation Procedures”). The Board has established an Adviser Valuation Committee made up of employees of Stone Ridge Asset Management LLC (the “Adviser”) to which the Board has delegated responsibility for overseeing the implementation of the Valuation Procedures, including fair value determinations made on behalf of the Board.

Listed below is a summary of certain of the methods generally used currently to value investments of each Fund under the Valuation Procedures:

With respect to pricing of insurance-linked securities (including participation notes and preference shares) for which at least one designated independent broker provides a price, that price (or, if multiple designated independent brokers provide a price, the average of such prices) will be used to value the security. The Funds typically utilize an independent data delivery vendor to obtain the prices, average them and communicate the resulting value to the Administrator. If no designated independent broker provides a price for the security in question, the Adviser Valuation Committee will generally utilize prices provided by one or more other brokers that the Adviser has approved to value the security. For certain securities, an administrator or third-party manager may regularly provide net asset values that may be used to determine the price at which an investor can subscribe for or redeem an investment in that security, subject to any relevant restrictions on the timing of such subscriptions or redemptions. The Adviser Valuation Committee will generally rely upon such valuations, with any necessary adjustment to reflect relevant corporate actions (e.g., dividends paid but not yet reflected in the reported net asset value).

Non-prime money market funds and cash sweep programs are generally valued at amortized cost, which approximates fair value.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, loans, mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities (except event-linked bonds) are valued by an independent pricing service at an evaluated (or estimated) mean between the closing bid and asked prices.

Reverse repurchase agreements are accounted for at amortized cost, which approximates fair value.

For investments in investment companies that are registered under the 1940 Act, the value of the shares of such funds is calculated based upon the net asset value (“NAV”) per share of such funds. The prospectuses for such funds explain the circumstances under which they will use fair value pricing and its effects.

Equity securities (other than insurance-linked securities that are valued pursuant to the valuation methods described above) are valued at the last sale, official close or if there are no reported sales at the mean between the bid and asked price on the primary exchange on which they are traded. The values of the Funds’ investments in publicly-traded foreign equity securities generally will be the closing or final trading prices in the local trading markets but may be adjusted based on values determined by a pricing service using pricing models designed to estimate changes in the values of those securities between the times in which the trading in those securities is substantially completed and the close of the New York Stock Exchange (“NYSE”).

Exchange-traded derivatives, such as options and futures contracts, are valued at the settlement price on the exchange or mean of the bid and asked prices.

Non-exchange traded derivatives, including over-the-counter (“OTC”) options, are generally valued on the basis of valuations provided by a pricing service or using quotes provided by a broker/dealer (typically the counterparty).

 

28


Generally, the Fund must value its assets using market quotations when they are readily available. If, with respect to any portfolio instrument, market quotations are not readily available or available market quotations are deemed to be unreliable by the Adviser Valuation Committee, then such instruments will be valued as determined in good faith by the Adviser Valuation Committee. In these circumstances, the Fund determines fair value in a manner that seeks to reflect the market value of the security on the valuation date based on consideration by the Adviser Valuation Committee of any information or factors it deems appropriate.

Fair value pricing may require subjective determinations about the value of a portfolio instrument. Fair values may differ from quoted or published prices, or from prices that are used by others, for the same investments. Also, the use of fair value pricing may not always result in adjustments to the prices of securities or other assets or liabilities held by a Fund. It is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of such security. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in a Fund.

A substantial portion of the Funds’ investments are U.S. dollar denominated investments. Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. International markets are sometimes open on days when U.S. markets are closed, which means that the value of foreign securities owned by a Fund could change on days when Fund shares cannot be bought or sold. The value of investments traded in markets outside the U.S. or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed, and the NAV of a Fund’s shares may change on days when an investor is not able to purchase, redeem or exchange shares. The calculation of a Fund’s NAV may not take place contemporaneously with the determination of the prices of foreign securities used in NAV calculations.

