N-CSRS 1 d130708dncsrs.htm STONE RIDGE TRUST Stone Ridge Trust
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22761

Investment Company Act file number

 

 

Stone Ridge Trust

(Exact name of registrant as specified in charter)

 

 

510 Madison Avenue, 21st Floor

New York, New York 10022

(Address of principal executive offices) (Zip code)

 

 

Stone Ridge Asset Management LLC

510 Madison Avenue, 21st Floor

New York, New York 10022

(Name and address of agent for service)

 

 

(855)-609-3680

Registrant’s telephone number, including area code

Date of fiscal year end: October 31, 2016

Date of reporting period: April 30, 2016

 

 

 

Table of Contents

Item 1. Reports to Stockholders.

Table of Contents

LOGO

Table of Contents

Table of Contents

 

 

 

Portfolio Holdings Presentation (Unaudited)

     2   
Schedules of Investments (Unaudited)  

Stone Ridge Reinsurance Risk Premium Fund

     4   

Stone Ridge High Yield Reinsurance Risk Premium Fund

     8   

Stone Ridge U.S. Large Cap Variance Risk Premium Fund

     12   

Stone Ridge U.S. Small Cap Variance Risk Premium Fund

     22   

Stone Ridge U.S. Variance Risk Premium Master Fund

     24   

Stone Ridge International Developed Markets Variance Risk Premium Fund

     25   

Stone Ridge Emerging Markets Variance Risk Premium Fund

     28   

Stone Ridge International Variance Risk Premium Master Fund

     30   

Stone Ridge Global Equity Variance Risk Premium Master Fund

     31   
Financial Statements and Notes (Unaudited)     32   
Expense Examples (Unaudited)     72   
Additional Information (Unaudited)     77   

Table of Contents
ALLOCATION OF PORTFOLIO HOLDINGS AT APRIL 30, 2016 (Unaudited)   

 

STONE RIDGE REINSURANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY YEAR OF SCHEDULED MATURITY     
2016      $103,987,062         9.2%   
2017      307,909,135         27.2%   
2018      275,315,803         24.4%   
2019      154,435,721         13.7%   
2020      62,805,290         5.6%   
2021      64,017,802         5.7%   
2022      820,721         0.1%   
2023      9,801,000         0.9%   
2034      11,972,707         1.1%   
Not Applicable      87,220,667         7.7%   
Other(1)      48,656,580         4.4%   
     $1,126,942,488      

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY SECTOR    
Consumer Discretionary      $7,469,637         2.1%   
Information Technology      5,832,109         1.5%   
Health Care      5,372,751         1.4%   
Financials      2,868,812         0.7%   
Consumer Staples      2,230,684         0.6%   
Industrials      1,973,781         0.5%   
Materials      1,906,874         0.5%   
Energy      1,692,263         0.4%   
Utilities      634,322         0.2%   
Telecommunication Services      175,859         0.0%   
Other(1)      352,739,404         92.1%   
     $382,896,496      

 

STONE RIDGE U.S. VARIANCE RISK PREMIUM MASTER FUND PORTFOLIO ALLOCATION BY HOLDINGS    
Stone Ridge U.S. Large Cap Variance Risk Premium Fund - Class I      $143,860,038         66.7%   
Stone Ridge U.S. Small Cap Variance Risk Premium Fund - Class I      71,786,186         33.3%   
Other(1)      44,306         0.0%   
     $215,690,530      
STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY YEAR OF SCHEDULED MATURITY     
2016      $42,929,913         8.7%   
2017      135,549,577         27.4%   
2018      144,492,768         29.3%   
2019      75,748,652         15.3%   
2020      15,163,347         3.1%   
2021      15,197,012         3.1%   
2023      1,664,000         0.3%   
2034      10,818,256         2.2%   
Not Applicable      46,487,454         9.4%   
Other(1)      6,223,883         1.2%   
     $494,274,862      

 

STONE RIDGE U.S. SMALL CAP VARIANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY SECTOR    
Health Care      $1,092,935         0.8%   
Information Technology      635,843         0.5%   
Consumer Discretionary      566,150         0.4%   
Industrials      337,062         0.3%   
Materials      153,936         0.1%   
Telecommunication Services      104,685         0.1%   
Financials      43,098         0.0%   
Energy      36,643         0.0%   
Other(1)      131,680,644         97.8%   
     $134,650,996      

 

STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY SECTOR     
Health Care      $185,188         0.3%   
Consumer Discretionary      147,705         0.2%   
Telecommunication Services      120,983         0.1%   
Information Technology      116,929         0.1%   
Financials      101,299         0.1%   
Materials      92,937         0.1%   
Energy      49,033         0.0%   
Utilities      36,005         0.0%   
Consumer Staples      32,499         0.0%   
Industrials      31,408         0.0%   
Other(1)      103,374,624         99.1%   
     $104,288,610      
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

2

Table of Contents
ALLOCATION OF PORTFOLIO HOLDINGS AT APRIL 30, 2016 (Unaudited)

 

 

STONE RIDGE EMERGING MARKETS VARIANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY SECTOR    
Information Technology      $478,572         0.9%   
Consumer Discretionary      138,373         0.3%   
Materials      106,325         0.2%   
Financials      92,035         0.2%   
Telecommunication Services      12,744         0.0%   
Energy      8,481         0.0%   
Other(1)      50,613,323         98.4%   
     $51,449,853      

 

STONE RIDGE INTERNATIONAL VARIANCE RISK PREMIUM MASTER FUND PORTFOLIO ALLOCATION BY HOLDINGS     
Stone Ridge International Developed Markets Variance Risk Premium Fund - Class I      $18,438,154         66.0%   
Stone Ridge Emerging Markets Variance Risk Premium Fund - Class I      9,269,874         33.2%   
Other(1)      211,421         0.8%   
     $27,919,449      

 

STONE RIDGE GLOBAL EQUITY VARIANCE RISK PREMIUM MASTER FUND PORTFOLIO ALLOCATION BY HOLDINGS     
Stone Ridge U.S. Large Cap Variance Risk Premium Fund - Class I      $13,455,680         33.3%   
Stone Ridge International Developed Markets Variance Risk Premium Fund - Class I      13,362,131         33.1%   
Stone Ridge Emerging Markets Variance Risk Premium Fund - Class I      6,728,736         16.6%   
Stone Ridge U.S. Small Cap Variance Risk Premium Fund - Class I      6,687,118         16.5%   
Other(1)      193,002         0.5%   
     $40,426,667      
     
(1) Cash, cash equivalents, short-term investments and other assets less liabilities.

The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.

 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

3

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
EVENT-LINKED BONDS - 78.5%        
   
China - 0.1%        
   
Earthquake - 0.1%            

Panda Re 2015-1
4.264%, 06/30/2018 (a)(b)(c)

   $ 1,397,000      $ 1,385,838   
   

 

 

  
   
Europe - 0.5%            
   
Windstorm - 0.5%            

Calypso Capital II Class B
4.100%, 01/08/2018 (a)(b)(c)

   EUR 2,750,000        3,238,647   

Green Fields II 2013-1 A
2.750%, 01/09/2017 (a)(b)(c)

   EUR 2,250,000        2,598,274   
   

 

 

  
      5,836,921   
   

 

 

  
Global - 28.3%            
   
Earthquake - 1.0%            

Acorn Re 2015-1
4.049%, 07/17/2018 (a)(b)(c)

   $ 6,595,000        6,693,925   

Market Re 2014-4 Class A
4.000%, 06/15/2016 (a)(b)(c)

     2,121,000        2,114,107   

Market Re 2014-4 Class B
4.000%, 06/15/2016 (a)(b)(c)

     771,000        768,494   

Tramline Re II 2013-1 A
3.464%, 07/07/2017 (a)(b)(c)

     1,750,000        1,737,050   
   

 

 

  
      11,313,576   
   

 

 

  
Mortality/Longevity - 2.7%            

Benu Capital Class B
3.350%, 01/08/2020 (a)(b)(c)

   EUR  12,000,000        13,776,393   

Chesterfield Re 2014-1
4.500%, 12/15/2034 (c)

   $ 11,945,054        11,972,707   

Vita Capital VI
3.531%, 01/08/2021 (a)(b)(c)

     3,000,000        2,997,300   

Vitality Re VI Class B
2.314%, 01/08/2018 (a)(b)(c)

     1,000,000        998,100   
   

 

 

  
      29,744,500   
   

 

 

  
Multiperil - 23.9%            

Atlas IX 2015-1
7.460%, 01/07/2019 (a)(b)(c)

     4,910,000        4,832,176   

Atlas IX 2016-1
7.985%, 01/08/2020 (a)(b)(c)

     17,215,000        17,511,959   

Blue Danube II 2013-1 A
4.562%, 05/23/2016 (a)(b)(c)

     10,042,000        10,044,510   

Galileo Re 2013-1
7.614%, 01/09/2017 (a)(b)(c)

     5,500,000        5,541,800   

Galileo Re 2015-1 Class A
13.714%, 01/08/2018 (a)(b)(c)

     9,346,000        9,608,623   

Galileo Re 2016-1 Class A
13.714%, 01/08/2019 (a)(b)(c)

     9,285,000        9,371,815   

Galileo Re 2016-1 Class B
9.214%, 01/08/2019 (a)(b)(c)

     9,285,000        9,346,745   

Galileo Re 2016-1 Class C
7.214%, 01/08/2019 (a)(b)(c)

     9,285,000        9,338,389   

Kilimanjaro Re 2014-1 Class B
4.714%, 04/30/2018 (a)(b)(c)

     10,802,000        10,751,231   

Kilimanjaro Re 2014-2 Class C
3.964%, 11/25/2019 (a)(b)(c)

     28,158,000        28,084,789   
    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 23.9% (continued)            

Kilimanjaro Re 2015-1 Class D
9.464%, 12/06/2019 (a)(b)(c)

   $ 6,742,000      $ 6,825,601   

Kilimanjaro Re 2015-1 Class E
6.964%, 12/06/2019 (a)(b)(c)

     9,608,000        9,675,736   

Loma Re 2013-1 A
9.584%, 01/08/2018 (a)(b)(c)

     2,271,000        2,308,471   

Loma Re 2013-1 B
11.954%, 01/08/2018 (a)(b)(c)

     6,814,000        6,912,122   

Loma Re 2013-1 C
17.954%, 01/08/2018 (a)(b)(c)

     11,781,000        12,045,483   

Mythen Re 2012-2 A
9.033%, 01/05/2017 (a)(b)(c)

     578,000        585,456   

Resilience Re Series 1642B
11.070%, 04/07/2019 (a)(b)(c)(d)

     10,720,000        9,695,168   

Tradewynd Re 2013-1 1
9.074%, 07/09/2018 (a)(b)(c)

     10,357,000        11,268,934   

Tradewynd Re 2013-2 3-A
6.424%, 01/09/2017 (a)(b)(c)

     12,481,000        12,506,586   

Tradewynd Re 2013-2 3-B
7.104%, 01/09/2017 (a)(b)(c)

     10,698,000        10,768,072   

Tradewynd Re 2014-1 Class 3-A
5.310%, 01/08/2018 (a)(b)(c)

     10,554,000        10,570,359   

Tradewynd Re 2014-1 Class 3-B
7.450%, 01/08/2018 (a)(b)(c)

     28,143,000        28,383,623   

Tramline Re II 2014-1 Class A
9.964%, 01/04/2019 (a)(b)(c)

     18,115,000        18,249,051   

VenTerra Re 2013-1 A
3.964%, 01/09/2017 (a)(b)(c)

     15,310,000        15,358,227   
   

 

 

  
      269,584,926   
   

 

 

  
Windstorm - 0.7%            

Queen Street VIII Re Ltd
6.714%, 06/08/2016 (a)(b)(c)

     3,250,000        3,251,950   

Queen Street X Re Ltd
5.964%, 06/08/2018 (a)(b)(c)

     901,000        894,918   

Queen Street XI Re DAC
6.364%, 06/07/2019 (a)(b)(c)

     4,104,000        4,106,873   
   

 

 

  
      8,253,741   
   

 

 

  
      318,896,743   
   

 

 

  
Japan - 3.1%        
   
Earthquake - 3.0%            

Kizuna Re II Class A
2.464%, 04/06/2018 (a)(b)(c)

     6,750,000        6,729,412   

Kizuna Re II Class B
2.714%, 04/06/2018 (a)(b)(c)

     4,500,000        4,478,850   

Nakama Re
2.714%, 04/13/2018 (a)(b)(c)

     4,250,000        4,259,138   

Nakama Re 2013-1
2.964%, 09/29/2016 (a)(b)(c)

     6,500,000        6,495,450   

Nakama Re 2014-2 Class 2
3.089%, 01/16/2020 (a)(b)(c)

     5,250,000        5,320,875   

Nakama Re 2015-1
3.464%, 01/14/2021 (a)(b)(c)

     6,000,000        6,134,700   
   

 

 

  
      33,418,425   
   

 

 

  
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

4

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Windstorm - 0.1%            

Aozora Re 2016-1 A
2.953%, 04/07/2020 (a)(b)(c)

   $ 797,000      $ 799,232   
   

 

 

  
      34,217,657   
   

 

 

  
Turkey - 1.9%            
   
Earthquake - 1.9%            

Bosphorus Re 2013-1 A
2.714%, 05/03/2016 (a)(b)(c)

     18,000,000        18,032,400   

Bosphorus Re 2015-1
3.735%, 08/17/2018 (a)(b)(c)

     3,250,000        3,232,287   
   

 

 

  
      21,264,687   
   

 

 

  
United States - 44.6%            
   
Earthquake - 4.5%            

Golden State Re II
2.414%, 01/08/2019 (a)(b)(c)

     4,200,000        4,135,740   

Merna Re 2015-1
2.214%, 04/09/2018 (a)(b)(c)

     1,478,000        1,470,610   

Merna Re 2016-1
2.464%, 04/08/2019 (a)(b)(c)

     788,000        788,631   

Merna Re V
2.214%, 04/07/2017 (a)(b)(c)

     1,000,000        996,950   

Ursa Re 2014-1 Class A
3.500%, 12/07/2017 (a)(b)(c)

     5,631,000        5,617,767   

Ursa Re 2014-1 Class B
5.000%, 12/07/2017 (a)(b)(c)

     20,237,000        20,308,841   

Ursa Re 2015-1
5.000%, 09/21/2018 (a)(b)(c)

     17,550,000        17,658,810   
   

 

 

  
      50,977,349   
   

 

 

  
Multiperil - 24.8%            

Caelus Re 2013-2 A
7.064%, 04/07/2017 (a)(b)(c)

     20,494,000        20,722,508   

Caelus Re IV 2016-1
5.714%, 03/06/2020 (a)(b)(c)

     7,818,000        7,841,063   

East Lane Re VI
2.864%, 03/14/2018 (a)(b)(c)

     14,467,000        14,311,480   

East Lane VI 2015-1
3.390%, 03/13/2020 (a)(b)(c)

     7,597,000        7,602,698   

Espada Re 2016-1 20
5.750%, 06/06/2020 (a)(b)(c)

     1,217,000        1,211,889   

Ibis Re II 2013-1 A
4.214%, 06/28/2016 (a)(b)(c)

     3,250,000        3,252,437   

Ibis Re II 2013-1 B
4.714%, 06/28/2016 (a)(b)(c)

     4,500,000        4,506,075   

Ibis Re II 2013-1 C
8.214%, 06/28/2016 (a)(b)(c)

     3,250,000        3,272,100   

Long Point Re III 2015-1
3.750%, 05/23/2018 (a)(b)(c)

     10,569,000        10,651,967   

Mona Lisa Re 2013-2 A
7.514%, 07/07/2017 (a)(b)(c)

     16,164,000        16,530,923   

Northshore Re 2013-1 A
7.464%, 07/05/2016 (a)(b)(c)

     14,621,000        14,679,484   

PennUnion Re 2015-1
4.714%, 12/07/2018 (a)(b)(c)

     1,825,000        1,822,080   

Residential Re 2012-1 3
10.214%, 06/06/2016 (a)(b)(c)

     2,332,000        2,344,709   

Residential Re 2012-2 2
5.964%, 12/06/2016 (a)(b)(c)

     1,149,000        1,148,828   
    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 24.8% (continued)            

Residential Re 2012-2 4
19.214%, 12/06/2016 (a)(b)(c)

   $ 2,570,000      $ 2,596,599   

Residential Re 2013-1 11
8.214%, 06/06/2017 (a)(b)(c)

     23,100,000        23,798,775   

Residential Re 2013-1 3
9.464%, 06/06/2017 (a)(b)(c)

     12,600,000        12,989,970   

Residential Re 2013-2 1
20.214%, 12/06/2017 (a)(b)(c)

     4,580,000        4,611,144   

Residential Re 2013-2 4
5.464%, 12/06/2017 (a)(b)(c)

     3,600,000        3,562,200   

Residential Re 2014-1 10
15.214%, 06/06/2018 (a)(b)(c)

     9,197,000        9,104,570   

Residential Re 2014-1 13
3.714%, 06/06/2018 (a)(b)(c)

     2,544,000        2,536,622   

Residential Re 2014-2 Class 4
5.014%, 12/06/2018 (a)(b)(c)

     5,653,000        5,548,419   

Residential Re 2015-1 Class 10
11.214%, 06/06/2019 (a)(b)(c)

     4,070,000        4,094,217   

Residential Re 2015-1 Class 11
6.214%, 06/06/2019 (a)(b)(c)

     4,428,000        4,536,929   

Residential Re 2015-2 Class 3
7.464%, 12/06/2019 (a)(b)(c)

     8,495,000        8,476,311   

Residential Re 2016-1 10
11.500%, 06/06/2023 (a)(b)(c)(e)

     1,663,000        1,663,000   

Residential Re 2016-1 11
4.750%, 06/06/2023 (a)(b)(c)(e)

     2,138,000        2,138,000   

Residential Re 2016-1 13
3.250%, 06/06/2023 (a)(b)(c)(e)

     6,000,000        6,000,000   

Riverfront Re 2014
4.214%, 01/06/2017 (a)(b)(c)

     4,512,000        4,448,832   

Sanders Re 2013-1 A
3.714%, 05/05/2017 (a)(b)(c)

     22,000,000        21,863,600   

Sanders Re 2013-1 B
4.214%, 05/05/2017 (a)(b)(c)

     8,110,000        8,093,780   

Sanders Re 2014-1 B
3.214%, 05/25/2018 (a)(b)(c)

     18,750,000        18,556,875   

Sanders Re 2014-1 C
3.454%, 05/25/2018 (a)(b)(c)

     19,000,000        18,687,450   

Sanders Re 2014-2
4.054%, 06/07/2017 (a)(b)(c)

     4,966,000        4,974,194   

Skyline Re 2014-1 A
14.214%, 01/23/2017 (a)(b)(c)

     1,426,000        1,477,835   
   

 

 

  
      279,657,563   
   

 

 

  
Windstorm - 15.3%            

Alamo Re 2015-1 Class A
6.114%, 06/07/2018 (a)(b)(c)

     8,540,000        8,757,343   

Alamo Re 2015-1 Class B
4.814%, 06/07/2018 (a)(b)(c)

     4,426,000        4,552,584   

Alamo Re Ltd.
5.454%, 06/07/2017 (a)(b)(c)

     12,108,000        12,273,880   

Armor Re Ltd.
4.294%, 12/15/2016 (a)(b)(c)

     5,450,000        5,410,215   

Citrus Re 2014-1
4.674%, 04/18/2017 (a)(b)(c)

     6,353,000        6,254,211   

Citrus Re 2014-2
4.494%, 04/24/2017 (a)(b)(c)

     1,410,000        1,390,894   

Citrus Re 2015-1 Class A
5.104%, 04/09/2018 (a)(b)(c)

     5,985,000        5,910,786   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

5

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Windstorm - 15.3% (continued)            

Citrus Re 2015-1 Class B
6.534%, 04/09/2018 (a)(b)(c)

   $ 8,977,000      $ 8,896,656   

Citrus Re 2015-1 Class C
9.694%, 04/09/2018 (a)(b)(c)

     2,768,000        2,743,918   

Citrus Re 2016-1 D-50
7.714%, 02/25/2019 (a)(b)(c)

     3,887,000        3,921,400   

Citrus Re 2016-1 E-50
10.714%, 02/25/2019 (a)(b)(c)

     3,239,000        3,240,943   

Cranberry Re 2015-1
4.014%, 07/06/2018 (a)(b)(c)

     2,609,000        2,651,527   

Everglades Re 2014
7.664%, 04/28/2017 (a)(b)(c)

     28,200,000        28,597,620   

Everglades Re II 2015-1
5.364%, 05/03/2018 (a)(b)(c)

     6,897,000        6,912,863   

Gator Re 2014
6.484%, 01/09/2017 (a)(b)(c)

     13,750,000        13,317,563   

Kilimanjaro Re 2014-1 Class A
4.964%, 04/30/2018 (a)(b)(c)

     9,269,000        9,262,048   

Long Point Re III 2013-1 A
4.414%, 05/18/2016 (a)(b)(c)

     11,159,000        11,151,747   

Manatee Re 2015-1
5.214%, 12/22/2017 (a)(b)(c)

     2,424,000        2,397,457   

Manatee Re 2016-1 A
5.250%, 03/13/2019 (a)(b)(c)

     556,000        552,442   

Manatee Re 2016-1 C
16.250%, 03/14/2022 (a)(b)(c)

     835,000        820,721   

Market Re 2015-2
6.950%, 06/07/2016 (a)(b)(c)(d)

     2,709,000        2,870,727   

Metrocat Re 2013-1 A
4.714%, 08/05/2016 (a)(b)(c)

     3,750,000        3,754,500   

Pelican Re 2013-1 A
6.214%, 05/15/2017 (a)(b)(c)

     8,862,000        8,953,279   

Queen City
3.714%, 01/06/2017 (a)(b)(c)

     10,000,000        9,811,500   

Tar Heel 2013-1 A
8.714%, 05/09/2016 (a)(b)(c)

     8,289,000        8,292,730   
   

 

 

  
      172,699,554   
   

 

 

  
      503,334,466   
   

 

 

  

TOTAL EVENT-LINKED BONDS
(Cost $880,707,693)

       884,936,312   
   

 

 

  
PARTICIPATION NOTES - 9.4%  
Global - 9.4%            
   
Multiperil - 9.4%            

Atlas Re X Class A
04/03/2017 (a)(c)(e)

     24,789,000        25,819,947   

Eden Re 2015-1
04/19/2018 (a)(e)(f)(g) (Cost: $0, Acquisition Date: 12/29/2014)

     —        381,029   

Eden Re II 2015-1
04/19/2018 (a)(e)(f)(h) (Cost: $136,249; Acquisition Date: 03/19/2015)

     135,000        1,138,205   

Eden Re II 2016-1
04/23/2019 (a)(e)(f)(h) (Cost: $14,730,815; Original Acquisition Date: 12/30/2015)

     14,720,000        15,162,765   
    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 9.4% (continued)            

Sector Re V LTD Series 5 Class B
03/01/2020 (a)(e)(f) (Cost: $61,538; Acquisition Date: 04/30/2015)

   $ 61,538      $ 4,512,214   

Sector Re V LTD Series 5 Class F
03/01/2020 (a)(e)(f) (Cost: $37,500; Acquisition Date: 04/27/2015)

     37,500        1,214,045   

Sector Re V LTD Series 5 Class G
03/01/2020 (a)(e)(f) (Cost: $60,208; Acquisition Date: 06/26/2015)

     60,208        3,014,922   

Sector Re V LTD Series 6 Class B
03/01/2021 (a)(f)(h) (Cost: $17,790,802; Acquisition Date: 04/28/2016)

     17,790,802        17,790,802   

Sector Re V LTD Series 6 Class F
03/01/2021 (a)(f)(h) (Cost: $4,012,000; Acquisition Date: 05/25/2016)

     4,012,000        4,012,000   

Sector Re V LTD Series 6 Class G
03/01/2021 (a)(f)(h) (Cost: $33,083,000; Acquisition Date: 04/28/2016)

     33,083,000        33,083,000   
   

 

 

  

TOTAL PARTICIPATION NOTES
(Cost $94,701,112)

       106,128,929   
   

 

 

  
PREFERENCE SHARES - 7.7%   SHARES    

FAIR

VALUE

  
Global - 7.7%            
   
Multiperil - 7.7%            

Arenal (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $6,384,201; Acquisition Date: 03/28/2016)

     5,421        6,405,429   

Biscayne (Artex Segregated Account Company) (a)(e)(f) (Cost: $17,415,491; Original Acquisition Date: 04/30/2014)

     17,296        20,013,249   

Hatteras (Artex Segregated Account Company) (a)(e)(f) (Cost: $6,300,000; Acquisition Date: 12/30/2014)

     6,300        7,037,524   

Hilo (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $2,469,074; Acquisition Date: 06/09/2015)

     2,469        2,784,963   

Hudson Charles 2 (Mt Logan Re) (a)(e)(f) (Cost: $8,062,500; Acquisition Date: 04/02/2014)

     8,063        8,073,821   

Hudson Charles 3 (Mt Logan Re) (a)(e)(f) (Cost: $11,904,000; Acquisition Date: 06/19/2014)

     11,904        14,568,695   

Hudson Paul 3 (Mt Logan Re) (a)(f) (Cost: $8,062,500; Acquisition Date: 04/02/2014)

     8,063        8,070,467   

Kona (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $2,149,137; Acquisition Date: 07/23/2015)

     2,412        2,451,575   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

6

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE REINSURANCE RISK PREMIUM FUND

 

    SHARES    

FAIR

VALUE

  
Multiperil - 7.7% (continued)            

Lorenz Re Class B (a)(e)(f)(h) (Cost: $49,349; Acquisition Date: 03/25/2013)

     493      $ 58,808   

LRe 2015 (a)(e)(f) (Cost: $25,828; Acquisition Date: 03/31/2015)

     258        459,596   

LRe 2016 (a)(e)(f)(h) (Cost: $5,107,000; Acquisition Date: 04/01/2016)

     51,070        5,125,720   

Minnewaska (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $3,744,456; Original Acquisition Date: 05/29/2015)

     3,216        4,323,530   

Rondout (Artex Segregated Account Company) (a)(e)(f) (Cost: $6,891,227; Acquisition Date: 05/29/2015)

     6,083        7,847,290   
   

 

 

  

TOTAL PREFERENCE SHARES
(Cost $78,564,763)

       87,220,667   
   

 

 

  
SHORT-TERM INVESTMENTS - 4.8%  
   
Money Market Fund - 4.8%            

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (i)

     13,411,849        13,411,849   

First American Government Obligations Fund - Class Z - 0.21% (i)

     13,411,849        13,411,849   

First American Treasury Obligations Fund - Class Z - 0.18% (i)

     13,411,849        13,411,849   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (i)

     13,411,849        13,411,849   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $53,647,396)

       53,647,396   
   

 

 

  

TOTAL INVESTMENTS
(Cost $1,107,620,964) - 100.4%

       1,131,933,304   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.4)%		         (4,990,816)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $1,126,942,488  
   

 

 

  

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) Foreign issued security. Total foreign securities by country of domicile are $1,066,313,201. Foreign concentration is as follows: Bermuda: 73.3%, Cayman Islands: 17.1%, Ireland: 4.2%.
(b) Variable rate security. The rate shown is as of April 30, 2016.
(c) Security is restricted to resale to institutional investors. The Fund’s Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at April 30, 2016 was $910,756,259 which represented 80.8% of net assets.
(d) Zero-coupon bond. Rate shown is the yield to maturity.
(e) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $140,194,327, which represents 12.4% of net assets.
(f) Security is restricted to resale. The aggregate value of these securities at April 30, 2016 was $167,529,649, which represents 14.9% of net assets.
(g) Security’s principal was returned in full so the fair value represents the expected future dividend receipt.
(h) Non-income producing security.
(i) Rate shown is the 7-day effective yield.
 

 

Open Futures Contracts

 

DESCRIPTION    NUMBER OF
CONTRACTS
SOLD		      NOTIONAL
VALUE		      UNREALIZED
APPRECIATION
(DEPRECIATION)		  
FUTURES CONTRACTS SOLD                     

Euro Fx, June 2016 Settlement

      137       $ 19,633,812       $ (812,117)   

U.S. Treasury 5-Year Note, June 2016 Settlement

      68         8,222,156         8,885   
     

 

 

     

 

 

  

TOTAL FUTURES CONTRACTS SOLD

       $ 27,855,968       $ (803,232)   
     

 

 

     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

7

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
EVENT-LINKED BONDS - 80.9%            
   
China - 0.1%            
   
Earthquake - 0.1%            

Panda Re 2015-1
4.264%, 06/30/2018 (a)(b)(c)

   $ 668,000      $ 662,663   
   

 

 

  
Global - 27.7%            
   
Earthquake - 0.9%            

Acorn Re 2015-1
4.049%, 07/17/2018 (a)(b)(c)

     3,155,000        3,202,325   

Market Re 2014-4 Class A
4.000%, 06/15/2016 (a)(b)(c)

     944,000        940,932   

Market Re 2014-4 Class B
4.000%, 06/15/2016 (a)(b)(c)

     343,000        341,885   
   

 

 

  
      4,485,142   
   

 

 

  
Mortality/Longevity - 2.2%            

Chesterfield Re 2014-1
4.500%, 12/15/2034 (c)

     10,793,270        10,818,256   
   

 

 

  
Multiperil - 24.1%            

Atlas IX 2015-1
7.460%, 01/07/2019 (a)(b)(c)

     2,074,000        2,041,127   

Atlas IX 2016-1
7.985%, 01/08/2020 (a)(b)(c)

     8,035,000        8,173,604   

Blue Danube II 2013-1 A
4.562%, 05/23/2016 (a)(b)(c)

     6,958,000        6,959,740   

Galileo Re 2013-1
7.614%, 01/09/2017 (a)(b)(c)

     4,000,000        4,030,400   

Galileo Re 2015-1 Class A
13.714%, 01/08/2018 (a)(b)(c)

     3,793,000        3,899,583   

Galileo Re 2016-1 Class A
13.714%, 01/08/2019 (a)(b)(c)

     4,333,000        4,373,514   

Galileo Re 2016-1 Class B
9.214%, 01/08/2019 (a)(b)(c)

     4,333,000        4,361,815   

Galileo Re 2016-1 Class C
7.214%, 01/08/2019 (a)(b)(c)

     4,332,000        4,356,909   

Kilimanjaro Re 2014-1 Class B
4.714%, 04/30/2018 (a)(b)(c)

     5,944,000        5,916,063   

Kilimanjaro Re 2014-2 Class C
3.964%, 11/25/2019 (a)(b)(c)

     11,842,000        11,811,211   

Kilimanjaro Re 2015-1 Class D
9.464%, 12/06/2019 (a)(b)(c)

     3,258,000        3,298,399   

Kilimanjaro Re 2015-1 Class E
6.964%, 12/06/2019 (a)(b)(c)

     4,642,000        4,674,726   

Loma Re 2013-1 A
9.584%, 01/08/2018 (a)(b)(c)

     1,394,000        1,417,001   

Loma Re 2013-1 B
11.954%, 01/08/2018 (a)(b)(c)

     3,181,000        3,226,806   

Loma Re 2013-1 C
17.954%, 01/08/2018 (a)(b)(c)

     7,230,000        7,392,314   

Mythen Re 2012-2 A
9.033%, 01/05/2017 (a)(b)(c)

     422,000        427,444   

Resilience Re Series 1642B
11.070%, 04/07/2019 (a)(b)(c)(d)

     4,691,000        4,242,540   

Tradewynd Re 2013-1 1
9.074%, 07/09/2018 (a)(b)(c)

     4,143,000        4,507,791   

Tradewynd Re 2013-2 3-A
6.424%, 01/09/2017 (a)(b)(c)

     5,019,000        5,029,289   
    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 24.1% (continued)            

Tradewynd Re 2013-2 3-B
7.104%, 01/09/2017 (a)(b)(c)

   $ 4,302,000      $ 4,330,178   

Tradewynd Re 2014-1 Class 3-A
5.310%, 01/08/2018 (a)(b)(c)

     4,446,000        4,452,891   

Tradewynd Re 2014-1 Class 3-B
7.450%, 01/08/2018 (a)(b)(c)

     11,857,000        11,958,377   

Tramline Re II 2014-1 Class A
9.964%, 01/04/2019 (a)(b)(c)

     7,635,000        7,691,499   

VenTerra Re 2013-1 A
3.964%, 01/09/2017 (a)(b)(c)

     312,000        312,983   
   

 

 

  
      118,886,204   
   

 

 

  
Windstorm - 0.5%            

Queen Street VIII Re Ltd
6.714%, 06/08/2016 (a)(b)(c)

     250,000        250,150   

Queen Street X Re Ltd
5.964%, 06/08/2018 (a)(b)(c)

     378,000        375,449   

Queen Street XI Re DAC
6.364%, 06/07/2019 (a)(b)(c)

     1,896,000        1,897,327   
   

 

 

  
      2,522,926   
   

 

 

  
      136,712,528   
   

 

 

  
Japan - 0.1%            
   
Windstorm - 0.1%            

Aozora Re 2016-1 A
2.953%, 04/07/2020 (a)(b)(c)

     352,000        352,985   
   

 

 

  
United States - 53.0%            
Earthquake - 4.6%            

Golden State Re II
2.414%, 01/08/2019 (a)(b)(c)

     2,900,000        2,855,630   

Merna Re 2016-1
2.464%, 04/08/2019 (a)(b)(c)

     343,000        343,274   

Ursa Re 2014-1 Class A
3.500%, 12/07/2017 (a)(b)(c)

     2,369,000        2,363,433   

Ursa Re 2014-1 Class B
5.000%, 12/07/2017 (a)(b)(c)

     8,513,000        8,543,221   

Ursa Re 2015-1
5.000%, 09/21/2018 (a)(b)(c)

