UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-23018

Investment Company Act file number

Stone Ridge Trust III

(Exact name of registrant as specified in charter)

510 Madison Avenue, 21^st Floor

New York, New York 10022

(Address of principal executive offices) (Zip code)

Stone Ridge Asset Management LLC

510 Madison Avenue, 21^st 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, 2020

Date of reporting period: April 30, 2020

Item 1. Reports to Stockholders.

Semi-Annual Report

April 30, 2020

Unaudited

Stone Ridge All Asset Variance Risk Premium Fund

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary or, if you invest directly through the Fund’s transfer agent, U.S. Bancorp Fund Services, LLC (the “Transfer Agent”), from the Transfer Agent. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications electronically by contacting your financial intermediary.

You may elect to receive all future reports in paper free of charge by contacting your financial intermediary or, if you invest directly through the Transfer Agent, by contacting the Transfer Agent at (855) 609-3680. Your election to receive reports in paper will apply to all funds held in your account if you invest through a financial intermediary or all funds within the fund complex if you invest directly through the Transfer Agent.

Table of Contents

Portfolio Holdings Presentation (Unaudited)	2
Consolidated Schedule of Investments (Unaudited)	3
Consolidated Financial Statements and Notes (Unaudited)	19
Expense Example (Unaudited)	34
Additional Information (Unaudited)	35

ALLOCATION OF PORTFOLIO HOLDINGS AT APRIL 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND PORTFOLIO ALLOCATION BY ASSET TYPE
Purchased Options	$7,382,530		2.1%
Short-Term Investments	442,651,519		126.4%
Liabilities in Excess of Other Assets(1)	(99,865,490	)	(28.5%	)
Total Net Assets	$350,168,559

(1) Cash, cash equivalents and other assets less liabilities.

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

2

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
PURCHASED OPTIONS - 2.1%
Call Options - 1.3%
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $25.25		75	$	1,986,000	$	268,500
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $25.50		25		662,000		85,750
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $25.75		50		1,324,000		165,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $26.00		25		662,000		79,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $26.25		100		2,648,000		303,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $26.50		25		662,000		72,500
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $26.75		75		1,986,000		208,500
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $27.00		25		662,000		66,250
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $27.25		50		1,324,000		126,500
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $27.50		50		1,324,000		121,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $27.75		100		2,648,000		230,000
Gold 100 Oz Future, June 2020 Settlement, Expires: 05/26/20, Strike Price: $2,450.00		8		1,355,360		80
Gold 100 Oz Future, June 2020 Settlement, Expires: 05/26/20, Strike Price: $2,500.00		22		3,727,240		220
Gold 100 Oz Future, June 2020 Settlement, Expires: 05/26/20, Strike Price: $3,000.00		1,983		335,959,860		19,830
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $28.50		5		374,325		150
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $28.75		175		13,101,375		5,250
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $29.00		349		26,127,885		10,470
Silver Future, July 2020 Settlement, Expires: 06/25/20, Strike Price: $47.50		20		1,497,300		400
Silver Future, July 2020 Settlement, Expires: 06/25/20, Strike Price: $48.00		15		1,122,975		300
Silver Future, July 2020 Settlement, Expires: 06/25/20, Strike Price: $48.25		12		898,380		240
Silver Future, July 2020 Settlement, Expires: 06/25/20, Strike Price: $49.00		1		74,865		20
Silver Future, July 2020 Settlement, Expires: 06/25/20, Strike Price: $50.00		52		3,892,980		1,040
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $515.00		200		5,242,500		211,250
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $520.00		75		1,965,938		68,906
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $525.00		275		7,208,438		218,281
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $530.00		225		5,897,813		153,281
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $535.00		195		5,111,438		112,125
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $540.00		75		1,965,938		36,563
WTI Crude Future, June 2020 Settlement, Expires: 05/14/20, Strike Price: $16.00		115		2,166,600		543,950
WTI Crude Future, June 2020 Settlement, Expires: 05/14/20, Strike Price: $16.50		105		1,978,200		454,650
WTI Crude Future, June 2020 Settlement, Expires: 05/14/20, Strike Price: $17.00		83		1,563,720		327,850
WTI Crude Future, June 2020 Settlement, Expires: 05/14/20, Strike Price: $17.50		116		2,185,440		414,120
WTI Crude Future, June 2020 Settlement, Expires: 05/14/20, Strike Price: $18.00		120		2,260,800		386,400
						4,691,376
Put Options - 0.8%
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $3.00		50		1,324,000		7,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $5.00		1,206		31,934,880		313,560
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $8.00		20		529,600		7,000
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $8.50		70		1,853,600		24,500
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $9.00		40		1,059,200		14,400
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $9.50		20		529,600		7,400
Brent Crude Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $10.00		84		2,224,320		31,920
Gold 100 Oz Future, June 2020 Settlement, Expires: 05/26/20, Strike Price: $1,000.00		135		22,871,700		1,350
S&P 500 Index, Expires: 06/19/20, Strike Price: $2,400.00		600		1,747,458		1,560,000
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $7.25		463		34,662,495		4,630
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $7.50		54		4,042,710		540
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $7.75		37		2,770,005		370
Silver Future, July 2020 Settlement, Expires: 05/26/20, Strike Price: $8.25		1		74,865		15
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $510.00		250		6,553,125		123,437
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $515.00		250		6,553,125		148,438
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $520.00		195		5,111,438		137,719
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $525.00		360		9,436,500		299,250
Wheat Future, July 2020 Settlement, Expires: 05/22/20, Strike Price: $530.00		10		262,125		9,625
						2,691,154
TOTAL PURCHASED OPTIONS (Cost $18,761,553)						7,382,530

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

3

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

	SHARES		FAIR VALUE
SHORT-TERM INVESTMENTS - 126.4%
Money Market Funds - 23.1%
Fidelity Investments Money Market Funds - Government Portfolio - Institutional Class 0.16% (a)		13,194,955	$	13,194,955
First American Government Obligations Fund - Class X 0.26% (a)		16,962,081		16,962,081
First American Treasury Obligations Fund - Class X 0.17% (a)		16,962,081		16,962,081
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class 0.16% (a)		16,962,081		16,962,081
Short-Term Investments Trust - Treasury Portfolio - Institutional Class 0.11% (a)		16,962,080		16,962,080
				81,043,278
	PRINCIPAL AMOUNT		FAIR VALUE
U.S. Treasury Bills - 103.3%
1.542%, 09/10/2020 (b)(c)	$	20,165,000		20,157,791
1.564%, 10/08/2020 (b)(c)		55,252,000		55,228,672
1.543%, 11/05/2020 (b)(c)		132,500,000		132,425,616
1.521%, 12/03/2020 (b)(c)		132,300,000		132,217,643
1.523%, 12/31/2020 (b)(c)		21,597,000		21,578,519
				361,608,241
TOTAL SHORT-TERM INVESTMENTS (Cost $439,933,194)				442,651,519
TOTAL INVESTMENTS (Cost $458,694,747) - 128.5%				450,034,049
LIABILITIES IN EXCESS OF OTHER ASSETS - (28.5)%				(99,865,490)
TOTAL NET ASSETS - 100.0%			$	350,168,559

Percentages are stated as a percent of net assets.

(a) Rate shown is the 7-day effective yield.

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

(c) 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		NOTIONAL AMOUNT		FAIR VALUE
CALL OPTIONS
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.00		26	$	1,695,980	$	136,240
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.50		231		15,068,130		1,094,940
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.75		12		782,760		53,880
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.00		314		20,482,220		1,334,500
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.25		92		6,001,160		368,000
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.50		175		11,415,250		656,250
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.75		81		5,283,630		284,310
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.00		208		13,567,840		678,080
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.50		97		6,327,310		269,660
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $63.00		55		3,587,650		127,050
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $63.50		17		1,108,910		31,280
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.00		25		1,630,750		35,000
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.25		134		8,740,820		159,460
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.50		91		5,935,930		90,090
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.75		86		5,609,780		68,800
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $65.00		60		3,913,800		37,800
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $65.50		41		2,674,430		14,760
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $66.00		76		4,957,480		13,680
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $66.50		311		20,286,530		27,990

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

4

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $67.00		163	$	10,632,490	$	8,150
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $67.50		123		8,023,290		3,075
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $68.00		38		2,478,740		570
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $68.50		72		4,696,560		720
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $69.00		26		1,695,980		130
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $69.50		25		1,630,750		125
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.50		10		652,300		50
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $59.50		200		13,046,000		1,166,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $60.00		150		9,784,500		802,500
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $60.50		150		9,784,500		730,500
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $61.00		250		16,307,500		1,100,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $61.50		150		9,784,500		591,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $62.00		150		9,784,500		523,500
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $62.50		100		6,523,000		305,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $63.00		50		3,261,500		131,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $65.00		1		65,230		1,120
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $66.00		29		1,891,670		17,690
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $66.50		12		782,760		5,160
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $67.00		2		130,460		580
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.00		25		662,000		54,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.25		75		1,986,000		156,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.50		75		1,986,000		149,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.75		75		1,986,000		141,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $29.00		100		2,648,000		179,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $29.25		50		1,324,000		85,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $29.50		50		1,324,000		80,500
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $29.75		50		1,324,000		76,500
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $30.00		100		2,648,000		145,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $30.25		95		2,515,600		130,150
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $30.50		100		2,648,000		116,343
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $30.75		125		3,310,000		148,204
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $31.50		25		662,000		25,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $33.25		25		662,000		16,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $33.50		25		662,000		15,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $33.75		55		1,456,400		33,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $34.00		134		3,548,320		75,040
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $34.25		35		926,800		18,550
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $34.50		116		3,071,680		58,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $34.75		190		5,031,200		89,300
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $35.00		150		3,972,000		67,500
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $35.25		135		3,574,800		56,700
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $35.50		204		5,401,920		81,600
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $35.75		209		5,534,320		79,420
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $36.00		86		2,277,280		30,960
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $36.25		110		2,912,800		37,400
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $36.50		185		4,898,800		59,200
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $36.75		100		2,648,000		31,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $37.00		125		3,310,000		36,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $37.25		50		1,324,000		14,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $37.50		85		2,250,800		22,950
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $37.75		75		1,986,000		18,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $38.75		50		1,324,000		11,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $39.00		25		662,000		5,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $40.25		19		503,120		3,230
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $41.25		25		662,000		3,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $41.50		25		662,000		3,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $41.75		25		662,000		3,500