The Funds adhere to authoritative fair valuation accounting standards that set out a hierarchy for measuring fair valuation inputs. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to significant unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:

Level 1 Inputs: quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund can access at the measurement date;

Level 2 Inputs: inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly or indirectly including inputs in markets that are not considered to be active or in active markets for similar assets or liabilities, observable inputs other than quoted prices and inputs that are not directly observable but are corroborated by observable market data;

Level 3 Inputs: significant unobservable inputs for the asset or liability.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment by the Adviser. The Adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Adviser’s perceived risk of that instrument.

There were transfers between Level 2 and 3 during the reporting period. The transfers from Level 2 to Level 3 occurred because there is no longer observable market data for these securities for the period ended January 31, 2021. The transfers from Level 3 to Level 2 occurred because there was observable market data that became available as of January 31, 2021. The following table summarizes the inputs used to value the Funds’ investments as of January 31, 2021:

 

                                                                                                   

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

High Yield Reinsurance Fund

           

Assets

           

Event-Linked Bonds

           

Europe

   $ —        $ 523,928      $ —        $ 523,928  

 

29


                                                                                                   

DESCRIPTION

   LEVEL 1     LEVEL 2     LEVEL 3      TOTAL  

Global

   $ —       $ 161,915,229     $ 2,960,679      $ 164,875,908  

Great Britain

     —         —         3,159,211        3,159,211  

Japan

     —         59,640,862       —          59,640,862  

Mexico

     —         11,673,626       —          11,673,626  

United States

     —         658,207,727       1,546,533        659,754,260  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Event-Linked Bonds

     —         891,961,372       7,666,423        899,627,795  

Participation Notes

     —         —         107,741,311        107,741,311  

Preference Shares(1)

     —         —         103,815,676        103,815,676  

Money Market Funds

     24,330,658       —         —          24,330,658  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 24,330,658     $ 891,961,372     $ 219,223,410      $ 1,135,515,440  
  

 

 

   

 

 

   

 

 

    

 

 

 

U.S. Hedged Equity Fund(2)

         

Assets

         

Purchased Options

   $ 1,260     $ —       $ —        $ 1,260  

Money Market Funds

     68,937       —         —          68,937  

U.S. Treasury Bills

     —         47,626,910       —          47,626,910  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 70,197     $ 47,626,910     $ —        $ 47,697,107  
  

 

 

   

 

 

   

 

 

    

 

 

 

Liabilities

         

Written Options

   $ 307,256     $ 802,150     $ —        $ 1,109,406  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Liabilities

   $ 307,256     $ 802,150     $ —        $ 1,109,406  
  

 

 

   

 

 

   

 

 

    

 

 

 
Diversified Alternatives Fund(2)          

Assets

         

Investment Companies - Open End

   $ 31,790,990     $ —       $ —        $ 31,790,990  

Purchased Options

     30,600       11,523       —          42,123  

Money Market Funds

     5,027,802       —         —          5,027,802  

U.S. Treasury Bills

     —         17,191,287       —          17,191,287  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 36,849,392     $ 17,202,810     $ —        $ 54,052,202  
  

 

 

   

 

 

   

 

 

    

 

 

 

Liabilities

         

Written Options

   $ 1,773,223     $ 88,958     $ —        $ 1,862,181  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Liabilities

   $ 1,773,223     $ 88,958     $ —        $ 1,862,181  
  

 

 

   

 

 

   

 

 

    

 

 

 

Other Financial Instruments*

         

Unrealized appreciation on forward currency contracts

   $ —       $ 248,015     $ —        $ 248,015  

Unrealized depreciation on forward currency contracts

     —         (140,098     —          (140,098

Unrealized appreciation on futures contracts

     372,097       —         —          372,097  

Unrealized depreciation on futures contracts

     (726,306     —         —          (726,306
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ (354,209   $ 107,917     $ —        $ (246,292
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(1)

For further security characteristics, see the Funds’ Schedules of Investments.

(2)

The Funds measure Level 3 activity as of the beginning and end of each financial reporting period. For the period ended January 31, 2021, the Funds did not have significant unobservable inputs (Level 3 securities) used in determining fair value. Therefore, reconciliations of assets and liabilities in which significant unobservable inputs (Level 3 se