     8,450,000        8,502,390   
   

 

 

  
      22,607,948   
   

 

 

  
Multiperil - 21.0%            

Caelus Re 2013-2 A
7.064%, 04/07/2017 (a)(b)(c)

     11,506,000        11,634,292   

East Lane Re VI
2.864%, 03/14/2018 (a)(b)(c)

     6,340,000        6,271,845   

East Lane VI 2015-1
3.390%, 03/13/2020 (a)(b)(c)

     3,190,000        3,192,392   

Espada Re 2016-1 20
5.750%, 06/06/2020 (a)(b)(c)

     568,000        565,614   

Ibis Re II 2013-1 C
8.214%, 06/28/2016 (a)(b)(c)

     2,000,000        2,013,600   

Long Point Re III 2015-1
3.750%, 05/23/2018 (a)(b)(c)

     4,431,000        4,465,783   

Mona Lisa Re 2013-2 A
7.514%, 07/07/2017 (a)(b)(c)

     1,836,000        1,877,677   

Northshore Re 2013-1 A
7.464%, 07/05/2016 (a)(b)(c)

     5,379,000        5,400,516   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

8

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 21.0% (continued)            

PennUnion Re 2015-1
4.714%, 12/07/2018 (a)(b)(c)

   $ 1,004,000      $ 1,002,394   

Residential Re 2012-1 3
10.214%, 06/06/2016 (a)(b)(c)

     1,668,000        1,677,091   

Residential Re 2012-2 2
5.964%, 12/06/2016 (a)(b)(c)

     851,000        850,872   

Residential Re 2012-2 4
19.214%, 12/06/2016 (a)(b)(c)

     1,780,000        1,798,423   

Residential Re 2013-1 11
8.214%, 06/06/2017 (a)(b)(c)

     15,400,000        15,865,850   

Residential Re 2013-1 3
9.464%, 06/06/2017 (a)(b)(c)

     8,400,000        8,659,980   

Residential Re 2013-2 1
20.214%, 12/06/2017 (a)(b)(c)

     2,420,000        2,436,456   

Residential Re 2013-2 4
5.464%, 12/06/2017 (a)(b)(c)

     1,900,000        1,880,050   

Residential Re 2014-1 10
15.214%, 06/06/2018 (a)(b)(c)

     3,965,000        3,925,152   

Residential Re 2014-1 13
3.714%, 06/06/2018 (a)(b)(c)

     1,097,000        1,093,819   

Residential Re 2014-2 Class 4
5.014%, 12/06/2018 (a)(b)(c)

     2,347,000        2,303,580   

Residential Re 2015-1 Class 10
11.214%, 06/06/2019 (a)(b)(c)

     1,983,000        1,994,799   

Residential Re 2015-1 Class 11
6.214%, 06/06/2019 (a)(b)(c)

     2,157,000        2,210,062   

Residential Re 2015-2 Class 3
7.464%, 12/06/2019 (a)(b)(c)

     4,005,000        3,996,189   

Residential Re 2016-1 10
11.500%, 06/06/2023 (a)(b)(c)(e)

     728,000        728,000   

Residential Re 2016-1 11
4.750%, 06/06/2023 (a)(b)(c)(e)

     936,000        936,000   

Riverfront Re 2014
4.214%, 01/06/2017 (a)(b)(c)

     1,966,000        1,938,476   

Sanders Re 2013-1 B
4.214%, 05/05/2017 (a)(b)(c)

     6,890,000        6,876,220   

Sanders Re 2014-1 D
4.074%, 05/28/2019 (a)(b)(c)

     6,705,000        6,629,234   

Sanders Re 2014-2
4.054%, 06/07/2017 (a)(b)(c)

     1,140,000        1,141,881   

Skyline Re 2014-1 A
14.214%, 01/23/2017 (a)(b)(c)

     408,000        422,831   
   

 

 

  
      103,789,078   
   

 

 

  
Windstorm - 27.4%            

Alamo Re 2015-1 Class A
6.114%, 06/07/2018 (a)(b)(c)

     24,557,000        25,181,976   

Alamo Re 2015-1 Class B
4.814%, 06/07/2018 (a)(b)(c)

     12,015,000        12,358,629   

Armor Re Ltd.
4.294%, 12/15/2016 (a)(b)(c)

     15,700,000        15,585,390   

Citrus Re 2014-1
4.674%, 04/18/2017 (a)(b)(c)

     2,703,000        2,660,968   

Citrus Re 2014-2
4.494%, 04/24/2017 (a)(b)(c)

     607,000        598,775   

Citrus Re 2015-1 Class A
5.104%, 04/09/2018 (a)(b)(c)

     2,514,000        2,482,827   
    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Windstorm - 27.4% (continued)            

Citrus Re 2015-1 Class B
6.534%, 04/09/2018 (a)(b)(c)

   $ 3,770,000      $ 3,736,259   

Citrus Re 2015-1 Class C
9.694%, 04/09/2018 (a)(b)(c)

     1,163,000        1,152,882   

Citrus Re 2016-1 D-50
7.714%, 02/25/2019 (a)(b)(c)

     856,000        863,576   

Citrus Re 2016-1 E-50
10.714%, 02/25/2019 (a)(b)(c)

     713,000        713,428   

Cranberry Re 2015-1
4.014%, 07/06/2018 (a)(b)(c)

     1,097,000        1,114,881   

Everglades Re 2014
7.664%, 04/28/2017 (a)(b)(c)

     24,042,000        24,380,992   

Everglades Re II 2015-1
5.364%, 05/03/2018 (a)(b)(c)

     19,103,000        19,146,937   

Gator Re 2014
6.484%, 01/09/2017 (a)(b)(c)

     6,026,000        5,836,482   

Kilimanjaro Re 2014-1 Class A
4.964%, 04/30/2018 (a)(b)(c)

     3,991,000        3,988,007   

Manatee Re 2015-1
5.214%, 12/22/2017 (a)(b)(c)

     1,005,000        993,995   

Market Re 2015-2
6.950%, 06/07/2016 (a)(b)(c)(d)

     1,319,000        1,397,744   

Pelican Re 2013-1 A
6.214%, 05/15/2017 (a)(b)(c)

     7,388,000        7,464,096   

Tar Heel 2013-1 A
8.714%, 05/09/2016 (a)(b)(c)

     5,711,000        5,713,570   
   

 

 

  
      135,371,414   
   

 

 

  
      261,768,440   
   

 

 

  

TOTAL EVENT-LINKED BONDS
(Cost $396,377,499)

       399,496,616   
   

 

 

  
PARTICIPATION NOTES - 8.5%  
   
Global - 8.5%            
   
Multiperil - 8.5%            

Atlas Re X Class A
04/03/2017 (a)(c)(e)

     15,211,000        15,843,608   

Eden Re 2015-1
04/19/2018 (a)(e)(f)(g) (Cost: $0;
Acquisition Date: 12/29/2014)

     —        142,886   

Eden Re II 2015-1
04/19/2018 (a)(e)(f)(h) (Cost: $73,171; Acquisition Date: 03/19/2015)

     72,500        611,258   

Eden Re II 2016-1
04/23/2019 (a)(e)(f)(h) (Cost: $7,177,500; Acquisition Date: 12/30/2015)

     7,177,500        7,393,393   

Sector Re V LTD Series 5 Class B
03/01/2020 (a)(e)(f) (Cost: $24,530; Acquisition Date: 04/30/2015)

     24,530        1,798,639   

Sector Re V LTD Series 5 Class F
03/01/2020 (a)(e)(f) (Cost: $15,625; Acquisition Date: 04/27/2015)

     15,625        505,852   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

9

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND   

 

    PRINCIPAL
AMOUNT		    

FAIR

VALUE

  
Multiperil - 8.5% (continued)            

Sector Re V LTD Series 5 Class G
03/01/2020 (a)(e)(f) (Cost: $11,468, Acquisition Date: 06/26/2015)

   $ 11,468      $ 574,261   

Sector Re V LTD Series 6 Class B
03/01/2021 (a)(f)(h) (Cost: $6,985,067; Acquisition Date: 04/28/2016)

     6,985,067        6,985,067   

Sector Re V LTD Series 6 Class G
03/01/2021 (a)(f)(h) (Cost: $8,211,845; Acquisition Date: 04/28/2016)

     8,211,945        8,211,945   
   

 

 

  

TOTAL PARTICIPATION NOTES
(Cost $37,710,306)

       42,066,909   
   

 

 

  
PREFERENCE SHARES - 9.4%   SHARES    

FAIR

VALUE

  
   
Global - 9.4%            
   
Multiperil - 9.4%            

Arenal (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $12,589,776; Acquisition Date: 05/07/2015)

     12,590        14,876,022   

Biscayne (Artex Segregated Account Company) (a)(e)(f) (Cost: $10,874,225; Original Acquisition Date: 04/30/2014)

     10,896        12,608,461   

Hilo (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $1,181,950; Acquisition Date: 06/09/2015)

     1,182        1,333,167   

Hudson Charles 2 (Mt Logan Re) (a)(e)(f) (Cost: $3,472,000; Acquisition Date: 04/02/2014)

     3,472        3,476,875   

Hudson Charles 3 (Mt Logan Re) (a)(e)(f) (Cost: $3,446,000; Acquisition Date: 06/19/2014)

     3,446        4,217,383   

Hudson Paul 3 (Mt Logan Re) (a)(f) (Cost: $3,472,000; Acquisition Date: 04/02/2014)

     3,472        3,475,431   

Kona (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $400,958; Acquisition Date: 07/23/2015)

     450        457,383   

Lorenz Re Class B (a)(e)(f)(h) (Cost: $16,450; Acquisition Date: 03/25/2013)

     165        19,603   

LRe 2015 (a)(e)(f) (Cost: $10,896; Acquisition Date: 03/31/2015)

     109        193,889   

Minnewaska (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $1,793,421; Original Acquisition Date: 05/29/2015)

     1,540        2,070,770   
    SHARES    

FAIR

VALUE

  
Multiperil - 9.4% (continued)            

Rondout (Artex Segregated Account Company) (a)(e)(f) (Cost: $3,300,563; Acquisition Date: 05/29/2015)

     2,913      $ 3,758,470   
   

 

 

  

TOTAL PREFERENCE SHARES
(Cost $40,558,239)

   

     46,487,454   
   

 

 

  
   

SHORT-TERM INVESTMENTS - 1.0%

    
   
Money Market Fund - 1.0%            

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (i)

     1,253,560        1,253,560   

First American Government Obligations Fund - Class Z - 0.21% (i)

     1,253,560        1,253,560   

First American Treasury Obligations Fund - Class Z - 0.18% (i)

     1,253,559        1,253,559   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (i)

     1,253,560        1,253,560   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $5,014,239)

       5,014,239   
   

 

 

  

TOTAL INVESTMENTS
(Cost $479,660,283) - 99.8%

       493,065,218   
   

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.2%		         1,209,644  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $494,274,862  
   

 

 

  

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

Country shown is the geographic area of peril risk.

Percentages are stated as a percent of net assets.

(a) Foreign issued security. Total foreign securities by country of domicile are $477,232,723. Foreign concentration is as follows: Bermuda: 76.6%, Cayman Islands: 17.5%, Ireland: 2.5%.
(b) Variable rate security. The rate shown is as of April 30, 2016.
(c) Security is restricted to resale to institutional investors. The Fund’s Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at April 30, 2016 was $415,340,224, which represents 84.0% of net assets.
(d) Zero-coupon bond. The rate shown is the yield to maturity.
(e) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $71,545,920, which represents 14.5% of net assets.
(f) Security is restricted to resale. The aggregate value of these securities at April 30, 2016 was $72,710,755, which represents 14.7% of net assets.
(g) Security’s principal was returned in full so the fair value represents the expected future dividend receipt.
(h) Non-income producing security.
(i) Rate shown is the 7-day effective yield.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

10

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND   

 

Open Futures Contracts

 

DESCRIPTION    NUMBER OF
CONTRACTS
SOLD		      NOTIONAL
VALUE		      UNREALIZED
APPRECIATION		  

FUTURE CONTRACTS SOLD

         

U.S. Treasury 5-Year Note, June 2016 Settlement

      61       $ 7,375,758       $ 7,970   
     

 

 

     

 

 

  

TOTAL FUTURE CONTRACTS SOLD

       $ 7,375,758       $ 7,970   
     

 

 

     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

11

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
COMMON STOCKS - 7.6%            
   
Automobiles & Components - 0.2%  

Delphi Automotive PLC (a)(b)

     400      $ 29,452   

Ford Motor Co. (b)

     9,100        123,396   

General Motors Co. (b)

     900        28,620   

Goodyear Tire & Rubber Co. (b)

     900        26,073   

Harley-Davidson, Inc. (b)

     200        9,566   

Lear Corp. (b)

     2,000        230,260   

Tesla Motors, Inc. (b)(c)

     1,500        361,140   
   

 

 

  
      808,507   
   

 

 

  
Banks - 0.1%  

Bank of America Corp. (b)

     10,000        145,600   

Citigroup, Inc. (b)

     600        27,768   

Comerica, Inc. (b)

     200        8,880   

JPMorgan Chase & Co. (b)

     300        18,960   

M&T Bank Corp. (b)

     1,600        189,312   

Popular, Inc. (a)(b)

     145        4,309   

Wells Fargo & Co. (b)

     400        19,992   
   

 

 

  
      414,821   
   

 

 

  
Capital Goods - 0.4%  

3M Co. (b)

     700        117,166   

Boeing Co. (b)

     500        67,400   

Caterpillar, Inc. (b)

     800        62,176   

Chicago Bridge & Iron Co. NV (a)(b)

     800        32,200   

Colfax Corp. (b)(c)

     600        19,458   

Cummins, Inc. (b)

     1,000        117,030   

Deere & Co. (b)

     200        16,822   

Fluor Corp. (b)

     600        32,796   

General Electric Co. (b)

     8,300        255,225   

Honeywell International, Inc. (b)

     100        11,427   

Joy Global, Inc. (b)

     1,000        21,300   

Lennox International, Inc. (b)

     100        13,495   

Lockheed Martin Corp. (b)

     200        46,476   

Navistar International Corp. (b)(c)

     2,300        34,707   

NOW, Inc. (b)(c)

     25        451   

Orbital ATK, Inc. (b)

     100        8,700   

Raytheon Co. (b)

     200        25,270   

Rockwell Collins, Inc. (b)

     100        8,819   

Roper Technologies, Inc. (b)

     251        44,199   

SolarCity Corp. (b)(c)

     2,000        60,640   

Spirit AeroSystems Holdings, Inc. (b)(c)

     4,700        221,605   

Terex Corp. (b)

     1,200        28,668   

Textron, Inc. (b)

     800        30,944   

TransDigm Group, Inc. (b)(c)

     200        45,574   

Trinity Industries, Inc. (b)

     1,000        19,510   

United Rentals, Inc. (b)(c)

     500        33,465   

United Technologies Corp. (b)

     300        31,311   

Valmont Industries, Inc. (b)

     400        56,152   

Veritiv Corp. (b)(c)

     8        328   
   

 

 

  
      1,463,314   
   

 

 

  
Commercial & Professional Services - 0.0%  

ADT Corp. (b)

     400        16,792   
   

 

 

  
   
Consumer Durables & Apparel - 0.3%  

Coach, Inc. (b)

     400        16,108   

DR Horton, Inc. (b)

     900        27,054   
    SHARES     FAIR
VALUE		  
Consumer Durables & Apparel - 0.3% (continued)  

Fossil Group, Inc. (b)(c)

     2,400      $ 97,200   

Garmin Ltd. (a)(b)

     3,933        167,664   

Hanesbrands, Inc. (b)

     8,800        255,464   

Harman International Industries, Inc. (b)

     490        37,612   

Michael Kors Holdings Ltd. (a)(b)(c)

     300        15,498   

NIKE, Inc. (b)

     1,500        88,410   

PulteGroup, Inc. (b)

     10,800        198,612   

Toll Brothers, Inc. (b)(c)

     4,100        111,930   

Under Armour, Inc. - Class A (b)(c)

     200        8,788   

Under Armour, Inc. - Class C (b)(c)

     200        8,160   

VF Corp. (b)

     3,200        201,760   

Vista Outdoor, Inc. (b)(c)

     400        19,192   
   

 

 

  
      1,253,452   
   

 

 

  
Consumer Services - 0.2%  

Caesars Entertainment Corp. (b)(c)

     600        4,098   

Chipotle Mexican Grill, Inc. (b)(c)

     100        42,097   

H&R Block, Inc. (b)

     6,300        127,512   

Hilton Worldwide Holdings, Inc. (b)

     3,100        68,355   

Las Vegas Sands Corp. (b)

     400        18,060   

Marriott International, Inc. (b)

     701        49,133   

McDonald’s Corp. (b)

     300        37,947   

MGM Resorts International (b)(c)

     5,000        106,500   

Royal Caribbean Cruises Ltd. (a)(b)

     3,400        263,160   

Starbucks Corp. (b)

     400        22,492   

Starwood Hotels & Resorts Worldwide, Inc. (b)

     200        16,376   

Wynn Resorts Ltd. (b)

     1,000        88,300   

Yum! Brands, Inc. (b)

     70        5,569   
   

 

 

  
      849,599   
   

 

 

  
Diversified Financials - 0.3%  

American Express Co. (b)

     200        13,086   

Ameriprise Financial, Inc. (b)

     1,609        154,303   

Bank of New York Mellon Corp. (b)

     700        28,168   

BlackRock, Inc. (b)

     100        35,633   

Capital One Financial Corp. (b)

     100        7,239   

CME Group, Inc. (b)

     200        18,382   

Discover Financial Services (b)

     2,000        112,540   

E*TRADE Financial Corp. (b)(c)

     100        2,518   

FactSet Research Systems, Inc. (b)

     410        61,808   

Goldman Sachs Group, Inc. (b)

     1,300        213,343   

Moody’s Corp. (b)

     300        28,716   

Morgan Stanley (b)

     2,000        54,120   

NASDAQ OMX Group, Inc. (b)

     100        6,171   

Northern Trust Corp. (b)

     2,900        206,132   

S&P Global, Inc. (b)

     300        32,055   
   

 

 

  
      974,214   
   

 

 

  
Energy - 0.4%  

Anadarko Petroleum Corp. (b)

     300        15,828   

Apache Corp. (b)

     700        38,080   

Baker Hughes, Inc. (b)

     700        33,852   

California Resources Corp. (b)

     917        2,018   

Cheniere Energy, Inc. (b)(c)

     5,200        202,176   

Chesapeake Energy Corp. (b)

     2,000        13,740   

Chevron Corp. (b)

     500        51,090   

Concho Resources, Inc. (b)(c)

     1,800        209,106   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

12

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
Energy - 0.4% (continued)  

ConocoPhillips (b)

     100      $ 4,779   

CONSOL Energy, Inc. (b)

     600        9,030   

Continental Resources, Inc. (b)(c)

     300        11,178   

CVR Energy, Inc. (b)

     4,600        111,688   

Devon Energy Corp. (b)

     100        3,468   

Energen Corp. (b)

     2,400        101,976   

EOG Resources, Inc. (b)

     1,000        82,620   

EQT Corp. (b)

     1,000        70,100   

Exxon Mobil Corp. (b)

     400        35,360   

Halliburton Co. (b)

     800        33,048   

Helmerich & Payne, Inc. (b)

     500        33,060   

HollyFrontier Corp. (b)

     200        7,120   

Kinder Morgan, Inc. (b)

     100        1,776   

Marathon Oil Corp. (b)

     500        7,045   

Marathon Petroleum Corp. (b)

     2,200        85,976   

National Oilwell Varco, Inc. (b)

     100        3,604   

Newfield Exploration Co. (b)(c)

     1,500        54,375   

Occidental Petroleum Corp. (b)

     400        30,660   

Peabody Energy Corp. (b)

     393        668   

Phillips 66 (b)

     400        32,844   

Pioneer Natural Resources Co. (b)

     400        66,440   

Schlumberger Ltd. (a)(b)

     1,844        148,147   

Seadrill Ltd. (a)(b)(c)

     1,000        4,780   

Seventy Seven Energy, Inc. (b)(c)

     379        72   

Southwestern Energy Co. (b)(c)

     1,000        13,430   

Tesoro Corp. (b)

     2,000        159,380   

Valero Energy Corp. (b)

     200        11,774   

Whiting Petroleum Corp. (b)(c)

     3        36   

Williams Cos., Inc. (b)

     100        1,939   
   

 

 

  
      1,692,263   
   

 

 

  
Food & Staples Retailing - 0.2%  

Costco Wholesale Corp. (b)

     100        14,813   

CVS Health Corp. (b)

     1,800        180,900   

Kroger Co. (b)

     4,800        169,872   

Rite Aid Corp. (b)(c)

     26,100        210,105   

Walgreens Boots Alliance, Inc. (b)

     200        15,856   

Wal-Mart Stores, Inc. (b)

     400        26,748   

Whole Foods Market, Inc. (b)

     1,314        38,211   
   

 

 

  
      656,505   
   

 

 

  
Food, Beverage & Tobacco - 0.3%  

Altria Group, Inc. (b)

     500        31,355   

Coca-Cola Co. (b)

     600        26,880   

Coca-Cola Enterprises, Inc. (b)

     1,200        62,976   

JM Smucker Co. (b)

     1,800        228,564   

Mead Johnson Nutrition Co. (b)

     300        26,145   

Mondelez International, Inc. (b)

     700        30,072   

Monster Beverage Corp. (b)(c)

     2,100        302,862   

PepsiCo., Inc. (b)

     100        10,296   

Philip Morris International, Inc. (b)

     200        19,624   

Reynolds American, Inc. (b)

     580        28,768   

Tyson Foods, Inc. (b)

     4,001        263,346   
   

 

 

  
      1,030,888   
   

 

 

  
Health Care Equipment & Services - 0.6%  

Abbott Laboratories (b)

     3,000        116,700   

Aetna, Inc. (b)

     600        67,362   
    SHARES     FAIR
VALUE		  
Health Care Equipment & Services - 0.6% (continued)  

AmerisourceBergen Corp. (b)

     1,000      $ 85,100   

Anthem, Inc. (b)

     500        70,385   

Athenahealth, Inc. (b)(c)

     500        66,650   

Baxter International, Inc. (b)

     200        8,844   

Becton, Dickinson & Co. (b)

     300        48,378   

C.R. Bard, Inc. (b)

     1,410        299,160   

Cardinal Health, Inc. (b)

     100        7,846   

Centene Corp. (b)(c)

     1,146        71,034   

Cigna Corp. (b)

     1,400        193,956   

Cooper Cos., Inc. (b)

     400        61,232   

Dentsply Sirona, Inc. (b)

     180        10,705   

Express Scripts Holding Co. (b)(c)

     2,100        154,833   

Halyard Health, Inc. (b)(c)

     212        5,970   

Hologic, Inc. (b)(c)

     3,200        107,488   

Humana, Inc. (b)

     1,788        316,601   

Intuitive Surgical, Inc. (b)(c)

     300        187,908   

Laboratory Corp. of America Holdings (b)(c)

     100        12,532   

McKesson Corp. (b)

     200        33,564   

Medtronic PLC (a)(b)

     495        39,179   

Quest Diagnostics, Inc. (b)

     200        15,034   

St. Jude Medical, Inc. (b)

     2,900        220,980   

UnitedHealth Group, Inc. (b)

     2,000        263,360   

Universal Health Services, Inc. (b)

     8        1,069   

Zimmer Biomet Holdings, Inc. (b)

     100        11,577   
   

 

 

  
      2,477,447   
   

 

 

  
Household & Personal Products - 0.1%  

Colgate-Palmolive Co. (b)

     500        35,460   

Edgewell Personal Care Co. (b)

     400        32,828   

Energizer Holdings, Inc. (b)

     500        21,745   

Estee Lauder Cos., Inc. (b)

     800        76,696   

Herbalife Ltd. (a)(b)(c)

     1,500        86,925   

Kimberly-Clark Corp. (b)

     700        87,633   

Nu Skin Enterprises, Inc. (b)

     2,400        97,848   

Procter & Gamble Co. (b)

     1,300        104,156   
   

 

 

  
      543,291   
   

 

 

  
Insurance - 0.1%  

American International Group, Inc. (b)

     3,200        178,624   

AmTrust Financial Services, Inc. (b)

     1,000        24,850   

Assured Guaranty Ltd. (a)(b)

     3,800        98,306   

Hartford Financial Services Group, Inc. (b)

     100        4,438   

Lincoln National Corp. (b)

     200        8,690   

MBIA, Inc. (b)(c)

     17,600        137,280   

MetLife, Inc. (b)

     100        4,510   
   

 

 

  
      456,698   
   

 

 

  
Materials - 0.5%  

Air Products & Chemicals, Inc. (b)

     100        14,589   

Alcoa, Inc. (b)

     5,300        59,201   

Allegheny Technologies, Inc. (b)

     3,200        52,288   

Ashland, Inc. (b)

     300        33,480   

Avery Dennison Corp. (b)

     1,400        101,654   

Celanese Corp. (b)

     3,541        250,349   

CF Industries Holdings, Inc. (b)

     100        3,307   

Chemours Co. (b)

     560        5,107   

Cliffs Natural Resources, Inc. (b)(c)

     9,000        47,430   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

13

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
Materials - 0.5% (continued)  

Crown Holdings, Inc. (b)(c)

     4,000      $ 211,840   

Dow Chemical Co. (b)

     2,400        126,264   

Ecolab, Inc. (b)

     700        80,486   

EI Du Pont de Nemours & Co. (b)

     400        26,364   

Freeport-McMoRan, Inc. (b)

     1,000        14,000   

GCP Applied Technologies, Inc. (b)(c)

     400        8,852   

Huntsman Corp. (b)

     8,800        138,512   

International Paper Co. (b)

     600        25,962   

LyondellBasell Industries NV (a)(b)

     694        57,373   

Monsanto Co. (b)

     400        37,472   

Mosaic Co. (b)

     1,000        27,990   

NewMarket Corp. (b)

     100        40,606   

Newmont Mining Corp. (b)

     200        6,994   

Nucor Corp. (b)

     600        29,868   

PPG Industries, Inc. (b)

     300        33,117   

Royal Gold, Inc. (b)

     1        63   

Sherwin-Williams Co. (b)

     300        86,193   

Southern Copper Corp. (b)

     100        2,967   

United States Steel Corp. (b)

     8,056        153,950   

Vulcan Materials Co. (b)

     2,000        215,260   

WR Grace & Co. (b)(c)

     200        15,336   
   

 

 

  
      1,906,874   
   

 

 

  
Media - 0.3%  

CBS Corp. (b)

     200        11,182   

Charter Communications, Inc. (b)(c)

     300        63,672   

Comcast Corp. (b)

     3,000        182,280   

DISH Network Corp. (b)(c)

     700        34,503   

Gannett Co., Inc. (b)

     150        2,527   

Interpublic Group of Cos., Inc. (b)

     1,000        22,940   

Liberty Broadband Corp. - Class A (b)(c)

     350        20,062   

Liberty Broadband Corp. - Class C (b)(c)

     700        40,075   

Madison Square Garden Co. (b)(c)

     1,072        168,283   

MSG Networks, Inc. (b)(c)

     3,219        55,013   

Omnicom Group, Inc. (b)

     2,727        226,259   

TEGNA, Inc. (b)

     200        4,672   

Time Warner Cable, Inc. (b)

     400        84,844   

Time Warner, Inc. (b)

     100        7,514   

Walt Disney Co. (b)

     2,500        258,150   
   

 

 

  
      1,181,976   
   

 

 

  
Pharmaceuticals, Biotechnology & Life Sciences - 0.8%  

AbbVie, Inc. (b)

     168        10,248   

Agilent Technologies, Inc. (b)

     4,100        167,772   

Alexion Pharmaceuticals, Inc. (b)(c)

     1,700        236,776   

Alkermes PLC (a)(b)(c)

     500        19,875   

Allergan PLC (a)(b)(c)

     1,237        267,885   

Amgen, Inc. (b)

     3,100        490,730   

Baxalta, Inc. (b)

     800        33,560   

Biogen, Inc. (b)(c)

     100        27,499   

Bristol-Myers Squibb Co. (b)

     600        43,308   

Celgene Corp. (b)(c)

     2,600        268,866   

Eli Lilly & Co. (b)

     100        7,553   

Endo International PLC (a)(b)(c)

     100        2,700   

Gilead Sciences, Inc. (b)

     2,600        229,346   

Illumina, Inc. (b)(c)

     400        53,996   

Incyte Corp. (b)(c)

     300        21,681   

Jazz Pharmaceuticals PLC (a)(b)(c)

     360        54,252   
    SHARES     FAIR
VALUE		  
Pharmaceuticals, Biotechnology & Life Sciences - 0.8% (continued)  

Johnson & Johnson (b)

     100      $ 11,208   

Mallinckrodt PLC (a)(b)(c)

     3,729        233,137   

MannKind Corp. (b)(c)

     21,300        28,755   

Medivation, Inc. (b)(c)

     1,800        104,040   

Merck & Co., Inc. (b)

     500        27,420   

Mettler-Toledo International, Inc. (b)(c)

     100        35,795   

Mylan NV (a)(b)(c)

     100        4,171   

Pfizer, Inc. (b)

     6,400        209,344   

Regeneron Pharmaceuticals, Inc. (b)(c)

     700        263,697   

Thermo Fisher Scientific, Inc. (b)

     100        14,425   
   

 

 

  
      2,868,039   
   

 

 

  
Real Estate - 0.0%  

Howard Hughes Corp. (b)(c)

     300        31,551   

Jones Lang LaSalle, Inc. (b)

     400        46,068   
   

 

 

  
      77,619   
   

 

 

  
Retailing - 0.9%  

Abercrombie & Fitch Co. (b)

     4,700        125,631   

Advance Auto Parts, Inc. (b)

     1,200        187,320   

Amazon.com, Inc. (b)(c)

     100        65,959   

Bed Bath & Beyond, Inc. (b)(c)

     2,800        132,216   

Best Buy Co., Inc. (b)

     3,600        115,488   

Dillard’s, Inc. (b)

     2,188        154,145   

Dollar General Corp. (b)

     200        16,382   

Dollar Tree, Inc. (b)(c)

     520        41,449   

Expedia, Inc. (b)

     2,000        231,540   

GameStop Corp. (b)

     500        16,400   

Gap, Inc. (b)

     900        20,862   

Genuine Parts Co. (b)

     300        28,791   

Groupon, Inc. (b)(c)

     500        1,810   

Home Depot, Inc. (b)

     600        80,334   

J.C. Penney Co., Inc. (b)(c)

     30,500        283,040   

Kohl’s Corp. (b)

     1,500        66,450   

L Brands, Inc. (b)

     300        23,487   

Liberty Interactive Corp. (b)(c)

     1,951        51,116   

Macy’s, Inc. (b)

     900        35,631   

Netflix, Inc. (b)(c)

     5,500        495,165   

Nordstrom, Inc. (b)

     3,000        153,390   

O’Reilly Automotive, Inc. (b)(c)

     1,034        271,611   

Priceline Group, Inc. (b)(c)

     100        134,366   

Sears Holdings Corp. (b)(c)

     200        3,275   

Signet Jewelers Ltd. (a)(b)

     1,000        108,560   

Target Corp. (b)

     400        31,800   

Tiffany & Co. (b)

     400        28,540   

TripAdvisor, Inc. (b)(c)

     4,800        310,032   

Ulta Salon Cosmetics & Fragrance, Inc. (b)(c)

     100        20,828   

Williams-Sonoma, Inc. (b)

     2,390        140,484   
   

 

 

  
      3,376,102   
   

 

 

  
Semiconductors & Semiconductor Equipment - 0.4%  

Advanced Micro Devices, Inc. (b)(c)

     46,969        166,740   

Analog Devices, Inc. (b)

     200        11,264   

Applied Materials, Inc. (b)

     3,700        75,739   

Broadcom Ltd. (a)(b)

     1,812        264,099   

Cree, Inc. (b)(c)

     5,500        134,805   

First Solar, Inc. (b)(c)

     4,200        234,528   
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

14

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
Semiconductors & Semiconductor Equipment - 0.4% (continued)  

Intel Corp. (b)

     400      $ 12,112   

Linear Technology Corp. (b)

     600        26,688   

Marvell Technology Group Ltd. (a)(b)

     6,000        59,880   

Micron Technology, Inc. (b)(c)

     5,600        60,200   

NVIDIA Corp. (b)

     5,900        209,627   

Skyworks Solutions, Inc. (b)

     600        40,092   

Texas Instruments, Inc. (b)

     3,400        193,936   
   

 

 

  
      1,489,710   
   

 

 

  
Software & Services - 0.9%  

Accenture PLC (a)(b)(d)

     300        33,876   

Activision Blizzard, Inc. (b)

     3,500        120,645   

Adobe Systems, Inc. (b)(c)

     1,800        169,596   

Akamai Technologies, Inc. (b)(c)

     200        10,198   

Alphabet, Inc. - Class A (b)(c)

     300        212,364   

Alphabet, Inc. - Class C (b)(c)

     501        347,198   

Autodesk, Inc. (b)(c)

     600        35,892   

Automatic Data Processing, Inc. (b)

     100        8,844   

Blackhawk Network Holdings, Inc. (b)(c)

     887        28,499   

CDK Global, Inc. (b)

     33        1,570   

Cognizant Technology Solutions Corp. (b)(c)

     100        5,837   

Computer Sciences Corp. (b)

     500        16,565   

CSRA, Inc. (b)

     500        12,980   

eBay, Inc. (b)(c)

     3,004        73,388   

Electronic Arts, Inc. (b)(c)

     2,600        160,810   

Facebook, Inc. (b)(c)

     1,100        129,338   

Fidelity National Information Services, Inc. (b)