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

5

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $42.00		50	$	1,324,000	$	7,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $42.25		75		1,986,000		9,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $42.50		75		1,986,000		9,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $42.75		75		1,986,000		9,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $43.00		75		1,986,000		9,000
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $124.50		131		10,317,888		140,006
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $125.00		236		18,587,950		191,750
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $125.50		110		8,663,875		63,937
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $126.00		204		16,067,550		79,050
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $126.50		105		8,270,063		24,937
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $127.00		178		14,019,725		24,475
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $127.50		176		13,862,200		13,200
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $128.00		37		2,914,213		1,619
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $128.50		17		1,338,963		425
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $129.00		24		1,890,300		300
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $129.50		13		1,023,913		81
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $131.00		62		4,883,275		387
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $131.50		50		3,938,125		312
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $132.00		36		2,835,450		225
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $132.50		74		5,828,425		462
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $133.00		158		12,444,475		987
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $133.50		52		4,095,650		325
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $134.00		54		4,253,175		337
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $134.50		55		4,331,938		344
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $135.00		21		1,654,013		131
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $135.50		45		3,544,313		281
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $136.00		13		1,023,913		81
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $136.50		38		2,992,975		237
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $137.00		25		1,969,063		156
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $121.00		244		19,218,050		802,150
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $121.50		200		15,752,500		600,000
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $122.00		200		15,752,500		545,000
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $122.50		200		15,752,500		490,000
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $123.00		200		15,752,500		436,250
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $123.50		200		15,752,500		385,000
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $124.00		200		15,752,500		336,250
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $124.50		158		12,444,475		228,112
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $125.00		100		7,876,250		121,875
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $125.50		125		9,845,313		126,563
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $127.50		30		2,362,875		12,188
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $128.00		46		3,623,075		14,375
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $128.50		27		2,126,588		6,413
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $129.00		22		1,732,775		3,988
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $129.50		37		2,914,213		4,856
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $130.00		30		2,362,875		3,000
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $130.50		57		4,489,463		4,275
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $131.00		31		2,441,638		1,744
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $131.50		8		630,100		350
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.75		73		5,243,225		83,950
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.00		401		28,801,825		372,930
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.25		90		6,464,250		65,700
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.50		347		24,923,275		190,850
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.75		131		9,409,075		53,710
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.00		199		14,293,175		57,710
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.25		177		12,713,025		33,630
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.50		158		11,348,350		20,540
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.75		48		3,447,600		3,840
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $73.00		138		9,911,850		6,900

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

6

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $73.25		12	$	861,900	$	360
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $73.50		85		6,105,125		1,275
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $74.00		103		7,397,975		515
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $74.50		158		11,348,350		790
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $75.00		302		21,691,150		1,510
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $75.50		145		10,414,625		725
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $76.00		54		3,878,550		270
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $76.50		140		10,055,500		700
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $69.50		363		26,072,475		903,870
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $70.00		375		26,934,375		765,000
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $70.50		250		17,956,250		405,000
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $71.00		364		26,144,300		447,720
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $71.50		374		26,862,550		325,380
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $72.00		50		3,591,250		29,500
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $73.00		56		4,022,200		12,320
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $73.50		31		2,226,575		4,030
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $74.00		25		1,795,625		1,750
CBOE Volatility Index, Expires 05/20/2020, Strike Price $55.00		50		1,708		3,500
CBOE Volatility Index, Expires 05/20/2020, Strike Price $57.50		15		512		900
CBOE Volatility Index, Expires 05/20/2020, Strike Price $60.00		75		2,561		3,750
CBOE Volatility Index, Expires 05/20/2020, Strike Price $62.50		23		785		1,035
CBOE Volatility Index, Expires 05/20/2020, Strike Price $67.50		55		1,878		1,650
CBOE Volatility Index, Expires 05/20/2020, Strike Price $70.00		66		2,254		1,980
CBOE Volatility Index, Expires 05/20/2020, Strike Price $72.50		67		2,288		1,675
CBOE Volatility Index, Expires 05/20/2020, Strike Price $80.00		31		1,059		620
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,300.00		43		1,038,020		49,450
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,350.00		187		4,514,180		127,160
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,400.00		300		7,242,000		90,000
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,450.00		300		7,242,000		30,000
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,500.00		278		6,710,920		8,340
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,550.00		75		1,810,500		750
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,600.00		62		1,496,680		620
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,650.00		100		2,414,000		1,000
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,700.00		295		7,121,300		2,950
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,750.00		160		3,862,400		1,600
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,800.00		125		3,017,500		1,250
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,850.00		100		2,414,000		1,000
Cocoa Future, June 2020 Settlement, Expires 05/01/2020, Strike Price $2,900.00		25		603,500		250
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,350.00		102		2,462,280		135,660
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,400.00		65		1,569,100		68,900
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,450.00		172		4,152,080		144,480
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,500.00		289		6,976,460		187,850
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,550.00		258		6,228,120		129,000
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,600.00		145		3,500,300		56,550
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,650.00		200		4,828,000		58,000
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,700.00		158		3,814,120		34,760
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,750.00		184		4,441,760		29,440
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,800.00		55		1,327,700		6,600
Cocoa Future, July 2020 Settlement, Expires 06/05/2020, Strike Price $2,850.00		25		603,500		2,250
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $130.00		117		4,663,913		2,632
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $132.50		102		4,065,975		1,913
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $135.00		202		8,052,225		3,030
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $137.50		46		1,833,675		690
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $140.00		177		7,055,663		1,991
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $142.50		99		3,946,388		1,114
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $145.00		47		1,873,538		529
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $147.50		29		1,156,013		218
Coffee ‘C’ Future, July 2020 Settlement, Expires 05/08/2020, Strike Price $155.00		8		318,900		60

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

7

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Coffee ‘C’ Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $152.50		150	$	5,979,375	$	21,375
Copper Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $225.00		250		14,650,000		771,875
Copper Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $230.00		150		8,790,000		326,250
Copper Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $238.00		100		5,860,000		114,178
Copper Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $240.00		50		2,930,000		45,000
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $52.00		400		11,466,000		1,166,000
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $53.00		252		7,223,580		628,740
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $54.00		359		10,290,735		755,695
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $55.00		306		8,771,490		532,440
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $56.00		286		8,198,190		406,120
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $57.00		201		5,761,665		229,140
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $58.00		134		3,841,110		120,600
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $59.00		30		859,950		21,150
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $60.00		7		200,655		3,850
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $74.00		17		487,305		425
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $75.00		13		372,645		260
Cotton No. 2 Future, December 2020 Settlement, Expires 08/21/2020, Strike Price $62.00		12		353,520		12,060
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.100		1		137,025		325
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.105		21		2,877,525		3,413
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.115		18		2,466,450		675
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.120		19		2,603,475		475
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.125		1		137,025		19
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,575.00		150		25,413,000		1,876,500
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,600.00		139		23,549,380		1,428,920
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,605.00		125		21,177,500		1,231,250
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,610.00		10		1,694,200		94,200
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,615.00		132		22,363,440		1,188,000
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,625.00		122		20,669,240		997,960
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,840.00		28		4,743,760		13,720
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,845.00		91		15,417,220		41,860
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,850.00		144		24,396,480		61,920
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,855.00		250		42,355,000		102,500
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,860.00		272		46,082,240		103,360
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,865.00		213		36,086,460		76,680
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,870.00		161		27,276,620		54,740
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,875.00		192		32,528,640		61,440
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,880.00		36		6,099,120		10,800
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,885.00		23		3,896,660		6,440
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,900.00		84		14,231,280		20,160
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $94.00		26		3,033,225		5,200
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $94.25		50		5,833,125		6,875
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $94.50		56		6,533,100		5,600
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $95.00		55		6,416,438		2,750
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $95.50		96		11,199,600		3,000
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $96.00		139		16,216,088		2,606
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $96.50		87		10,149,638		1,088
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $97.00		37		4,316,513		463
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $60.00		3		70,740		6,330
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $61.00		50		1,179,000		95,500
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $62.00		76		1,792,080		130,720
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $63.00		39		919,620		60,060
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $64.00		30		707,400		41,100
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $65.00		25		589,500		30,500
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $66.00		44		1,037,520		47,080
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $67.00		79		1,862,820		75,050
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $68.00		31		730,980		25,730
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $69.00		50		1,179,000		36,500
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $70.00		25		589,500		15,750

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

8

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $71.00		25	$	589,500	$	13,750
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $73.00		1		23,580		420
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $86.00		25		859,500		5,250
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $87.00		12		412,560		840
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $88.00		45		1,547,100		900
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $89.00		25		859,500		250
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $90.00		95		3,266,100		950
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $91.00		46		1,581,480		460
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $92.00		50		1,719,000		500
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $93.00		1		34,380		10
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $94.00		20		687,600		200
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $95.00		46		1,581,480		460
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $98.00		20		687,600		200
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $99.00		10		343,800		100
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $90.00		47		1,615,860		28,948
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $91.00		25		859,500		20,750
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $92.00		45		1,547,100		31,950
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $93.00		4		137,520		2,400
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $94.00		9		309,420		4,590
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $95.00		44		1,512,720		18,920
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $96.00		41		1,409,580		15,170
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $97.00		49		1,684,620		15,190
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $98.00		100		3,438,000		27,000
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $99.00		9		309,420		2,070
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $100.00		45		1,547,100		9,000
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $101.00		46		1,581,480		8,280
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $102.00		93		3,197,340		14,880
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $103.00		125		4,297,500		18,750
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $105.00		25		859,500		3,000
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $106.00		46		1,581,480		5,520
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $107.00		35		1,203,300		3,850
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.80		261		5,086,890		645,192
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.85		849		16,547,010		1,832,991
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.90		1,000		19,490,000		1,872,000
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.95		947		18,457,030		1,527,511
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $2.00		1,000		19,490,000		1,382,000
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $2.05		518		10,095,820		610,722
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $2.10		392		7,640,080		392,784
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $2.15		114		2,221,860		96,672
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $1.95		150		2,923,500		522,900
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.00		262		5,106,380		828,444
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.05		334		6,509,660		953,236
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.10		209		4,073,410		536,085
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.15		206		4,014,940		473,388
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.20		364		7,094,360		746,928
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.25		275		5,359,750		501,875
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.30		270		5,262,300		436,860
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.35		97		1,890,530		138,807
Natural Gas Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $2.40		65		1,266,850		82,225
S&P 500 Index, Expires 06/19/2020, Strike Price $2,400.00		600		1,747,458		31,404,000
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.00		100		7,486,500		263,500
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.15		25		1,871,625		57,250
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.25		25		1,871,625		52,250
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.40		25		1,871,625		45,375
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.50		25		1,871,625		41,375
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.60		25		1,871,625		37,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.80		25		1,871,625		31,625
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $15.90		27		2,021,355		31,185