     3,400        223,720   

FireEye, Inc. (b)(c)

     1,300        22,555   

Fiserv, Inc. (b)(c)

     200        19,544   

FleetCor Technologies, Inc. (b)(c)

     200        30,936   

International Business Machines Corp. (b)

     200        29,188   

Intuit, Inc. (b)

     500        50,445   

Jack Henry & Associates, Inc. (b)

     500        40,515   

LinkedIn Corp. (b)(c)

     100        12,531   

MasterCard, Inc. (b)

     1,200        116,388   

Microsoft Corp. (b)

     700        34,909   

NetSuite, Inc. (b)(c)

     100        8,104   

Oracle Corp. (b)

     400        15,944   

Pandora Media, Inc. (b)(c)

     7,200        71,496   

PayPal Holdings, Inc. (b)(c)

     1,404        55,009   

Rackspace Hosting, Inc. (b)(c)

     2,700        61,749   

Red Hat, Inc. (b)(c)

     2,800        205,436   

Salesforce.com, Inc. (b)(c)

     3,200        242,560   

Splunk, Inc. (b)(c)

     3,700        192,326   

Tableau Software, Inc. (b)(c)

     3,000        155,100   

Twitter, Inc. (b)(c)

     1,012        14,795   

Ultimate Software Group, Inc. (b)(c)

     401        78,833   

Vantiv, Inc. (b)(c)

     500        27,270   

VeriSign, Inc. (b)(c)

     200        17,280   

Visa, Inc. (b)

     400        30,896   

VMware, Inc. (b)(c)

     600        34,146   

Workday, Inc. (b)(c)

     205        15,371   

Yahoo!, Inc. (b)(c)

     1,200        43,920   

Yelp, Inc. (b)(c)

     2,000        42,000   

Zillow Group, Inc. - Class A (b)(c)

     1,000        25,020   

Zillow Group, Inc. - Class C (b)(c)

     500        12,020   
    SHARES     FAIR
VALUE		  
Software & Services - 0.9% (continued)  

Zynga, Inc. (b)(c)

     3,600      $ 8,568   
   

 

 

  
      3,306,174   
   

 

 

  
Technology Hardware & Equipment - 0.3%  

3D Systems Corp. (b)(c)

     3,000        53,070   

Amphenol Corp. (b)

     100        5,583   

Apple, Inc. (b)

     700        65,618   

Cisco Systems, Inc. (b)

     3,300        90,717   

Corning, Inc. (b)

     9,600        179,232   

EMC Corp. (b)

     1,000        26,110   

F5 Networks, Inc. (b)(c)

     100        10,475   

Hewlett Packard Enterprise Co. (b)

     3,158        52,612   

HP, Inc. (b)

     3,158        38,749   

IPG Photonics Corp. (b)(c)

     1,600        138,672   

Juniper Networks, Inc. (b)

     1,000        23,400   

Keysight Technologies, Inc. (b)(c)

     2,050        53,464   

NetApp, Inc. (b)

     2,300        54,372   

Palo Alto Networks, Inc. (b)(c)

     800        120,696   

SanDisk Corp. (b)

     600        45,078   

Stratasys Ltd. (a)(b)(c)

     1,700        41,599   

Western Digital Corp. (b)

     900        36,778   
   

 

 

  
      1,036,225   
   

 

 

  
Telecommunication Services - 0.0%  

AT&T, Inc. (b)

     2,402        93,246   

Sprint Corp. (b)(c)

     17,000        58,310   

T-Mobile US, Inc. (b)(c)

     100        3,928   

Verizon Communications, Inc. (b)

     400        20,376   
   

 

 

  
      175,860   
   

 

 

  
Transportation - 0.1%  

Alaska Air Group, Inc. (b)

     600        42,258   

American Airlines Group, Inc. (b)

     200        6,938   

CSX Corp. (b)

     400        10,908   

Delta Air Lines, Inc. (b)

     1,200        50,004   

FedEx Corp. (b)

     300        49,533   

Hertz Global Holdings, Inc. (b)(c)

     2,100        19,446   

Kansas City Southern (b)

     400        37,900   

Norfolk Southern Corp. (b)

     100        9,011   

Southwest Airlines Co. (b)

     400        17,844   

Spirit Airlines, Inc. (b)(c)

     3,298        144,881   

Union Pacific Corp. (b)

     400        34,892   

United Continental Holdings, Inc. (b)(c)

     1,300        59,553   

United Parcel Service, Inc. (b)

     100        10,507   
   

 

 

  
      493,675   
   

 

 

  
Utilities - 0.2%  

CenterPoint Energy, Inc. (b)

     3,900        83,655   

Dominion Resources, Inc. (b)

     2,600        185,822   

Duke Energy Corp. (b)

     2,200        173,316   

NextEra Energy, Inc. (b)

     300        35,274   

Sempra Energy (b)

     300        31,005   

Southern Co. (b)

     2,500        125,250   
   

 

 

  
      634,322   
   

 

 

  

TOTAL COMMON STOCKS
(Cost $25,095,153)

       29,184,367   
   

 

 

  
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

15

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
CONTINGENT VALUE RIGHTS - 0.0%  
Food Staples Retailing - 0.0%  

Safeway Casa Ley (c)(d)(e) (Cost: $0; Original Acquisition Date: 05/14/2013)

     5,400      $ 5,480   

Safeway PDC (c)(d)(e) Cost: $0; Original Acquisition Date: 05/14/2013)

     5,400        264   
   

 

 

  

TOTAL CONTINGENT VALUE RIGHTS
(Cost $0)

       5,744   
   

 

 

  
REAL ESTATE INVESTMENT TRUSTS - 0.3%  
   
Real Estate - 0.3%            

American Capital Agency Corp. (b)

     1,000        18,370   

American Tower Corp. (b)

     100        10,488   

Annaly Capital Management, Inc. (b)

     12,600        131,292   

AvalonBay Communities, Inc. (b)

     200        35,358   

Boston Properties, Inc. (b)

     100        12,886   

Crown Castle International Corp. (b)

     100        8,688   

Digital Realty Trust, Inc. (b)

     300        26,394   

Equinix, Inc. (b)

     1,232        406,991   

Equity Residential (b)

     1,100        74,877   

Iron Mountain, Inc. (b)

     900        32,877   

Lamar Advertising Co. (b)

     100        6,204   

LaSalle Hotel Properties (b)

     12        287   

Prologis, Inc. (b)

     700        31,787   

Public Storage (b)

     200        48,962   

Seritage Growth Properties (b)

     100        5,337   

Simon Property Group, Inc. (b)

     100        20,117   

Urban Edge Properties (b)

     300        7,782   

Vornado Realty Trust (b)

     300        28,719   

Welltower, Inc. (b)

     100        6,942   

Weyerhaeuser Co. (b)

     200        6,424   

WP GLIMCHER, Inc. (b)

     600        6,294   
   

 

 

  

TOTAL REAL ESTATE INVESTMENT TRUSTS
(Cost $659,526)

   

     927,076   
   

 

 

  
INVESTMENT COMPANY - 0.0%  
   
Business Development Company - 0.0%  
   
Closed-End Mutual Funds - 0.0%  

American Capital Ltd. (c)

     800        12,640   
   

 

 

  

TOTAL INVESTMENT COMPANY
(Cost $10,745)

       12,640   
   

 

 

  
    SHARES     FAIR
VALUE		  
RIGHTS - 0.0%            
   
Health Care Equipment & Services - 0.0%  

Community Health Systems, Inc. (c)

     1,429      $ 27,265   
   

 

 

  

TOTAL RIGHTS
(Cost $63,208)

       27,265   
   

 

 

  
    PRINCIPAL
AMOUNT		     FAIR
VALUE		  
SHORT-TERM INVESTMENTS - 92.8%  
   
U.S. Treasury Bills - 92.8%  

0.256%, 05/05/2016 (f)(g)

   $ 50,900,000        50,898,564   

0.311%, 05/12/2016 (f)(g)

     40,900,000        40,896,128   

0.294%, 05/19/2016 (f)(g)

     37,200,000        37,194,553   

0.296%, 06/02/2016 (f)(g)

     41,700,000        41,689,074   

0.302%, 06/23/2016 (f)(g)

     33,100,000        33,085,365   

0.260%, 06/30/2016 (f)(g)

     16,250,000        16,246,035   

0.282%, 07/28/2016 (f)(g)

     74,450,000        74,413,966   

0.244%, 08/04/2016 (f)(g)

     25,550,000        25,534,721   

0.257%, 09/01/2016 (f)(g)

     35,500,000        35,470,535   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $355,408,573)

       355,428,941   
   

 

 

  

TOTAL INVESTMENTS
(Cost $381,237,205) - 100.7%

       385,586,033   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.7)%		     (2,689,537)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $382,896,496  
   

 

 

  

Percentages are stated as a percent of net assets.

PLC - Public Limited Company

(a) Foreign issued security. Total foreign securities are $2,037,027 which represents 0.5% of net assets.
(b) All or portion of this security may be subject to written call options.
(c) Non-income producing security.
(d) Security is restricted to resale. The aggregate value of these securities at April 30, 2016 was $5,744, which represents 0.0% of net assets.
(e) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $5,744, which represents 0.0% of net assets.
(f) Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.
(g) All or portion of this security is held as collateral for written put options.
 

 

Written Options

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

CALL OPTIONS

      

3D Systems Corp., Expires 05/06/2016, Strike Price $20.00

      20       $ 610   

Abbott Laboratories, Expires 05/06/2016, Strike Price $45.00

      7         21   

Abercrombie & Fitch Co., Expires 05/06/2016, Strike Price $30.50

      10         30   

Accenture PLC, Expires 05/06/2016, Strike Price $119.00

      1         5   

Activision Blizzard, Inc., Expires 05/06/2016, Strike Price $37.50

      9         310   

Activision Blizzard, Inc., Expires 05/06/2016, Strike Price $39.50

      3         31   

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

16

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

Adobe Systems, Inc., Expires 05/20/2016, Strike Price $105.00

      14       $ 56   

Advance Auto Parts, Inc., Expires 05/20/2016, Strike Price $165.00

      1         200   

Advance Auto Parts, Inc., Expires 05/20/2016, Strike Price $170.00

      3         300   

Advance Auto Parts, Inc., Expires 05/20/2016, Strike Price $175.00

      4         170   

Advance Auto Parts, Inc., Expires 05/20/2016, Strike Price $185.00

      2         35   

Aetna, Inc., Expires 05/06/2016, Strike Price $121.00

      1         3   

Aetna, Inc., Expires 05/06/2016, Strike Price $124.00

      3         19   

Agilent Technologies, Inc., Expires 05/20/2016, Strike Price $45.00

      24         252   

Agilent Technologies, Inc., Expires 05/20/2016, Strike Price $47.50

      9         22   

Alaska Air Group, Inc., Expires 05/20/2016, Strike Price $80.00

      1         7   

Allergan PLC, Expires 05/06/2016, Strike Price $245.00

      1         10   

Alphabet, Inc. - Class A, Expires 05/06/2016, Strike Price $770.00

      1         8   

Alphabet, Inc. - Class C, Expires 05/06/2016, Strike Price $747.50

      1         15   

Alphabet, Inc. - Class C, Expires 05/06/2016, Strike Price $750.00

      1         25   

Alphabet, Inc. - Class C, Expires 05/06/2016, Strike Price $755.00

      1         3   

American Airlines Group, Inc., Expires 05/06/2016, Strike Price $39.00

      1         1   

American Express Co., Expires 05/06/2016, Strike Price $68.50

      1         2   

Ameriprise Financial, Inc., Expires 05/20/2016, Strike Price $110.00

      13         65   

AmerisourceBergen Corp., Expires 05/20/2016, Strike Price $97.50

      4         10   

AmerisourceBergen Corp., Expires 05/20/2016, Strike Price $100.00

      2         5   

AmTrust Financial Services, Inc., Expires 05/20/2016, Strike Price $27.50

      5         75   

Anadarko Petroleum Corp., Expires 05/06/2016, Strike Price $55.50

      1         63   

Anadarko Petroleum Corp., Expires 05/06/2016, Strike Price $56.00

      1         51   

Analog Devices, Inc., Expires 05/20/2016, Strike Price $67.50

      1         7   

Autodesk, Inc., Expires 05/20/2016, Strike Price $65.00

      1         62   

AvalonBay Communities, Inc., Expires 05/20/2016, Strike Price $190.00

      1         12   

Avery Dennison Corp., Expires 05/20/2016, Strike Price $75.00

      2         95   

Avery Dennison Corp., Expires 05/20/2016, Strike Price $80.00

      7         87   

Becton, Dickinson & Co., Expires 05/20/2016, Strike Price $170.00

      1         42   

Boeing Co., Expires 05/06/2016, Strike Price $143.00

      1         5   

Boeing Co., Expires 05/06/2016, Strike Price $144.00

      1         4   

Boeing Co., Expires 05/06/2016, Strike Price $145.00

      1         2   

Broadcom Ltd., Expires 05/06/2016, Strike Price $157.50

      6         60   

C.R. Bard, Inc., Expires 05/20/2016, Strike Price $220.00

      2         155   

C.R. Bard, Inc., Expires 05/20/2016, Strike Price $230.00

      6         90   

Caesars Entertainment Corp., Expires 05/06/2016, Strike Price $8.00

      3         97   

Caterpillar, Inc., Expires 05/06/2016, Strike Price $82.00

      4         36   

CBOE S&P 500 Index, Expires 05/06/2016, Strike Price $2090.00

      122         51,850   

CBS Corp., Expires 05/06/2016, Strike Price $61.50

      1         6   

Celanese Corp., Expires 05/20/2016, Strike Price $75.00

      24         840   

CenterPoint Energy, Inc., Expires 05/20/2016, Strike Price $22.00

      29         725   

Charter Communications, Inc., Expires 05/20/2016, Strike Price $230.00

      1         90   

Cheniere Energy, Inc., Expires 05/06/2016, Strike Price $39.50

      7         595   

Chevron Corp., Expires 05/06/2016, Strike Price $109.00

      1         4   

Chicago Bridge & Iron Co. NV, Expires 05/06/2016, Strike Price $43.00

      4         30   

Cigna Corp., Expires 05/20/2016, Strike Price $155.00

      11         148   

Coca-Cola Enterprises, Inc., Expires 05/20/2016, Strike Price $55.00

      6         105   

Colfax Corp., Expires 05/20/2016, Strike Price $37.50

      3         52   

Comcast Corp., Expires 05/06/2016, Strike Price $63.50

      5         20   

Comcast Corp., Expires 05/06/2016, Strike Price $64.00

      10         35   

Comerica, Inc., Expires 05/20/2016, Strike Price $49.00

      1         25   

Community Health Systems, Inc., Expires 05/06/2016, Strike Price $22.50

      4         70   

Community Health Systems, Inc., Expires 05/06/2016, Strike Price $23.00

      4         60   

Computer Sciences Corp., Expires 05/20/2016, Strike Price $35.00

      2         85   

Computer Sciences Corp., Expires 05/20/2016, Strike Price $36.00

      1         25   

Concho Resources, Inc., Expires 05/20/2016, Strike Price $130.00

      14         665   

Continental Resources, Inc., Expires 05/20/2016, Strike Price $44.00

      1         30   

Continental Resources, Inc., Expires 05/20/2016, Strike Price $45.00

      1         22   

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

17

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

Cooper Cos., Inc., Expires 05/20/2016, Strike Price $175.00

      2       $ 40   

CSX Corp., Expires 05/20/2016, Strike Price $29.00

      2         45   

CVR Energy, Inc., Expires 05/20/2016, Strike Price $30.00

      36         630   

CVS Health Corp., Expires 05/06/2016, Strike Price $106.00

      3         31   

Deere & Co., Expires 05/06/2016, Strike Price $87.50

      1         12   

Delphi Automotive PLC, Expires 05/20/2016, Strike Price $82.50

      2         65   

Delphi Automotive PLC, Expires 05/20/2016, Strike Price $85.00

      2         25   

Dillard’s, Inc., Expires 05/20/2016, Strike Price $77.50

      11         1,017   

Dillard’s, Inc., Expires 05/20/2016, Strike Price $85.00

      5         100   

Dish Network Corp., Expires 05/06/2016, Strike Price $55.00

      1         20   

Dollar General Corp., Expires 05/06/2016, Strike Price $86.00

      1         5   

Dollar Tree, Inc., Expires 05/20/2016, Strike Price $90.00

      1         7   

Dow Chemical Co., Expires 05/06/2016, Strike Price $57.00

      6         12   

Duke Energy Corp., Expires 05/20/2016, Strike Price $80.00

      16         960   

Ecolab, Inc., Expires 05/20/2016, Strike Price $120.00

      3         300   

Ecolab, Inc., Expires 05/20/2016, Strike Price $125.00

      1         22   

Edgewell Personal Care Co., Expires 05/20/2016, Strike Price $95.00

      2         50   

Electronic Arts, Inc., Expires 05/06/2016, Strike Price $68.00

      5         37   

Energizer Holdings, Inc., Expires 05/20/2016, Strike Price $50.00

      3         75   

EOG Resources, Inc., Expires 05/06/2016, Strike Price $88.00

      4         150   

EQT Corp., Expires 05/20/2016, Strike Price $80.00

      5         100   

Equinix, Inc., Expires 05/20/2016, Strike Price $350.00

      1         237   

Equinix, Inc., Expires 05/20/2016, Strike Price $360.00

      2         130   

Equinix, Inc., Expires 05/20/2016, Strike Price $370.00

      3         127   

Estee Lauder Cos., Inc., Expires 05/20/2016, Strike Price $100.00

      4         420   

Expedia, Inc., Expires 05/06/2016, Strike Price $112.00

      3         1,365   

Expedia, Inc., Expires 05/06/2016, Strike Price $116.00

      3         562   

Expedia, Inc., Expires 05/06/2016, Strike Price $119.00

      1         75   

Facebook, Inc., Expires 05/06/2016, Strike Price $125.00

      2         13   

Facebook, Inc., Expires 05/06/2016, Strike Price $126.00

      3         16   

FactSet Research Systems, Inc., Expires 05/20/2016, Strike Price $170.00

      2         40   

Fidelity National Information Services, Inc., Expires 05/20/2016, Strike Price $70.00

      26         1,131   

First Solar, Inc., Expires 05/06/2016, Strike Price $68.50

      5         12   

First Solar, Inc., Expires 05/06/2016, Strike Price $69.00

      5         15   

First Solar, Inc., Expires 05/06/2016, Strike Price $69.50

      5         12   

First Solar, Inc., Expires 05/06/2016, Strike Price $70.00

      10         25   

First Solar, Inc., Expires 05/06/2016, Strike Price $70.50

      5         13   

Fiserv, Inc., Expires 05/20/2016, Strike Price $105.00

      1         27   

FleetCor Technologies, Inc., Expires 05/20/2016, Strike Price $165.00

      1         147   

FleetCor Technologies, Inc., Expires 05/20/2016, Strike Price $170.00

      1         65   

Fluor Corp., Expires 05/06/2016, Strike Price $57.00

      3         135   

Garmin Ltd., Expires 05/20/2016, Strike Price $45.00

      8         160   

Goodyear Tire & Rubber Co., Expires 05/06/2016, Strike Price $34.50

      4         10   

H&R Block, Inc., Expires 05/20/2016, Strike Price $26.00

      20         50   

H&R Block, Inc., Expires 05/20/2016, Strike Price $27.00

      33         83   

Halliburton Co., Expires 05/06/2016, Strike Price $43.50

      1         25   

Halyard Health, Inc., Expires 05/20/2016, Strike Price $35.00

      1         23   

Hanesbrands, Inc., Expires 05/20/2016, Strike Price $30.00

      20         700   

Harman International Industries, Inc., Expires 05/20/2016, Strike Price $100.00

      2         10   

Helmerich & Payne, Inc., Expires 05/20/2016, Strike Price $75.00

      3         90   

Hilton Worldwide Holdings, Inc., Expires 05/20/2016, Strike Price $23.00

      21         420   

HollyFrontier Corp., Expires 05/06/2016, Strike Price $40.50

      1         5   

Hologic, Inc., Expires 05/20/2016, Strike Price $42.00

      24         60   

Howard Hughes Corp., Expires 05/20/2016, Strike Price $120.00

      2         85   

Humana, Inc., Expires 05/06/2016, Strike Price $190.00

      6         225   

Illumina, Inc., Expires 05/06/2016, Strike Price $165.00

      1         13   

International Paper Co., Expires 05/06/2016, Strike Price $45.50

      3         11   

Intuit, Inc., Expires 05/20/2016, Strike Price $110.00

      2         10   

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

18

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

IPG Photonics Corp., Expires 05/20/2016, Strike Price $105.00

      4       $ 30   

IPG Photonics Corp., Expires 05/20/2016, Strike Price $110.00

      9         113   

Jack Henry & Associates, Inc., Expires 05/20/2016, Strike Price $85.00

      1         48   

JM Smucker Co., Expires 05/20/2016, Strike Price $135.00

      13         130   

Jones Lang LaSalle, Inc., Expires 05/20/2016, Strike Price $125.00

      1         78   

JPMorgan Chase & Co., Expires 05/06/2016, Strike Price $66.50

      1         1   

Kansas City Southern, Expires 05/06/2016, Strike Price $102.00

      2         10   

Keysight Technologies, Inc., Expires 05/20/2016, Strike Price $30.00

      10         225   

Kimberly-Clark Corp., Expires 05/20/2016, Strike Price $135.00

      3         23   

Kohl’s Corp., Expires 05/20/2016, Strike Price $50.00

      8         160   

L Brands, Inc., Expires 05/20/2016, Strike Price $85.50

      1         18   

Las Vegas Sands Corp., Expires 05/06/2016, Strike Price $49.00

      2         17   

Lear Corp., Expires 05/20/2016, Strike Price $125.00

      12         270   

Lear Corp., Expires 05/20/2016, Strike Price $130.00

      3         53   

Liberty Broadband Corp., Expires 05/20/2016, Strike Price $65.00

      2         100   

Linear Technology Corp., Expires 05/20/2016, Strike Price $48.00

      3         15   

LyondellBasell Industries NV, Expires 05/20/2016, Strike Price $97.50

      2         5   

M&T Bank Corp., Expires 05/20/2016, Strike Price $130.00

      13         65   

Macy’s, Inc., Expires 05/06/2016, Strike Price $42.00

      1         9   

Macy’s, Inc., Expires 05/06/2016, Strike Price $42.50

      1         5   

Madison Square Garden Co., Expires 05/20/2016, Strike Price $175.00

      2         45   

Madison Square Garden Co., Expires 05/20/2016, Strike Price $180.00

      2         25   

Madison Square Garden Co., Expires 05/20/2016, Strike Price $185.00

      4         50   

Marathon Oil Corp., Expires 05/06/2016, Strike Price $16.00

      3         26   

Marathon Petroleum Corp., Expires 05/06/2016, Strike Price $44.00

      8         140   

Marathon Petroleum Corp., Expires 05/06/2016, Strike Price $45.00

      6         90   

Marvell Technology Group Ltd., Expires 05/06/2016, Strike Price $11.00

      30         120   

McDonald’s Corp., Expires 05/06/2016, Strike Price $132.00

      2         4   

McKesson Corp., Expires 05/20/2016, Strike Price $190.00

      1         10   

Mead Johnson Nutrition Co., Expires 05/20/2016, Strike Price $90.00

      1         113   

Mead Johnson Nutrition Co., Expires 05/20/2016, Strike Price $95.00

      1         25   

MMG Resorts International, Expires 05/06/2016, Strike Price $24.00

      10         85   

Monster Beverage Corp., Expires 05/06/2016, Strike Price $130.00

      3         4,200   

Monster Beverage Corp., Expires 05/06/2016, Strike Price $132.00

      8         9,960   

Moody’s Corp., Expires 05/20/2016, Strike Price $105.00

      2         24   

Netflix, Inc., Expires 05/06/2016, Strike Price $103.00

      2         7   

Newfield Exploration Co., Expires 05/20/2016, Strike Price $41.00

      6         180   

NextEra Energy, Inc., Expires 05/20/2016, Strike Price $120.00

      2         150   

Nu Skin Enterprises, Inc., Expires 05/06/2016, Strike Price $40.50

      8         960   

Nu Skin Enterprises, Inc., Expires 05/06/2016, Strike Price $41.50

      16         1,840   

Nucor Corp., Expires 05/06/2016, Strike Price $51.50

      3         41   

NVIDIA Corp., Expires 05/06/2016, Strike Price $38.00

      9         45   

NVIDIA Corp., Expires 05/06/2016, Strike Price $38.50

      7         39   

Occidental Petroleum Corp., Expires 05/06/2016, Strike Price $79.50

      2         76   

O’Reilly Automotive Inc., Expires 05/20/2016, Strike Price $290.00

      2         25   

O’Reilly Automotive Inc., Expires 05/20/2016, Strike Price $300.00

      4         40   

Palo Alto Networks, Inc., Expires 05/06/2016, Strike Price $162.50

      2         55   

Palo Alto Networks, Inc., Expires 05/06/2016, Strike Price $165.00

      2         25   

Palo Alto Networks, Inc., Expires 05/06/2016, Strike Price $167.50

      2         15   

Pandora Media, Inc., Expires 05/06/2016, Strike Price $11.00

      10         45   

PayPal Holdings, Inc., Expires 05/06/2016, Strike Price $45.00

      6         15   

PayPal Holdings, Inc., Expires 05/06/2016, Strike Price $46.00

      6         15   

Philip Morris International, Inc., Expires 05/06/2016, Strike Price $101.00

      1         13   

PPG Industries, Inc., Expires 05/20/2016, Strike Price $120.00

      1         8   

Prologis, Inc., Expires 05/20/2016, Strike Price $48.00

      4         40   

Quest Diagnostics, Inc., Expires 05/20/2016, Strike Price $80.00

      1         7   

Raytheon Co., Expires 05/20/2016, Strike Price $140.00

      1         2   

Red Hat, Inc., Expires 05/20/2016, Strike Price $80.00

      19         190   

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

19

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

Red Hat, Inc., Expires 05/20/2016, Strike Price $82.50

      4       $ 20   

Royal Caribbean Cruises Ltd., Expires 05/20/2016, Strike Price $82.50

      15         1,335   

Royal Caribbean Cruises Ltd., Expires 05/20/2016, Strike Price $87.50

      8         204   

Salesforce.com, Inc., Expires 05/06/2016, Strike Price $78.50

      3         88   

Salesforce.com, Inc., Expires 05/06/2016, Strike Price $79.00

      4         86   

SanDisk Corp., Expires 05/06/2016, Strike Price $77.00

      2         111   

Schlumberger Ltd., Expires 05/06/2016, Strike Price $83.00

      8         184   

Schlumberger Ltd., Expires 05/06/2016, Strike Price $83.50

      1         16   

Sherwin-Williams Co., Expires 05/20/2016, Strike Price $320.00

      2         35   

Signet Jewelers Ltd., Expires 05/20/2016, Strike Price $120.00

      3         105   

Signet Jewelers Ltd., Expires 05/20/2016, Strike Price $125.00

      4         80   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $77.00

      1         5   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $77.50

      1         3   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $78.50

      1         5   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $80.00

      1         3   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $80.50

      1         5   

Skyworks Solutions, Inc., Expires 05/06/2016, Strike Price $81.00

      1         8   

Southwest Airlines Co., Expires 05/06/2016, Strike Price $48.50

      2         30   

Splunk, Inc., Expires 05/06/2016, Strike Price $55.00

      11         358   

Splunk, Inc., Expires 05/06/2016, Strike Price $55.50

      8         220   

Splunk, Inc., Expires 05/06/2016, Strike Price $56.00

      6         105   

Starwood Hotels & Resorts Worldwide, Inc., Expires 05/06/2016, Strike Price $83.00

      1         53   

Tableau Software, Inc., Expires 05/06/2016, Strike Price $55.00

      12         3,630   

Tableau Software, Inc., Expires 05/06/2016, Strike Price $57.00

      6         1,290   

Tableau Software, Inc., Expires 05/06/2016, Strike Price $57.50

      6         1,155   

TEGNA, Inc., Expires 05/20/2016, Strike Price $26.00

      1         13   

Tesla Motors, Inc., Expires 05/06/2016, Strike Price $270.00

      2         352   

Tesla Motors, Inc., Expires 05/06/2016, Strike Price $300.00

      2         47   

Tesoro Corp., Expires 05/06/2016, Strike Price $91.00

      4         40   

Tesoro Corp., Expires 05/06/2016, Strike Price $91.50

      4         34   

Tesoro Corp., Expires 05/06/2016, Strike Price $92.00

      4         30   

Tesoro Corp., Expires 05/06/2016, Strike Price $92.50

      4         28   

Texas Instruments, Inc., Expires 05/06/2016, Strike Price $61.00

      6         12   

Texas Instruments, Inc., Expires 05/06/2016, Strike Price $63.00

      15         173   

Texas Instruments, Inc., Expires 05/06/2016, Strike Price $63.50

      6         30   

Textron, Inc., Expires 05/20/2016, Strike Price $42.00

      4         32   

Time Warner Cable, Inc., Expires 05/20/2016, Strike Price $220.00

      2         120   

Toll Brothers, Inc., Expires 05/06/2016, Strike Price $30.50

      21         53   

TransDigm Group, Inc., Expires 05/20/2016, Strike Price $240.00

      1         260   

Trinity Industries, Inc., Expires 05/06/2016, Strike Price $21.00

      5         25   

TripAdvisor, Inc., Expires 05/06/2016, Strike Price $66.50

      5         1,538   

TripAdvisor, Inc., Expires 05/06/2016, Strike Price $67.50

      5         1,350   

TripAdvisor, Inc., Expires 05/06/2016, Strike Price $68.50

      5         1,188   

TripAdvisor, Inc., Expires 05/06/2016, Strike Price $71.00

      5         825   

Under Armour, Inc. - Class A, Expires 05/06/2016, Strike Price $50.00

      1         3   

United Continental Holdings, Inc., Expires 05/06/2016, Strike Price $52.50

      6         9   

United Rentals, Inc., Expires 05/06/2016, Strike Price $70.50

      1         25   

United Technologies Corp., Expires 05/06/2016, Strike Price $109.00

      2         18   

UnitedHealth Group, Inc., Expires 05/06/2016, Strike Price $139.00

      12         114   

Valero Energy Corp., Expires 05/06/2016, Strike Price $66.50

      1         2   

VeriSign, Inc., Expires 05/20/2016, Strike Price $95.00

      1         9   

VF Corp., Expires 05/20/2016, Strike Price $67.50

      5         63   

Vista Outdoor, Inc., Expires 05/20/2016, Strike Price $55.00

      2         95   

Vulcan Materials Co., Expires 05/20/2016, Strike Price $115.00

      10         825   

Vulcan Materials Co., Expires 05/20/2016, Strike Price $120.00

      6         135   

Walt Disney Co., Expires 05/06/2016, Strike Price $109.00

      3         6   

Weyerhaeuser Co., Expires 05/06/2016, Strike Price $33.50

      1         10   

Whole Foods Market, Inc., Expires 05/06/2016, Strike Price $33.50

      3         41   

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

20

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND   

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

Williams-Sonoma, Inc., Expires 05/20/2016, Strike Price $67.50

      13       $ 293   

Williams-Sonoma, Inc., Expires 05/20/2016, Strike Price $70.00

      8         160   

WR Grace & Co., Expires 05/20/2016, Strike Price $82.50

      1         53   

Zillow Group, Inc., Expires 05/06/2016, Strike Price $28.00

      2         40   

Zillow Group, Inc., Expires 05/06/2016, Strike Price $28.50

      1         18   
     

 

 

  

TOTAL CALL OPTIONS
(Premiums Received $87,745)

         106,218   
     

 

 

  
     

PUT OPTIONS

      

CBOE S&P 500 Index, Expires 05/04/2016, Strike Price $2050.00

      431         277,995   

CBOE S&P 500 Index, Expires 05/04/2016, Strike Price $2065.00

      51         53,805   

CBOE S&P 500 Index, Expires 05/04/2016, Strike Price $2085.00

      25         54,000   

CBOE S&P 500 Index, Expires 05/04/2016, Strike Price $2090.00

      258         654,030   

CBOE S&P 500 Index, Expires 05/04/2016, Strike Price $2095.00

      102         300,900   

CBOE S&P 500 Index, Expires 05/06/2016, Strike Price $2050.00

      75         71,250   

CBOE S&P 500 Index, Expires 05/06/2016, Strike Price $2070.00

      611         1,029,535   

NASDAQ OMX Group, Inc., Expires 05/06/2016, Strike Price $4310.00

      40         153,200   
     

 

 

  

TOTAL PUT OPTIONS
(Premiums Received $2,210,367)

         2,594,715   
     

 

 

  

TOTAL WRITTEN OPTIONS
(Premiums Received $2,298,112)

       $ 2,700,933   
     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

21

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. SMALL CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
COMMON STOCKS - 2.2%  
   
Automobiles & Components - 0.1%  

Dana Holding Corp. (a)

     2,400      $ 31,032   

Federal-Mogul Holdings Corp. (a)(b)

     2,600        24,024   

Tower International, Inc. (a)

     2,100        48,195   
   

 

 

  
      103,251   
   

 

 

  
Banks - 0.0%  

PacWest Bancorp (a)

     1,078        43,098   
   

 

 

  
   
Capital Goods - 0.1%  

Capstone Turbine Corp. (a)(b)

     1,000        1,570   

PowerSecure International, Inc. (a)(b)

     6,300        117,936   

Wabash National Corp. (a)(b)

     4,200        59,850   
   

 

 

  
      179,356   
   

 

 

  
Commercial & Professional Services - 0.0%  

WageWorks, Inc. (a)(b)

     1,100        59,246   
   

 

 

  
   
Consumer Durables & Apparel - 0.2%  

Crocs, Inc. (a)(b)

     3,300        27,555   

JAKKS Pacific, Inc. (a)(b)

     8,600        64,500   

Nautilus, Inc. (a)(b)

     6,800        119,952   
   

 

 

  
      212,007   
   

 

 

  
Consumer Services - 0.1%  

Boyd Gaming Corp. (a)(b)

     3,700        68,968   

Bridgepoint Education, Inc. (a)(b)

     2,164        20,644   
   

 

 

  
      89,612   
   

 

 

  
Energy - 0.0%  

CARBO Ceramics, Inc. (a)

     500        7,425   

Goodrich Petroleum Corp. (a)(b)

     2,300        76   

McDermott International, Inc. (a)(b)(c)

     6,300        28,602   

Penn Virginia Corp. (a)(b)

     3,600        540   
   

 

 

  
      36,643   
   

 

 

  
Health Care Equipment & Services - 0.4%  

Abaxis, Inc. (a)

     1,100        49,852   

Air Methods Corp. (a)(b)

     1,100        40,678   

Anika Therapeutics, Inc. (a)(b)

     2,000        91,320   

DexCom, Inc. (a)(b)

     1,700        109,446   

Medidata Solutions, Inc. (a)(b)

     1,000        43,630   

Orthofix International NV (a)(b)(c)

     1,900        83,144   

Rockwell Medical, Inc. (a)(b)

     9,200        85,100   
   

 

 

  
      503,170   
   

 

 

  
Materials - 0.1%  

Century Aluminum Co. (a)(b)

     5,200        45,864   

Compass Minerals International, Inc. (a)

     600        44,976   

Hecla Mining Co. (a)

     13,600        58,616   

Intrepid Potash, Inc. (a)(b)

     3,500        4,480   
   

 

 

  
      153,936   
   

 

 

  
Media - 0.1%  

Entravision Communications Corp. (a)

     7,700        61,215   

Sizmek, Inc. (a)(b)

     3,800        10,070   

World Wrestling Entertainment, Inc. (a)

     4,500        74,880   
   

 

 

  
      146,165   
   

 

 

  
    SHARES     FAIR
VALUE		  
Pharmaceuticals, Biotechnology & Life Sciences - 0.4%  

ACADIA Pharmaceuticals, Inc. (a)(b)

     2,100      $ 67,830   

Agios Pharmaceuticals, Inc. (a)(b)

     1,500        73,425   

Endocyte, Inc. (a)(b)

     7,800        30,420   

Halozyme Therapeutics, Inc. (a)(b)

     6,700        70,685   

Insmed, Inc. (a)(b)

     4,300        52,245   

Keryx Biopharmaceuticals, Inc. (a)(b)

     3,700        20,128   

Merrimack Pharmaceuticals, Inc. (a)(b)

     7,000        49,560   

Pernix Therapeutics Holdings, Inc. (a)(b)

     8,000        6,001   

Prothena Corp. PLC (a)(b)(c)

     2,400        103,656   

Retrophin, Inc. (a)(b)

     3,800        52,364   

Sarepta Therapeutics, Inc. (a)(b)

     1,900        26,961   

Vanda Pharmaceuticals, Inc. (a)(b)

     4,100        36,490   
   

 

 

  
      589,765   
   

 

 

  
Retailing - 0.0%  

Conn’s, Inc. (a)(b)

     1,100        15,114   
   

 

 

  
   
Semiconductors & Semiconductor Equipment - 0.2%  

Cirrus Logic, Inc. (a)(b)

     2,600        93,860   

Integrated Device Technology, Inc. (a)(b)

     4,300        82,904   

SunEdison, Inc. (a)(b)

     6,100        1,446   

SunPower Corp. (a)(b)

     2,000        40,280   
   

 

 

  
      218,490   
   

 

 

  
Software & Services - 0.2%  

Alliance Data Systems Corp. (a)(b)

     147        29,887   

Bankrate, Inc. (a)(b)

     2,600        23,764   

Gogo, Inc. (a)(b)

     2,300        24,357   

Infoblox, Inc. (a)(b)

     2,500        41,825   

Take-Two Interactive Software, Inc. (a)(b)

     2,700        92,286   

Vringo, Inc. (a)(b)

     1,330        2,527   

WebMD Health Corp. (a)(b)

     1,300        81,562   
   

 

 

  
      296,208   
   

 

 

  
Technology Hardware & Equipment - 0.1%  

Cray, Inc. (a)(b)

     1,600        60,592   

Ubiquiti Networks, Inc. (a)(b)

     1,700        60,554   
   

 

 

  
      121,146   
   

 

 

  
Telecommunication Services - 0.1%  

Inteliquent, Inc. (a)

     5,900        97,881   
   

 

 

  
   
Transportation - 0.1%  

Arkansas Best Corp. (a)

     2,000        38,180   

XPO Logistics, Inc. (a)(b)

     2,000        60,280   
   

 

 

  
      98,460   
   

 

 

  

TOTAL COMMON STOCKS
(Cost $2,720,749)

       2,963,548   
   

 

 

  
CONTINGENT VALUE RIGHTS - 0.0%        
   
Pharmaceuticals, Biotechnology & Life Sciences - 0.0%  

Trius Therapeutics, Inc. (b)(d)(e) (Cost: $0; Acquisition Date: 08/12/2013)

     3,300        —   
   

 

 

  
   
Telecommunication Services - 0.0%  

Leap Wireless International, Inc. (b)(d)(e) (Cost: $6,396; Acquisition Date: 08/12/2013)

     2,700        6,804   
   

 

 

  
   

TOTAL CONTINGENT VALUE RIGHTS
(Cost $6,396)

       6,804   
   

 

 

  
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

22

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. SMALL CAP VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
SHORT-TERM INVESTMENTS - 98.6%        
   
Money Market Funds - 0.1%  

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (f)

     32,131      $ 32,131   

First American Government Obligations Fund - Class Z - 0.21% (f)

     32,130        32,130   

First American Treasury Obligations Fund - Class Z - 0.18% (f)

     32,131        32,131   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (f)

     32,130        32,130   
   

 

 

  
      128,522   
   

 

 

  
    PRINCIPAL
AMOUNT		     FAIR
VALUE		  
U.S. Treasury Bills - 98.5%  

0.255%, 05/05/2016 (g)(h)

   $ 7,550,000        7,549,787   

0.310%, 05/12/2016 (g)(h)

     17,900,000        17,898,312   

0.295%, 05/19/2016 (g)(h)

     22,700,000        22,696,665   

0.296%, 06/02/2016 (g)(h)

     18,600,000        18,595,123   

0.310%, 06/23/2016 (g)(h)

     11,400,000        11,394,958   

0.259%, 06/30/2016 (g)(h)

     7,700,000        7,698,121   

0.279%, 07/28/2016 (g)(h)

     25,800,000        25,787,512   

0.248%, 08/04/2016 (g)(h)

     10,650,000        10,643,631   

0.257%, 09/01/2016 (g)(h)

     10,400,000        10,391,368   
   

 

 

  
      132,655,477   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $132,776,616)

       132,783,999   
   

 

 

  
        FAIR
VALUE		  

TOTAL INVESTMENTS
(Cost $135,503,761) - 100.8%

     $ 135,754,351   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.8)%		       (1,103,355)  
   

 

 

  
TOTAL NET ASSETS - 100.0%       $134,650,996  
   

 

 

  

Percentages are stated as a percent of net assets.

(a) All or portion of this security is pledged as collateral for written call options.
(b) Non-income producing security.
(c) Foreign issued security. Total foreign securities are $215,402 which represents 0.2% of net assets.
(d) Security is restricted to resale. The aggregate value of these securities at April 30, 2016 was $6,804, which represents 0.0% of net assets.
(e) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $6,804, which represents 0.0% of net assets.
(f) Rate shown is the 7-day effective yield.
(g) All or a portion of this security is held as collateral for written put options.
(h) Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.
 

 

Written Options

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

CALL OPTIONS

      

CBOE Russell 2000 Index, Expires 05/06/2016, Strike Price $1145.00

      30       $ 13,920   
     

 

 

  

TOTAL CALL OPTIONS
(Premiums Received $9,899)

         13,920   
     

 

 

  
     

PUT OPTIONS

      

CBOE Russell 2000 Index, Expires 05/06/2016, Strike Price $1120.00

      499         317,863   

CBOE Russell 2000 Index, Expires 05/06/2016, Strike Price $1125.00

      350         259,000   

CBOE Russell 2000 Index, Expires 05/06/2016, Strike Price $1130.00

      224         207,200   

CBOE Russell 2000 Index, Expires 05/06/2016, Strike Price $1135.00

      50         57,750   
     

 

 

  

TOTAL PUT OPTIONS
(Premiums Received $1,023,012)

         841,813   
     

 

 

  

TOTAL WRITTEN OPTIONS
(Premiums Received $1,032,911)

       $ 855,733   
     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

23

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE U.S. VARIANCE RISK PREMIUM MASTER FUND   

 

    SHARES     FAIR
VALUE		  
INVESTMENT COMPANIES - 100.0%  
   
Open-End Mutual Funds - 100.0%  

Stone Ridge U.S. Large Cap Variance Risk Premium Fund - Class I (a)

     14,048,832      $ 143,860,038   

Stone Ridge U.S. Small Cap Variance Risk Premium Fund - Class I (a)

     7,325,121        71,786,186   
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $215,722,278)

       215,646,224   
   

 

 

  
SHORT-TERM INVESTMENTS - 0.1%        
   
Money Market Funds - 0.1%  

Fidelity Institutional Money Market Funds -Government Portfolio - Institutional Class - 0.23% (b)

     43,321        43,321   

First American Government Obligations Fund - Class Z - 0.21% (b)

     43,322        43,322   

First American Treasury Obligations Fund - Class Z - 0.18% (b)

     43,322        43,322   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (b)

     43,322        43,322   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $173,287)

       173,287   
   

 

 

  

TOTAL INVESTMENTS
(Cost $215,895,565) - 100.1%

       215,819,511   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.1)%		         (128,981)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $215,690,530  
   

 

 

  

Percentages are stated as a percent of net assets.

(a) Affiliated company. See Footnote 10.
(b) Rate shown is the 7-day effective yield.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

24

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
COMMON STOCKS - 0.9%            
   
Automobiles & Components - 0.1%  

Delphi Automotive PLC (a)(b)

     500      $ 36,815   

Toyota Motor Corp. - ADR (b)

     300        30,510   
   

 

 

  
      67,325   
   

 

 

  
Banks - 0.1%  

Banco Bilbao Vizcaya Argentaria SA - ADR

     403        2,777   

Banco Santander SA - ADR

     2,407        12,107   

Barclays PLC - ADR

     2,500        25,125   

HSBC Holdings PLC - ADR (b)

     1,200        39,996   
   

 

 

  
      80,005   
   

 

 

  
Capital Goods - 0.0%  

voxeljet AG - ADR (b)(c)

     5,200        31,408   
   

 

 

  
   
Consumer Durables & Apparel - 0.1%  

Sony Corp. - ADR (b)

     1,800        43,380   
   

 

 

  
   
Consumer Services - 0.0%  

Melco Crown Entertainment Ltd. - ADR (b)

     2,500        37,000   
   

 

 

  
   
Diversified Financials - 0.0%  

Credit Suisse Group AG - ADR

     1,400        21,294   
   

 

 

  
   
Energy - 0.1%  

BP PLC - ADR

     100        3,358   

Total SA - ADR (b)

     900        45,675   
   

 

 

  
      49,033   
   

 

 

  
Food, Beverage & Tobacco - 0.0%  

Diageo PLC - ADR (b)

     300        32,499   
   

 

 

  
   
Materials - 0.1%  

ArcelorMittal - ADR

     300        1,689   

BHP Billiton Ltd. - ADR (b)

     1,400        43,876   

Rio Tinto PLC - ADR (b)

     1,400        47,124   

South32 Ltd. - ADR (c)

     40        248   
   

 

 

  
      92,937   
   

 

 

  
Pharmaceuticals, Biotechnology & Life Sciences - 0.2%  

AstraZeneca PLC - ADR

     1,200        34,752   

GlaxoSmithKline PLC - ADR (b)

     200        8,582   

GW Pharmaceuticals PLC - ADR (b)(c)

     800        64,816   

Novartis AG - ADR (b)

     500        37,985   

Novo Nordisk A/S - ADR (b)

     700        39,053   
   

 

 

  
      185,188   
   

 

 

  
Semiconductors & Semiconductor Equipment - 0.0%  

ASML Holding NV - ADR (b)

     400        38,640   
   

 

 

  
   
Software & Services - 0.1%  

SAP SE - ADR (b)

     500        39,310   
   

 

 

  
   
Technology Hardware & Equipment - 0.0%  

Nokia OYJ - ADR

     5,400        31,698   

Telefonaktiebolaget LM Ericsson - ADR

     900        7,281   
   

 

 

  
      38,979   
   

 

 

  
    SHARES     FAIR
VALUE		  
Telecommunication Services - 0.1%  

China Mobile Ltd. - ADR (b)

     700      $ 40,264   

Orange SA - ADR

     2,300        38,157   

Vodafone Group PLC - ADR

     1,300        42,562   
   

 

 

  
      120,983   
   

 

 

  
Utilities - 0.0%  

National Grid PLC - ADR (b)

     500        36,005   
   

 

 

  

TOTAL COMMON STOCKS
(Cost $1,001,803)

       913,986   
   

 

 

  
SHORT-TERM INVESTMENTS - 102.2%  
   
Money Market Funds - 64.8%  

Fidelity Institutional Money Market
Funds - Government Portfolio - Institutional Class - 0.23% (d)

     16,863,926        16,863,926   

First American Government Obligations Fund - Class Z - 0.21% (d)

     16,925,071        16,925,071   

First American Treasury Obligations
Fund - Class Z - 0.18% (d)

     16,925,071        16,925,071   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (d)

     16,863,926        16,863,926   
   

 

 

  
          67,577,994  
   

 

 

  
    PRINCIPAL
AMOUNT		     FAIR
VALUE		  
U.S. Treasury Bills - 37.4%  

0.301%, 05/12/2016 (e)(f)

   $ 4,200,000        4,199,615   

0.296%, 06/02/2016 (e)(f)

     4,100,000        4,098,925   

0.302%, 06/23/2016 (e)(f)

     13,100,000        13,094,214   

0.261%, 06/30/2016 (e)(f)

     6,250,000        6,248,475   

0.282%, 07/28/2016 (e)(f)

     2,100,000        2,098,984   

0.252%, 08/04/2016 (e)(f)

     7,250,000        7,245,664   

0.257%, 09/01/2016 (e)(f)

     2,000,000        1,998,340   
   

 

 

  
          38,984,217  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $106,560,076)

       106,562,211   
   

 

 

  

TOTAL INVESTMENTS
(Cost $107,561,879) - 103.1%

       107,476,197   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (3.1)%		         (3,187,587)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $104,288,610  
   

 

 

  

Percentages are stated as a percent of net assets.

ADR - American Depository Receipt

(a) Foreign issued security. Total foreign securities are $36,815, which represents 0.0% of net assets.
(b) All or a portion of this security may be subject to written call options.
(c) Non-income producing security.
(d) Rate shown is the 7-day effective yield.
(e) All or a portion of this security is held as collateral for written put options.
(f) Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

25

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND   

 

Written Options

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

CALL OPTIONS

      

ASML Holding NV, Expires 05/20/2016, Strike Price $105.00

      4       $ 40   

BHP Billiton Ltd., Expires 05/20/2016, Strike Price $34.00

      1         44   

BHP Billiton Ltd., Expires 05/20/2016, Strike Price $36.00

      6         99   

BHP Billiton Ltd., Expires 05/20/2016, Strike Price $37.50

      5         35   

China Mobile Ltd., Expires 05/20/2016, Strike Price $62.50

      6         105   

Delphi Automotive PLC, Expires 05/20/2016, Strike Price $82.50

      3         97   

Delphi Automotive PLC, Expires 05/20/2016, Strike Price $85.00

      2         25   

Diageo PLC, Expires 05/20/2016, Strike Price $115.00

      1         10   

Diageo PLC, Expires 05/20/2016, Strike Price $120.00

      2         5   

GlaxoSmithKline PLC, Expires 05/20/2016, Strike Price $45.00

      2         20   

GW Pharmaceuticals PLC, Expires 05/20/2016, Strike Price $95.00

      4         390   

HSBC Holdings PLC, Expires 05/20/2016, Strike Price $38.00

      2         9   

Melco Crown Entertainment Ltd., Expires 05/06/2016, Strike Price $16.00

      5         25   

National Grid PLC, Expires 05/20/2016, Strike Price $75.00

      5         88   

Novartis AG, Expires 05/20/2016, Strike Price $80.00

      4         50   

Novartis AG, Expires 05/20/2016, Strike Price $82.50

      1         5   

Novo Nordisk A/S, Expires 05/20/2016, Strike Price $60.00

      7         105   

Rio Tinto PLC, Expires 05/20/2016, Strike Price $40.00

      11         165   

SAP SE, Expires 05/20/2016, Strike Price $82.50

      1         15   

SAP SE, Expires 05/20/2016, Strike Price $85.00

      4         50   

Sony Corp., Expires 05/06/2016, Strike Price $28.00

      2         5   

Sony Corp., Expires 05/06/2016, Strike Price $28.50

      4         10   

Sony Corp., Expires 05/06/2016, Strike Price $29.00

      2         5   

Sony Corp., Expires 05/06/2016, Strike Price $29.50

      2         5   

Total SA, Expires 05/20/2016, Strike Price $52.50

      6         240   

Total SA, Expires 05/20/2016, Strike Price $55.00

      2         15   

Toyota Motor Corp., Expires 05/20/2016, Strike Price $115.00

      3         29   

voxeljet AG, Expires 05/20/2016, Strike Price $7.00

      26         325   
     

 

 

  

TOTAL CALL OPTIONS
(Premiums Received $2,305)

         2,016   
     

 

 

  
     
PUT OPTIONS              

CAC 40 Index, Expires 05/20/2016, Strike Price EUR 4425.00

      61         79,320   

CAC 40 Index, Expires 05/20/2016, Strike Price EUR 4500.00

      42         76,515   

Eurex DAX, Expires 05/06/2016, Strike Price EUR 10200.00

      180         185,602   

Eurex Euro STOXX 50 Index, Expires 05/06/2016, Strike Price EUR 3075.00

      599         502,756   

FTSE 100 Index, Expires 05/20/2016, Strike Price GBP 6225.00

      100         126,390   

FTSE 100 Index, Expires 05/20/2016, Strike Price GBP 6260.00

      100         149,038   

FTSE 100 Index, Expires 05/20/2016, Strike Price GBP 6350.00

      27         61,150   

Hang Seng Index, Expires 05/30/2016, Strike Price HKD 21000.00

      10         33,970   

Hang Seng Index, Expires 05/30/2016, Strike Price HKD 21200.00

      9         37,476   

Nikkei-225 Stock Index, Expires 05/13/2016, Strike Price JPY 16875.00

      118         657,401   

Nikkei-225 Stock Index, Expires 05/13/2016, Strike Price JPY 17500.00

      50         606,184   

S&P/ASX 200 Index, Expires 05/19/2016, Strike Price AUD 5225.00

      157         93,232   

S&P/ASX 200 Index, Expires 05/19/2016, Strike Price AUD 5250.00

      41         28,057   

Swiss Market Index, Expires 05/20/2016, Strike Price CHF 7950.00

      60         86,688   

Swiss Market Index, Expires 05/20/2016, Strike Price CHF 8000.00

      35         60,200   

Swiss Market Index, Expires 05/20/2016, Strike Price CHF 8150.00

      32         89,165   
     

 

 

  

TOTAL PUT OPTIONS
(Premiums Received $1,903,903)

         2,873,144   
     

 

 

  

TOTAL WRITTEN OPTIONS
(Premiums Received $1,906,208)

       $ 2,875,160   
     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

26

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND   

 

Open Futures Contracts

 

DESCRIPTION    NUMBER OF
CONTRACTS
SOLD		      NOTIONAL
VALUE		      UNREALIZED
APPRECIATION		  
FUTURES CONTRACTS SOLD                     

Eurex DAX, June 2016 Settlement

      7       $ 2,021,499       $ 2,450   

Eurex Euro STOXX 50 Index, June 2016 Settlement

      65         2,216,309         590   
     

 

 

     

 

 

  

TOTAL FUTURES CONTRACTS SOLD

       $ 4,237,808       $ 3,040   
     

 

 

     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

27

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE EMERGING MARKETS VARIANCE RISK PREMIUM FUND   

 

    SHARES     FAIR
VALUE		  
COMMON STOCKS - 1.6%  
   
Banks - 0.1%  

HDFC Bank Ltd. - ADR (a)

     300      $ 18,861   

ICICI Bank Ltd. - ADR

     1,800        12,690   
   

 

 

  
      31,551   
   

 

 

  
Consumer Services - 0.0%  

New Oriental Education & Technology Group, Inc. - ADR (a)

     500        19,580   
   

 

 

  
   
Energy - 0.0%  

Petroleo Brasileiro SA - ADR (b)

     1,100        8,481   
   

 

 

  
   
Insurance - 0.0%  

China Life Insurance Co. Ltd. - ADR

     1,500        17,265   
   

 

 

  
   
Materials - 0.2%  

AngloGold Ashanti Ltd. - ADR (a)(b)

     1,700        27,965   

CEMEX SAB de CV - ADR (b)

     2,883        21,478   

Sibanye Gold Ltd. - ADR (a)

     2,000        30,800   

Vale SA - ADR (a)

     4,600        26,082   
   

 

 

  
      106,325   
   

 

 

  
Media - 0.1%  

Grupo Televisa SAB - ADR (a)

     800        23,384   
   

 

 

  
   
Real Estate - 0.0%  

E-House China Holdings Ltd. - ADR (b)

     2,500        16,525   
   

 

 

  
   
Retailing - 0.2%  

Ctrip.com International Ltd. - ADR (a)(b)

     1,000        43,610   

E-commerce China Dangdang Inc. - ADR (b)

     2,103        15,015   

Qunar Cayman Islands Ltd. - ADR (a)(b)

     400        16,324   

Vipshop Holdings Ltd. - ADR (a)(b)

     1,500        20,460   
   

 

 

  
      95,409   
   

 

 

  
Semiconductors & Semiconductor Equipment - 0.2%  

Himax Technologies, Inc. - ADR (a)

     2,000        20,780   

JA Solar Holdings Co. Ltd. - ADR (b)

     2,200        19,074   

JinkoSolar Holding Co. Ltd. - ADR (a)(b)

     1,100        24,497   

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

     100        2,359   

Trina Solar Ltd. - ADR (a)(b)

     2,100        20,475   
   

 

 

  
      87,185   
   

 

 

  
Software & Services - 0.8%  

21Vianet Group, Inc. - ADR (a)(b)

     1,100        22,193   

58.com, Inc. - ADR (a)(b)

     300        16,395   

Baidu, Inc. - ADR (a)(b)

     600        116,580   

Changyou.com Ltd. - ADR (b)

     1,100        22,143   

ChinaCache International Holdings Ltd. - ADR (b)

     1,961        16,217   

Infosys Ltd. - ADR

     1,200        22,560   

KongZhong Corp. - ADR (b)

     2,100        15,246   

Leju Holdings Ltd. - ADR (b)

     105        490   

NetEase, Inc. - ADR

     400        56,280   

NQ Mobile, Inc. - ADR (a)(b)

     3,800        19,380   

Qihoo 360 Technology Co. Ltd. - ADR (b)

     400        30,376   

Sky-mobi Ltd. - ADR (a)(b)

     4,200        8,484   

SouFun Holdings Ltd. - ADR (a)(b)

     3,500        19,915   
    SHARES     FAIR
VALUE		  
Software & Services - 0.8% (continued)  

YY, Inc. - ADR (b)

     400      $ 25,128   
   

 

 

  
      391,387   
   

 

 

  
Telecommunication Services - 0.0%  

America Movil SAB de CV - ADR

     900        12,744   
   

 

 

  

TOTAL COMMON STOCKS
(Cost $785,784)

       809,836   
   

 

 

  
   
PREFERRED STOCKS - 0.0%            
   
Banks - 0.0%            

Banco Bradesco SA

     2,794        20,871   

Itau Unibanco Holding SA

     611        5,823   
   

 

 

  

TOTAL PREFERRED STOCKS
(Cost $32,255)

       26,694   
   

 

 

  
   
SHORT-TERM INVESTMENTS - 100.9%  
   
Money Market Funds - 0.4%  

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (c)

     54,740        54,740   

First American Government Obligations Fund - Class Z - 0.21% (c)

     54,741        54,741   

First American Treasury Obligations Fund - Class Z - 0.18% (c)

     54,741        54,741   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (c)

     54,741        54,741   
   

 

 

  
      218,963   
   

 

 

  
    PRINCIPAL
AMOUNT		     FAIR
VALUE		  
U.S. Treasury Bills - 100.5%  

0.254%, 05/05/2016 (d)(e)

   $ 7,450,000        7,449,791   

0.308%, 05/12/2016 (d)(e)

     5,400,000        5,399,495   

0.295%, 05/19/2016 (d)(e)

     5,300,000        5,299,220   

0.296%, 06/02/2016 (d)(e)

     7,200,000        7,198,112   

0.302%, 06/23/2016 (d)(e)

     2,000,000        1,999,117   

0.263%, 06/30/2016 (d)(e)

     6,455,000        6,453,425   

0.280%, 07/28/2016 (d)(e)

     10,050,000        10,045,136   

0.237%, 08/04/2016 (d)(e)

     2,500,000        2,498,505   

0.257%, 09/01/2016 (d)(e)

     5,350,000        5,345,560   
   

 

 

  
          51,688,361  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $51,903,855)

       51,907,324   
   

 

 

  

TOTAL INVESTMENTS
(Cost $52,721,894) - 102.5%

       52,743,854   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (2.5)%		         (1,294,001)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $51,449,853  
   

 

 

  

Percentages are stated as a percent of net assets.

ADR - American Depository Receipt

(a) All or portion of this security may be subject to written call options.
(b) Non-income producing security.
(c) Rate shown is the 7-day effective yield.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

28

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE EMERGING MARKETS VARIANCE RISK PREMIUM FUND   

 

(d) All or portion of this security is held as collateral for written put options.
(e) Rate shown is effective yield based on purchase price. The calculation assumes the security is held to maturity.
 

Written Options

 

DESCRIPTION    NUMBER OF
CONTRACTS		      FAIR
VALUE		  

CALL OPTIONS

      

21Vianet Group, Inc., Expires 05/20/2016, Strike Price $21.00

      9       $ 113   

58.Com, Inc., Expires 05/20/2016, Strike Price $65.00

      3         23   

AngloGold Ashanti Ltd., Expires 05/20/2016, Strike Price $16.00

      8         880   

Baidu, Inc., Expires 05/06/2016, Strike Price $200.00

      1         105   

Ctrip.com International Ltd., Expires 05/06/2016, Strike Price $49.00

      1         5   

Ctrip.com International Ltd., Expires 05/06/2016, Strike Price $49.50

      1         5   

Grupo Televisa SAB, Expires 05/20/2016, Strike Price $28.00

      6         945   

Grupo Televisa SAB, Expires 05/20/2016, Strike Price $29.00

      2         180   

HDFC Bank Ltd., Expires 05/20/2016, Strike Price $65.00

      2         110   

HDFC Bank Ltd., Expires 05/20/2016, Strike Price $70.00

      1         5   

Himax Technologies, Inc., Expires 05/06/2016, Strike Price $12.00

      8         60   

JinkoSolar Holding Co. Ltd., Expires 05/20/2016, Strike Price $24.00

      3         120   

JinkoSolar Holding Co. Ltd., Expires 05/20/2016, Strike Price $25.00

      3         75   

JinkoSolar Holding Co. Ltd., Expires 05/20/2016, Strike Price $26.00

      3         52   

New Oriental Education & Technology Group, Inc., Expires 05/20/2016, Strike Price $44.00

      2         25   

New Oriental Education & Technology Group, Inc., Expires 05/20/2016, Strike Price $45.00

      3         22   

NQ Mobile, Inc., Expires 05/06/2016, Strike Price $5.50

      38         266   

Qunar Cayman Islands Ltd., Expires 05/20/2016, Strike Price $50.00

      4         30   

Sibanye Gold Ltd., Expires 05/20/2016, Strike Price $17.50

      12         300   

Sky-mobi Ltd., Expires 05/20/2016, Strike Price $2.50

      42         315   

SouFun Holdings Ltd., Expires 05/06/2016, Strike Price $6.00

      22         110   

Trina Solar Ltd., Expires 05/20/2016, Strike Price $11.00

      10         25   

Vale SA, Expires 05/06/2016, Strike Price $6.00

      8         88   

Vipshop Holdings Ltd., Expires 05/06/2016, Strike Price $14.00

      6         165   

Vipshop Holdings Ltd., Expires 05/06/2016, Strike Price $14.50

      3         37   
     

 

 

  

TOTAL CALL OPTIONS
(Premiums Received $3,074)

         4,061   
     

 

 

  
     

PUT OPTIONS

      

iShares China Large-Cap ETF, Expires 05/20/2016, Strike Price $34.00

      500         54,500   

iShares MSCI Brazil Capped ETF, Expires 05/20/2016, Strike Price $28.00

      500         26,250   

iShares MSCI Emerging Markets ETF, Expires 05/06/2016, Strike Price $35.00

      2,790         220,410   

iShares MSCI Emerging Markets ETF, Expires 05/13/2016, Strike Price $34.00

      520         21,060   

iShares MSCI Emerging Markets ETF, Expires 05/13/2016, Strike Price $34.50

      20         1,250   

iShares MSCI Emerging Markets ETF, Expires 05/13/2016, Strike Price $35.00

      2,281         209,852   

iShares MSCI Emerging Markets ETF, Expires 05/20/2016, Strike Price $34.00

      1,000         54,000   

iShares MSCI Emerging Markets ETF, Expires 05/20/2016, Strike Price $34.50

      845         63,375   

iShares MSCI Emerging Markets ETF, Expires 05/20/2016, Strike Price $35.00

      3,481         363,765   

iShares MSCI Emerging Markets ETF, Expires 05/20/2016, Strike Price $35.50

      780         106,860   

iShares MSCI Emerging Markets ETF, Expires 05/27/2016, Strike Price $34.00

      822         53,430   

iShares MSCI Mexico Capped ETF, Expires 05/20/2016, Strike Price $53.00

      250         16,875   

iShares MSCI South Korea ETF, Expires 05/20/2016, Strike Price $53.00

      150         19,950   

Market Vectors Russia ETF, Expires 05/20/2016, Strike Price $17.00

      150         4,275   
     

 

 

  

TOTAL PUT OPTIONS
(Premiums Received $1,037,052)

         1,215,852   
     

 

 

  

TOTAL WRITTEN OPTIONS
(Premiums Received $1,040,126)

       $ 1,219,913   
     

 

 

  

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

29

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE INTERNATIONAL VARIANCE RISK PREMIUM MASTER FUND   

 

    SHARES     FAIR
VALUE		  
INVESTMENT COMPANIES - 99.2%  
   
Open-End Mutual Funds - 99.2%  

Stone Ridge Emerging Markets Variance Risk Premium Fund - Class I (a)

     1,058,205      $ 9,269,874   

Stone Ridge International Developed Markets Variance Risk Premium Fund - Class I (a)

     2,006,328        18,438,154   
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $30,034,256)

       27,708,028   
   

 

 

  
SHORT-TERM INVESTMENTS - 1.0%  
   
Money Market Funds - 1.0%  

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (b)

     68,787        68,787   

First American Government Obligations Fund - Class Z - 0.21% (b)

     68,786        68,786   

First American Treasury Obligations Fund - Class Z - 0.18% (b)

     68,786        68,786   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (b)

     68,786        68,786   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $275,145)

       275,145   
   

 

 

  

TOTAL INVESTMENTS
(Cost $30,309,401) - 100.2%

       27,983,173   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.2)%		         (63,724)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $27,919,449  
   

 

 

  

Percentages are stated as a percent of net assets.

(a) Affiliated Company. See Footnote 10.
(b) Rate shown is the 7-day effective yield.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

30

Table of Contents
Schedule of Investments   as of April 30, 2016 (Unaudited)

 

STONE RIDGE GLOBAL EQUITY VARIANCE RISK PREMIUM MASTER FUND   

 

    SHARES     FAIR
VALUE		  
INVESTMENT COMPANIES - 99.5%  
   
Open-End Mutual Funds - 99.5%  

Stone Ridge Emerging Markets Variance Risk Premium Fund - Class I (a)

     768,121      $ 6,728,736   

Stone Ridge International Developed Markets Variance Risk Premium Fund - Class I (a)

     1,453,986        13,362,131   

Stone Ridge U.S. Large Cap Variance Risk Premium Fund - Class I (a)

     1,314,031        13,455,680   

Stone Ridge U.S. Small Cap Variance Risk Premium Fund - Class I (a)

     682,359        6,687,118   
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $41,690,034)

       40,233,665   
   

 

 

  
SHORT-TERM INVESTMENTS - 0.8%  
   
Money Market Funds - 0.8%  

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.23% (b)

     76,252        76,252   

First American Government Obligations Fund - Class Z - 0.21% (b)

     76,253        76,253   

First American Treasury Obligations Fund - Class Z - 0.18% (b)

     76,252        76,252   

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.24% (b)

     76,253        76,253   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $305,010)

       305,010   
   

 

 

  

TOTAL INVESTMENTS
(Cost $41,995,044) - 100.3%

       40,538,675   
   

 

 

  
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.3)%		         (112,008)  
   

 

 

  
TOTAL NET ASSETS - 100.0%         $40,426,667  
   

 

 

  

Percentages are stated as a percent of net assets.

(a) Affiliated Company. See Footnote 10.
(b) Rate shown is the 7-day effective yield.
 