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

9

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $16.10		50	$	3,743,250	$	49,000
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $16.50		50		3,743,250		35,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.60		2		149,730		690
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.65		7		524,055		3,134
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.70		7		524,055		3,064
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.75		13		973,245		4,095
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.80		26		1,946,490		8,060
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.85		61		4,566,765		18,300
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.90		54		4,042,710		15,930
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $17.95		50		3,743,250		14,250
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.00		52		3,892,980		14,560
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.05		6		449,190		1,620
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.10		16		1,197,840		4,240
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.15		12		898,380		3,120
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.20		4		299,460		1,020
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.25		13		973,245		3,185
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.30		20		1,497,300		4,800
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.35		20		1,497,300		4,700
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.40		8		598,920		1,840
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $18.50		7		524,055		1,540
Silver Future, July 2020 Settlement, Expires 06/25/2020, Strike Price $15.25		100		7,486,500		333,000
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $910.00		4		171,050		350
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $920.00		174		7,440,675		11,963
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $930.00		125		5,345,313		7,031
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $940.00		93		3,976,913		4,069
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $950.00		49		2,095,363		1,838
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $960.00		25		1,069,063		781
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $970.00		13		555,913		325
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $980.00		20		855,250		500
Soybean Meal Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $290.00		26		767,260		22,620
Soybean Meal Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $295.00		56		1,652,560		33,600
Soybean Meal Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $300.00		96		2,832,960		39,360
Soybean Meal Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $305.00		9		265,590		2,520
Soybean Meal Future, July 2020 Settlement, Expires 06/26/2020, Strike Price $290.00		87		2,567,370		103,530
Soybean Meal Future, July 2020 Settlement, Expires 06/26/2020, Strike Price $295.00		122		3,600,220		115,290
Soybean Meal Future, July 2020 Settlement, Expires 06/26/2020, Strike Price $300.00		179		5,282,290		134,250
Soybean Meal Future, July 2020 Settlement, Expires 06/26/2020, Strike Price $305.00		72		2,124,720		42,840
Soybean Meal Future, July 2020 Settlement, Expires 06/26/2020, Strike Price $310.00		37		1,091,870		17,575
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $10.75		25		290,360		5,040
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $11.00		126		1,463,414		16,934
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $11.25		200		2,322,880		17,920
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $11.50		75		871,080		4,200
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $11.75		100		1,161,440		3,360
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $12.00		25		290,360		560
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $12.50		50		580,720		560
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $13.00		25		290,360		280
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $11.25		25		290,360		5,880
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $11.75		25		290,360		3,640
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $12.00		461		5,354,238		51,632
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $12.25		25		290,360		2,240
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $12.50		652		7,572,589		43,814
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $12.75		75		871,080		4,200
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $13.00		25		290,360		1,120
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $13.75		75		871,080		1,680
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $140.00		45		6,257,813		10,547
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $140.25		4		556,250		750
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $140.50		51		7,092,188		7,969
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $141.00		3		417,188		328

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

10

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $141.50		1	$	139,063	$	78
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $142.50		28		3,893,750		1,313
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $186.50		2		362,063		719
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $187.00		1		181,031		313
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $187.50		14		2,534,438		3,938
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $188.00		119		21,542,719		29,750
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $188.50		9		1,629,281		2,109
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $189.00		26		4,706,813		5,688
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $192.00		24		4,344,750		2,625
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $30.00		60		1,130,400		10,200
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $31.00		150		2,826,000		21,000
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $32.00		61		1,149,240		7,320
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $37.50		10		188,400		600
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $38.50		13		244,920		780
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $39.00		1		18,840		60
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $39.50		26		489,840		1,560
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $40.00		10		188,400		500
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $41.00		2		37,680		100
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $41.50		3		56,520		150
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $42.00		20		376,800		1,000
TOTAL CALL OPTIONS (Premiums Received $48,294,448)						83,186,195
PUT OPTIONS
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $55.50		13		847,990		65
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $56.50		50		3,261,500		250
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $57.00		52		3,391,960		260
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $57.50		48		3,131,040		240
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $58.00		49		3,196,270		245
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $58.25		21		1,369,830		105
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $58.50		110		7,175,300		550
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $58.75		46		3,000,580		230
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $59.00		139		9,066,970		695
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $59.25		37		2,413,510		185
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $59.50		164		10,697,720		1,640
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $59.75		69		4,500,870		690
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.00		287		18,721,010		2,870
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.25		57		3,718,110		570
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $60.50		19		1,239,370		285
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.00		65		4,239,950		975
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $61.50		20		1,304,600		500
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.00		39		2,543,970		1,365
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.25		52		3,391,960		2,080
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.50		51		3,326,730		2,550
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $62.75		41		2,674,430		2,460
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $63.00		108		7,044,840		8,640
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $63.25		82		5,348,860		7,380
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $63.50		17		1,108,910		1,870
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.00		25		1,630,750		4,250
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $64.50		60		3,913,800		15,600
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $65.00		43		2,804,890		17,200
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $65.50		130		8,479,900		81,900
Australian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $66.00		125		8,153,750		118,750
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $53.50		100		6,523,000		2,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $54.00		200		13,046,000		4,000
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $54.50		150		9,784,500		3,750
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $55.00		150		9,784,500		4,500
Australian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $55.50		100		6,523,000		3,500

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

11

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $19.00		11	$	291,280	$	9,460
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $19.50		34		900,320		31,280
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $19.75		50		1,324,000		48,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $20.00		63		1,668,240		62,370
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $20.25		76		2,012,480		78,280
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $20.50		34		900,320		36,380
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $20.75		19		503,120		21,090
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $21.00		47		1,244,560		54,050
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $21.25		51		1,350,480		61,200
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $21.50		37		979,760		46,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $21.75		46		1,218,080		59,800
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $22.00		129		3,415,920		174,150
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $22.25		49		1,297,520		69,090
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $22.50		53		1,403,440		77,910
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $22.75		45		1,191,600		68,850
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $23.00		130		3,442,400		206,700
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $23.25		89		2,356,720		147,740
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $23.50		111		2,939,280		192,030
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $23.75		56		1,482,880		100,882
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $24.00		57		1,509,360		107,001
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $24.25		52		1,376,960		102,838
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $24.50		66		1,747,680		135,046
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $24.75		68		1,800,640		145,233
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $25.00		76		2,012,480		168,301
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $25.25		149		3,945,520		350,150
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $25.50		25		662,000		61,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $25.75		50		1,324,000		128,500
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $26.00		25		662,000		67,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $26.25		100		2,648,000		280,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $26.50		25		662,000		73,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $26.75		75		1,986,000		228,750
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $27.00		25		662,000		79,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $27.25		50		1,324,000		165,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $27.50		50		1,324,000		172,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $27.75		125		3,310,000		446,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.00		50		1,324,000		185,500
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.25		50		1,324,000		193,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.50		125		3,310,000		501,250
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $28.75		75		1,986,000		312,000
Brent Crude Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $29.00		100		2,648,000		431,000
Brent Crude Future, August 2020 Settlement, Expires 06/25/2020, Strike Price $22.75		10		283,100		18,000
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $114.50		3		236,288		19
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $115.00		3		236,288		19
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $115.50		11		866,388		69
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $116.00		23		1,811,538		144
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $116.50		69		5,434,613		431
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $117.00		30		2,362,875		187
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $117.50		57		4,489,463		356
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $118.00		105		8,270,063		656
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $118.50		78		6,143,475		487
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $119.00		166		13,074,575		1,037
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $119.50		129		10,160,363		1,612
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $120.00		132		10,396,650		1,650
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $120.50		253		19,926,913		3,162
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $121.00		72		5,670,900		1,350
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $121.50		15		1,181,438		281
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $122.00		30		2,362,875		750

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

12

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $122.50		15	$	1,181,438	$	562
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $123.00		14		1,102,675		612
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $124.00		83		6,537,288		7,262
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $124.50		92		7,246,150		10,925
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $125.00		77		6,064,713		13,475
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $125.50		61		4,804,513		15,631
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $126.00		113		8,900,163		42,375
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $126.50		132		10,396,650		70,950
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $127.00		143		11,263,038		107,250
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $127.50		239		18,824,238		239,000
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $128.00		132		10,396,650		169,125
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $128.50		41		3,229,263		64,575
British Pound Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $129.00		27		2,126,588		50,625
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $107.00		125		9,845,313		781
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $108.00		100		7,876,250		625
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $109.00		75		5,907,188		469
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $110.00		44		3,465,550		550
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $111.00		75		5,907,188		937
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $111.50		78		6,143,475		975
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $112.00		3		236,288		56
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $120.50		15		1,181,438		1,969
British Pound Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $121.00		16		1,260,200		2,400
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $67.50		13		933,725		65
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $68.00		12		861,900		60
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $69.00		83		5,961,475		415
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $69.50		127		9,121,775		1,905
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $69.75		24		1,723,800		480
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.00		237		17,022,525		5,925
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.25		73		5,243,225		2,555
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.50		362		26,000,650		18,100
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $70.75		111		7,972,575		7,770
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.00		125		8,978,125		13,750
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.25		109		7,828,925		17,440
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.50		64		4,596,800		14,720
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $71.75		45		3,232,125		14,850
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.00		202		14,508,650		92,920
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $72.50		65		4,668,625		52,000
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $73.00		44		3,160,300		53,680
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $73.50		71		5,099,575		119,990
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $74.00		131		9,409,075		285,580
Canadian Dollar Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $74.50		199		14,293,175		533,320
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $66.50		12		861,900		240
Canadian Dollar Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $67.00		297		21,332,025		8,910
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $90.00		6		239,175		68
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $92.50		24		956,700		540
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $102.50		38		1,514,775		14,962
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $105.00		60		2,391,750		45,000
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $107.50		105		4,185,563		132,694
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $110.00		207		8,251,538		395,111
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $112.50		223		8,889,338		592,901
Coffee ‘C’ Future, June 2020 Settlement, Expires 05/08/2020, Strike Price $115.00		135		5,381,438		469,294
Coffee ‘C’ Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $100.00		58		2,312,025		62,640
Coffee ‘C’ Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $102.50		6		239,175		8,730
Coffee ‘C’ Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $105.00		150		5,979,375		286,875
Copper Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $238.00		100		5,860,000		204,178
Corn Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $275.00		10		160,000		187
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $43.00		400		11,466,000		12,000
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $49.00		36		1,031,940		4,140