 

  The accompanying footnotes are an integral part of these Schedules of Investments.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

31

Table of Contents
Statement of Assets and Liabilities   April 30, 2016 (Unaudited)

 

     STONE RIDGE
REINSURANCE
RISK PREMIUM
FUND		      STONE RIDGE
HIGH YIELD
REINSURANCE
RISK PREMIUM
FUND		  
ASSETS:      

Investments, at fair value(1)

    $ 1,131,933,304       $ 493,065,218   

Interest receivable

      5,626,024         2,994,609   

Dividends receivable

      1,207,288         519,942   

Receivable for fund shares sold

      928,383         685,189   

Receivable for investments sold

      —         230,653   

Foreign currencies, at value(2)

      192,127         2   

Collateral held at broker

      334,012         43,081   

Other assets

      65,340         49,093   
Total assets      1,140,286,478         497,587,787   
LIABILITIES:      

Payable for fund shares redeemed

      765,206         509,289   

Payable for investment securities purchased

      10,527,271         1,981,176   

Payable to Adviser

      1,391,068         607,240   

Payable for Chief Compliance Officer compensation

      5,131         5,126   

Payable to Custodian

      274,130         9,403   

Payable to Trustees

      14,082         7,635   

Accrued distribution fees

      67,061         17,561   

Other accrued expenses

      300,041         175,495   
Total liabilities      13,343,990         3,312,925   
Total net assets    $ 1,126,942,488       $ 494,274,862   
                   
NET ASSETS CONSIST OF:      

Capital stock

    $ 1,126,773,409       $ 493,834,934   

Accumulated net investment loss

      (10,885,730 )       (7,663,947 ) 

Accumulated net realized loss

      (12,456,973 )       (5,309,031 ) 
Unrealized appreciation (depreciation) on:      

Investments

      24,438,736         13,404,936   

Foreign currency translation

      (123,722 )       —   

Futures contracts

      (803,232 )       7,970   
Total net assets    $ 1,126,942,488       $ 494,274,862   
                   
Class I      

Net assets

    $ 921,696,289       $ 428,835,918   

Shares outstanding

      91,498,016         42,450,555   

Class I Net asset value, offering and redemption price per share

    $ 10.07       $ 10.10   
Class M      

Net assets

    $ 205,246,199       $ 65,438,944   

Shares outstanding

      20,377,637         6,478,231   

Class M Net asset value, offering and redemption price per share

    $ 10.07       $ 10.10   
                   

(1)  Cost of investments

    $ 1,107,620,964       $ 479,660,283   

(2)  Cost of foreign currencies

      189,962         2   

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

32

Table of Contents
Statement of Assets and Liabilities   April 30, 2016 (Unaudited)

 

    

STONE RIDGE
U.S. LARGE CAP
VARIANCE

RISK PREMIUM
FUND

     

STONE RIDGE
U.S. SMALL CAP
VARIANCE

RISK PREMIUM
FUND

     

STONE RIDGE
U.S. VARIANCE

RISK PREMIUM
MASTER

FUND

  
ASSETS:         
Investments, at fair value(1)         

Unaffiliated issuers

    $ 385,586,033       $ 135,754,351       $ 173,287   

Affiliated issuers

      —         —         215,646,224   

Interest receivable

      54         36         24   

Dividends receivable

      16,355         —         —   

Receivable for investments sold

      1,809,802         1,403,794         —   

Collateral held at broker

      1,531,166         528,935         —   

Other assets

      28,730         25,351         23,365   
Total assets      388,972,140         137,712,467         215,842,900   
LIABILITIES:         

Payable for fund shares redeemed

      818,697         135,000         66,155   

Written options, at fair value(2)

      2,700,933         855,733         —   

Payable for investment securities purchased

      1,761,668         1,838,614         —   

Payable to Adviser

      395,072         138,918         —   

Payable for Chief Compliance Officer compensation

      5,143         5,128         1,306   

Payable to Custodian

      210,021         806         1,084   

Payable to Trustees

      4,494         1,533         —   

Accrued distribution fees

      25,281         4,304         12,378   

Other accrued expenses

      154,335         81,435         71,447   
Total liabilities      6,075,644         3,061,471         152,370   
Total net assets    $ 382,896,496       $ 134,650,996       $ 215,690,530   
                            
NET ASSETS CONSIST OF:         

Capital stock

    $ 379,376,451       $ 138,917,442       $ 206,546,406   

Accumulated net investment income (loss)

      (4,589,166 )       (2,499,944 )       643,036   

Accumulated net realized gain (loss)

      4,163,204         (2,194,270 )       8,577,142   
Unrealized appreciation (depreciation) on:         

Investments

      4,348,828         250,590         (76,054 ) 

Written options

      (402,821 )       177,178         —   
Total net assets    $ 382,896,496       $ 134,650,996       $ 215,690,530   
                            
Class I         

Net assets

    $ 293,249,286       $ 118,859,818       $ 171,531,960   

Shares outstanding

      28,646,358         12,130,530         16,476,199   

Class I Net asset value, offering and redemption price per share

    $ 10.24       $ 9.80       $ 10.41   
Class M         

Net assets

    $ 89,647,210       $ 15,791,178       $ 44,158,570   

Shares outstanding

      8,802,583         1,619,653         4,251,276   

Class M Net asset value, offering and redemption price per share

    $ 10.18       $ 9.75       $ 10.39   
                            
(1)  Cost of investments         

Unaffiliated issuers

    $ 381,237,205       $ 135,503,761       $ 173,287   

Affiliated issuers (See Note 10)

      —         —         215,722,278   
(2)  Premiums received      2,298,112         1,032,911         —   

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

33

Table of Contents
Statement of Assets and Liabilities   April 30, 2016 (Unaudited)

 

    STONE RIDGE
INTERNATIONAL
DEVELOPED
MARKETS VARIANCE
RISK PREMIUM FUND		     STONE RIDGE
EMERGING MARKETS
VARIANCE RISK
PREMIUM FUND		     STONE RIDGE
INTERNATIONAL
VARIANCE RISK
PREMIUM MASTER
FUND		     STONE RIDGE
GLOBAL EQUITY
VARIANCE RISK
PREMIUM MASTER
FUND		  
ASSETS:        
Investments, at fair value(1)        

Unaffiliated issuers

   $ 107,476,197      $ 52,743,854      $ 275,145      $ 305,010   

Affiliated issuers

     —        —        27,708,028        40,233,665   

Interest receivable

     11,753        484        45        35   

Dividends receivable

     247        16        —        —   

Receivable from Advisor

     —        —        4,609        4,893   

Receivable for investments sold

     70,309        124,186        —        —   

Foreign currencies, at value(2)

     90,041        —        —        —   

Cash

     —        317        —        —   

Other assets

     31,978        29,241        26,268        25,871   
Total assets     107,680,525        52,898,098        28,014,095        40,569,474   
LIABILITIES:        

Payable for fund shares redeemed

     —        —        45,787        91,997   

Written options, at fair value(3)

     2,875,160        1,219,913        —        —   

Payable for investment securities purchased

     —        37,770        —        —   

Payable for investment interest

     12,508        —        —        —   

Payable to Adviser

     123,313        53,722        —        —   

Payable for Chief Compliance Officer compensation

     5,124        5,124        1,332        1,305   

Payable to Custodian

     272,692        61,391        28        199   

Payable to Trustees

     1,595        622        —        —   

Accrued distribution fees

     6,698        687        4,470        2,312   

Other accrued expenses

     94,825        69,016        43,029        46,994   
Total liabilities     3,391,915        1,448,245        94,646        142,807   
Total net assets   $ 104,288,610      $ 51,449,853      $ 27,919,449      $ 40,426,667   
                                 
NET ASSETS CONSIST OF:        

Capital stock

   $ 111,529,514      $ 57,053,378      $ 30,115,782      $ 41,452,411   

Accumulated net investment income (loss)

     (1,641,930 )      (976,698 )      243,231        (31,357 ) 

Accumulated net realized gain (loss)

     (4,550,972 )      (4,469,000 )      (113,336 )      461,982   
Unrealized appreciation (depreciation) on:        

Investments

     (85,682 )      21,960        (2,326,228 )      (1,456,369 ) 

Foreign currency translation

     (17,215 )      —        —        —   

Futures contracts

     3,040        —        —        —   

Written options

     (948,145 )      (179,787 )      —        —   
Total net assets   $ 104,288,610      $ 51,449,853      $ 27,919,449      $ 40,426,667   
                                 
Class I        

Net assets

   $ 82,668,326      $ 48,388,429      $ 14,086,258      $ 31,308,821   

Shares outstanding

     8,995,922        5,526,220        1,547,329        3,246,541   

Class I Net asset value, offering and redemption price per share

   $ 9.19      $ 8.76      $ 9.10      $ 9.64   
Class M        

Net assets

   $ 21,620,284      $ 3,061,424      $ 13,833,191      $ 9,117,846   

Shares outstanding

     2,359,702        350,732        1,522,839        947,097   

Class M Net asset value, offering and redemption price per share

   $ 9.16      $ 8.73      $ 9.08      $ 9.63   
                                 
(1)  Cost of investments        

Unaffiliated issuers

   $ 107,561,879      $ 52,721,894      $ 275,145      $ 305,010   

Affiliated issuers (See Note 10)

     —        —        30,034,256        41,690,034   

(2)  Cost of foreign currencies

     86,443        —        —        —   

(3)  Premiums received

     1,906,208        1,040,126        —        —   

 

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

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

34

Table of Contents
Statement of Operations   For the Period Ended April 30, 2016 (Unaudited)

 

     STONE RIDGE
REINSURANCE
RISK PREMIUM
FUND		      STONE RIDGE
HIGH YIELD
REINSURANCE
RISK PREMIUM
FUND		  
INVESTMENT INCOME:      

Dividend income

    $ 13,404,862       $ 6,402,912   

Interest income

      26,139,419         13,213,046   
Total investment income      39,544,281         19,615,958   
EXPENSES      

Advisory fees (See Note 4)

      8,189,964         3,764,185   

Fund accounting and administration fees

      287,478         144,221   

Distribution (12b-1) fees — Class M Only

      165,662         48,303   

Legal fees

      115,430         52,817   

Transfer agency fees and expenses

      88,735         67,728   

Custody fees

      44,789         24,090   

Federal and state registration fees

      41,223         31,075   

Audit and tax related fees

      41,144         41,051   

Chief Compliance Officer compensation

      30,127         30,127   

Trustees fees and expenses

      28,481         12,902   

Other expenses

      175,831         80,415   
Total net expenses      9,208,864         4,296,914   
Net investment income      30,335,417         15,319,044   
NET REALIZED AND UNREALIZED GAIN (LOSS):      
Net realized loss on:      

Investments

      (372,139 )       (294,268 ) 

Foreign currency translation

      (54,745 )       —   

Futures contracts

      (169,654 )       (142,772 ) 
Net change in unrealized appreciation (depreciation) on:      

Investments

      (4,518,543 )       (3,060,713 ) 

Foreign currency translation

      1,294,422         —   

Futures contracts

      (1,077,967 )       19,606   
Net realized and unrealized loss      (4,898,626 )       (3,478,147 ) 
Net increase in net assets resulting from operations    $ 25,436,791       $ 11,840,897   
                   

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

35

Table of Contents
Statement of Operations   For the Period Ended April 30, 2016 (Unaudited)

 

    

STONE RIDGE
U.S. LARGE CAP
VARIANCE

RISK PREMIUM
FUND

     

STONE RIDGE
U.S. SMALL CAP
VARIANCE

RISK PREMIUM
FUND

     

STONE RIDGE
U.S. VARIANCE
RISK PREMIUM
MASTER

FUND

  
INVESTMENT INCOME:         
Dividend income         

Unaffiliated issuers

    $ 304,224       $ 11,560       $ —   

Interest income

      304,300         115,202         149   
Total investment income      608,524         126,762         149   
EXPENSES         

Advisory fees (See Note 4)

      2,309,754         808,286         —   

Custody fees

      136,220         29,085         817   

Fund accounting and administration fees

      109,593         32,325         —   

Distribution (12b-1) fees — Class M Only

      66,248         12,020         32,632   

Legal fees

      62,407         20,716         35,159   

Audit and tax related fees

      35,037         35,037         21,767   

Chief Compliance Officer compensation

      30,127         30,127         7,555   

Transfer agency fees and expenses

      29,945         17,836         30,083   

Federal and state registration fees

      19,110         19,219         21,015   

Trustees fees and expenses

      9,917         3,458         —   

Other expenses

      40,408         11,528         7,179   
Total expenses before Adviser waiver      2,848,766         1,019,637         156,207   

Expenses recouped by Adviser (See Note 4)

      —         12,511         —   
Total net expenses      2,848,766         1,032,148         156,207   
Net investment loss      (2,240,242 )       (905,386 )       (156,058 ) 
NET REALIZED AND UNREALIZED GAIN (LOSS):         
Net realized gain (loss) on:         

Investments

         

Affiliated issuers (See Note 10)

      —         —         (794,991 ) 

Unaffiliated issuers

      1,874,025         (7,862 )       —   

Capital gain distributions from affiliated mutual funds

      —         —         9,729,771   

Futures contracts

      818,622         (137,503 )       —   

Written options

      1,809,872         (2,042,217 )       —   
Net change in unrealized appreciation (depreciation) on:         

Investments

      (4,118,410 )       (266,361 )       (10,741,978 ) 

Written options

      118,960         243,779         —   
Net realized and unrealized gain (loss)      503,069         (2,210,164 )       (1,807,198 ) 
Net decrease in net assets resulting from operations    $ (1,737,173 )     $ (3,115,550 )     $ (1,963,256 ) 
                            

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

36

Table of Contents
Statement of Operations   For the Period Ended April 30, 2016 (Unaudited)

 

    STONE RIDGE
INTERNATIONAL
DEVELOPED
MARKETS VARIANCE
RISK PREMIUM
FUND		     STONE RIDGE
EMERGING
MARKETS VARIANCE
RISK PREMIUM
FUND		    

STONE RIDGE
INTERNATIONAL
VARIANCE RISK

PREMIUM MASTER
FUND

     

STONE RIDGE
GLOBAL EQUITY
VARIANCE RISK
PREMIUM MASTER

FUND

  
INVESTMENT INCOME:         

Dividend income

        

Unaffiliated issuers

   $ 13,105      $ 1,471      $ —       $ —   

Interest income

     84,863        43,478        184         155   

Exchange rebates

     —        119,262        —         —   
Total investment income     97,968        164,211        184         155   
EXPENSES         

Advisory fees (See Note 4)

     659,747        305,968        —         —   

Broker and investment interest expense

     135,848        —        —         —   

Audit and tax related fees

     36,687        36,687        21,961         21,961   

Chief Compliance Officer compensation

     30,127        30,127        7,555         7,555   

Fund accounting and administration fees

     26,804        13,655        —         —   

Legal fees

     18,083        2,581        1,424         6,767   

Federal and state registration fees

     17,998        16,558        15,005         14,405   

Transfer agency fees and expenses

     15,737        14,920        16,469         22,390   

Distribution (12b-1) fees — Class M Only

     15,667        2,187        10,721         6,843   

Custody fees

     12,734        27,115        —         89   

Trustees fees and expenses

     2,819        1,274        —         —   

Offering costs

     —        —        —         3,668   

Other expenses

     16,618        5,039        1,533         3,446   
Total expenses before Adviser waiver     988,869        456,111        74,668         87,124   

Expenses recouped (waived) by Adviser (See Note 4)

     86,292        (13,319 )      (29,012 )       (28,233 ) 
Total net expenses     1,075,161        442,792        45,656         58,891   
Net investment loss     (977,193 )      (278,581 )      (45,472 )       (58,736 ) 
NET REALIZED AND UNREALIZED GAIN (LOSS):         
Net realized gain (loss) on:         

Investments

         

Affiliated issuers (See Note 10)

     —        —        (237,966 )       (877,891 ) 

Unaffiliated issuers

     (58,594 )      (14,388 )      —         —   

Capital gain distributions from affiliated mutual funds

     —        —        313,591         1,437,957   

Foreign currency translation

     (114,098 )      —        —         —   

Futures contracts

     1,310,227        219,569        —         —   

Written options

     (5,380,620 )      (218,822 )      —         —   
Net change in unrealized appreciation (depreciation) on:         

Investments

     7,254        60,201        (1,285,722 )       (1,792,467 ) 

Foreign currency translation

     (23,788 )      —        —         —   

Futures contracts

     3,040        —        —         —   

Written options

     (1,184,335 )      (94,023 )      —         —   
Net realized and unrealized loss     (5,440,914 )      (47,463 )      (1,210,097 )       (1,232,401 ) 
Net decrease in net assets resulting from operations   $ (6,418,107 )    $ (326,044 )    $ (1,255,569 )     $ (1,291,137 ) 
                                  

 

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

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

37

Table of Contents
Statement of Changes in Net Assets    

 

    

STONE RIDGE REINSURANCE

RISK PREMIUM FUND

      STONE RIDGE HIGH YIELD
REINSURANCE RISK PREMIUM FUND		  
     PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		      YEAR ENDED
OCTOBER 31, 2015		      PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		      YEAR ENDED
OCTOBER 31, 2015		  
OPERATIONS:            

Net investment income

    $ 30,335,417       $ 52,327,596       $ 15,319,044       $ 25,017,009   
Net realized gain (loss) on:            

Investments

      (372,139 )       272,487         (294,268 )       261,927   

Foreign currency translation

      (54,745 )       (1,430,984 )       —         (252,426 ) 

Futures contracts

      (169,654 )       (776,382 )       (142,772 )       (261,139 ) 
Net change in unrealized appreciation (depreciation) on:            

Investments

      (4,518,543 )       (9,414,399 )       (3,060,713 )       (1,707,711 ) 

Foreign currency translation

      1,294,422         (386,481 )       —         113,408   

Futures contracts

      (1,077,967 )       (23,596 )       19,606         (11,636 ) 

Net increase in net assets resulting from operations

      25,436,791         40,568,241         11,840,897         23,159,432   
DISTRIBUTIONS TO SHAREHOLDERS:            

From net investment income — Class I

      (39,791,368 )       (43,173,165 )       (21,956,180 )       (23,349,688 ) 

From net investment income — Class M

      (10,007,563 )       (16,543,977 )       (3,003,862 )       (5,697,882 ) 

Total distributions

      (49,798,931 )       (59,717,142 )       (24,960,042 )       (29,047,570 ) 
CAPITAL SHARE TRANSACTIONS:            

Proceeds from shares sold — Class I

      216,823,494         382,402,376         61,701,485         212,475,030   

Proceeds from shares sold — Class M

      45,840,470         109,107,258         14,617,224         19,658,217   

Proceeds from shares issued to holders in reinvestment of dividends — Class I

      32,218,165         35,667,351         19,933,995         21,095,584   

Proceeds from shares issued to holders in reinvestment of dividends — Class M

      8,508,121         14,810,720         2,555,060         5,129,879   

Cost of shares redeemed — Class I

      (122,017,807 )       (150,168,432 )       (77,727,676 )       (53,386,719 ) 

Cost of shares redeemed — Class M

      (54,610,229 )       (137,386,976 )       (9,347,799 )       (35,931,782 ) 

Net increase in net assets from capital share transactions

      126,762,214         254,432,297         11,732,289         169,040,209   
Total increase (decrease) in net assets      102,400,074         235,283,396         (1,386,856 )       163,152,071   
NET ASSETS:            

Beginning of period

      1,024,542,414         789,259,018         495,661,718         332,509,647   
End of period    $ 1,126,942,488       $ 1,024,542,414       $ 494,274,862       $ 495,661,718   
                                     

Accumulated net investment income (loss)

    $ (10,885,730 )     $ 8,577,784       $ (7,663,947 )     $ 1,977,051   

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

38

Table of Contents
Statement of Changes in Net Assets    

 

    STONE RIDGE U.S. LARGE CAP
VARIANCE RISK PREMIUM FUND		     STONE RIDGE U.S. SMALL CAP
VARIANCE RISK PREMIUM FUND		    

STONE RIDGE U.S. VARIANCE

RISK PREMIUM MASTER FUND

  
    PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		     PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		     PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		  
OPERATIONS:            

Net investment income (loss)

   $ (2,240,242 )    $ (4,943,773 )    $ (905,386 )    $ (1,931,723 )    $ (156,058 )    $ 1,976,839   
Net realized gain (loss) on:            

Investments

            

Affiliated issuers

     —        —        —        —        (794,991 )      508,702   

Unaffiliated issuers

     1,874,025        6,537,709        (7,862 )      139,673        —        —   

Capital gain distributions from affiliated mutual funds

     —        —        —        —        9,729,771        2,060,696   

Futures contracts

     818,622        (297,392 )      (137,503 )      823,500        —        —   

Written options

     1,809,872        26,051,616        (2,042,217 )      7,901,098        —        —   
Net change in unrealized appreciation (depreciation) on:            

Investments

     (4,118,410 )      (3,680,835 )      (266,361 )      (118,568 )      (10,741,978 )      6,994,086   

Written options

     118,960        (769,690 )      243,779        (346,721 )      —        —   

Net increase (decrease) in net assets resulting from operations

     (1,737,173 )      22,897,635        (3,115,550 )      6,467,259        (1,963,256 )      11,540,323   
DISTRIBUTIONS TO SHAREHOLDERS:            

From net investment income — Class I

     —        —        —        —        —        (1,377,018 ) 

From net investment income — Class M

     —        —        —        —        —        (885,252 ) 

From net realized gain — Class I

     (15,614,510 )      (7,144,616 )      (4,348,340 )      (1,157,147 )      (2,007,626 )      (2,887,634 ) 

From net realized gain — Class M

     (4,927,839 )      (2,794,610 )      (660,816 )      (137,010 )      (568,167 )      (2,667,930 ) 

Total distributions

     (20,542,349 )      (9,939,226 )      (5,009,156 )      (1,294,157 )      (2,575,793 )      (7,817,834 ) 
CAPITAL SHARE TRANSACTIONS:            

Proceeds from shares sold — Class I

     39,055,408        90,216,108        23,652,419        48,902,979        39,515,689        70,532,694   

Proceeds from shares sold — Class M

     7,746,569        12,151,747        1,187,339        5,829,236        4,605,926        12,643,865   

Proceeds from shares issued to holders in reinvestment of dividends — Class I

     6,026,413        2,374,142        1,486,034        323,769        929,028        2,008,274   

Proceeds from shares issued to holders in reinvestment of dividends — Class M

     4,579,684        2,668,919        590,198        128,099        535,172        2,421,687   

Cost of shares redeemed — Class I

     (20,346,044 )      (122,729,821 )      (12,573,813 )      (56,295,078 )      (11,060,081 )      (94,309,886 ) 

Cost of shares redeemed — Class M

     (10,636,081 )      (37,738,874 )      (1,859,562 )      (3,411,519 )      (12,889,740 )      (71,115,462 ) 

Net increase (decrease) in net assets from capital share transactions

     26,425,949        (53,057,779 )      12,482,615        (4,522,514 )      21,635,994        (77,818,828 ) 
Total increase (decrease) in net assets     4,146,427        (40,099,370 )      4,357,909        650,588        17,096,945        (74,096,339 ) 
NET ASSETS:            

Beginning of period

     378,750,069        418,849,439        130,293,087        129,642,499        198,593,585        272,689,924   
End of period   $ 382,896,496      $ 378,750,069      $ 134,650,996      $ 130,293,087      $ 215,690,530      $ 198,593,585   
                                                 

Accumulated net investment income (loss)

   $ (4,589,166 )    $ (2,348,924 )    $ (2,499,944 )    $ (1,594,558 )    $ 643,036      $ 799,094   

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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Table of Contents
Statement of Changes in Net Assets    

 

    STONE RIDGE INTERNATIONAL DEVELOPED MARKETS
VARIANCE RISK PREMIUM FUND		     STONE RIDGE EMERGING MARKETS
VARIANCE RISK PREMIUM FUND		  
    PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		     PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		  
OPERATIONS:        

Net investment loss

   $ (977,193 )    $ (2,004,434 )    $ (278,581 )    $ (835,563 ) 
Net realized gain (loss) on:        

Investments

        

Unaffiliated issuers

     (58,594 )      (5,692 )      (14,388 )      50,317   

Foreign currency translation

     (114,098 )      (116,275 )      —        —   

Futures contracts

     1,310,227        (1,112,291 )      219,569        (32,685 ) 

Written options

     (5,380,620 )      6,324,254        (218,822 )      (4,465,014 ) 
Net change in unrealized appreciation (depreciation) on:        

Investments

     7,254        (88,471 )      60,201        (69,592 ) 

Foreign currency translation

     (23,788 )      39,991        —        —   

Futures contracts

     3,040        —        —        —   

Written options

     (1,184,335 )      54,766        (94,023 )      (107,558 ) 

Net increase (decrease) in net assets resulting from operations

     (6,418,107 )      3,091,848        (326,044 )      (5,460,095 ) 
DISTRIBUTIONS TO SHAREHOLDERS:        

From net realized gain — Class I

     (1,462,737 )      (673,304 )      —        —   

From net realized gain — Class M

     (340,903 )      (185,511 )      —        —   

Return of capital — Class I

     —        —        —        (414,733 ) 

Return of capital — Class M

     —        —        —        (39,436 ) 

Total distributions

     (1,803,640 )      (858,815 )      —        (454,169 ) 
CAPITAL SHARE TRANSACTIONS:        

Proceeds from shares sold — Class I

     9,851,692        52,895,209        6,023,336        27,262,668   

Proceeds from shares sold — Class M

     3,086,020        3,258,887        99,976        1,860,730   

Proceeds from shares issued to holders in reinvestment of dividends — Class I

     1,200,937        558,904        —        355,515   

Proceeds from shares issued to holders in reinvestment of dividends — Class M

     330,808        179,324        —        31,514   

Cost of shares redeemed — Class I

     (12,239,158 )      (24,360,434 )      (4,674,618 )      (10,942,375 ) 

Cost of shares redeemed — Class M

     (1,250,960 )      (1,579,652 )      (89,308 )      (2,081,457 ) 

Net increase in net assets from capital share transactions

     979,339        30,952,238        1,359,386        16,486,595   
Total increase (decrease) in net assets     (7,242,408 )      33,185,271        1,033,342        10,572,331   
NET ASSETS:        

Beginning of period

     111,531,018        78,345,747        50,416,511        39,844,180   
End of period   $ 104,288,610      $ 111,531,018      $ 51,449,853      $ 50,416,511   
                                 

Accumulated net investment loss

   $ (1,641,930 )    $ (664,737 )    $ (976,698 )    $ (698,117 ) 

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

40

Table of Contents
Statement of Changes in Net Assets    

 

    STONE RIDGE INTERNATIONAL VARIANCE
RISK PREMIUM MASTER FUND		     STONE RIDGE GLOBAL EQUITY VARIANCE
RISK PREMIUM MASTER FUND		  
    PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     YEAR ENDED
OCTOBER 31, 2015		     PERIOD ENDED
APRIL 30, 2016
(UNAUDITED)		     PERIOD ENDED
OCTOBER 31, 2015(1)		  
OPERATIONS:        

Net investment income (loss)

   $ (45,472 )    $ 157,309      $ (58,736 )    $ 193,720   
Net realized gain (loss) on:        

Investments

        

Affiliated issuers

     (237,966 )      (170,292 )      (877,891 )      367,925   

Capital gain distributions from affiliated mutual funds

     313,591        —        1,437,957        331,313   
Net change in unrealized appreciation (depreciation) on:        

Investments

     (1,285,722 )      (422,795 )      (1,792,467 )      336,098   

Net increase (decrease) in net assets resulting from operations

     (1,255,569 )      (435,778 )      (1,291,137 )      1,229,056   
DISTRIBUTIONS TO SHAREHOLDERS:        

From net investment income — Class I

     —        (33,564 )      —        (296,465 ) 

From net investment income — Class M

     —        (99,039 )      —        (19,134 ) 

From net realized gain — Class I

     —        —        (540,831 )      —   

From net realized gain — Class M

     —        —        (132,904 )      —   

Return of capital — Class I

     —        (26,597 )      —        —   

Return of capital — Class M

     —        (78,378 )      —        —   

Total distributions

     —        (237,578 )      (673,735 )      (315,599 ) 
CAPITAL SHARE TRANSACTIONS:        

Proceeds from shares sold — Class I

     6,376,176        6,065,395        2,889,104        72,770,132   

Proceeds from shares sold — Class M

     318,715        3,143,158        1,049,500        10,750,950   

Proceeds from shares issued to holders in reinvestment of dividends — Class I

     —        55,948        522,423        290,653   

Proceeds from shares issued to holders in reinvestment of dividends — Class M

     —        141,815        124,072        15,370   

Cost of shares redeemed — Class I(2)

     (1,224,667 )      (2,407,219 )      (9,436,655 )      (35,019,649 ) 

Cost of shares redeemed — Class M

     (5,725,340 )      (2,400,366 )      (1,119,869 )      (1,357,949 ) 

Net increase (decrease) in net assets from capital share transactions

     (255,116 )      4,598,731        (5,971,425 )      47,449,507   
Total increase (decrease) in net assets     (1,510,685 )      3,925,375        (7,936,297 )      48,362,964   
NET ASSETS:        

Beginning of period

     29,430,134        25,504,759        48,362,964        —   
End of period   $ 27,919,449      $ 29,430,134      $ 40,426,667      $ 48,362,964   
                                 

Accumulated net investment income (loss)

   $ 243,231      $ 288,703      $ (31,357 )    $ 27,379   

 

  (1)   Commenced operations on November 14, 2014.
  (2)   Net of redemption fees of $-, $-, $- and $11,206, respectively.

 

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

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

41

Table of Contents
Statement of Cash Flows   For the Period Ended April 30, 2016 (Unaudited)

 

    STONE RIDGE REINSURANCE
RISK PREMIUM FUND		     STONE RIDGE HIGH YIELD
REINSURANCE RISK
PREMIUM FUND		      
CASH FLOWS FROM OPERATING ACTIVITIES      

Net increase in net assets resulting from operations

   $ 25,436,791      $ 11,840,897     
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:      

Net realized and unrealized loss:

     3,831,586        3,354,988     

Amortization and accretion of premium and discount

     (36,113 )      20,725     

Changes in assets and liabilities:

      

Foreign currency

     (170,499 )      —     

Variation margin on futures contracts

     —        (18,594 )   

Receivable for investments sold

     2,007,733        (230,653 )   

Collateral held at broker

     1,793,714        155,610     

Dividends receivable

     (870,933 )      (308,036 )   

Interest receivable

     (234,983 )      59,728     

Other assets

     (30,924 )      (16,528 )   

Payable to Adviser

     83,208        (24,590 )   

Payable for investments purchased

     10,527,271        1,981,176     

Payable to Trustees

     1,107        (105 )   

Payable to Custodian

     (1,062,241 )      (1,130 )   

Accrued distribution fees

     11,264        1,870     

Payable for Chief Compliance Officer compensation

     127        127     

Other accrued expenses

     58,379        23,109     

Purchases of investments

     (205,834,688 )      (66,556,649 )   

Proceeds from sale of investments

     141,462,984        67,262,112     

Net purchases and sales of short-term investments

     (53,647,396 )      (4,387,664 )     

Net cash used in operating activities

     (76,673,613 )      13,156,393       
CASH FLOWS FROM FINANCING ACTIVITIES:      

Proceeds from shares issued

     261,822,230        76,127,336     

Payment on shares redeemed

     (176,075,972 )      (86,812,742 )   

Cash distributions to shareholders

     (9,072,645 )      (2,470,987 )     

Net cash provided by financing activities

     76,673,613        (13,156,393 )     

Net increase in cash

     —        —       

Cash, beginning of period

     —        —       

Cash, end of period

   $ —      $ —       
                     
NON-CASH FINANCING ACTIVITIES:      

Reinvested distributions

   $ 40,726,286      $ 22,489,055     

 

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

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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[Intentionally Left Blank]

Table of Contents
Financial Highlights    

 

     PER SHARE DATA:  
     Income (loss) from Investment Operations  
     

Net Asset
Value,
Beginning
of Period

      Net
Investment
Income(2)		     

Net Realized

and
Unrealized Gains
(Losses)

      Total from
Investment
Operations		  
STONE RIDGE REINSURANCE RISK PREMIUM FUND—CLASS I            
Period Ended April 30, 2016 (Unaudited)    $ 10.33         0.28         (0.05 )       0.23   
Year Ended October 31, 2015    $ 10.69         0.55         (0.13 )       0.42   
Year Ended October 31, 2014    $ 10.36         0.53         0.31         0.84   
Period Ended October 31, 2013(1)    $ 10.00         0.13         0.32         0.45   
STONE RIDGE REINSURANCE RISK PREMIUM FUND—CLASS M            
Period Ended April 30, 2016 (Unaudited)    $ 10.33         0.27         (0.05 )       0.22   
Year Ended October 31, 2015    $ 10.69         0.52         (0.11 )       0.41   
Year Ended October 31, 2014    $ 10.37         0.51         0.31         0.82   
Period Ended October 31, 2013(1)    $ 10.00         0.12         0.33         0.45   
STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND—CLASS I            
Period Ended April 30, 2016 (Unaudited)    $ 10.38         0.31         (0.07 )       0.24   
Year Ended October 31, 2015    $ 10.75         0.59         (0.08 )       0.51   
Year Ended October 31, 2014    $ 10.41         0.58         0.37         0.95   
Period Ended October 31, 2013(1)    $ 10.00         0.20         0.35         0.55   
STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND—CLASS M            
Period Ended April 30, 2016 (Unaudited)    $ 10.38         0.30         (0.07 )       0.23   
Year Ended October 31, 2015    $ 10.75         0.55         (0.06 )       0.49   
Year Ended October 31, 2014    $ 10.41         0.56         0.37         0.93   

Period Ended October 31, 2013(1)

    $ 10.00         0.18         0.36         0.54   
  (1)   The Fund commenced operations on February 1, 2013.
  (2)   Net investment income per share has been calculated based on average shares outstanding during the period.
  (3)   Not annualized.
  (4)   Annualized.
  (5)   Total return represents the rate that an investor would have earned (or lost) on an investment in the Fund (assuming the reinvestment of all dividends and distributions).
  (6)   Includes borrowing and investment-related expenses not covered by the Funds’ expense limitation agreement. See Note 4.