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

13

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $50.00		158	$	4,529,070	$	23,700
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $51.00		289		8,284,185		54,910
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $52.00		455		13,042,575		113,750
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $53.00		471		13,501,215		155,430
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $54.00		210		6,019,650		92,400
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $65.00		17		487,305		67,830
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $66.00		61		1,748,565		272,060
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $67.00		59		1,691,235		291,165
Cotton No. 2 Future, July 2020 Settlement, Expires 06/12/2020, Strike Price $68.00		42		1,203,930		227,430
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.045		25		3,425,625		156
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.050		19		2,603,475		119
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.055		45		6,166,125		563
Euro Fx Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $1.065		32		4,384,800		600
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,500.00		35		5,929,700		7,700
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,540.00		50		8,471,000		18,000
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,570.00		15		2,541,300		8,100
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,575.00		25		4,235,500		14,750
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,580.00		55		9,318,100		34,650
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,585.00		58		9,826,360		39,440
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,590.00		151		25,582,420		111,740
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,595.00		160		27,107,200		126,400
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,600.00		296		50,148,320		254,560
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,605.00		249		42,185,580		231,570
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,610.00		302		51,164,840		302,000
Gold 100 Oz Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1,615.00		139		23,549,380		150,120
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $89.00		4		466,650		25
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $89.50		90		10,499,625		562
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $90.00		101		11,782,913		631
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $90.50		95		11,082,938		594
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $90.75		106		12,366,225		662
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $91.00		238		27,765,675		1,488
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $91.25		70		8,166,375		438
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $91.50		211		24,615,788		1,319
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $91.75		12		1,399,950		150
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $92.00		60		6,999,750		1,875
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $92.25		28		3,266,550		1,750
Japanese Yen Future, May 2020 Settlement, Expires 05/08/2020, Strike Price $92.50		30		3,499,875		3,375
Japanese Yen Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $89.00		60		6,999,750		1,875
Japanese Yen Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $89.50		21		2,449,913		919
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $30.00		25		589,500		2,250
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $32.00		121		2,853,180		14,520
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $34.00		144		3,395,520		23,040
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $35.00		56		1,320,480		10,640
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $36.00		88		2,075,040		19,360
Lean Hogs Future, June 2020 Settlement, Expires 06/12/2020, Strike Price $37.00		236		5,564,880		59,000
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $69.00		25		859,500		250
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $73.00		50		1,719,000		500
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $74.00		25		859,500		250
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $75.00		46		1,581,480		460
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $76.00		35		1,203,300		350
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $78.00		75		2,578,500		750
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $79.00		25		859,500		250
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $80.00		89		3,059,820		890
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $81.00		75		2,578,500		1,500
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $82.00		73		2,509,740		2,920
Live Cattle Future, May 2020 Settlement, Expires 05/01/2020, Strike Price $84.00		25		859,500		1,750
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $66.00		71		2,440,980		12,780
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $67.00		87		2,991,060		17,400

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

14

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $68.00		25	$	859,500	$	5,750
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $69.00		203		6,979,140		50,750
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $70.00		93		3,197,340		26,040
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $71.00		50		1,719,000		15,500
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $73.00		1		34,380		380
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $75.00		25		859,500		14,430
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $76.00		50		1,719,000		31,360
Live Cattle Future, June 2020 Settlement, Expires 06/05/2020, Strike Price $77.00		25		859,500		18,290
NASDAQ 100 Stock Index, Expires 05/01/2020, Strike Price $8,200.00		2		18,001		25
NASDAQ 100 Stock Index, Expires 05/01/2020, Strike Price $8,375.00		6		54,003		6,630
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.40		25		487,250		4,775
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.45		145		2,826,050		34,800
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.50		330		6,431,700		98,670
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.55		402		7,834,980		148,740
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.60		436		8,497,640		198,816
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.65		740		14,422,600		413,660
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.70		551		10,738,990		374,129
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.75		789		15,377,610		646,191
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.80		652		12,707,480		640,916
Natural Gas Future, June 2020 Settlement, Expires 05/26/2020, Strike Price $1.85		92		1,793,080		107,640
Russell 2000 Index, Expires 05/01/2020, Strike Price $1,275.00		38		51,482		14,060
S&P 500 Index, Expires 05/01/2020, Strike Price $2,780.00		25		72,811		813
S&P 500 Index, Expires 05/01/2020, Strike Price $2,785.00		230		669,859		9,775
S&P 500 Index, Expires 05/01/2020, Strike Price $2,790.00		91		265,031		4,778
S&P 500 Index, Expires 05/01/2020, Strike Price $2,810.00		250		728,108		28,125
S&P 500 Index, Expires 05/01/2020, Strike Price $2,815.00		213		620,348		29,820
S&P 500 Index, Expires 05/01/2020, Strike Price $2,820.00		234		681,509		38,610
S&P 500 Index, Expires 05/01/2020, Strike Price $2,825.00		200		582,486		39,500
S&P 500 Index, Expires 05/01/2020, Strike Price $2,830.00		191		556,274		44,885
S&P 500 Index, Expires 05/01/2020, Strike Price $2,835.00		255		742,670		72,038
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.30		25		1,871,625		1,625
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.35		25		1,871,625		1,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.40		50		3,743,250		3,500
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.45		25		1,871,625		1,875
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.50		25		1,871,625		1,875
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $10.55		50		3,743,250		3,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.65		70		5,240,550		23,450
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.70		48		3,593,520		16,800
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.75		48		3,593,520		17,520
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.80		48		3,593,520		18,240
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.85		50		3,743,250		19,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.90		18		1,347,570		7,380
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $12.95		23		1,721,895		9,890
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.00		30		2,245,950		13,350
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.05		25		1,871,625		11,625
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.10		6		449,190		2,910
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.25		2		149,730		1,100
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.30		7		524,055		2,924
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.35		18		1,347,570		10,800
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.40		25		1,871,625		15,750
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.45		31		2,320,815		20,305
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.50		53		3,967,845		36,305
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.55		69		5,165,685		49,680
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.60		28		2,096,220		21,000
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.65		27		2,021,355		21,195
Silver Future, July 2020 Settlement, Expires 05/26/2020, Strike Price $13.70		2		149,730		1,640
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $770.00		24		1,026,300		900
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $780.00		12		513,150		600

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

15

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL AMOUNT		FAIR VALUE
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $790.00		41	$	1,753,263	$	2,563
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $800.00		36		1,539,450		2,700
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $810.00		5		213,813		531
Soybean Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $820.00		1		42,763		163
Soybean Meal Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $270.00		22		649,220		990
Soybean Meal Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $275.00		59		1,741,090		4,130
Soybean Meal Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $280.00		79		2,331,290		9,480
Soybean Meal Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $285.00		128		3,777,280		26,880
Soybean Meal Future, July 2020 Settlement, Expires 05/22/2020, Strike Price $290.00		22		649,220		7,920
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $9.00		95		1,103,368		3,192
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $9.25		300		3,484,320		16,800
Sugar #11 Future, June 2020 Settlement, Expires 05/15/2020, Strike Price $9.50		9		104,530		806
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $7.75		25		290,360		560
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $8.00		50		580,720		1,680
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $8.25		75		871,080		3,360
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $8.50		125		1,451,800		8,400
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $8.75		75		871,080		6,720
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $9.00		200		2,322,880		24,640
Sugar #11 Future, July 2020 Settlement, Expires 06/15/2020, Strike Price $9.25		25		290,360		4,200
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $136.50		18		2,503,125		1,125
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $137.00		5		695,313		391
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $137.25		9		1,251,563		844
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $137.50		13		1,807,813		1,625
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $137.75		10		1,390,625		1,563
U.S. 10-Year Note Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $138.00		43		5,979,688		8,734
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $173.00		1		181,031		141
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $173.50		1		181,031		141
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $174.00		4		724,125		688
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $174.50		3		543,094		609
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $175.00		31		5,611,969		7,266
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $175.50		32		5,793,000		8,500
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $176.00		23		4,163,719		7,547
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $176.50		9		1,629,281		3,656
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $177.00		92		16,654,875		43,125
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $177.50		20		3,620,625		10,938
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $178.00		70		12,672,188		47,031
U.S. Long Bond Future, June 2020 Settlement, Expires 05/22/2020, Strike Price $179.00		55		9,956,719		52,422
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $16.00		115		2,166,600		217,350
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $16.50		105		1,978,200		208,950
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $17.00		83		1,563,720		175,130
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $17.50		116		2,185,440		258,680
WTI Crude Future, June 2020 Settlement, Expires 05/14/2020, Strike Price $18.00		120		2,260,800		285,600
TOTAL PUT OPTIONS (Premiums Received $24,740,486)						18,184,137

	COUNTERPARTY		NOTIONAL AMOUNT		NOTIONAL AMOUNT USD		FAIR VALUE
OTC CALL OPTIONS
Israeli Shekel, Expires 05/14/2020, Strike Price $3.63		Morgan Stanley Capital Services LLC		50,000,000		50,000,000		29,669
New Taiwan Dollar, Expires 06/11/2020, Strike Price $29.80		BNP Paribas		50,000,000		50,000,000		176,000
TOTAL OTC CALL OPTIONS (Premiums Received $618,350)								205,669

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

16

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

	COUNTERPARTY		NOTIONAL AMOUNT		NOTIONAL AMOUNT USD		FAIR VALUE
OTC PUT OPTIONS
Swedish Krona, Expires 05/27/2020, Strike Price EUR 10.59		Morgan Stanley Capital Services LLC	$	30,000,000		32,875,631	$	106,716
Norwegian Krone, Expires 05/18/2020, Strike Price EUR 11.40		Morgan Stanley Capital Services LLC		50,000,000		54,792,719		1,146,076
Indian Rupee, Expires 05/21/2020, Strike Price $75.00		BNP Paribas		50,000,000		50,000,000		291,000
TOTAL OTC PUT OPTIONS (Premiums Received $1,225,170)								1,543,792
TOTAL WRITTEN OPTIONS (Premiums Received $74,878,454)							$	103,119,793