 

  The accompanying footnotes are an integral part of these financial statements.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

44

Table of Contents
Financial Highlights    

 

 

     SUPPLEMENT DATA AND RATIOS:
Distributions to Shareholders                                                
Net
Investment
Income		     Net
Realized
Gains		     Total
Distributions		     Net
Asset
Value,
End of
Period		     Total
Return(5)		    

Net
Assets,
End of
Period

(000’s)

     Ratio of
Expenses to
Average
Net Assets
(Before Expense
Reimbursement/
Recoupment)		     Ratio of
Expenses to
Average
Net Assets
(After Expense
Reimbursement/
Recoupment)		     Ratio of Net
Investment Income
to Average
Net Assets
(Before Expense
Reimbursement/
Recoupment)		     Ratio of Net
Investment Income
to Average
Net Assets
(After Expense
Reimbursement/
Recoupment)		     Portfolio
Turnover Rate		       
                     
  (0.49 )      —        (0.49 )    $ 10.07        2.33 %(3)    $ 921,696        1.66 %(4)(6)      N/A        5.60 %(4)(6)      N/A        13.00 %(3)   
  (0.78 )      —        (0.78 )    $ 10.33        4.22 %    $ 813,989        1.65 %      N/A        5.46 %      N/A        14.79 %   
  (0.51 )      —        (0.51 )    $ 10.69        8.39 %    $ 557,255        1.71 %      1.72 %      5.07 %      5.06 %      16.13 %   
  (0.09 )      —        (0.09 )    $ 10.36        4.53 %(3)    $ 360,434        1.86 %(4)      1.87 %(4)      1.76 %(4)      1.75 %(4)      11.38 %(3)     
                     
  (0.48 )      —        (0.48 )    $ 10.07        2.25 %(3)    $ 205,246        1.81 %(4)(6)      N/A        5.39 %(4)(6)      N/A        13.00 %(3)   
  (0.77 )      —        (0.77 )    $ 10.33        4.06 %    $ 210,554        1.80 %      N/A        5.13 %      N/A        14.79 %   
  (0.50 )      —        (0.50 )    $ 10.69        8.18 %    $ 232,004        1.85 %      1.86 %      4.95 %      4.94 %      16.13 %   
  (0.08 )      —        (0.08 )    $ 10.37        4.48 %(3)    $ 150,416        2.01 %(4)      2.02 %(4)      1.56 %(4)      1.55 %(4)      11.38 %(3)     
                     
  (0.52 )      —        (0.52 )    $ 10.10        2.42 %(3)    $ 428,836        1.69 %(4)(6)      N/A        6.11 %(4)(6)      N/A        13.25 %(3)   
  (0.88 )      —        (0.88 )    $ 10.38        5.06 %    $ 436,523        1.69 %      N/A        5.76 %      N/A        11.64 %   
  (0.61 )      —        (0.61 )    $ 10.75        9.44 %    $ 259,515        1.78 %      1.80 %      5.58 %      5.56 %      15.79 %   
  (0.41 )      —        (0.41 )    $ 10.41        5.58 %(3)    $ 145,995        1.95 %(4)      1.94 %(4)      2.66 %(4)      2.67 %(4)      12.82 %(3)     
                     
  (0.51 )      —        (0.51 )    $ 10.10        2.35 %(3)    $ 65,439        1.84 %(4)(6)      N/A        6.04 %(4)(6)      N/A        13.25 %(3)   
  (0.86 )      —        (0.86 )    $ 10.38        4.90 %    $ 59,139        1.84 %      N/A        5.46 %      N/A        11.64 %   
  (0.59 )      —        (0.59 )    $ 10.75        9.33 %    $ 72,995        1.93 %      1.95 %      5.42 %      5.40 %      15.79 %   
  (0.13 )      —        (0.13 )    $ 10.41        5.43 %(3)    $ 61,234        2.11 %(4)      2.10 %(4)      2.47 %(4)      2.48 %(4)      12.82 %(3)     

 

  The accompanying footnotes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

45

Table of Contents
Financial Highlights    

 

     PER SHARE DATA:  
     Income (loss) from Investment Operations  
          
    
    
Net Asset
Value,
Beginning
of Period		      Net
Investment
Income
(Loss)(3) 		    

Net Realized

and

Unrealized Gains
(Losses)

      Total from
Investment
Operations		  
STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND—CLASS I            
Period Ended April 30, 2016 (Unaudited)    $ 10.89         (0.06 )       —         (0.06 ) 
Year Ended October 31, 2015    $ 10.50         (0.14 )       0.79         0.65   
Year Ended October 31, 2014    $ 10.48         (0.14 )       0.94         0.80   
Period Ended October 31, 2013(1)    $ 10.00         (0.07 )       0.80         0.73   
STONE RIDGE U.S. LARGE CAP VARIANCE RISK PREMIUM FUND—CLASS M            
Period Ended April 30, 2016 (Unaudited)    $ 10.84         (0.07 )       —         (0.07 ) 
Year Ended October 31, 2015    $ 10.47         (0.15 )       0.78         0.63   
Year Ended October 31, 2014    $ 10.47         (0.15 )       0.93         0.78   
Period Ended October 31, 2013(1)    $ 10.00         (0.07 )       0.79         0.72   
STONE RIDGE U.S. SMALL CAP VARIANCE RISK PREMIUM FUND—CLASS I            
Period Ended April 30, 2016 (Unaudited)    $ 10.46         (0.07 )       (0.19 )       (0.26 ) 
Year Ended October 31, 2015    $ 10.04         (0.15 )       0.67         0.52   
Year Ended October 31, 2014    $ 10.65         (0.16 )       0.45         0.29   
Period Ended October 31, 2013(1)    $ 10.00         (0.09 )       0.99         0.90   
STONE RIDGE U.S. SMALL CAP VARIANCE RISK PREMIUM FUND—CLASS M            
Period Ended April 30, 2016 (Unaudited)    $ 10.42         (0.08 )       (0.19 )       (0.27 ) 
Year Ended October 31, 2015    $ 10.01         (0.17 )       0.68         0.51   
Year Ended October 31, 2014    $ 10.64         (0.17 )       0.44         0.27   
Period Ended October 31, 2013(1)    $ 10.00         (0.10 )       0.99         0.89   
STONE RIDGE U.S. VARIANCE RISK PREMIUM MASTER FUND—CLASS I            
Period Ended April 30, 2016 (Unaudited)    $ 10.69         (0.01 )(4)       (0.13 )(4)       (0.14 )(4) 
Year Ended October 31, 2015    $ 10.50         0.10 (4)       0.48 (4)       0.58 (4) 
Year Ended October 31, 2014    $ 10.40         0.51 (4)       0.10 (4)       0.61 (4) 
Period Ended October 31, 2013(2)    $ 10.00         0.24 (4)       0.39 (4)       0.63 (4) 
STONE RIDGE U.S. VARIANCE RISK PREMIUM MASTER FUND—CLASS M            
Period Ended April 30, 2016 (Unaudited)    $ 10.67         (0.01 )(4)       (0.13 )(4)       (0.14 )(4) 
Year Ended October 31, 2015    $ 10.50         0.10 (4)       0.46 (4)       0.56 (4) 
Year Ended October 31, 2014    $ 10.40         0.51 (4)       0.09 (4)       0.60 (4) 
Period Ended October 31, 2013(2)    $ 10.00         0.24 (4)       0.39 (4)       0.63 (4) 
  (1)   The Fund commenced operations on May 1, 2013.
  (2)   The Fund commenced operations on May 22, 2013.
  (3)   Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
  (4)   Per share amounts only include income and expenses of the Stone Ridge U.S. Variance Risk Premium Master Fund which are shown on the Fund’s Statement of Operations. Amounts do not include the Fund’s proportionate share of the income and expenses of the underlying investor funds.
  (5)   Not annualized.
  (6)   Annualized.
  (7)   Total return represents the rate that an investor would have earned (or lost) on an investment in the Fund (assuming the reinvestment of all dividends and distributions).
  (8)   Includes borrowing and investment-related expenses not covered by the Funds’ expense limitation agreement. See Note 4.

 

  The accompanying footnotes are an integral part of these financial statements.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

46

Table of Contents
Financial Highlights    

 

 

     SUPPLEMENT DATA AND RATIOS:
Distributions to Shareholders                                                      
Net
Investment
Income		     Net
Realized
Gains		     Return
of Capital		     Total
Distributions		     Net
Asset
Value,
End of
Period		     Total
Return(7)		    

Net
Assets,
End of

Period
(000’s)

     Ratio of
Expenses to
Average
Net Assets
(Before Expense
Reimbursement/
Recoupment)		     Ratio of
Expenses to
Average
Net Assets
(After Expense
Reimbursement/
Recoupment)		     Ratio of Net
Investment Income
(Loss) to Average
Net Assets
(Before Expense
Reimbursement/
Recoupment)		     Ratio of Net
Investment Income
(Loss) to Average
Net Assets
(After Expense
Reimbursement/
Recoupment)		     Portfolio
Turnover Rate		       
                       
  —        (0.59 )      —        (0.59 )    $ 10.24        (0.55 %)(5)    $ 293,249        1.51 %(6)(8)      N/A        (1.18 %)(6)(8)      N/A        3.17 %(5)   
  —        (0.26 )      —        (0.26 )    $ 10.89        6.33 %    $ 285,403        1.54 %      N/A        (1.28 %)      N/A        10.14 %   
  —        (0.78 )      —        (0.78 )    $ 10.50        7.95 %    $ 305,504        1.62 %      1.64 %      (1.27 %)      (1.29 %)      97.63 %   
  —        (0.25 )      —        (0.25 )    $ 10.48        7.35 %(5)    $ 264,883        1.65 %(6)      1.59 %(6)      (1.42 %)(6)      (1.36 %)(6)      56.76 %(5)     
                       
  —        (0.59 )      —        (0.59 )    $ 10.18        (0.65 %)(5)    $ 89,647        1.66 %(6)(8)      N/A        (1.33 %)(6)(8)      N/A        3.17 %(5)   
  —        (0.26 )      —        (0.26 )    $ 10.84        6.15 %    $ 93,347        1.69 %      N/A        (1.43 %)      N/A        10.14 %   
  —        (0.78 )      —        (0.78 )    $ 10.47        7.76 %    $ 113,345        1.77 %      1.79 %      (1.42 %)      (1.44 %)      97.63 %   
  —        (0.25 )      —        (0.25 )    $ 10.47        7.25 %(5)    $ 97,381        1.80 %(6)      1.74 %(6)      (1.57 %)(6)      (1.51 %)(6)      56.76 %(5)     
                       
  —        (0.40 )      —        (0.40 )    $ 9.80        (2.58 %)(5)    $ 118,860        1.56 %(6)(8)      1.58 %(6)(8)      (1.36 %)(6)(8)      (1.38 %)(6)(8)      0.00 %(5)   
  —        (0.10 )      —        (0.10 )    $ 10.46        5.23 %    $ 113,269        1.56 %      1.55 %      (1.50 %)      (1.49 %)      0.00 %   
  —        (0.75 )      (0.15 )      (0.90 )    $ 10.04        2.85 %    $ 115,717        1.60 %      1.62 %      (1.54 %)      (1.56 %)      34.92 %   
  —        (0.25 )      —        (0.25 )    $ 10.65        9.09 %(5)    $ 100,579        1.80 %(6)      1.75 %(6)      (1.76 %)(6)      (1.71 %)(6)      33.66 %(5)     
                       
  —        (0.40 )      —        (0.40 )    $ 9.75        (2.68 %)(5)    $ 15,791        1.71 %(6)(8)      1.73 %(6)(8)      (1.52 %)(6)(8)      (1.54 %)(6)(8)      0.00 %(5)   
  —        (0.10 )      —        (0.10 )    $ 10.42        5.15 %    $ 17,024        1.71 %      1.70 %      (1.65 %)      (1.64 %)      0.00 %   
  —        (0.75 )      (0.15 )      (0.90 )    $ 10.01        2.65 %    $ 13,925        1.75 %      1.77 %      (1.69 %)      (1.71 %)      34.92 %   
  —        (0.25 )      —        (0.25 )    $ 10.64        8.99 %(5)    $ 13,246        1.95 %(6)      1.90 %(6)      (1.91 %)(6)      (1.86 %)(6)      33.66 %(5)     
                       
  —        (0.14 )      —        (0.14 )    $ 10.41        (1.32 %)(5)    $ 171,532        0.12 %(6)      N/A        (0.12 %)(6)      N/A        6.98 %(5)   
  (0.10 )      (0.29 )      —        (0.39 )    $ 10.69        5.81 %    $ 145,606        0.13 %      N/A        0.98 %      N/A        16.83 %   
  (0.51 )      —        —        (0.51 )    $ 10.50        6.02 %    $ 164,687        0.13 %      N/A        4.91 %      N/A        6.46 %   
  (0.23 )      —        —        (0.23 )    $ 10.40        6.42 %(5)    $ 146,296        0.26 %(6)      N/A        5.29 %(6)      N/A        0.62 %(5)     
                       
  —        (0.14 )      —        (0.14 )    $ 10.39        (1.32 %)(5)    $ 44,159        0.27 (6)      N/A        (0.27 %)(6)      N/A        6.98 %(5)   
  (0.10 )      (0.29 )      —        (0.39 )    $ 10.67        5.57 %    $ 52,988        0.27 %      N/A        1.02 %      N/A        16.83 %   
  (0.50 )      —        —        (0.50 )    $ 10.50        5.88 %    $ 108,003        0.28 %      N/A        4.82 %      N/A        6.46 %   
  (0.23 )      —        —        (0.23 )    $ 10.40        6.36 %(5)    $ 80,018        0.41 %(6)      N/A        5.37 %(6)      N/A        0.62 %(5)     

 

  The accompanying footnotes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

47

Table of Contents
Financial Highlights    

 

    PER SHARE DATA:  
    Income (Loss) from Investment Operations  
         
    
    
Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)(3) 		   

Net Realized

and
Unrealized Gains
(Losses)

     Total from
Investment
Operations		  
STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND—CLASS I        
Period Ended April 30, 2016 (Unaudited)   $ 9.93        (0.09 )      (0.49 )      (0.58 ) 
Year Ended October 31, 2015   $ 9.70        (0.19 )      0.52        0.33   

Period Ended October 31, 2014(1)

   $ 10.00        (0.12 )      0.17        0.05 (6) 
STONE RIDGE INTERNATIONAL DEVELOPED MARKETS VARIANCE RISK PREMIUM FUND—CLASS M        
Period Ended April 30, 2016 (Unaudited)   $ 9.91        (0.09 )      (0.50 )      (0.59 ) 
Year Ended October 31, 2015   $ 9.69        (0.20 )      0.52        0.32   

Period Ended October 31, 2014(1)

   $ 10.00        (0.13 )      0.17        0.04 (6) 
STONE RIDGE EMERGING MARKETS VARIANCE RISK PREMIUM FUND—CLASS I        
Period Ended April 30, 2016 (Unaudited)   $ 8.83        (0.05 )      (0.02 )      (0.07 ) 
Year Ended October 31, 2015   $ 9.95        (0.15 )      (0.87 )      (1.02 ) 

Period Ended October 31, 2014(1)

   $ 10.00        (0.11 )      0.40        0.29 (6) 
STONE RIDGE EMERGING MARKETS VARIANCE RISK PREMIUM FUND—CLASS M        
Period Ended April 30, 2016 (Unaudited)   $ 8.81        (0.05 )      (0.03 )      (0.08 ) 
Year Ended October 31, 2015   $ 9.94        (0.16 )      (0.87 )      (1.03 ) 

Period Ended October 31, 2014(1)

   $ 10.00        (0.12 )      0.41        0.29   
STONE RIDGE INTERNATIONAL VARIANCE RISK PREMIUM MASTER FUND—CLASS I        
Period Ended April 30, 2016 (Unaudited)   $ 9.51        (0.01 )(4)      (0.40 )(4)      (0.41 )(4) 
Year Ended October 31, 2015   $ 9.76        0.05 (4)      (0.21 )(4)      (0.16 )(4) 

Period Ended October 31, 2014(1)

   $ 10.00        0.34 (4)      (0.24 )(4)      0.09 (4) 
STONE RIDGE INTERNATIONAL VARIANCE RISK PREMIUM MASTER FUND—CLASS M        
Period Ended April 30, 2016 (Unaudited)   $ 9.50        (0.02 )(4)      (0.40 )(4)      (0.42 )(4) 
Year Ended October 31, 2015   $ 9.76        0.06 (4)      (0.23 )(4)      (0.17 )(4)(6) 

Period Ended October 31, 2014(1)

   $ 10.00        0.32 (4)      (0.24 )(4)      0.07 (4)(6) 
STONE RIDGE GLOBAL EQUITY VARIANCE RISK PREMIUM MASTER FUND—CLASS I        
Period Ended April 30, 2016 (Unaudited)   $ 10.07        (0.01 )(5)      (0.28 )(5)      (0.29 )(5) 

Period Ended October 31, 2015(2)

   $ 10.00        0.04 (5)      0.08 (5)      0.12 (5)(6) 
STONE RIDGE GLOBAL EQUITY VARIANCE RISK PREMIUM MASTER FUND—CLASS M        
Period Ended April 30, 2016 (Unaudited)   $ 10.06        (0.02 )(5)      (0.27 )(5)      (0.29 )(5) 

Period Ended October 31, 2015(2)

   $ 10.00        (0.01 )(5)      0.11 (5)      0.10 (5) 
  (1)   The Fund commenced operations on February 11, 2014.
  (2)   The Fund commenced operations on November 14, 2014.
  (3)   Net investment income (loss) per share has been calculated based on average shares outstanding during the period.
  (4)   Per share amounts only include income and expenses of the Stone Ridge International Variance Risk Premium Master Fund which are shown on the Fund’s Statement of Operations. Amounts do not include the Fund’s proportionate share of the income and expenses of the underlying investor funds.
  (5)   Per share amounts only include income and expenses of the Stone Ridge Global Equity Variance Risk Premium Master Fund which are shown on the Fund’s Statement of Operations. Amounts do not include the Fund’s proportionate share of the income and expenses of the underlying investor funds.
  (6)   Includes redemption fees of less than $0.01 per share.
  (7)   Not annualized.
  (8)   Annualized.
  (9)   Total Return represents the rate that an investor would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions).
  (10)   Includes borrowing and investment-related expenses not covered by the Funds’ expense limitation agreement. See Note 4.

 

  The accompanying footnotes are an integral part of these financial statements.  

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

48

Table of Contents
Financial Highlights    

 

 

     SUPPLEMENT DATA AND RATIOS:
Distributions to Shareholders                                                      
Net
Investment
Income		     Net
Realized
Gains		     Return
of
Capital		     Total
Distributions		     Net
Asset
Value,
End of
Period		     Total
Return(9)		     Net
Assets,
End of
Period
(000’s)		    

Ratio of
Expenses to
Average
Net Assets
(Before Expense
Reimbursement/

Recoupment)

    

Ratio of
Expenses to
Average
Net Assets
(After Expense
Reimbursement/

Recoupment)

     Ratio of Net
Investment Income
(Loss) to Average
Net Assets
(Before Expense
Reimbursement/
Recoupment)		     Ratio of Net
Investment Income
(Loss) to Average
Net Assets
(After Expense
Reimbursement/
Recoupment)		     Portfolio
Turnover Rate		       
                       
  —        (0.16 )      —        (0.16 )    $ 9.19        (5.91 %)(7)    $ 82,668        1.84 %(8)(10)      2.01 %(8)(10)      (1.66 %)(8)(10)      (1.83 %)(8)(10)      52.78 %(7)   
  —        (0.10 )      —        (0.10 )    $ 9.93        3.40 %    $ 90,449        1.83 %(10)      1.96 %(10)      (1.77 %)(10)      (1.90 %)(10)      107.43 %   
  —        (0.19 )      (0.16 )      (0.35 )    $ 9.70        0.47 %(7)    $ 59,551        2.16 %(8)      1.75 %(8)      (2.12 %)(8)      (1.71 %)(8)      70.35 %(7)     
                       
  —        (0.16 )      —        (0.16 )    $ 9.16        (6.02 %)(7)    $ 21,620        1.99 %(8)(10)      2.16 %(8)(10)      (1.80 %)(8)(10)      (1.97 %)(8)(10)      52.78 %(7)   
  —        (0.10 )      —        (0.10 )    $ 9.91        3.30 %    $ 21,082        1.98 %(10)      2.11 %(10)      (1.92 %)(10)      (2.05 %)(10)      107.43 %   
  —        (0.19 )      (0.16 )      (0.35 )    $ 9.69        0.36 %(7)    $ 18,795        2.35 %(8)      1.90 %(8)      (2.31 %)(8)      (1.86 %)(8)      70.35 %(7)     
                       
  —        —        —        —      $ 8.76        (0.79 %)(7)    $ 48,388        1.85 %(8)(10)      1.80 %(8)(10)      (1.18 %)(8)(10)      (1.13 %)(8)(10)      44.70 %(7)   
  —        —        (0.10 )      (0.10 )    $ 8.83        (10.37 %)    $ 47,338        2.09 %      1.80 %      (1.92 %)      (1.63 %)      485.70 %   
  —        (0.34 )      (0.01 )      (0.35 )    $ 9.95        3.05 %(7)    $ 36,142        2.41 %(8)      1.80 %(8)      (2.07 %)(8)      (1.46 %)(8)      229.94 %(7)     
                       
  —        —        —        —      $ 8.73        (0.91 %)(7)    $ 3,061        2.00 %(8)(10)      1.95 %(8)(10)      (1.33 %)(8)(10)      (1.28 %)(8)(10)      44.70 %(7)   
  —        —        (0.10 )      (0.10 )    $ 8.81        (10.48 %)    $ 3,079        2.22 %      1.95 %      (2.07 %)      (1.80 %)      485.70 %   
  —        (0.34 )      (0.01 )      (0.35 )    $ 9.94        2.95 %(7)    $ 3,702        2.84 %(8)      1.95 %(8)      (2.50 %)(8)      (1.61 %)(8)      229.94 %(7)     
                       
  —        —        —        —      $ 9.10        (4.31 %)(7)    $ 14,086        0.46 %(8)      0.25 %(8)      (0.46 %)(8)      (0.25 %)(8)      6.58 %(7)   
  (0.05 )      —        (0.04 )      (0.09 )    $ 9.51        (1.63 %)    $ 9,536        0.47 %      0.25 %      0.33 %      0.55 %      13.94 %   
  (0.24 )      —        (0.10 )      (0.34 )    $ 9.76        0.92 %(7)    $ 5,971        0.82 %(8)      0.25 %(8)      4.20 %(8)      4.77 %(8)      21.41 %(7)     
                       
  —        —        —        —      $ 9.08        (4.42 %)(7)    $ 13,833        0.61 %(8)      0.40 %(8)      (0.61 %)(8)      (0.40 %)(8)      6.58 %(7)   
  (0.05 )      —        (0.04 )      (0.09 )    $ 9.50        (1.77 %)    $ 19,894        0.62 %      0.40 %      0.36 %      0.58 %      13.94 %   
  (0.22 )      —        (0.10 )      (0.32 )    $ 9.76        0.82 %(7)    $ 19,533        0.98 %(8)      0.40 %(8)      3.93 %(8)      4.51 %(8)      21.41 % (7)     
                       
  —        (0.14 )      —        (0.14 )    $ 9.64        (2.88 %)(7)    $ 31,309        0.39 %(8)      0.25 %(8)      (0.39 %)(8)      (0.25 %)(8)      14.20 %(7)   
  (0.05 )      —        —        (0.05 )    $ 10.07        1.17 %(7)    $ 38,899        0.47 %(8)      0.25 %(8)      0.21 %(8)      0.43 %(8)      62.45 %(7)     
                       
  —        (0.14 )      —        (0.14 )    $ 9.63        (2.88 %)(7)    $ 9,118        0.54 %(8)      0.40 %(8)      (0.54 %)(8)      (0.40 %)(8)      14.20 %(7)   
  (0.04 )      —        —        (0.04 )    $ 10.06        1.05 %(7)    $ 9,464        0.72 %(8)      0.40 %(8)      (0.42 %)(8)      (0.10 %)(8)      62.45 %(7)     

 

  The accompanying footnotes are an integral part of these financial statements.   (Continued)

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

49

Table of Contents
Notes to Financial Statements   April 30, 2016 (Unaudited)

1. Organization

Stone Ridge Trust (the “Trust”) was organized as a Delaware statutory trust on September 28, 2012, and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company issuing shares in multiple series, each series representing a distinct portfolio with its own investment objectives and policies. As of April 30, 2016, the Trust consisted of nine non-diversified series (the “Funds”): the Stone Ridge Reinsurance Risk Premium Fund (the “Reinsurance Fund”), the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “High Yield Fund”, together with the Reinsurance Fund the “Reinsurance Funds”), the Stone Ridge U.S. Large Cap Variance Risk Premium Fund (formerly, the Stone Ridge U.S. Variance Risk Premium Fund) (the “U.S. Large Cap VRP Fund”), the Stone Ridge U.S. Small Cap Variance Risk Premium Fund (the “U.S. Small Cap VRP Fund”, together with the U.S. Large Cap VRP Fund, the “U.S. VRP Funds”), the Stone Ridge U.S. Variance Risk Premium Master Fund (formerly the Stone Ridge U.S. Master Variance Risk Premium Fund) (the “U.S. VRP Master Fund”, together with the U.S. VRP Funds, the “U.S. VRP Portfolio of Funds”), the Stone Ridge International Developed Markets Variance Risk Premium Fund (the “International Developed Markets VRP Fund”), the Stone Ridge Emerging Markets Variance Risk Premium Fund (the “Emerging Markets VRP Fund”, together with the International Developed Markets VRP Fund, the “International VRP Funds”), the Stone Ridge International Variance Risk Premium Master Fund (formerly the Stone Ridge International Master Variance Risk Premium Fund) (the “International VRP Master Fund”) and the Stone Ridge Global Equity Variance Risk Premium Master Fund (the “Global Equity VRP Master Fund”, together with the International VRP Funds and the International VRP Master Fund, the “International VRP Portfolio of Funds”). The Reinsurance Funds commenced operations on February 1, 2013. The U.S. VRP Funds commenced operations on May 1, 2013. The U.S. VRP Master Fund commenced operations on May 22, 2013. The International Developed Markets VRP Fund, Emerging Markets VRP Fund and International VRP Master Fund commenced operations on February 11, 2014. The Global Equity VRP Master Fund commenced operations on November 14, 2014. Each Fund offers two classes of shares: Class I shares, with no front-end or back-end sales charges, and no 12b-1 fees; and the Class M Shares, with no front-end or back-end sales charges, and a 0.15% 12b-1 fee. The Reinsurance Funds, the U.S. VRP Funds, and the VRP Master Fund do not charge redemption fees. The International VRP Portfolio of Funds did charge redemption fees, but the redemption fees were discontinued effective February 28, 2015. There are an unlimited number of authorized shares.

The investment objective of each of the Reinsurance Funds is to seek a high level of total return consisting of income and capital appreciation. Each of the Reinsurance Funds will pursue its investment objective by investing primarily in reinsurance-related securities, including event-linked bonds, shares or notes issued in connection with quota shares (“Quota Share Notes”), shares or notes issued in connection with excess-of-loss, stop-loss or other non-proportional reinsurance (“Excess of Loss Notes”), shares or notes issued in connection with industry loss warrants (“ILW Notes”) and, to a lesser extent, event-linked swaps, equity securities (publicly or privately offered) and the derivatives of equity securities of companies in the reinsurance and insurance industry (collectively, “reinsurance-related securities”). The investment objective of each of the U.S. VRP Portfolio of Funds is to seek capital appreciation. The U.S. Large Cap VRP Fund typically pursues its investment objective by writing (selling) call and put options related to U.S. large-cap securities. The U.S. Small Cap VRP Fund typically pursues its investment objective by writing (selling) call and put options related to U.S. small cap securities. The U.S. VRP Master Fund seeks to achieve its investment objective by investing in the U.S. VRP Funds. The investment objective of each of the International VRP Portfolio of Funds is to seek capital appreciation. The International Developed Markets VRP Fund typically pursues its objective by writing (selling) call and put options related to developed markets securities. The Emerging Markets VRP Fund typically pursues its objective by writing (selling) call and put options related to emerging markets securities. The International VRP Master Fund seeks to achieve its investment objective by investing in the International VRP Funds. The Global Equity VRP Master Fund seeks to achieve its investment objective by investing in the International VRP Funds and the U.S. VRP Funds.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by 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 (“GAAP”). The Funds are investment companies and apply specific accounting and financial reporting requirements under Financial Accounting Standards Board (“FASB”) Accounting Standards Topic 946, Financial Services – Investment Companies.

a) Investment Valuation and Fair Value Measurement In determining the net asset value (“NAV”) of the Funds’ shares, securities which are traded on a domestic national stock exchange are valued at the last sale price each day on the

 

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securities exchange on which the securities are primarily traded. Securities traded principally on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price provided by NASDAQ each business day. Exchange-traded securities for which there were no transactions are valued at the mean between the closing bid and asked prices. Non-exchange traded equity securities are valued at the last sale price in the over-the-counter market. If a non-exchange traded equity does not trade on a particular day, the mean between the closing bid and asked prices is used.

Investments in open-end mutual funds, including money market funds, are generally priced at the ending NAV provided by the service agent of the Trust. Investments in closed-end mutual funds are valued at the last sale price on the exchange on which the shares are primarily traded.

Futures contracts are valued at the settlement price on the exchange on which they are primarily traded.

Short-term debt securities issued with a maturity of less than 60 days, including U.S. Treasury securities, are valued at amortized cost.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities in each case having a remaining maturity in excess of 60 days, 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.

Event-linked bonds are valued at the average bid provided by an external pricing service based on bids issued by established market makers and/or insurance companies (or, issued by one broker, insurance or reinsurance company, if only one quote is available). With respect to pricing of certain reinsurance-related event-linked or similar restricted securities for which at least one independent market-maker or two independent brokers regularly provide firm bids, the Funds will utilize an independent data delivery vendor to aggregate and provide this pricing data to the Administrator. If the independent data delivery vendor pricing service cannot obtain independent firm bids for such securities, but there is an independent market maker or independent brokers who will supply firm bids for such securities, then the Adviser may supply the Administrator with a contact from whom to obtain such bids. If, with respect to such securities, such independent firm bids are not available, but at least one independent firm or indicative bid is available, then the Adviser Valuation Committee may use that bid (or the average of those bids if more than one) as the value of the security if the Adviser Valuation Committee determines that such value is reasonable, and may consider internal and/or independent external models in making that determination.

If market quotations are not readily available (including in cases where available market quotations are deemed to be unreliable or infrequent), the Funds’ investments will be valued as determined in good faith pursuant to policies and procedures approved by the Board of Trustees (“fair value pricing”). In these circumstances, the Funds determine fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate as further described below. The Committee has the responsibility for overseeing the implementation of the Funds’ valuation procedures and fair value determinations made on behalf of the Board of Trustees. For purposes of determining fair value of securities, the Committee may use (or make use of) a variety of valuation methodologies, including, without limitation: (i) mathematical techniques that refer to the prices of similar or related securities; (ii) a percentage increase or decrease across all securities of a region, country or industry affected by a significant event; (iii) a multiple of earnings; (iv) a discount from market of a similar freely traded security; (v) the yield to maturity of debt securities; (vi) the recommendation of a pricing service; (vii) a single broker’s (or insurance company’s) quote; (viii) recent primary and/or secondary market transactions that the Funds believe to be comparable; (ix) modeling or development of events; or (x) any combination of the above. Fair value pricing may require subjective determinations about the value of a security or other asset. Fair values used to determine the Funds’ NAVs may differ from quoted or published prices, or from prices that are used by others, for the same investments. The use of fair value pricing may not always result in adjustments to the prices of securities or other assets or liabilities held by the Funds and 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.

Exchange-traded options are valued at the settlement price on the exchange or mean of the bid and asked prices. Over-the-counter options are valued based on quotations obtained from an independent pricing service or from a broker (typically the counterparty to the option).

 

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Trading in securities on non-North American securities exchanges normally is completed before the calculation of the Funds’ NAV. Trading on these foreign exchanges may not take place on all days on which there is regular trading on the New York Stock Exchange (“NYSE”), or may take place on days on which there is no regular trading on the NYSE. Similarly, the Funds may hold securities traded in domestic markets where the market may close early on a given day prior to calculation of the Funds’ NAV. Events affecting the value of such securities held by the Funds that occur between the close of trading in the security and the close of trading on the NYSE normally will not be reflected in the Funds’ calculation of the NAV. Significant events will be closely monitored, and where it is determined that an adjustment should be made to the security’s value because significant interim events may materially affect the value of the security, the security will be priced at its fair value in accordance with the procedures approved by the Board of Trustees.

In determining whether a significant event has occurred with respect to securities traded principally in foreign markets, the Funds will monitor the index futures market associated with that foreign country. If the index futures, which are continuously traded, fluctuate by more than a predetermined range between the time of the closing of the equity or options exchange and the closing of the NYSE, the Funds may use fair valuation in accordance with the procedures approved by the Board of Trustees.

The Funds have adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. 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 measurement) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:

Level 1: Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date;

Level 2: Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active and firm bids from brokers or market makers which are not publically available;

Level 3: Significant inputs that are unobservable.