Open Futures Contracts

DESCRIPTION	NUMBER OF CONTRACTS		NOTIONAL VALUE		VALUE/ UNREALIZED APPRECIATION (DEPRECIATION)
FUTURES CONTRACTS SOLD
Brent Crude, July 2020 Settlement		866	$	22,931,680	$	(1,472,006	)
Coffee ‘C’, July 2020 Settlement		428		17,061,150		406,371
Live Cattle, June 2020 Settlement		1		34,380		(1,235	)
U.S. Treasury 10-Year Note, June 2020 Settlement		3		417,188		(15,191	)
Wheat, July 2020 Settlement		39		1,022,287		(4,802	)
WTI Crude, June 2020 Settlement		539		10,154,760		(1,498,972	)
TOTAL FUTURES CONTRACTS SOLD			$	51,621,445	$	(2,585,835	)
FUTURES CONTRACTS PURCHASED
Australian Dollar, June 2020 Settlement		2,182	$	142,331,860	$	2,510,241
British Pound, June Settlement		860		67,735,750		(52,352	)
Canadian Dollar, June 2020 Settlement		1,204		86,477,300		(86,335	)
Cocoa, July 2020 Settlement		744		17,960,160		130,262
Copper, July 2020 Settlement		199		11,661,400		438,328
Cotton No. 2, July 2020 Settlement		438		12,555,270		195,886
Euro FX, June 2020 Settlement		3		411,075		(5,179	)
Globex Natural Gas, July 2020 Settlement		846		18,358,200		801,425
Globex Natural Gas, June 2020 Settlement		1,331		25,941,190		475,901
Globex Natural Gas, June 2020 Settlement		259		5,047,910		191,707
Gold 100 Oz., June 2020 Settlement		634		107,412,280		(3,319,328	)
Japanese Yen, June 2020 Settlement		4		466,650		(855	)
Lean Hogs, June 2020 Settlement		116		2,735,280		109,495
S&P E-mini Index, June 2020 Settlement		1,147		166,452,640		11,257,582
Silver, July 2020 Settlement		190		14,224,350		(86,683	)
Soybean Meal, July 2020 Settlement		170		5,016,700		30,038
Sugar #11, July 2020 Settlement		75		871,080		12,225
U.S. Treasury Long Bond, June 2020 Settlement		2		362,063		(2,128	)
TOTAL FUTURES CONTRACTS PURCHASED			$	686,021,158	$	12,600,230

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements. (Continued)

Stone Ridge Funds Semi-Annual Report April 30, 2020

17

Consolidated Schedule of Investments as of April 30, 2020 (Unaudited)

STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND

Open Forward Currency Contracts

COUNTERPARTY	FORWARD SETTLEMENT DATE		CURRENCY TO BE RECEIVED	AMOUNT OF CURRENCY TO BE RECEIVED IN LOCAL CURRENCY		CURRENCY TO BE DELIVERED		AMOUNT OF CURRENCY TO BE DELIVERED IN LOCAL CURRENCY		UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley Capital Services LLC		5/20/2020	Euro		20,000,000		Norwegian Krone		229,708,500	$	(498,315	)
BNP Paribas		5/26/2020	Indian Rupee		1,545,905,000		U.S. Dollar		20,500,000		28,613
Morgan Stanley Capital Services LLC		5/18/2020	Israeli New Shekel		74,238,900		U.S. Dollar		21,000,000		306,171
Morgan Stanley Capital Services LLC		5/20/2020	Norwegian Krone		611,179,580		Euro		53,700,000		792,509
Morgan Stanley Capital Services LLC		5/29/2020	Swedish Krona		101,323,200		Euro		9,500,000		(27,679	)
Morgan Stanley Capital Services LLC		5/18/2020	U.S. Dollar		23,300,000		Israeli New Shekel		83,819,080		(755,632	)
BNP Paribas		6/15/2020	U.S. Dollar		13,000,000		New Taiwan Dollar		383,370,000		92,846
										$	(61,487	)

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

18

Consolidated Statement of Assets and Liabilities April 30, 2020 (Unaudited)

	STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND
ASSETS:
Investments, at fair value(1)	$	450,034,049
Unrealized appreciation on forward currency contracts		1,220,139
Collateral held at custodian		237,369
Receivable for fund shares sold		442,676
Receivable for investment securities sold		6,761,775
Interest receivable		12,522
Other assets		755,694
Total assets		459,464,224
LIABILITIES:
Options written, at fair value(2)		103,119,793
Payable due to broker for futures		3,721,466
Unrealized depreciation on forward currency contracts		1,281,626
Payable to Adviser		496,529
Payable for Chief Compliance Officer compensation		4,844
Payable to Custodian		16,514
Payable to Trustees		21,116
Accrued distribution and service fees		15,558
Accrued service fees		15,558
Other accrued expenses		602,661
Total liabilities		109,295,665
Total net assets	$	350,168,559
NET ASSETS CONSIST OF:
Capital stock	$	511,918,028
Total distributable loss		(161,749,469	)
Total net assets	$	350,168,559
Net Assets	$	350,168,559
Shares outstanding		51,971,124
Net asset value, offering and redemption price per share	$	6.74
(1)  Cost of Investments	$	458,694,747
(2)  Premiums received		74,878,454

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

19

Consolidated Statement of Operations For the Period Ended April 30, 2020 (Unaudited)

	STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND
INVESTMENT INCOME:
Interest income	$	5,170,046
Other income		67,372
Total investment income		5,237,418
EXPENSES
Advisory fees (See Note 4)		5,592,806
Compliance fees		674,699
Fund accounting and administration fees		470,217
Distribution and service fees (See Note 5)		139,820
Service fees		139,820
Audit and tax related fees		111,621
Transfer agency fees and expenses		81,871
Federal and state registration fees		48,083
Legal fees		41,895
Interest expense		27,764
Trustees fees and expenses		23,481
Custody fees		17,087
Chief Compliance Officer compensation		19,844
Other expenses		441,594
Total expenses before Adviser waiver		7,830,602
Expenses waived by Adviser (See Note 4)		(394,998	)
Total expenses		7,435,604
Net investment loss		(2,198,186	)
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments		(1,777,885	)
Foreign currency translation		122,895
Forward currency contracts		2,115,087
Futures contracts		(297,333,801	)
Swap contracts		(8,240,839	)
Written options		204,999,215
Net change in unrealized appreciation (depreciation) on:
Investments		(8,522,387	)
Foreign currency translation		(125,145	)
Forward currency contracts		2,603,510
Futures contracts		12,855,618
Swap contracts		1,307,489
Written options		(46,659,650	)
Net realized and unrealized loss		(138,655,893	)
Net decrease in net assets resulting from operations	$	(140,854,079	)

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

20

Consolidated Statement of Changes in Net Assets

	STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND
	PERIOD ENDED APRIL 30, 2020 (UNAUDITED)			YEAR ENDED OCTOBER 31, 2019
OPERATIONS:
Net investment gain (loss)	$	(2,198,186	)	$	2,884,384
Net realized gain (loss) on:
Investments		(1,777,885	)		4,741,904
Foreign currency translation		122,895			(227,363	)
Forward currency contracts		2,115,087			(13,863,341	)
Futures contracts		(297,333,801	)		(582,031,366	)
Swap contracts		(8,240,839	)		(176,572,877	)
Written options		204,999,215			815,779,816
Net change in unrealized appreciation (depreciation) on:
Investments		(8,522,387	)		(59,292,587	)
Foreign currency translation		(125,145	)		167,102
Forward currency contracts		2,603,510			(7,855,203	)
Futures contracts		12,855,618			(3,990,690	)
Swap contracts		1,307,489			12,067,726
Written options		(46,659,650	)		(17,213,562	)
Net decrease in net assets resulting from operations		(140,854,079	)		(25,406,057	)
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		—			—
From net realized gain		—			—
Total distributions		—			—
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold		36,995,022			188,461,880
Proceeds from shares issued to holders in reinvestment of dividends		—			—
Cost of shares redeemed		(219,145,735	)		(809,726,445	)
Net decrease in net assets from capital share transactions		(182,150,713	)		(621,264,565	)
Total decrease in net assets		(323,004,792	)		(646,670,622	)
NET ASSETS:
Beginning of period		673,173,351			1,319,843,973
End of period	$	350,168,559		$	673,173,351

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

21

Consolidated Financial Highlights

	STONE RIDGE ALL ASSET VARIANCE RISK PREMIUM FUND
	PERIOD ENDED APRIL 30, 2020 (UNAUDITED)			YEAR ENDED OCTOBER 31, 2019			YEAR ENDED OCTOBER 31, 2018			YEAR ENDED OCTOBER 31, 2017			YEAR ENDED OCTOBER 31, 2016			PERIOD ENDED OCTOBER 31, 2015(1)
Per Share Data:
Net asset value, beginning of period	$	9.15		$	9.26		$	11.49		$	10.70		$	10.31		$	10.00
Income (loss) from investment operations
Net investment income (loss)(2)		(0.03	)		0.02			(0.08	)		(0.21	)		(0.25	)		(0.16	)
Net realized and unrealized gains (losses)		(2.38	)		(0.13	)		(0.66	)		1.56			0.87			0.47
Total from investment operations		(2.41	)		(0.11	)		(0.74	)		1.35			0.62	(3)		0.31
Less distributions to shareholders
Dividends from net realized gains		—			—			(1.17	)		(0.56	)		(0.11	)		—
Dividends from net investment income		—			—			(0.32	)		—			(0.12	)		—
Total distributions		—			—			(1.49	)		(0.56	)		(0.23	)		—
Net asset value, end of period	$	6.74		$	9.15		$	9.26		$	11.49		$	10.70		$	10.31
Total return(4)		(26.34	)%(6)		(1.19	)%		(7.62	)%		13.27	%		6.15	%		3.10	%(6)
Supplemental Data and Ratios:
Net assets, end of period (000s)	$	350,169		$	673,173		$	1,319,844		$	1,517,997		$	970,391		$	695,009
Ratio of expenses to average net assets (before expense waiver/recoupment)(5)		2.80	%(7)		2.57	%		2.59	%		2.72	%		2.80	%		2.69	%(7)
Ratio of expenses to average net assets (after expense waiver/recoupment)(5)		2.66	%(7)		2.57	%		2.60	%		2.80	%		2.68	%		2.71	%(7)
Ratio of net investment loss to average net assets (before expense waiver/recoupment)(5)		(0.93	)%(7)		0.26	%		(0.78	)%		(1.87	)%		(2.54	)%		(2.63	)%(7)
Ratio of net investment loss to average net assets (after expense waiver/recoupment)(5)		(0.79	)%(7)		0.26	%		(0.79	)%		(1.95	)%		(2.42	)%		(2.65	)%(7)
Portfolio turnover rate		0	%(6)(8)		0	%(8)		4,595	%(8)		9,837	%(8)		33,522	%(8)		1,361	%(6)

(1) The Fund commenced operations on April 2, 2015.

(2) Net investment income (loss) per share has been calculated based on average shares outstanding during the period.

(3) Includes increase from payments by affiliates of less than $0.01.

(4) 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).

(5) Ratio includes borrowing and investment related expenses not covered by the Fund’s expense limitation agreement. See Note 4.

(6) Not Annualized.

(7) Annualized.

(8) Portfolio turnover rate excludes equity assignments.

The accompanying Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

Stone Ridge Funds Semi-Annual Report April 30, 2020

22

Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

1. Organization

Stone Ridge Trust III (the “Trust”) was organized as a Delaware statutory trust on December 17, 2014 and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as a continuously-offered diversified closed-end management investment company issuing shares. As of April 30, 2020, the Trust consisted of one series: the Stone Ridge All Asset Variance Risk Premium Fund (the “Fund”). The Fund commenced operations on April 2, 2015. The Fund offers one class of shares to investors with no front-end or back-end sales charges, a 0.05% fee paid pursuant to the Distribution and Servicing Plan (as discussed below), a 0.05% fee paid pursuant to the Services Agreement (as discussed below), and no repurchase fee. The Trust’s Amended and Restated Agreement and Declaration of Trust authorizes the issuance of an unlimited number of shares.

The Fund has an interval fund structure pursuant to which the Fund, subject to applicable law, conducts quarterly repurchase offers of the Fund’s outstanding shares at net asset value (“NAV”), subject to approval of the Board of Trustees (the “Board”). In all cases, such repurchase offers will be for at least 5% and not more than 25% of the Fund’s outstanding shares. In connection with any given repurchase offer, it is possible that the Fund may offer to repurchase only the minimum amount of 5% of its outstanding shares. It is also possible that a repurchase offer may be oversubscribed, with the result that shareholders may only be able to have a portion of their shares repurchased. If the repurchase offer is oversubscribed, the Fund may, in its sole discretion, repurchase an additional number of shares not to exceed 2% of the shares outstanding on the repurchase request deadline. Notwithstanding the foregoing, under certain circumstances, the Fund may, in its discretion, accept shares tendered by shareholders who own fewer than 100 shares and tender all of their shares for repurchase in a repurchase offer. In that case, these shares would be accepted before prorating the shares tendered by other shareholders. In addition, if a repurchase offer is oversubscribed, the Fund may offer to repurchase additional shares in an amount determined by the Board that are tendered by an estate (an “Estate Offer”). If an Estate Offer is oversubscribed, the Fund will repurchase such shares on a pro rata basis. As a result, there can be no assurance that the Fund will be able to repurchase all of the shares tendered in an Estate Offer. If the Fund repurchases any shares pursuant to an Estate Offer, this will not affect the number of shares that it repurchases from other shareholders in the quarterly repurchase offers. The Fund’s shares are not listed, and the Fund does not currently intend to list its shares for trading on any national securities exchange. The shares are therefore illiquid. Even though the Fund makes quarterly repurchase offers to repurchase a portion of the shares to provide liquidity to shareholders, shareholders should consider the shares to be illiquid. There is not expected to be any secondary trading market in the shares.

The Fund’s investment objective is to achieve capital appreciation. The Fund pursues its investment objective primarily by receiving premiums in connection with its derivative contracts (including put and call options, futures contracts, options on futures contracts, and swaps) related to a variety of asset classes that the Adviser (as defined herein) believes offer variance risk premiums.

The consolidated financial statements include the accounts of Stone Ridge All Asset Variance Risk Premium Sub Fund Ltd. (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund. All intercompany accounts and transactions have been eliminated in consolidation. The Subsidiary gains exposure to the commodities markets by investing in commodity-linked derivatives such as commodity-linked futures, options and swaps. As of April 30, 2020, the Subsidiary’s net assets were $93,419,708.14, which represented 26.7% of the Fund’s net assets.

2. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its consolidated financial statements. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is an investment company and applies 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 The Board has approved procedures pursuant to which the Fund values its investments (the “Valuation Procedures”). The Board has established an Adviser Valuation Committee made up of employees of Stone Ridge Asset Management, LLC (the “Adviser”) to which the Board has delegated responsibility for overseeing the implementation of the Valuation Procedures and fair value determinations made on behalf of the Board.

Stone Ridge Funds Semi-Annual Report April 30, 2020

23

Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

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

Short-term debt instruments, such as money market funds, commercial paper, bankers’ acceptances and U.S. Treasury Bills, having a maturity of 60 days or less, are generally valued at amortized cost which approximates fair value.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities in each case having a remaining maturity in excess of 60 days, loans, mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued by an independent pricing service at an evaluated (or estimated) mean between the closing bid and asked prices.

For investments in open-end management companies that are registered under the 1940 Act, the value of the shares of such funds is calculated based upon the NAV per share of such funds. The prospectuses for such funds explain the circumstances under which they will use fair value pricing and its effects.

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

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

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

If market quotations are not readily available or available market quotations or other information are deemed to be unreliable by the Adviser Valuation Committee, and if the valuation of the applicable instrument is not covered by the valuation methods described above or if the valuation methods are described above, but such methods are deemed unreliable by the Adviser Valuation Committee, then such instruments will be valued as determined in good faith by the Adviser Valuation Committee. In these circumstances, the Fund determines fair value in a manner that seeks to reflect the market value of the security on the valuation date based on consideration by the Adviser Valuation Committee of any information or factors it deems appropriate. For purposes of determining the fair value of securities, the Adviser Valuation Committee may generally consider, without limitation: (i) indications or quotes from brokers or other third-party sources; (ii) valuations provided by a third-party pricing agent; (iii) internal models that take into consideration different factors determined to be relevant by the Adviser; or (iv) any combination of the above.

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

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

Stone Ridge Funds Semi-Annual Report April 30, 2020

24

Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

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

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

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

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

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

DESCRIPTION	LEVEL 1			LEVEL 2			LEVEL 3		TOTAL
Assets
Purchased Options	$	5,822,530		$	1,560,000		$	—	$	7,382,530
Money Market Funds		81,043,278			—			—		81,043,278
U.S. Treasury Bills		—			361,608,241			—		361,608,241
Total Assets	$	86,865,808		$	363,168,241		$	—	$	450,034,049
Liabilities
Written Options	$	68,217,810		$	34,901,983		$	—	$	103,119,793
Total Liabilities	$	68,217,810		$	34,901,983		$	—	$	103,119,793
Other Financial Instruments*
Unrealized appreciation on forward currency contracts	$	—		$	1,220,139		$	—	$	1,220,139
Unrealized depreciation on forward currency contracts		—			(1,281,626	)		—		(1,281,626	)
Unrealized appreciation on futures contracts		16,559,461			—			—		16,559,461
Unrealized depreciation on futures contracts		(6,545,066	)		—			—		(6,545,066	)
Total	$	10,014,395		$	(61,487	)	$	—	$	9,952,908

* Other financial instruments are derivatives, such as futures and forward currency contracts. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.

Derivative Transactions — The Fund engaged in derivatives for hedging and speculative purposes during the period ended April 30, 2020. The use of derivatives included options, futures, swaps and forward currency contracts.

Futures Contracts — The Fund purchases and sells futures contracts and held futures contracts during the period ended April 30, 2020. The Fund may use futures contracts to gain exposure or to hedge asset classes such as equities, currencies, commodities and fixed income. 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, the Fund deposits and maintains as collateral, an initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

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 the Fund as unrealized gains and losses. Variation margin is settled daily. When the contract is closed, the 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, the 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, 2020, was $331,044,735 for long contracts and $428,791,278 for short contracts.

Options — The Fund purchases and writes call or put options on securities, indices, futures contracts, including commodity futures contracts, and enter into related closing transactions. The Fund wrote call and put options during the period ended April 30, 2020. The Fund writes put and call options to earn premium income. With certain options, there is minimal counterparty credit risk to the Fund since options are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. OTC options are customized agreements between the parties. With OTC options, there is no clearinghouse guarantee against default, thus OTC options are subject to the risk that the counterparty will not fulfill its obligations under the contract.

As the writer of a call option, the Fund has the obligation to sell the security at the exercise price during or at the expiration of the exercise period. As a writer of a put option, the Fund has the obligation to buy the underlying security at the exercise price during or at the expiration of the exercise period. The premium that the Fund pays when purchasing a call option or receives 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 (the 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 Fund realizes 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 value of written options for the period ended April 30, 2020 was $82,196,291.

Forward Currency Contracts — The Fund enters into forward currency contracts. When entering into a forward currency contract, in the case of a deliverable contract the Fund agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date or in the case of a non-deliverable contract to settle the equivalent in U.S. dollar. The Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date. These instruments may involve market risk from movements in currencies or credit risk from the possible inability of counterparties to meet the terms of their contracts. The average notional amount of forward currency contracts during the period ended April 30, 2020 was $90,840,192 for long contracts and $418,018,071 for short contracts.

Swaps

Correlation Swaps — The Fund enters into correlation swaps. Correlation swaps are transactions in which counterparties agree to buy or sell the future realized correlation on an underlying reference basket of securities or instruments at a specific level over a fixed period. Correlation swaps are subject to all the risks of OTC derivatives generally, including counterparty risks (if the counterparty fails to meet its obligations) and the risk that the Adviser is

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

incorrect in forecasts of correlation on the underlying reference basket. The average notional amount of correlation swaps held during the period ended April 30, 2020 was $0 for short contracts.