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.

Transfers between levels are recognized at the end of the reporting period. There were no transfers between levels during the reporting period. The following tables summarize the inputs used to value the Funds’ investments as of April 30, 2016.

 

DESCRIPTION    LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  
Reinsurance Fund            

Assets

            
Event-Linked Bonds            

China

    $ —       $ —       $ 1,385,838       $ 1,385,838   

Europe

      —         5,836,921         —         5,836,921   

Global

      —         294,346,267         24,550,476         318,896,743   

Japan

      —         34,217,657         —         34,217,657   

Turkey

      —         21,264,687         —         21,264,687   

United States

      —         489,184,904         14,149,562         503,334,466   

Total Event-Linked Bonds

      —         844,850,436         40,085,876         884,936,312   

 

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DESCRIPTION    LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Participation Notes (1)

    $ —       $ —       $ 106,128,929       $ 106,128,929   

Preference Shares (1)

      —         —         87,220,667         87,220,667   

Money Market Funds

      53,647,396         —         —         53,647,396   

Total Assets

    $ 53,647,396       $ 844,850,436       $ 233,435,472       $ 1,131,933,304   

Other Financial Instruments*

            

Unrealized appreciation on futures

    $ 8,885       $ —       $ —       $ 8,885   

Unrealized depreciation on futures

      (812,117 )     $ —       $ —       $ (812,117 ) 

Total

    $ (803,232 )     $ —       $ —       $ (803,232 ) 
           
High Yield Fund            

Assets

            
Event-Linked Bonds            

China

    $ —       $ —       $ 662,663       $ 662,663   

Global

      —         120,368,915         16,343,613         136,712,528   

Japan

      —         352,985         —         352,985   

United States

      —         258,283,865         3,484,575         261,768,440   

Total Event-Linked Bonds

      —         379,005,765         20,490,851         399,496,616   

Participation Notes (1)

      —         —         42,066,909         42,066,909   

Preference Shares (1)

      —         —         46,487,454         46,487,454   

Money Market Funds

      5,014,239         —         —         5,014,239   

Total Assets

    $ 5,014,239       $ 379,005,765       $ 109,045,214       $ 493,065,218   

Other Financial Instruments*

            

Unrealized appreciation on futures

    $ 7,970       $ —       $ —       $ 7,970   

Total

    $ 7,970       $ —       $ —       $ 7,970   
           
U.S. Large Cap VRP Fund            

Assets

            

Common Stocks (1)

    $ 29,184,367       $ —       $ —       $ 29,184,367   

Contingent Value Rights (1)

      —         —         5,744         5,744   

Real Estate Investment Trusts (1)

      927,076         —         —         927,076   

Closed-End Mutual Funds (1)

      12,640         —         —         12,640   

Rights (1)

      27,265         —         —         27,265   

U.S. Treasury Bills

      —         355,428,941         —         355,428,941   

Total Assets

    $ 30,151,348       $ 355,428,941       $ 5,744       $ 385,586,033   

Liabilities

            

Written Options

    $ (554,295 )     $ (2,146,638 )     $ —       $ (2,700,933 ) 

Total Liabilities

    $ (554,295 )     $ (2,146,638 )     $ —       $ (2,700,933 ) 
           
U.S. Small Cap VRP Fund            

Assets

            

Common Stocks (1)

    $ 2,963,548       $ —       $ —       $ 2,963,548   

Contingent Value Rights (1)

      —         —         6,804         6,804   

Money Market Funds

      128,522         —         —         128,522   

U.S. Treasury Bills

      —         132,655,477         —         132,655,477   

Total Assets

    $ 3,092,070       $ 132,655,477       $ 6,804       $ 135,754,351   

Liabilities

            

Written Options

    $ (331,783 )     $ (523,950 )     $ —       $ (855,733 ) 

Total Liabilities

    $ (331,783 )     $ (523,950 )     $ —       $ (855,733 ) 

 

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DESCRIPTION    LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  
           
U.S. VRP Master Fund (2)            

Assets

            

Investment Companies—Open End

    $ 215,646,224       $ —       $ —       $ 215,646,224   

Money Market Funds

      173,287         —         —         173,287   

Total Assets

    $ 215,819,511       $ —       $ —       $ 215,819,511   
           
International Developed Markets VRP Fund (2)            

Assets

            

Common Stocks (1)

    $ 913,986       $ —       $ —       $ 913,986   

Money Market Funds

      67,577,994         —         —         67,577,994   

U.S. Treasury Bills

      —         38,984,217         —         38,984,217   

Total Assets

    $ 68,491,980       $ 38,984,217       $ —       $ 107,476,197   

Liabilities

            

Written Options

    $ (1,609,559 )     $ (1,265,601 )     $ —       $ (2,875,160 ) 

Total Liabilities

    $ (1,609,559 )     $ (1,265,601 )     $ —       $ (2,875,160 ) 
           

Other Financial Instruments*

            

Unrealized appreciation on futures

    $ 3,040       $ —       $ —       $ 3,040   

Total

    $ 3,040       $ —       $ —       $ 3,040   
           
Emerging Markets VRP Fund (2)            

Assets

            

Common Stocks (1)

    $ 809,836       $ —       $ —       $ 809,836   

Preferred Stocks (1)

      26,694         —         —         26,694   

Money Market Funds

      218,963         —         —         218,963   

U.S. Treasury Bills

      —         51,688,361         —         51,688,361   

Total Assets

    $ 1,055,493       $ 51,688,361       $ —       $ 52,743,854   

Liabilities

            

Written Options

    $ (107,430 )     $ (1,112,483 )     $ —       $ (1,219,913 ) 

Total Liabilities

    $ (107,430 )     $ (1,112,483 )     $ —       $ (1,219,913 ) 
           
International VRP Master Fund (2)            

Assets

            

Investment Companies—Open End

    $ 27,708,028       $ —       $ —       $ 27,708,028   

Money Market Funds

      275,145         —         —         275,145   

Total Assets

    $ 27,983,173       $ —       $ —       $ 27,983,173   
Global Equity VRP Master Fund (2)            

Assets

            

Investment Companies—Open End

    $ 40,233,665       $ —       $ —       $ 40,233,665   

Money Market Funds

      305,010         —         —         305,010   

Total Assets

    $ 40,538,675       $ —       $ —       $ 40,538,675   

 

* Other financial instruments are derivatives, such as futures. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.
(1) For further security characteristics, see the Funds’ Schedules of Investments.
(2) The Fund measures Level 3 activity as of the beginning and end of each financial reporting period. For the period ended April 30, 2016, the Fund did not have unobservable inputs (Level 3 securities) used in determining fair value. Therefore, a reconciliation of assets and liabilities in which significant inputs (Level 3 securities) were used in determining fair value is not applicable.

 

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Below is a reconciliation that details the activity of securities in Level 3 during the period ended April 30, 2016:

 

    REINSURANCE FUND     HIGH YIELD FUND     U.S. LARGE
CAP VRP
FUND		     U.S. SMALL
CAP VRP
FUND		  
    EVENT-
LINKED
BONDS		     PARTICIPATION
NOTES
     PREFERENCE
SHARES
     EVENT-
LINKED
BONDS		     PARTICIPATION
NOTES
     PREFERENCE
SHARES
     CONTINGENT
VALUE
RIGHTS		     CONTINGENT
VALUE
RIGHTS		  

Beginning Balance—November 1, 2015

   $ 22,311,326      $ 102,545,159      $ 82,072,719      $ 15,227,217      $ 43,703,346      $ 48,114,789      $ 5,744      $ 11,689   

Acquisition

     19,452,607        69,617,997        11,491,201        5,887,478        22,374,512        —        —        6,396   

Sell

     (1,759,419 )      (64,079,556 )      (5,139,746 )      (653,245 )      (22,554,316 )      (2,168,295 )      —        —   

Realized gains

     574        —        —        213        —        —        —        —   

Realized losses

     —        (123,626 )      —        —        (66,392 )      —        —        (4,885 )  

Return of capital

     —        (4,209,516 )      (262,863 )      —        (1,583,513 )      (49,042 )      —        —   

Change in unrealized appreciation (depreciation)

     80,788        2,378,471        (940,644 )      29,188        193,272        590,002        —        (6,396 ) 

Transfers in/(out) of Level 3

     —        —        —        —        —        —        —        —   

Ending Balance—April 30, 2016

   $ 40,085,876      $ 106,128,929      $ 87,220,667      $ 20,490,851      $ 42,066,909      $ 46,487,454      $ 5,744      $ 6,804   

As of April 30, 2016, the change in unrealized appreciation (depreciation) on positions still held in the Reinsurance Fund, High Yield Fund, U.S. Large Cap VRP Fund and U.S. Small Cap VRP Fund were $2,675,436, $1,378,699, $0, and $(6,396) respectively.

Unobservable inputs included original transaction price, losses from severe weather events, other natural and non-natural catastrophes and changes in market risk spread of comparable securities (including catastrophe bonds with similar risk profiles). Significant increases in the market risk spread of comparable instruments or losses related to severe weather, other natural and non-natural catastrophes in isolation would result in a significantly lower fair value measurement. A high amount of loss from severe weather, other natural or non-natural catastrophes may also increase market risk spreads. Quota Shares are monitored daily for significant events that could affect the value of the instruments.

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of April 30, 2016.

Reinsurance Fund

 

TYPE OF SECURITY   INDUSTRY   FAIR VALUE
AT 4/30/16		     VALUATION
TECHNIQUES		   UNOBSERVABLE
INPUTS		   RANGE   WEIGHTED
AVERAGE

Event-Linked Bonds

   Financial Services     $9,801,000      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.1MM-$0.2MM
$0.1MM-$0.2MM		   $0.1MM
$0.2MM
           

Participation Notes

  Financial Services     $51,243,127      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.0MM-$4.0MM
$0.1MM-$7.0MM		   $0.9MM
$1.7MM
           

Preference Shares

  Financial Services     $79,150,200      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.0MM-$3.9MM
$0.0MM-$5.6MM		   $1.1MM
$2.1MM

 

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High Yield Fund

 

TYPE OF SECURITY   INDUSTRY   FAIR VALUE
AT 4/30/16		     VALUATION
TECHNIQUES		   UNOBSERVABLE
INPUTS		   RANGE   WEIGHTED
AVERAGE

Event-Linked Bonds

   Financial Services     $1,664,000      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.0MM-$0.1MM
$0.0MM-$0.1MM		   $0.1MM
$0.1MM
           

Participation Notes

  Financial Services     $26,869,897      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.0MM-$2.4MM
$0.0MM-$4.3MM		   $0.5MM
$0.9MM
           

Preference Shares

  Financial Services     $43,012,023      Insurance
industry loss
model		   Estimated losses: Estimated premium earned:   $0.0MM-$3.2MM
$0.0MM-$4.7MM		   $0.6MM
$1.1MM

The level 3 securities held in the Reinsurance Fund and the High Yield Fund not listed above were priced using an indicative bid and amount to $93,241,145 for the Reinsurance Fund and $37,499,294 for the High Yield Fund.

Derivative Transactions — The Reinsurance Fund, High Yield Fund, U.S. Large Cap VRP Fund, U.S. Small Cap VRP Fund, International Developed Markets VRP Fund and the Emerging Markets VRP Fund engaged in derivatives and hedging activities during the period ended April 30, 2016. The use of derivatives included options and futures contracts. Further information regarding derivative activity for each Fund can be found in the Schedule of Investments.

Futures Contracts — The Reinsurance Fund, High Yield Fund, U.S. Large Cap VRP Fund, U.S. Small Cap VRP Fund, International Developed Markets VRP Fund and the Emerging Markets VRP Fund may purchase and sell futures contracts. The Reinsurance Fund, High Yield Fund, U.S. Large Cap VRP Fund, U.S. Small Cap VRP Fund, International Developed Markets VRP Fund, and the Emerging Markets VRP Fund held futures contracts during the period ended April 30, 2016. The U.S. Large Cap VRP Fund, U.S. Small Cap VRP Fund, International Developed Markets VRP Fund and Emerging Markets VRP Fund use futures contracts to maintain appropriate equity market exposure. The Reinsurance Fund and High Yield Fund use futures contracts to hedge interest rate and foreign exchange rate exposure. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. Upon entering into a contract, a Fund deposits and maintains as collateral, an initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by a Fund as unrealized gains and losses. Variation margin is settled daily. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. In connection with physically-settled futures contracts, a Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. The amount of the segregated assets is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts.

The average notional amount of futures contracts during the period ended April 30, 2016, were as follows:

 

    Reinsurance
Fund		     High Yield
Fund		     U.S. Large Cap
VRP Fund		     U.S. Small Cap
VRP Fund		     International
Developed
Markets VRP
Fund		     Emerging
Markets VRP
Fund		  

Total long futures contracts

   $ —      $ —      $ —      $ —      $ —      $ —   

Total short futures contracts

   $ 32,457,725      $ 7,841,171      $ 1,828,216      $ 1,586,545      $ 605,401      $ 562,500   

 

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

Options — The Funds may purchase and write call or put options on securities and indices and enter into related closing transactions. The U.S. Large Cap VRP Fund, U.S. Small Cap VRP Fund, International Developed Markets VRP Fund and the Emerging Markets VRP Fund wrote call or put options during the period ended April 30, 2016. The Funds write put and call options to earn premium income. With options, there is minimal counterparty credit risk to the Funds since options are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. As the writer of a call option, the Funds have the obligation to sell the security at the exercise price during the exercise period. As a writer of a put option, the Funds have the obligation to buy the underlying security at the exercise price during the exercise period. The premium that the Funds pay when purchasing a call option or receive when writing a call option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the market value of the option.

A purchaser (holder) of a put option pays a non-refundable premium to the seller (writer) of a put option to obtain the right to sell a specified amount of a security at a fixed price (the exercise price) during a specified period (exercise period). Conversely, the seller (writer) of a put option, upon payment by the holder of the premium, has the obligation to buy the security from the holder of the put option at the exercise price during the exercise period. When an option is exercised, the premium originally received decreases the cost basis of the underlying security (or increases the proceeds on the security sold short) and the Funds realize a gain or loss from the sale of the security (or closing of the short sale).

Options on indices are similar to options on securities, except that upon exercise index options require cash payments and do not involve the actual purchase or sale of securities.

The average market values of written options for the period ended April 30, 2016, were as follows:

 

     U.S. LARGE CAP
VRP FUND		      U.S. SMALL CAP
VRP FUND		      INTERNATIONAL
DEVELOPED
MARKETS VRP
FUND		      EMERGING
MARKETS
VRP FUND		  

Written Options

    $ 2,445,551       $ 1,032,744       $ 1,808,222       $ 846,977   

Transactions in written options during the period ended April 30, 2016 were as follows:

 

     U.S. LARGE CAP VRP FUND      U.S. SMALL CAP VRP FUND  
Call Options    CONTRACTS      PREMIUMS      CONTRACTS      PREMIUMS  

Outstanding, beginning of period

      1,071       $ 46,278         30       $ 5,098   

Options written

      33,823         2,279,916         782         236,826   

Options terminated in closing transactions

      (422 )       (141,950 )       (31 )       (9,028 ) 

Options exercised

      (3,797 )       (239,208 )       (195 )       (46,640 ) 

Options expired

      (29,308 )       (1,857,291 )       (556 )       (176,357 ) 
  

 

 

     

 

 

  

Outstanding, end of period

 

     

 

 1,367

 

   

 

    $

 

 87,745

 

   

 

     

 

 30

 

   

 

    $

 

 9,899

 

   

 

     INTERNATIONAL DEVELOPED
MARKETS VRP FUND		      EMERGING MARKETS
VRP FUND		  
Call Options    CONTRACTS      PREMIUMS      CONTRACTS      PREMIUMS  

Outstanding, beginning of period

      4       $ 28         42       $ 563   

Options written

      1,390         15,235         1,610         20,273   

Options terminated in closing transactions

      —         —         (7 )       (315 ) 

Options exercised

      (203 )       (2,039 )       (261 )       (3,674 ) 

Options expired

      (1,068 )       (10,919 )       (1,183 )       (13,773 ) 
  

 

 

     

 

 

  

Outstanding, end of period

      123       $ 2,305         201       $ 3,074   

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

 

     U.S. LARGE CAP VRP FUND      U.S. SMALL CAP VRP FUND  
Put Options    CONTRACTS      PREMIUMS      CONTRACTS      PREMIUMS  

Outstanding, beginning of period

      1,464       $ 2,104,837         1,048       $ 1,171,311   

Options written

      76,296         116,816,278         61,831         58,356,668   

Options terminated in closing transactions

      (53,962 )       (86,032,226 )       (46,176 )       (46,159,277 ) 

Options exercised

      (6,162 )       (9,720,049 )       (5,175 )       (3,967,346 ) 

Options expired

      (16,043 )       (20,958,473 )       (10,405 )       (8,378,344 ) 
  

 

 

     

 

 

  

Outstanding, end of period

      1,593       $ 2,210,367         1,123       $ 1,023,012   
           
     INTERNATIONAL DEVELOPED
MARKETS VRP FUND		      EMERGING MARKETS
VRP FUND		  
Put Options    CONTRACTS      PREMIUMS      CONTRACTS      PREMIUMS  

Outstanding, beginning of period

      1,620       $ 1,701,771         13,640       $ 672,540   

Options written

      75,523         54,293,788         328,480         18,043,624   

Options terminated in closing transactions

      (55,242 )       (44,679,355 )       (304,045 )       (16,418,019 ) 

Options exercised

      (11,117 )       (6,096,364 )       —         —   

Options expired

      (9,163 )       (3,315,937 )       (23,986 )       (1,261,093 ) 
  

 

 

     

 

 

  

Outstanding, end of period

      1,621       $ 1,903,903         14,089       $ 1,037,052   

Statement of Assets and Liabilities — Values of Derivatives at April 30, 2016

 

    ASSET DERIVATIVES     LIABILITY DERIVATIVES  
    STATEMENT OF ASSETS
AND LIABILITIES LOCATION		   FAIR VALUE     STATEMENT OF ASSETS
AND LIABILITIES LOCATION		   FAIR VALUE  

Reinsurance Fund

        
  Net assets—Unrealized appreciation on futures*   $ 8,885      Net assets—Unrealized depreciation on futures*   $ 812,117   
   

 

 

      

 

 

  

Total

     $ 8,885        $ 812,117   

High Yield Fund

        
  Net assets—Unrealized appreciation on futures*   $ 7,970      —   $ —   
   

 

 

      

 

 

  

Total

     $ 7,970        $ —   

U.S. Large Cap VRP Fund

      
  —   $ —      Written options, at fair value   $ 2,700,933   
   

 

 

      

 

 

  

Total

     $ —        $ 2,700,933   

U.S. Small Cap VRP Fund

        
  —   $ —      Written options, at fair value   $ 855,733   
   

 

 

      

 

 

  

Total

     $ —        $ 855,733   

International Developed Markets VRP Fund

      
  Net assets—Unrealized appreciation on futures*   $ 3,040      —   $ —   
  —     —      Written options, at fair value     2,875,160   
   

 

 

      

 

 

  

Total

     $ 3,040        $ 2,875,160   

Emerging Markets VRP Fund

      
  —   $ —      Written options, at fair value   $ 1,219,913   
   

 

 

      

 

 

  

Total

     $ —        $ 1,219,913   

 

* Reflects cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only the current day’s variation margin is reflected in the Statement of Assets and Liabilities and only in cases where margin is not settled on the same day.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

The effect of derivative instruments on the Statement of Operations for the period ended April 30, 2016:

 

AMOUNT OF REALIZED GAIN OR (LOSS) ON DERIVATIVES TRANSACTIONS  
    FOREIGN
EXCHANGE
FUTURES
CONTRACTS		     EQUITY INDEX
FUTURES
CONTRACTS		     U.S. TREASURY
FUTURES
CONTRACTS		     WRITTEN
OPTIONS		     TOTAL  

Reinsurance Fund

   $ (12,002 )    $ —      $ (157,652 )    $ —      $ (169,654 ) 

High Yield Fund

     —        —        (142,772 )      —        (142,772 ) 

U.S. Large Cap VRP Fund

     —        818,622        —        1,809,872        2,628,494   

U.S. Small Cap VRP Fund

     —        (137,503 )      —        (2,042,217 )      (2,179,720 ) 

International Developed Markets VRP Fund

     —        1,310,227        —        (5,380,620 )      (4,070,393 ) 

Emerging Markets VRP Fund

     —        219,569        —        (218,822 )      747   

 

CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION) ON DERIVATIVES TRANSACTIONS  
    FOREIGN
EXCHANGE
FUTURES
CONTRACTS		     EQUITY INDEX
FUTURES
CONTRACTS		     U.S. TREASURY
FUTURES
CONTRACTS		     WRITTEN
OPTIONS		     TOTAL  

Reinsurance Fund

   $ (1,099,651 )    $ —      $ 21,684      $ —      $ (1,077,967 ) 

High Yield Fund

     —        —        19,606        —        19,606   

U.S. Large Cap VRP Fund

     —        —        —        118,960        118,960   

U.S. Small Cap VRP Fund

     —        —        —        243,779        243,779   

International Developed Markets VRP Fund

     —        3,040        —        (1,184,335 )      (1,181,295 ) 

Emerging Markets VRP Fund

     —        —        —        (94,023 )      (94,023 ) 

b) Offsetting on the Statement of Assets and Liabilities Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) intended to help investors and other financial statement users better assess the effect or potential effect of offsetting arrangements on a fund’s financial position. ASU 2011-11 requires entities to disclosure both gross and net information about both instruments and transactions eligible for offset on the Statement of Assets and Liabilities, and disclose instruments and transactions subject to master netting or similar agreements. In addition, in January 2013, the FASB issued Accounting Standards Update No. 2013-1 “Clarifying the Scope of Offsetting Assets and Liabilities” (“ASU 2013-1”), specifying exactly which transactions are subject to offsetting disclosures. The scope of the disclosure requirement is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities lending transactions. The International Swap and Derivative Association (“ISDA”) agreements specify collateral posting arrangements. Under the agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under an agreement with a counterparty in a given account exceeds a specified threshold.

The Funds are not subject to any Master Netting Arrangements; therefore, no additional disclosure is required.

(c) Use of Estimates The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

(d) Indemnifications In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements cannot be known; however, the Funds expect any risk of loss to be remote.

(e) Federal Income Taxes The Funds intend to qualify as “regulated investment companies” under Subchapter M of the Internal Revenue Code of 1986, as amended. If so qualified, the Funds will not be subject to federal income tax to the extent they distribute substantially all of their net investment income and capital gains to shareholders. Therefore, no federal income tax provision is required.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

(f) Event-Linked Bonds Event-linked bonds are variable rate debt securities for which the return of principal and payment of interest are contingent on the non-occurrence of a specified trigger event(s) that leads to economic and/or human loss, such as an earthquake of a particular magnitude or a hurricane of a specific category. The most common type of event-linked bonds is known as “catastrophe” or “CAT” bonds. In most cases, the trigger event(s) will not be deemed to have occurred unless the event(s) happened in a particular geographic area and was of a certain magnitude (based on independent scientific readings) and/or caused a certain amount of actual or modeled loss. If the trigger event(s) occurs prior to a bond’s maturity, the Funds may lose all or a portion of its principal and forgo additional interest. In this regard, event-linked bonds typically have a special condition that states that if the sponsor suffers a loss from a particular pre-defined catastrophe or other event that results in physical and/or economic loss, then the issuer’s obligation to pay interest and/or repay the principal is either deferred or completely forgiven. For example, if a fund holds a bond that covers a sponsor’s losses due to a hurricane with a “trigger” at $1 billion and a hurricane hits causing $1 billion or more in losses to such sponsor, then the Fund will lose all or a portion of its principal invested in the bond and forgo any future interest payments. If the trigger event(s) does not occur, the fund will recover its principal plus interest. Interest typically accrues and is paid on a quarterly basis. Although principal typically is repaid only on the maturity date, it may be repaid in installments, depending on the terms of the bond, as long as the trigger event(s) does not occur. The Funds may invest in event-linked bonds directly or indirectly through certain derivative instruments. The Funds may pursue other types of event-linked derivative strategies using derivative instruments that are typically contingent, or formulaically related to defined trigger events. Trigger events may include hurricanes, earthquakes and weather-related phenomena, non-natural catastrophes, such as plane crashes, or other events resulting in a specified level of physical or economic loss, such as mortality or longevity.

(g) Quota Share Notes Investments in Quota Shares Notes provide exposure to a form of proportional reinsurance in which an investor participates in the premiums and losses of a reinsurer’s portfolio according to a pre-defined percentage. For example, under a 20% quota-share agreement, a special purpose vehicle (“SPV”) would obtain 20% of all premiums of the subject portfolio while being responsible for 20% of all claims, and the Fund, as holder of a Quota Share Note issued by the SPV, would be entitled to its pro rata share of the premiums received by the SPV and would be responsible for its pro rata share of the claims up to the total amount invested.

(h) Excess of Loss Notes Excess of Loss Notes provide exposure to a form of reinsurance pursuant to which one party (typically an insurer or reinsurer) purchases protection against losses that exceed a specified threshold up to a set limit. For example, under such an arrangement, an insurer may have a book of business with $6 billion of total risk in respect of large, catastrophic losses. The insurer can purchase per-occurrence excess-of-loss reinsurance protection from an SPV for 40% of single-event losses the insurer suffers between $4 billion and $5 billion by paying the SPV a fixed premium. In this example, if the insurer suffered a loss of $5 billion due to one event, it would cover the first $4 billion itself (the amount it retained) and file a reinsurance claim with the SPV to pay 40% of the further $1 billion in losses (i.e., $400 million) and pay the remaining $600 million itself. If the insurer has losses of $6 billion, it would cover the first $4 billion itself, look to the SPV to pay 40% of $1 billion (again paying the $600 million itself) and would further retain the obligation to pay the additional $1 billion that exceeds the reinsurance coverage. The “trigger” for this type of reinsurance contract would be losses in excess of the specified amount.

(i) ILW Notes ILW Notes provide exposure to a transaction through which one party (typically, an insurance company or reinsurance company, or a reinsurance-related asset manager) purchases protection based on the total loss arising from a catastrophic event to the entire insurance industry rather than the losses of any particular insurer. For example, the buyer of a “$100 million limit US Wind ILW attaching at $20 billion” will pay an upfront premium to a protection writer (i.e., the reinsurer or an SPV) and in return will receive $100 million if total losses to the insurance industry from a single US hurricane exceed $20 billion. The industry loss ($20 billion in this case) is often referred to as the “trigger” and is reported by an independent third party after an event has occurred. The amount of protection offered by the contract ($100 million in this case) is referred to as the “limit.” ILW Notes could also provide exposure to transactions linked to an index not linked to insurance industry losses, such as windspeed or earthquake magnitude and location. The Fund, as holder of an ILW Note, would be entitled to a return linked to the premium paid by the sponsor and the occurrence or non-occurrence of the trigger event.

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

(j) Distributions to Shareholders The Funds intend to distribute to their shareholders any net investment income and any net realized long- or short-term capital gains, if any, at least annually. Distributions are recorded on ex-dividend date. The Funds each may periodically make reclassifications among certain of their capital accounts as a result of the characterization of certain income and realized gains determined annually in accordance with federal tax regulations that may differ from GAAP.

(k) Foreign Securities and Currency Transactions The Funds’ books and records are maintained in U.S. dollars. Foreign currency denominated transactions (i.e. market value of investment securities, assets and liabilities, purchases and sales of investment securities, and income and expenses) are translated into U.S. dollars at the current rate of exchange. The Funds isolate that portion of results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held and it is reported as realized gains on currency translation and change in unrealized appreciation on foreign currency related items on the Funds’ statement of operations.

The Reinsurance Funds may invest in reinsurance-related securities issued by foreign sovereigns and foreign entities that are corporations, partnerships, trusts or other types of business entities. Because the majority of reinsurance-related security issuers are domiciled outside the United States, the Reinsurance Funds will normally invest significant amounts of their assets in non-U.S. entities. Accordingly, the Reinsurance Funds may invest without limitation in securities issued by non-U.S. entities, including those in emerging market countries. Certain SPVs in which the Funds invest may be sponsored by non-U.S. insurers that are not subject to the same regulation as that to which U.S. insurers are subject. Such SPVs may pose a greater risk of loss, for example due to less stringent underwriting and/or risk-retention requirements. The Reinsurance Funds’ investments will consist primarily of event-linked bonds, Quota Share Notes, Excess of Loss Notes and ILW Notes that provide the Reinsurance Funds with contractual rights under the terms of the bond issuance. While the contractual rights of such instruments are similar whether they are issued by a U.S. issuer or a non-U.S. issuer, there may be certain additional risks associated with non-U.S. issuers. For example, foreign issuers could be affected by factors not present in the U.S., including expropriation, confiscatory taxation, lack of uniform accounting and auditing standards, less publicly available financial and other information, potential difficulties in enforcing contractual obligations, and increased costs to enforce applicable contractual obligations outside the U.S. Fluctuations in foreign currency exchange rates and exchange controls may adversely affect the market value of the Reinsurance Funds investments in foreign securities. Settlements of securities transactions in foreign countries are subject to risk of loss, may be delayed and are generally less frequent than in the U.S., which could affect the liquidity of the Reinsurance Funds’ assets.

The International VRP Funds invest primarily in foreign issued securities. Investments in foreign (non-U.S.) issuers involve risks not ordinarily associated with exposure to securities and instruments of U.S. issuers, including risks relating to political, social and economic developments affecting issuers located in foreign countries and differences between U.S. and foreign regulatory requirements and market practices, including fluctuations in foreign currency exchange rates and regulations, or foreign withholding taxes. Investing directly or indirectly in foreign securities may result in the Fund experiencing more rapid and extreme changes in value than a fund that obtains exposure exclusively in securities of U.S. issuers.

If the Funds invest in foreign issuers by purchasing American Depositary Receipts (“ADRs”) (dollar-denominated depositary receipts issued generally by banks and representing the deposit with the bank of a security of a non-U.S. issuer; ADRs are publicly traded on exchanges or over-the counter in the United States), the Funds are exposed to credit risk with respect to the issuer of the ADR, in addition to the risks of the underlying foreign securities.

(l) Allocation of Income, Expenses, Gains/Losses Income, expenses (other than those deemed attributable to a specific share class), and gains and losses of each fund are allocated daily to each share class based upon the ratio of net assets represented by each class as a percentage of the net assets of each fund. Expenses deemed directly attributable to a class of shares are recorded by the specific class. Most expenses are allocated based on average net assets, with the exception of 12b-1 fees, which are expensed at 0.15% of average daily net assets of the Class M shares.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

(m) Other Investment transactions are recorded on the trade date. Dividend income, less any foreign tax withheld, is recognized on the ex-dividend date and interest income is recognized on an accrual basis, including amortization/accretion of premiums or discounts. Discounts and premiums on securities purchased are amortized over the lives of the respective securities using the constant yield method.

Net investment income, other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative NAV of outstanding shares of each class of shares at the beginning of the day.

(n) Restricted Securities The Funds may invest a substantial portion of their assets in securities that are restricted, but eligible for purchase and sale by certain qualified institutional buyers, as defined in Rule 144A under the Securities Act of 1933, as amended, as well as other restricted securities. Restricted securities may be resold in transactions that are exempt from registration under Federal securities laws or if the securities are publically registered. Restricted securities may be deemed illiquid.

(o) REIT Distributions The character of distributions received from real estate investment trusts (“REITs”) held by the Funds is generally comprised of net investment income, capital gains, and return of capital. It is the policy of the Funds to estimate the character of distributions received from underlying REITs based on historical data provided by the REITs. After each calendar year end, REITs report the actual tax character of these distributions. Differences between the estimated and actual amounts reported by the REITs are reflected in the Funds’ records in the year in which they are reported by the REITs by adjusting related investment cost basis, capital gains and income, as necessary.

3. Federal Tax Matters

Provisions for federal income taxes or excise taxes have not been made since the Funds have elected to be taxed as Regulated Investment Companies and intend to distribute substantially all taxable income to shareholders and otherwise comply with the provisions of the Internal Revenue Code applicable to Regulated Investment Companies. Distributions from net realized gains for book purposes may include short-term capital gains which are included as ordinary income to shareholders for tax purposes. Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. The reclassifications have no effect on net assets or NAV per share.