Credit Default Swaps — The Fund enters into credit default swaps. A credit default swap enables an investor to buy or sell protection against a credit event, such as a borrower’s or issuer’s failure to make timely payments of interest or principal, bankruptcy or restructuring. The Fund may seek to enhance returns by selling protection or attempt to mitigate credit risk by buying protection against the occurrence of a credit event by a specified borrower or issuer. If the Fund buys credit protection using a credit default swap and a credit event occurs, the Fund will deliver the defaulted bond underlying the swap and the swap counterparty will pay the par amount of the bond. If the Fund sells credit protection using a credit default swap and a credit event occurs, the Fund will pay the par amount of the defaulted bond underlying the swap and the swap counterparty will deliver the bond. If the swap is on a basket of assets, the notional amount of the swap is reduced by the par amount of the defaulted asset, and the fixed payments are then made on the reduced notional amount. Risks of credit default swaps include all the risks of OTC derivatives generally, including counterparty credit risk (if the counterparty fails to meet its obligations) and the risk that the Fund will not properly assess the cost of the instrument based on the lack of transparency in the market. If the Fund is selling credit protection, there is a risk that a credit event will occur and that the Fund will have to pay par value on defaulted bonds. If the Fund is buying credit protection, there is a risk that no credit event will occur, and the Fund will receive no benefit for the premium paid. In addition, if the Fund is buying credit protection and a credit event does occur, there is a risk when the Fund does not own the underlying asset, that the Fund will have difficulty acquiring the asset on the open market and may receive adverse pricing. The average notional amount of credit default swaps during the period ended April 30, 2020 was $72,321,714 for contracts in which the Fund purchased protection and $14,500,000 for contracts in which the Fund sold protection.

Volatility Swaps and Variance Swaps — The Fund enters into volatility and/or variance swaps. Volatility swaps and variance swaps are transactions in which counterparties agree to economically buy or sell volatility or variance (which equals volatility squared), as the case may be, of the underlying reference at a specific level over a fixed period. Volatility and variance swaps are subject to credit risks (if the counterparty fails to meet its obligations), and the risk that the Adviser is incorrect in forecasts of volatility and/or variance of the underlying reference. The average notional amount of variance swaps held during the period ended April 30, 2020 was $0 for long contracts and $0 for short contracts. The Fund did not hold volatility swaps during the period ended April 30, 2020.

The tables below reflect the values of derivative assets and liabilities as reflected in the Consolidated Statement of Assets and Liabilities.

	ASSET DERIVATIVES
RISK EXPOSURE	CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Options
Commodity contracts	Investments, at fair value	$	5,822,530
Equity contracts	Investments, at fair value		1,560,000
Futures
Commodity contracts	Net assets—Unrealized appreciation*		2,791,638
Equity contracts	Net assets—Unrealized appreciation*		11,257,582
Foreign exchange contracts	Net assets—Unrealized appreciation*		2,510,241
Forwards
Foreign exchange contracts	Unrealized appreciation on forward currency contracts		1,220,139
Total		$	25,162,130

* Reflects cumulative unrealized appreciation of futures contracts as reported in the Consolidated Schedule of Investments.

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

	LIABILITY DERIVATIVES
RISK EXPOSURE	CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES LOCATION	FAIR VALUE
Options
Commodity contracts	Written options, at fair value	$	47,674,387
Equity contracts	Written options, at fair value		31,693,059
Foreign exchange contracts	Written options, at fair value		23,474,764
Interest rate contracts	Written options, at fair value		262,473
Volatility contracts	Written options, at fair value		15,110
Futures
Commodity contracts	Net assets—Unrealized depreciation*		6,383,026
Foreign exchange contracts	Net assets—Unrealized depreciation*		144,721
Interest rate contracts	Net assets—Unrealized depreciation*		17,319
Forwards
Foreign exchange contracts	Unrealized depreciation on forward currency contracts		1,281,626
Total		$	63,272,098

* Reflects cumulative unrealized depreciation of futures contracts as reported in the Consolidated Schedule of Investments.

The tables below reflect the effect of derivative instruments on the Consolidated Statement of Operations for the period ended April 30, 2020

AMOUNT OF REALIZED GAIN OR (LOSS) ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS			PURCHASED OPTIONS(1)			WRITTEN OPTIONS		SWAP CONTRACTS			FORWARD CURRENCY CONTRACTS		TOTAL
Commodity contracts	$	—		$	(5,730,047	)	$	176,962,542	$	—		$	—	$	171,232,495
Credit contracts		—			(480,925	)		5,781,111		(8,240,839	)		—		(2,940,653	)
Equity contracts		1,775,075			1,307,216			15,971,845		—			—		19,054,136
Foreign exchange contracts		(44,340,744	)		1,158,177			6,283,717		—			2,115,087		(34,783,763	)
Interest rate contracts		(255,326,166	)		—			—		—			—		(255,326,166	)
Volatility contracts		558,034			—			—		—			—		558,034
	$	(297,333,801	)	$	(3,745,579	)	$	204,999,215	$	(8,240,839	)	$	2,115,087	$	(102,205,917	)

(1) Amounts are included in realized gain (loss) on investments in the Consolidated Statement of Operations.

CHANGE IN UNREALIZED APPRECIATION OR (DEPRECIATION) ON DERIVATIVES TRANSACTIONS
	FUTURES CONTRACTS			PURCHASED OPTIONS(1)			WRITTEN OPTIONS			SWAP CONTRACTS		FORWARD CURRENCY CONTRACTS		TOTAL
Commodity contracts	$	(672,869	)	$	(1,436,444	)	$	(13,738,949	)	$	—	$	—	$	(15,848,262	)
Credit contracts		—			608,849			(2,663,656	)		1,307,489		—		(747,318	)
Equity contracts		11,472,242			(9,942,578	)		(19,999,403	)		—		—		(18,469,739	)
Foreign exchange contracts		1,990,878			14,459			(10,351,430	)		—		2,603,510		(5,742,583	)
Interest rate contracts		26,230			—			245,384			—		—		271,614
Volatility contracts		39,137			43,097			(151,596	)		—		—		(69,362	)
	$	12,855,618		$	(10,712,617	)	$	(46,659,650	)	$	1,307,489	$	2,603,510	$	(40,605,650	)

(1) Amounts are included in unrealized appreciation (depreciation) on investments in the Consolidated Statement of Operations.

(b) Offsetting on the Consolidated Statement of Assets and Liabilities The Fund is subject to netting arrangements, which govern the terms of certain transactions with select counterparties. The netting arrangements allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single agreement with a counterparty. The netting arrangements also specify collateral posting arrangements at prearranged exposure levels. Under the netting arrangements, collateral is routinely transferred if the

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant netting arrangement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of netting arrangement.

	GROSS AMOUNT OF RECOGNIZED ASSETS		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
ASSETS:							FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED			NET AMOUNT
Forward Currency Contracts	$	1,220,139	$	—	$	1,220,139	$	(1,220,319	)	$	—		$	0
	$	1,220,139	$	—	$	1,220,139	$	(1,098,680	)	$	—		$	121,459
	GROSS AMOUNT OF RECOGNIZED LIABILITIES		GROSS AMOUNT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		NET AMOUNTS PRESENTED IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES		GROSS AMOUNTS NOT OFFSET IN THE CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES
LIABILITIES:							FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED			NET AMOUNT
Forward Currency Contracts	$	1,281,626	$	—	$	1,281,626	$	(1,098,680	)	$	(182,946	)	$	—
Written Options		1,749,461		—		1,749,461		0			(1,282,461	)		467,000
	$	3,031,087	$	—	$	3,031,087	$	(1,098,680	)	$	(1,465,407	)	$	467,000

Actual collateral pledged may be more than reported in order to satisfy broker requirements.

(c) Use of Estimates The preparation of the consolidated 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 consolidated 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 Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements cannot be known; however, the Fund expects any risk of loss to be remote.

(e) Federal Income Taxes The Fund qualifies and intends to continue to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended. As a RIC, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Therefore, no federal income tax provision is required.

(f) Distributions to Shareholders The Fund intends to distribute to its shareholders any net investment income and any net realized long- or short-term capital gains, if any, at least annually. Distributions are recorded on the ex-dividend date. The Fund may periodically make reclassifications among certain of its 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.

(g) Foreign Securities and Currency Transactions The Fund’s 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 Fund does not 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.

(h) 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/

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

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.

(i) Restricted Securities The Fund may invest 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 publicly registered. Restricted securities may be deemed illiquid.

(j) COVID-19 An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and subsequently spread globally. This coronavirus has resulted in travel restrictions and disruptions, closed borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, quarantines, event cancellations and restrictions, service cancellations or reductions, disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, as well as general concern and uncertainty that has negatively affected the economic environment. The impact of this outbreak could adversely affect the economies of many nations or the entire global economy, the financial performance of individual issuers, borrowers and sectors and the health of capital markets and other markets generally in potentially significant and unforeseen ways. This crisis may also exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty. The foregoing could lead to a significant economic downturn or recession, increased market volatility, a greater number of market closures, higher default rates and adverse effects on the values and liquidity of securities or other assets. Such impacts present material uncertainty and risk with respect to the Fund’s investment performance and financial results.

3. Federal Tax Matters

Provisions for federal income taxes or excise taxes have not been made since the Fund intends to be taxed as a Regulated Investment Company and intends 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, GAAP requires 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 year ended October 31, 2019, the effect of permanent “book/tax” reclassifications resulted in increases and decreases to components of the Fund’s net assets as follows:

	UNDISTRIBUTED NET INVESTMENT INCOME		ACCUMULATED NET REALIZED LOSS		PAID IN CAPITAL
All Asset Variance Risk Premium Fund	$	1,124,814	$	34,296,275	$	(35,421,089	)

These differences primarily relate to realized foreign currency gains/(losses), tax treatment of swap contracts, net operating losses, and income from Subsidiary.

As of October 31, 2019, the components of accumulated earnings (losses) for income tax purposes were as follows:

Tax cost of Investments	$	672,538,066
Unrealized appreciation		28,764,684
Unrealized depreciation		(13,112,723	)
Net unrealized appreciation		15,651,961
Undistributed ordinary income		—
Undistributed long-term gains/(capital loss carryover)		(36,431,744	)
Total distributable earnings		(36,437,744	)
Other temporary differences		(109,607	)
Total accumulated earnings	$	(20,895,390	)

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to adjustments involving Subsidiary and investments in derivatives.

The tax character of distributions paid during the year ended October 31, 2019 was as follows:

	ORDINARY INCOME		LONG-TERM CAPITAL GAIN		RETURN OF CAPITAL		TOTAL
All Asset Variance Risk Premium Fund	$	—	$	—	$	—	$	—
The tax character of distributions paid during the year ended October 31, 2019 was as follows:
	ORDINARY INCOME		LONG-TERM CAPITAL GAIN		RETURN OF CAPITAL		TOTAL
All Asset Variance Risk Premium Fund	$	148,744,633	$	49,772,918	$	—	$	198,517,551

At October 31, 2019, the Fund had tax basis capital losses which may be carried forward indefinitely to offset future capital gains as shown below:

	SHORT-TERM			LONG-TERM		TOTAL
All Asset Variance Risk Premium Fund .	$	(36,437,744	)	$	—	$	(36,437,744	)

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 year-ended October 31, 2019, or for any other tax years which are open for exam. As of October 31, 2018, open tax years include the periods ended October 31, 2017, 2018 and 2019. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Consolidated Statement of Operations. During the period, the Fund did not incur any interest or penalties.

4. Agreements

(a) Investment Management Agreement The Adviser is the investment adviser of the Fund and was organized as a Delaware limited liability company in 2012. The Adviser’s primary business is to provide a variety of investment management services, including an investment program for the Fund.

As compensation for its services, the Adviser is paid by the Fund a fee, computed daily and paid monthly in arrears, at an annual rate of 2.00% of the Fund’s average daily net assets.

Under an investment management agreement with the Subsidiary, the Adviser provides the Subsidiary with the same type of management services as the Adviser provides to the Fund in respect of the Fund’s exposure to commodity interests. To the extent the Adviser receives compensation for providing such services to the Subsidiary, the Adviser will not receive compensation from the Fund in respect of the assets of the Fund that are invested in the Subsidiary.

Through February 28, 2021, the Adviser has agreed to waive its advisory fee and/or pay or otherwise bear operating and other expenses of the Fund (including offering expenses, but 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 ordinary course of the Fund’s business (collectively, the “Excluded Expenses”) solely to the extent necessary to limit the total annual fund operating expenses to 2.60% of the average daily net assets of the Fund. The Adviser shall be permitted to recoup in later periods Fund expenses 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 Fund (including offering expenses, but excluding Excluded Expenses) after such recoupment do not exceed the lower of (i) the annual expense limitation rate in effect at the time of the actual waiver/reimbursement and (ii) the annual expense limitation rate in effect at the time of the recoupment. However, the Adviser shall not be, and under the expense limitation agreements that were in place during the period covered by this report the Adviser was not, permitted to recoup such expenses beyond three years from the end of the month in which the Adviser waived a fee or reimbursed an expense. During the

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

period ended April 30, 2020, the Adviser has waived $394,998, which is disclosed in the Consolidated Statement of Operations. The Adviser may recoup up to this amount by its expiration within the fiscal year ending October 31, 2023.

(b) Custodian, Administrator, and Transfer Agent The custodian to the Fund is U.S. Bank, N.A. The administrator and transfer agent to the Fund is U.S. Bancorp Fund Services, LLC, doing business as U.S. Bank Global Fund Services, an affiliate of U.S. Bank, N.A.

(c) Distributor ALPS Distributors, Inc. (the “Distributor”) serves as the Fund’s distributor.

5. Services Agreement

Servicing fees and distribution fees may be paid pursuant to a Distribution and Servicing Plan dated as of March 1, 2018 at the maximum annual rate of 0.05% and servicing fees may be paid pursuant to an amended and restated Services Agreement between the Fund and the Adviser dated as of March 1, 2018, under which the Fund has appointed the Adviser as “servicing agent” to compensate financial intermediaries, at an annual rate of 0.05%, in each case calculated as a percentage of the Fund’s average daily net assets. (Under the prior Services Agreement, the servicing fees were paid at an annual rate of 0.10% of the Fund’s average daily net assets.) These fees are paid out of the Fund’s assets on an ongoing basis and may be administered or facilitated by the Distributor. Intermediaries generally receive payments pursuant to both the Distribution and Servicing Plan and the Services Agreement. The Adviser performs certain services and incurs certain expenses through its employees who are registered representatives of a broker-dealer with respect to the promotion of the Fund’s Shares and the Adviser also performs certain services in connection with the servicing of shareholders. If amounts remain from the servicing fees and/or any distribution fees after the intermediaries have been paid, such amounts may be used to compensate the Adviser for the services it provides and for the expenses it bears. The Distributor does not retain any portion of any servicing fees or distribution fees. To the extent that there are expenses associated with shareholder services that exceed the amounts payable pursuant to the Services Agreement or the Distribution and Servicing Plan, the Fund will bear such expenses.

6. Related Parties

Certain officers of the Trust are also employees of the Adviser. The officers, with the exception of the Chief Compliance Officer, are not compensated by the Trust. The Trust pays a portion of the Chief Compliance Officer’s salary.

7. Investment Transactions

For the period ended April 30, 2020, aggregate purchases and sales of securities, excluding short-term securities and including equity security transactions related to options exercises, were $0 and $0, respectively. The Fund did not have any purchases or sales of long-term U.S. government securities during the period ended April 30, 2020.

8. Capital Share Transactions

	PERIOD ENDED APRIL 30, 2020			YEAR ENDED OCTOBER 31, 2019
Shares sold		4,263,504			20,830,308
Shares issued to holders in reinvestment of dividends		—			—
Shares redeemed		(25,833,633	)		(89,861,370	)
Net increase (decrease) in shares		(21,570,129	)		(69,031,062	)
Shares outstanding:
Beginning of year		73,541,253			142,572,315
End of year		51,971,124			73,541,253

The shares repurchased were done so in accordance with Section 23(c) of the 1940 Act as follows:

REPURCHASE REQUEST DEADLINE	REPURCHASE OFFER AMOUNT (SHARES)		SHARES TENDERED
January 10, 2020		18,970,914		16,971,449
April 9, 2020		15,116,991		8,862,185

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Notes to Consolidated Financial Statements April 30, 2020 (Unaudited)

9. Line of Credit

As of April 30, 2020, the Fund together with four series of funds in Stone Ridge Trust, had an uncommitted line of credit (the “Line”) with U.S. Bank N.A. The Line is for liquidity in connection with shareholder redemptions and portfolio timing differences. The Line is not secured by the Fund’s assets and has a maximum withdrawal capacity of the lesser of 5% of the net assets of the Fund or $50,000,000 less any loans outstanding with any of the four series of funds in Stone Ridge Trust in excess of $25,000,000. The Line has a one-year term which runs through October 24, 2020 and is reviewed annually by the Board of Trustees. During the period ended April 30, 2020, the Fund did not draw on the Line.

10. Subsequent Events Evaluation

In preparing these consolidated financial statements, the Fund has evaluated events and transactions for potential recognition or disclosure resulting from subsequent events through the date the consolidated financial statements were available to be issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.

Stone Ridge Funds Semi-Annual Report April 30, 2020

33

Expense Example (Unaudited)

As a shareholder of the Fund, 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 U.S. dollars) of investing in the 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 for the entire period from November 1, 2019 through April 30, 2020.

Actual Expenses

The first line of the table 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 Fund’s 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 of the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratios of the Fund and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund 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.

	BEGINNING ACCOUNT VALUE NOVEMBER 1, 2019		ENDING ACCOUNT VALUE APRIL 30, 2020		EXPENSES PAID DURING PERIOD* NOVEMBER 1, 2019 – APRIL 30, 2020
Actual	$	1,000.00	$	736.60	$	11.49
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,011.64	$	13.30

* Expenses are equal to the Fund’s annualized six-month expense ratio of 2.66%, multiplied by the average account value over the period, multiplied by 182/366 to reflect the partial year period.

Stone Ridge Funds Semi-Annual Report April 30, 2020

34

Additional Information (Unaudited)

1. Shareholder Notification of Federal Tax Status

For the fiscal year ended October 31, 2019, certain dividends paid by the Fund 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
All Asset Variance Risk Premium Fund		0.00	%

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended October 31, 2019 was as follows:

	PERCENTAGES
All Asset Variance Risk Premium Fund		0.00	%

The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(C) for the fiscal year ended October 31, 2019 was as follows:

	PERCENTAGES
All Asset Variance Risk Premium Fund		0.00	%

The percentage of taxable ordinary income distributions that are designated as interest related dividends under Internal Revenue Code Section 871(k)(1)(C) for the fiscal year ended October 31, 2019 was as follows:

	PERCENTAGES
All Asset Variance Risk Premium Fund		0.00	%

Shareholders should not use the above information to prepare their tax returns. Since the Fund’s fiscal year is not the calendar year, another notification is available with respect to calendar year 2019. Such notification, which reflects the amount to be used by calendar year taxpayers on their Federal income tax returns, was made in conjunction with shareholders year-end tax reporting and was made available in February 2020. Shareholders are advised to consult their own tax advisors with respect to the tax consequences of their investment in the Fund.

2. Availability of Quarterly Portfolio Holdings Schedules

The Fund is required to file its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Part F of Form N-PORT. The Fund’s filings on Part F of Form N-PORT are available without charge on the SEC’s website, www.sec.gov or upon request by calling 1.855.609.3680.

3. Proxy Voting Policies and Procedures and Proxy Voting Record

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1.855.609.3680 and on the SEC’s website, www.sec.gov. The Fund is required to file how it 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, www.sec.gov.

Stone Ridge Funds Semi-Annual Report April 30, 2020

35

Investment Adviser

Stone Ridge Asset Management LLC

510 Madison Avenue, 21st Floor

New York, NY 10022

Independent Registered Public Accounting Firm

Ernst & Young LLP

220 South 6th Street

Minneapolis, MN 55402

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

ALPS Distributors, Inc.

1290 Broadway, Suite 1000

Denver, CO 80203

Administrator, Transfer Agent and Dividend Disbursing Agent

U.S. Bancorp Fund Services, LLC,

doing business as U.S. Bank Global Fund Services

615 East Michigan Street

Milwaukee, WI 53202

Stone Ridge Funds P.O. Box 701 Milwaukee, WI 53201-0701   855-609-3680 www.stoneridgefunds.com   XQSEMI

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 N-CSR.

(b) Not applicable.

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

Not applicable for semi-annual reports.

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

Not applicable.

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

Not applicable.

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 (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 providers.

(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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

Item 13. 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. Not applicable.

(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. Filed herewith.

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

(b) Certifications pursuant to Section  906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

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 III                                 

By (Signature and Title)  /s/ Ross Stevens                    

                                             Ross Stevens, President, Chief Executive Officer and

                                             Principal Executive Officer

Date  7/2/2020                                                                  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)  /s/ Ross Stevens                    

                                             Ross Stevens, President, Chief Executive Officer and

                                             Principal Executive Officer

Date  7/2/2020                                                                  

By (Signature and Title)  /s/ Anthony Zuco                    

                                             Anthony Zuco, Treasurer, Principal Financial Officer, Chief

                                             Financial Officer and Chief Accounting Officer

Date  7/2/2020