For the period ended October 31, 2015, the effect of permanent “book/tax” reclassifications resulted in increases and decreases to components of the Funds’ net assets as follows:

 

     UNDISTRIBUTED
NET INVESTMENT
INCOME/(LOSS)		      ACCUMULATED
NET REALIZED
GAIN/(LOSS)		      PAID IN
CAPITAL		  

Reinsurance Fund

    $ 8,406,704       $ (8,406,704 )     $ —   

High Yield Fund

      3,679,892         (3,679,892 )       —   

U.S. Large Cap VRP Fund

      7,146,770         (7,146,770 )       —   

U.S. Small Cap VRP Fund

      2,002,353         (2,002,353 )       —   

U.S. VRP Master Fund

      (109,668 )       109,668         —   

International Developed Markets VRP Fund

      2,420,989         (2,420,989 )       —   

Emerging Markets VRP Fund

      520,056         (2,957 )       (517,099 ) 

International VRP Master Fund

      1,776         (1,776 )       —   

Global Equity VRP Master Fund

      149,258         (123,587 )       (25,671 ) 

These differences primarily relate to foreign currency gains/losses, investments in passive foreign investment companies (“PFICs”), 1256 options contracts, and REIT adjustments and net operating losses.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

As of October 31, 2015, the components of accumulated earnings (losses) for income tax purposes were as follows:

 

    REINSURANCE
FUND		     HIGH YIELD
FUND		     U.S. LARGE
CAP VRP
FUND		     U.S. SMALL
CAP VRP
FUND		     U.S. VRP
MASTER
FUND		     INTERNATIONAL
DEVELOPED
MARKETS VRP
FUND		     EMERGING
MARKETS
VRP FUND		     INTERNATIONAL
VRP MASTER
FUND		     GLOBAL
EQUITY
VRP
MASTER
FUND		  

Tax cost of investments

   $ 1,022,524,235      $ 494,586,210      $ 372,580,039      $ 130,891,033      $ 187,525,717      $ 111,532,807      $ 51,152,828      $ 30,365,581      $ 48,090,462   

Unrealized appreciation

     31,845,049        17,707,376        12,308,627        1,024,674        11,481,798        36,834        87,727        447,987        1,088,009   

Unrealized depreciation

     (36,659,607 )      (19,534,856 )      (4,165,434 )      (507,785 )      (374,390 )      (154,270 )      (143,959 )      (1,349,500 )      (848,238 ) 

Net unrealized appreciation (depreciation)

     (4,814,558 )      (1,827,480 )      8,143,193        516,889        11,107,408        (117,436 )      (56,232 )      (901,513 )      239,771   

Undistributed ordinary income

     35,648,289        17,251,265        —        —        —        —        —        —        368,786   

Undistributed long-term gains

     —        —        20,542,299        5,009,074        2,575,765        1,803,609        —        —        330,571   

Total distributable earnings

     35,648,289        17,251,265        20,542,299        5,009,074        2,575,765        1,803,609        —        —        699,357   

Other accumulated loss

     (6,302,512 )      (1,864,712 )      (2,885,925 )      (1,667,703 )      —        (705,331 )      (5,221,249 )      (39,251 )      —   

Total accumulated earnings

   $ 24,531,219      $ 13,559,073      $ 25,799,567      $ 3,858,260      $ 13,683,173      $ 980,842      $ (5,277,481 )    $ (940,764 )    $ 939,128   

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to mark-to-market adjustments on PFICs, wash sales, and return of capital from underlying investments.

The tax character of distributions paid during the period ended October 31, 2015 was as follows:

 

     ORDINARY
INCOME		      LONG-TERM
CAPITAL GAIN		      RETURN OF
CAPITAL		      TOTAL  

Reinsurance Fund

    $ 59,717,142       $ —       $ —       $ 59,717,142   

High Yield Fund

      29,047,570         —         —         29,047,570   

U.S. Large Cap VRP Fund

      4,016,372         5,922,854         —         9,939,226   

U.S. Small Cap VRP Fund

      1,263,965         30,192         —         1,294,157   

U.S. VRP Master Fund

      1,958,774         5,859,060         —         7,817,834   

International Developed Markets VRP Fund

      858,815         —         —         858,815   

Emerging Markets VRP Fund

      —         —         454,169         454,169   

International VRP Master Fund

      129,251         3,352         104,975         237,578   

Global Equity VRP Master Fund

      315,599         —         —         315,599   

The tax character of distributions paid during the period ended October 31, 2014 was as follows:

 

     ORDINARY
INCOME		      LONG-TERM
CAPITAL GAIN		      RETURN OF
CAPITAL		      TOTAL  

Reinsurance Fund

    $ 32,322,188       $ —       $ —       $ 32,322,188   

High Yield Fund

      15,946,420         —         —         15,946,420   

U.S. Large Cap VRP Fund

      11,465,960         18,337,807         —         29,803,767   

U.S. Small Cap VRP Fund

      1,248,628         7,574,243         1,855,724         10,678,595   

U.S. VRP Master Fund

      5,267,297         7,266,372         —         12,533,669   

International Developed Markets VRP Fund

      1,366,795         115,567         1,234,422         2,716,784   

Emerging Markets VRP Fund

      1,336,027         —         37,668         1,373,695   

International VRP Master Fund

      566,265         25,017         242,263         833,545   

 

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At October 31, 2015 certain Funds have tax basis capital losses which may be carried forward indefinitely to offset future capital gains as shown below:

 

     SHORT-TERM      LONG-TERM      TOTAL  

Reinsurance Fund

    $ (1,276,403 )     $ (10,309,297 )     $ (11,585,700 ) 

High Yield Fund

      (385,785 )       (4,497,842 )       (4,883,627 ) 

U.S. Large Cap VRP Fund

      —         —         —   

U.S. Small Cap VRP Fund

      —         —         —   

U.S. VRP Master Fund

      —         —         —   

International Developed Markets VRP Fund

      —         —         —   

Emerging Markets VRP Fund

      (4,421,345 )       (16,023 )       (4,437,368 ) 

International VRP Master Fund

      —         —         —   

Global Equity VRP Master Fund

      —         —         —   

To the extent that the Funds listed above may realize future net capital gains, those gains will be offset by any of their unused respective capital loss carryforwards.

At October 31, 2015 certain Funds deferred, on a tax basis, ordinary late-year losses. These losses are deemed to arise on November 1, 2015.

 

        

Reinsurance Fund

    $ —   

High Yield Fund

      —   

U.S. Large Cap VRP Fund

      (2,348,924 ) 

U.S. Small Cap VRP Fund

      (1,594,557 ) 

U.S. VRP Master Fund

      —   

International Developed Markets VRP Fund

      (664,737 ) 

Emerging Markets VRP Fund

      (698,117 ) 

International VRP Master Fund

      (39,251 ) 

Global Equity VRP Master Fund

      —   

There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax return for the fiscal period-end October 31, 2015, or for any other tax years which are open for exam. As of October 31, 2015 open tax years include the periods ended October 31, 2014 and 2015. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the period, the Funds did not incur any interest or penalties.

4. Agreements

(a) Investment Advisory Agreement Stone Ridge Asset Management LLC (“Stone Ridge” or the “Adviser”) is the Funds’ investment adviser. The Adviser was organized as a Delaware limited liability company in 2012. Its primary place of business is at 510 Madison Avenue, 21st Floor, New York, NY 10022. The Adviser’s primary business is to provide a variety of investment management services, including an investment program for the Funds. The Adviser is responsible for all business activities and oversight of the investment decisions made for the Funds.

As compensation for its services, the Adviser is paid by each of the Reinsurance Funds a fee, computed daily and paid monthly in arrears, at the annual rate of 1.50% of each such Fund’s average daily net assets. As compensation for its services, the Adviser is paid by each of the U.S. VRP Funds and International VRP Funds a fee, computed daily and paid monthly in arrears, at the annual rate of 1.25% of that Fund’s average daily net assets. The U.S. VRP Master Fund, International VRP Master Fund and the Global Equity VRP Master Fund do not pay an advisory fee to the Adviser.

Through February 28, 2017 for the Reinsurance Funds, U.S. VRP Funds, and the International VRP Portfolio of Funds, the Adviser has agreed to waive its management fee and/or pay or otherwise bear operating and other expenses of certain funds or classes thereof (excluding brokerage and transactional expenses, borrowing and other investment-related costs and fees including interest and commitment fees, short dividend expense, acquired fund fees and expenses, taxes, litigation and indemnification expenses, judgments and extraordinary expenses not incurred in the

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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ordinary course of the Funds’ business) solely to the extent necessary to limit the Funds’ total annual fund operating expenses to 2.00% for Class I shares and 2.15% for Class M shares of each of the Reinsurance Funds, 1.75% for the Class I and 1.90% for the Class M shares of each of the U.S. VRP Funds and the International Developed Markets VRP Fund, 1.80% for the Class I and 1.95% for the Class M shares of the Emerging Markets VRP Fund, and 0.25% for the Class I and 0.40% for the Class M shares of the International VRP Master Fund and the Global Equity VRP Master Fund. With respect to each Fund, the Adviser is permitted to recoup in later periods expenses attributable to a Class that the Adviser has paid or otherwise borne (whether through reduction of its management fee or otherwise) to the extent that the expenses for the Class of shares fall below the annual limitation rate in effect at the time of the actual waiver/reimbursement and to the extent that they do not cause the Class to exceed the annual rate in effect at the time of the recoupment; provided, however, that the Adviser shall not be permitted to recoup any such fees or expenses beyond three years from the end of the fiscal year in which the Adviser reduced a fee or reimbursed an expense. As of April 30, 2016, the Adviser has waived and may recoup fees as follows:

 

FUND   REMAINING AMOUNT
TO BE RECOUPED
(EXPIRING
OCTOBER 31, 2017)		     REMAINING AMOUNT
TO BE RECOUPED
(EXPIRING
OCTOBER 31, 2018)		     REMAINING AMOUNT
TO BE RECOUPED
(EXPIRING
OCTOBER 31, 2019)		  

Reinsurance Fund

   $ —      $ —      $ —   

High Yield Fund

     —        —        —   

U.S. Large Cap VRP Fund

     —        —        —   

U.S. Small Cap VRP Fund

     —        —        —   

International Developed Markets VRP Fund

     (8,786 )      (126 )      —   

Emerging Markets VRP Fund

     (169,137 )      (147,055 )      (15,364 ) 

International VRP Master Fund

     (104,477 )      (61,235 )      (29,013 ) 

Global Equity VRP Master Fund

     —        (125,491 )      (28,233 ) 

(b) Custodian, Administrator and Transfer Agent The custodian to the Trust is U.S. Bank, N.A. The administrator and transfer agent to the Trust is U.S. Bancorp Fund Services, LLC, an affiliate of U.S. Bank, N.A.

(c) Distributor Quasar Distributors, LLC (the “Distributor”), an affiliate of U.S. Bank, N.A., serves as the Funds’ distributor.

5. Distribution Plan

The Funds pay fees to the Distributor, on an ongoing basis as compensation for the services the Distributor renders and the expenses it bears in connection with the sale and distribution of Class M shares (“distribution fees”) and/or in connection with personal services rendered to Class M shareholders and the maintenance of shareholder accounts (“servicing fees”). These payments are made pursuant to a Distribution and Servicing Plan (“12b-1 Plan”) adopted by each Fund pursuant to Rule 12b-1 under the 1940 Act. The maximum annual rate at which the distribution and/or servicing fees may be paid under the 12b-1 Plan is 0.15% of each Fund’s average daily net assets attributable to the Class M Shares. Because 12b-1 fees are paid out of a Fund’s assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than other types of sales charges.

6. Offering Costs

Offering costs include state registration fees and legal fees regarding the preparation of the initial registration statement. Offering costs are accounted for as deferred costs until operations begin and are then amortized to expense over twelve months on a straight-line basis. These offering expenses were advanced by the Adviser, subject to potential recovery (see Note 4). The offering costs incurred by the Global Equity VRP Master Fund were $99,406.

7. Related Parties

Certain officers of the Trust are also employees of the Adviser. The Officers, with the exception of a portion of the Chief Compliance Officer’s salary, are not compensated by the Trust.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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8. Investment Transactions

For the period ended April 30, 2016, aggregate purchases and sales of securities (excluding short-term securities) by the Funds were as follows:

 

    REINSURANCE
FUND		     HIGH YIELD
FUND		     U.S. LARGE CAP
VRP FUND		     U.S. SMALL CAP
VRP FUND		     U.S. VRP MASTER
FUND		     INTERNATIONAL
DEVELOPED
MARKETS VRP
FUND		     EMERGING
MARKETS VRP
FUND		     INTERNATIONAL
VRP MASTER
FUND		     GLOBAL EQUITY
VRP MASTER
FUND		  

Purchases

     $205,834,688        $66,556,649        $1,257,018        $—        $43,050,000        $547,863        $398,675        $1,913,591        $6,000,000   

Sales

     136,990,605        65,629,556        16,899,692        —        14,250,000        464,880        366,412        1,850,000        11,150,000   

U.S. Government Security Purchases

     —        —        —        —        —        —        —        —        —   

U.S. Government Security Sales

     —        —        —        —        —        —        —        —        —   

9. Capital Share Transactions

 

REINSURANCE FUND - CLASS I    PERIOD ENDED
APRIL 30, 2016		      YEAR ENDED
OCTOBER 31, 2015		  

Shares sold

      21,632,299         38,011,654   

Shares issued to holders in reinvestment of dividends

      3,228,766         3,544,319   

Shares redeemed

      (12,152,485 )       (14,877,808 ) 

Net increase in shares

      12,708,580         26,678,165   

Shares outstanding:

      

Beginning of period

      78,789,436         52,111,271   

End of period

      91,498,016         78,789,436   
     
REINSURANCE FUND - CLASS M              

Shares sold

      4,582,092         10,849,404   

Shares issued to holders in reinvestment of dividends

      852,713         1,473,234   

Shares redeemed

      (5,441,049 )       (13,637,754 ) 

Net decrease in shares

      (6,244 )       (1,315,116 ) 

Shares outstanding:

      

Beginning of period

      20,383,881         21,698,997   

End of period

      20,377,637         20,383,881   
     
HIGH YIELD FUND - CLASS I              

Shares sold

      6,142,346         21,055,054   

Shares issued to holders in reinvestment of dividends

      1,993,857         2,087,474   

Shares redeemed

      (7,723,203 )       (5,247,057 ) 

Net increase in shares

      413,000         17,895,471   

Shares outstanding:

      

Beginning of period

      42,037,555         24,142,084   

End of period

      42,450,555         42,037,555   
     
HIGH YIELD FUND - CLASS M              

Shares sold

      1,458,606         1,947,035   

Shares issued to holders in reinvestment of dividends

      255,546         508,817   

Shares redeemed

      (931,550 )       (3,551,850 ) 

Net increase (decrease) in shares

      782,602         (1,095,998 ) 

Shares outstanding:

      

Beginning of period

      5,695,629         6,791,627   

End of period

      6,478,231         5,695,629   

 

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U.S. LARGE CAP VRP FUND - CLASS I    PERIOD ENDED
APRIL 30, 2016		      YEAR ENDED
OCTOBER 31, 2015		  

Shares sold

      3,858,248         8,498,041   

Shares issued to holders in reinvestment of dividends

      586,798         230,243   

Shares redeemed

      (2,010,647 )       (11,623,906 ) 

Net increase (decrease) in shares

      2,434,399         (2,895,622 ) 

Shares outstanding:

      

Beginning of period

      26,211,959         29,107,581   

End of period

      28,646,358         26,211,959   
     
U.S. LARGE CAP VRP FUND - CLASS M              

Shares sold

      774,703         1,146,747   

Shares issued to holders in reinvestment of dividends

      448,110         259,516   

Shares redeemed

      (1,029,035 )       (3,625,240 ) 

Net increase (decrease) in shares

      193,778         (2,218,977 ) 

Shares outstanding:

      

Beginning of period

      8,608,805         10,827,782   

End of period

      8,802,583         8,608,805   
     
U.S. SMALL CAP VRP FUND - CLASS I              

Shares sold

      2,437,658         4,798,685   

Shares issued to holders in reinvestment of dividends

      147,717         32,482   

Shares redeemed

      (1,278,714 )       (5,536,922 ) 

Net increase (decrease) in shares

      1,306,661         (705,755 ) 

Shares outstanding:

      

Beginning of period

      10,823,869         11,529,624   

End of period

      12,130,530         10,823,869   
     
U.S. SMALL CAP VRP FUND - CLASS M              

Shares sold

      121,970         562,120   

Shares issued to holders in reinvestment of dividends

      58,961         12,874   

Shares redeemed

      (194,770 )       (332,477 ) 

Net increase (decrease) in shares

      (13,839 )       242,517   

Shares outstanding:

      

Beginning of period

      1,633,492         1,390,975   

End of period

      1,619,653         1,633,492   
     
U.S. VRP MASTER FUND - CLASS I              

Shares sold

      3,840,835         6,710,245   

Shares issued to holders in reinvestment of dividends

      89,501         196,515   

Shares redeemed

      (1,074,075 )       (8,971,583 ) 

Net increase (decrease) in shares

      2,856,261         (2,064,823 ) 

Shares outstanding:

      

Beginning of period

      13,619,938         15,684,761   

End of period

      16,476,199         13,619,938   

 

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U.S. VRP MASTER FUND - CLASS M    PERIOD ENDED
APRIL 30, 2016		      YEAR ENDED
OCTOBER 31, 2015		  

Shares sold

      450,118         1,202,672   

Shares issued to holders in reinvestment of dividends

      51,658         238,071   

Shares redeemed

      (1,214,546 )       (6,766,022 ) 

Net decrease in shares

      (712,770 )       (5,325,279 ) 

Shares outstanding:

      

Beginning of period

      4,964,046         10,289,325   

End of period

      4,251,276         4,964,046   
     
INTERNATIONAL DEVELOPED MARKETS VRP FUND - CLASS I              

Shares sold

      1,074,063         5,358,629   

Shares issued to holders in reinvestment of dividends

      125,097         58,485   

Shares redeemed

      (1,310,598 )       (2,448,123 ) 

Net increase (decrease) in shares

      (111,438 )       2,968,991   

Shares outstanding:

      

Beginning of period

      9,107,360         6,138,369   

End of period

      8,995,922         9,107,360   
     
INTERNATIONAL DEVELOPED MARKETS VRP FUND - CLASS M              

Shares sold

      333,177         330,924   

Shares issued to holders in reinvestment of dividends

      34,531         18,787   

Shares redeemed

      (135,381 )       (161,065 ) 

Net increase in shares

      232,327         188,646   

Shares outstanding:

      

Beginning of period

      2,127,375         1,938,729   

End of period

      2,359,702         2,127,375   
     
EMERGING MARKETS VRP FUND - CLASS I              

Shares sold

      720,245         2,884,018   

Shares issued to holders in reinvestment of dividends

      —         36,793   

Shares redeemed

      (554,902 )       (1,193,694 ) 

Net increase in shares

      165,343         1,727,117   

Shares outstanding:

      

Beginning of period

      5,360,877         3,633,760   

End of period

      5,526,220         5,360,877   
     
EMERGING MARKETS VRP FUND - CLASS M              

Shares sold

      11,706         192,090   

Shares issued to holders in reinvestment of dividends

      —         3,275   

Shares redeemed

      (10,457 )       (218,445 ) 

Net increase (decrease) in shares

      1,249         (23,080 ) 

Shares outstanding:

      

Beginning of period

      349,483         372,563   

End of period

      350,732         349,483   

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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INTERNATIONAL VRP MASTER FUND - CLASS I    PERIOD ENDED
APRIL 30, 2016		      YEAR ENDED
OCTOBER 31, 2015		  

Shares sold

      678,725         635,342   

Shares issued to holders in reinvestment of dividends

      —         5,818   

Shares redeemed

      (133,917 )       (250,171 ) 

Net increase in shares

      544,808         390,989   

Shares outstanding:

      

Beginning of period

      1,002,521         611,532   

End of period

      1,547,329         1,002,521   
     
INTERNATIONAL VRP MASTER FUND - CLASS M              

Shares sold

      35,225         326,637   

Shares issued to holders in reinvestment of dividends

      —         14,737   

Shares redeemed

      (606,045 )       (248,131 ) 

Net increase (decrease) in shares

      (570,820 )       93,243   

Shares outstanding:

      

Beginning of period

      2,093,659         2,000,416   

End of period

      1,522,839         2,093,659   
     
GLOBAL EQUITY VRP MASTER FUND - CLASS I(1)    PERIOD ENDED
APRIL 30, 2016		      PERIOD ENDED
OCTOBER 31, 2015		  

Shares sold

      307,412         7,268,519   

Shares issued to holders in reinvestment of dividends

      54,025         29,508   

Shares redeemed

      (979,103 )       (3,433,820 ) 

Net increase (decrease) in shares

      (617,666 )       3,864,207   

Shares outstanding:

      

Beginning of period

      3,864,207         —   

End of period

      3,246,541         3,864,207   
     
GLOBAL EQUITY VRP MASTER FUND - CLASS M(1)              

Shares sold

      111,735         1,075,302   

Shares issued to holders in reinvestment of dividends

      12,844         1,560   

Shares redeemed

      (118,557 )       (135,787 ) 

Net increase in shares

      6,022         941,075   

Shares outstanding:

      

Beginning of period

      941,075         —   

End of period

      947,097         941,075   

 

(1) Commenced operations on November 14, 2014.

 

  Stone Ridge Funds       Semi-Annual Report       April 30, 2016   
                

 

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10. Transactions with Affiliates

The following issuers are affiliated with the Funds; that is, the Adviser had control of 5% or more of the outstanding voting securities during the period ended April 30, 2016. As defined in Section (2)(a)(3) of the 1940 Act; such issuers are:

 

     U.S. VRP Master Fund         International VRP Master Fund  
     U.S. Large
Cap VRP
Fund—Class I		      U.S. Small
Cap VRP
Fund—Class I		      Total         International
Developed
Markets VRP
Fund—Class I		      Emerging
Markets VRP
Fund—Class I		      Total  
November 1, 2015 Balance                   

Shares

      12,131,783         6,335,380             1,964,223         1,094,382      

Cost

    $ 123,295,893       $ 64,421,375       $ 187,717,268        $ 19,534,671       $ 10,673,961       $ 30,208,632   
Additions                   

Shares

      2,574,606         1,766,232             143,153         71,039      

Cost

    $ 25,950,000       $ 17,100,000           $ 1,313,590       $ 600,000      
Reductions                   

Shares

      657,557         776,491             101,048         107,216      

Cost

    $ 7,012,042       $ 8,032,948           $ 1,013,881       $ 1,074,085      
April 30, 2016 Balance                   

Shares

      14,048,832         7,325,121             2,006,328         1,058,205      

Cost

    $ 142,233,851       $ 73,488,427       $ 215,722,278        $ 19,834,380       $ 10,199,876       $ 30,034,256   

Value

    $ 143,860,038       $ 71,786,186       $ 215,646,224        $ 18,438,154       $ 9,269,874       $ 27,708,028   

Dividend Income

    $ —       $ —       $ —        $ —       $ —       $ —   

Realized Gain/(Loss)

    $ 6,791,789 (1)     $ 2,142,991 (2)     $ 8,934,780        $ 249,710 (3)     $ (174,085 )     $ 75,625   

 

     Global Equity VRP Master Fund  
     U.S. Large
Cap VRP
Fund—Class I		      U.S. Small
Cap VRP
Fund—Class I		      International
Developed
Markets VRP
Fund—Class I		      Emerging
Markets VRP
Fund—Class I		      Total  
November 1, 2015 Balance               

Shares

      1,476,076         772,609         1,611,440         894,277      

Cost

    $ 15,579,655       $ 7,799,142       $ 15,742,697       $ 8,596,431       $ 47,717,925   
Additions               

Shares

      148,694         93,383         175,070         234,750      

Cost

    $ 1,500,000       $ 900,000       $ 1,600,000       $ 2,000,000      
Reductions               

Shares

      310,739         183,633         332,524         360,906      

Cost

    $ 3,295,981       $ 1,882,641       $ 3,288,099       $ 3,561,170      
April 30, 2016 Balance               

Shares

      1,314,031         682,359         1,453,986         768,121      

Cost

    $ 13,783,674       $ 6,816,501       $ 14,054,598       $ 7,035,261       $ 41,690,034   

Value

    $ 13,455,680       $ 6,687,118       $ 13,362,131       $ 6,728,736       $ 40,233,665   
Dividend Income    $ —       $ —       $ —       $ —       $ —   
Realized Gain/(Loss)    $ 727,546 (4)     $ 223,198 (5)     $ 120,492 (6)     $ (511,170 )     $ 560,066   

 

(1) Includes $7,203,831 of long-term capital gain distributions.
(2) Includes $2,525,940 of long-term capital gain distributions.
(3) Includes $313,591 of long-term capital gain distributions.
(4) Includes $873,527 of long-term capital gain distributions.
(5) Includes $305,839 of long-term capital gain distributions.
(6) Includes $258,591 of long-term capital gain distributions.

11. Beneficial Ownership

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. At April 30, 2016, U.S. VRP Master Fund held, for the benefit of its shareholders, 38% of the U.S. Large Cap VRP Fund and 53% of the U.S. Small Cap VRP Fund. The International VRP Master Fund held, for the benefit of its shareholders, 18% of the International Developed Markets VRP Fund and 18% of the Emerging Markets VRP Fund. The Global Equity VRP Master Fund held, for the benefit of its shareholders, 4% of the U.S. Large Cap VRP Fund, 5% of the U.S. Small Cap VRP Fund, 13% of the International Developed Markets VRP Fund and 13% of the Emerging Markets VRP Fund.

 

 

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Notes to Financial Statements   April 30, 2016 (Unaudited)

 

12. Financing Facility

Each of the Reinsurance Funds may obtain leverage through borrowings in seeking to achieve their investment objectives. During the period ended April 30, 2016, the Reinsurance Fund and High Yield Fund established a 29-day rolling financing facility for $50,000,000 and $20,000,000 respectively (the “Facility”). The Facility, when drawn, is secured by the Fund’s assets, particularly catastrophe bonds which are posted as collateral. The High Yield Fund’s maximum borrowing was $5,000,000 and average borrowing was $1,826,923. This borrowing resulted in interest expenses of $5,125 at a weighted average interest rate of 1.94%. These amounts are included in Other Expenses on the High Yield Fund’s Statement of Operations. The Reinsurance Fund did not draw on its Facility. As of April 30, 2016 the outstanding drawn amount for both the Reinsurance Fund and High Yield Fund was $0.

13. Subsequent Events Evaluation

In preparing these financial statements, the Funds have evaluated events and transactions for potential recognition or disclosure resulting from subsequent events through the date the financial statements were available to be issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

 

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Expense Examples (Unaudited)    

As a shareholder of the Stone Ridge Funds ( each a “Fund”, together the “Funds”), you incur ongoing costs, including investment advisory fees, distribution and/or shareholder servicing fees, and other Fund expenses, which are indirectly paid by shareholders. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held the entire period from November 1, 2015 through April 30, 2016.

Actual Expenses

The first line of each of the tables below provides information about actual account values and actual expenses. However, the table does not include shareholder specific fees, such as the $15.00 fee charged for wire redemptions by the Funds’ transfer agent. The table also does not include portfolio trading commissions and related trading costs. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

Hypothetical Example For Comparison Purposes

The second line on each table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratios for each share class of the Funds and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other fund. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relevant total cost of owning different funds.

Stone Ridge Reinsurance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 1,023.30         $ 8.35   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,016.61         $ 8.32   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.66%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Reinsurance Risk Premium Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 1,022.50         $ 9.10   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,015.86         $ 9.07   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.81%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

 

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Stone Ridge High Yield Reinsurance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 1,024.20         $ 8.51   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,016.46         $ 8.47   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.69%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge High Yield Reinsurance Risk Premium Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 1,023.50         $ 9.26   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,015.71         $ 9.22   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.84%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge U.S. Large Cap Variance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 994.50         $ 7.49   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,017.35         $ 7.57   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.51%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge U.S. Large Cap Variance Risk Premium Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 993.50         $ 8.23   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,016.61         $ 8.32   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.66%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

 

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Stone Ridge U.S. Small Cap Variance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 974.20         $ 7.76   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,017.01         $ 7.92   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.58%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge U.S. Small Cap Variance Risk Premium Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 973.20         $ 8.49   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,016.26         $ 8.67   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.73%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge U.S. Variance Risk Premium Master Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 986.80         $ 0.59   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,024.27         $ 0.60   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.12%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge U.S. Variance Risk Premium Master Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 986.80         $ 1.33   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,023.52         $ 1.36   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.27%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

 

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Stone Ridge International Developed Markets Variance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 940.90         $ 9.70   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,014.87         $ 10.07   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 2.01%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge International Developed Markets Variance Risk Premium Fund — Class M

 

      

BEGINNING

ACCOUNT
VALUE

NOVEMBER 1, 2015

        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 939.80         $ 10.42   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,014.12         $ 10.82   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 2.16%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Emerging Markets Variance Risk Premium Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 992.10         $ 8.92   

Hypothetical (5% annual return before expenses)

     

$

1,000.00

  

      $ 1,015.91         $ 9.02   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.80%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Emerging Markets Variance Risk Premium Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 990.90         $ 9.65   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,015.17         $ 9.77   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 1.95%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

 

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Stone Ridge International Variance Risk Premium Master Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 956.90         $ 1.22   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,023.62         $ 1.26   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.25%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge International Variance Risk Premium Master Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 955.80         $ 1.95   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,022.87         $ 2.01   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Global Equity Variance Risk Premium Master Fund — Class I

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 971.20         $ 1.23   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,023.62         $ 1.26   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.25%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Global Equity Variance Risk Premium Master Fund — Class M

 

       BEGINNING
ACCOUNT
VALUE
NOVEMBER 1, 2015		        ENDING
ACCOUNT
VALUE
APRIL 30, 2016		        EXPENSES
PAID DURING
PERIOD*
NOVEMBER 1, 2015 –
APRIL 30, 2016		  

Actual

      $ 1,000.00         $ 971.20         $ 1.96   

Hypothetical (5% annual return before expenses)

      $ 1,000.00         $ 1,022.87         $ 2.01   

 

* Expenses are equal to the Fund’s annualized six-month expense ratio of 0.40%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

 

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Additional Information (Unaudited)    

1. Shareholder Notification of Federal Tax Status

For the fiscal period ended October 31, 2015, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

     PERCENTAGES  

Reinsurance Fund

      0.00%   

High Yield Fund

      0.00%   

U.S. Large Cap VRP Fund

      21.75%   

U.S. Small Cap VRP Fund

      0.97%   

U.S. VRP Master Fund

      17.65%   

International Developed Markets VRP Fund

      2.86%   

Emerging Markets VRP Fund

      0.00%   

International VRP Master Fund

      3.76%   

Global Equity VRP Master Fund

      4.29%   

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal period ended October 31, 2015 was as follows:

 

     PERCENTAGES  

Reinsurance Fund

      0.00%   

High Yield Fund

      0.00%   

U.S. Large Cap VRP Fund

      21.21%   

U.S. Small Cap VRP Fund

      0.97%   

U.S. VRP Master Fund

      17.22%   

International Developed Markets VRP Fund

      0.00%   

Emerging Markets VRP Fund

      0.00%   

International VRP Master Fund

      0.00%   

Global Equity VRP Master Fund

      3.71%   

For the period ended October 31, 2015, the Funds designated the following percent of ordinary distributions paid as interest-related dividends under the Internal Revenue Code Section 871(k)(1)(c):

 

     PERCENTAGES  

Reinsurance Fund

      0.00%   

High Yield Fund

      0.00%   

U.S. Large Cap VRP Fund

      0.51%   

U.S. Small Cap VRP Fund

      0.60%   

U.S. VRP Master Fund

      0.00%   

International Developed Markets VRP Fund

      1.39%   

Emerging Markets VRP Fund

      0.00%   

International VRP Master Fund

      0.05%   

Global Equity VRP Master Fund

      0.02%   

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for each Fund were as follows:

 

     PERCENTAGES  

Reinsurance Fund

      0.00%   

High Yield Fund

      0.00%   

U.S. Large Cap VRP Fund

      100.00%   

U.S. Small Cap VRP Fund

      100.00%   

U.S. VRP Master Fund

      0.00%   

International Developed Markets VRP Fund

      100.00%   

Emerging Markets VRP Fund

      100.00%   

International VRP Master Fund

      13.79%   

Global Equity VRP Master Fund

      56.91%   

Shareholders should not use the above information to prepare their tax returns. Since each Fund’s fiscal year is not the calendar year, another notification will be made available with respect to calendar year 2015. Such notification, which will

 

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Additional Information (Unaudited)    

 

reflect the amount to be used by calendar year taxpayers on their Federal income tax returns, will be made in conjunction with Form 1099-DIV and will be made available in February on the Funds’ website, www.stoneridgefunds.com. Shareholders are advised to consult their own tax advisors with respect to the tax consequences of their investment in each of the Funds.

2. Availability of Quarterly Portfolio Holdings Schedules

The Funds are required to file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q is available without charge on the SEC’s website (http://www.sec.gov) and may be available by calling 1.855.609.3680. You may also obtain copies at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1.800.SEC.0330.

3. Proxy Voting Policies and Procedures and Proxy Voting Record

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge by calling 1.855.609.3680 and on the SEC’s website (http://www.sec.gov). The Funds are required to file how they voted proxies related to portfolio securities during the most recent 12-month period ended June 30. The information is available without charge, upon request by calling 1.855.609.3680 and on the SEC’s website (http://www.sec.gov).

 

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Investment Adviser

Stone Ridge Asset Management LLC

510 Madison Avenue, 21st Floor

New York, NY 10022

Independent Registered Public Accounting Firm

Ernst & Young LLP

5 Times Square

New York, NY 10036

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199

Custodian

U.S. Bank, N.A.

1555 North RiverCenter Drive, Suite 302

Milwaukee, WI 53212

Distributor

Quasar Distributors, LLC

615 East Michigan Street

Milwaukee, WI 53202

Administrator, Transfer Agent and Dividend Disbursing Agent

U.S. Bancorp Fund Services, LLC

615 East Michigan Street

Milwaukee, WI 53202

Table of Contents

 

 

 

 

LOGO                                                                SQSEMI

Table of Contents

Item 2. Code of Ethics.

Not applicable for semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable for semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable for semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).

Item 6. Investments.

 

(a) Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b) Not applicable.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

Not applicable to open-end investment companies.

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

Not Applicable.

Item 11. Controls and Procedures.

 

(a)

The Registrant’s President and Treasurer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940

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  (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

 

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a) (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Incorporated by reference to previous Form N-CSR filing.

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(3) Any written solicitation to purchase securities under Rule 23c -1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(b) Certifications pursuant to Section 906 of the Sarbanes -Oxley Act of 2002. Furnished herewith.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

(Registrant)

  

Stone Ridge Trust

By (Signature and Title)*

   /s/ Ross Stevens
  Ross Stevens, President

Date

   7/6/16

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*

   /s/ Ross Stevens
  Ross Stevens, President

Date

   7/6/16

 

By (Signature and Title)*

   /s/ Patrick Kelly
  Patrick Kelly, Treasurer

Date

   7/6/16

 

* Print the name and title of each signing officer under his or her signature.