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

VRLMX Fund Overview

VRLMX — Stone Ridge U.S. Large Cap Variance Risk Premium Fund is a US mutual fund managed by Stone Ridge Trust, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Stone Ridge Trust
• Category: Commodity
• Assets under management: $29.60M
• 1-year return: -9.8%
• Ticker: VRLMX
• SEC CIK: 0001559992
• SEC series ID: S000040450
• Share class ID: C000125635

VRLMX Investment Objective and Strategy

Stone Ridge U.S. Large Cap Variance Risk Premium Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Stone Ridge Trust.

Investment objective

The Stone Ridge U.S. Large Cap Variance Risk Premium Fund’s (the “Fund”) investment objective is to seek capital appreciation.

Principal investment strategy

Stone Ridge Asset Management LLC (Stone Ridge or the Adviser) believes that investing should involve a long-term view and a systematic focus on sources of expected returns, not on stock picking or market timing. In managing the Fund, the Adviser focuses primarily on one source of expected returns the variance risk premium in equity options. The variance risk premium is positive if the implied volatility the expected level of volatility priced into an option is higher, on average, than the volatility actually experienced on the security underlying the option. For example, an option buyer typically pays a premium to an option seller, such as the Fund, that is priced based on the expected amount by which the value of the instrument underlying the option will move up or down. On average, this expected amount of value movement (or implied volatility) is generally greater than the amount by which the value of the underlying instrument actually moves (realized volatility).

By entering into derivatives contracts, the Fund is, in essence, accepting a risk that its counterparty seeks to transfer in exchange for the premium received by the Fund under the derivatives contract. By providing this risk transfer service, the Fund seeks to benefit over the long-term from the difference between the level of volatility priced into the options it sells and the level of volatility realized on the securities underlying those options. There can be no assurance that the variance risk premium will be positive for the Funds investments at any time or on average and over time. The Adviser does not intend to purchase or sell securities for the investment portfolio based on prospects for the economy, the securities markets or the individual issuers themselves. Instead, the Fund seeks to identify variance risk premiums wherever they may arise, regardless of the specific underlying securities, to provide an investment return and to make distributions from the premiums it receives from writing options offering those premiums.

In constructing an investment portfolio, the Adviser seeks to identify a universe of eligible securities offering the Fund the potential to capture the benefit of variance risk premiums. The Adviser then sells options on a subset of that universe while seeking to keep trading costs as low as practicable, given the appropriate execution requirements of the strategy. In so doing, the Fund uses derivatives to enhance returns. The extent of the Funds exposure to any particular asset class is determined according to global supply and demand for the risk transfer services provided by the Funds investments. The Fund typically pursues its investment objective by writing (selling) put options related to U.S. large cap securities. The Fund may also pursue its investment objective by writing (selling) call options related to U.S.

large cap securities. The Adviser considers U.S. large cap securities to include the securities of U.S. large cap companies as well as exchange traded funds (ETFs) and indices providing exposure to the securities of U.S. large cap companies. For purposes of the Funds investment strategy, the Adviser currently considers large cap companies to include those companies that, at the time of purchase, have market capitalizations larger than the 1,000th largest U.S. publicly traded company. The smallest company that is within the Advisers definition of large cap companies had a market capitalization of $3.6 billion as of February 21, 2018. The market capitalization of the smallest large cap company will fluctuate over time. Under normal market conditions, at least 80% of the value of the Funds net assets (plus the amount of any borrowings for investment purposes) will be subject to written put and call options on U.S.

large cap securities. A put option typically gives the option buyer the right to sell, and obligates the option seller to purchase, a security at an agreed-upon price; a call option typically gives the option buyer the right to buy, and obligates the option seller to sell, a security at an agreed-upon price. Generally, the Fund intends to sell put (or call) options that are at-the-money or out-of-the-money (meaning that the exercise price generally will be at or below (in the case of a put option) or at or above (in the case of a call option) the current price of the underlying equity security, ETF or index when the option is sold). Options that are more substantially out-of-the-money generally would pay lower premiums than options that are at or slightly out-of-the-money. By selling put options, the Fund will sell protection against depreciation below the option exercise price to the option purchaser in exchange for an option premium.

By selling call options, the Fund will sell the opportunity for appreciation above the option exercise price to the option purchaser in exchange for the option premium. If an option is exercised, the Fund will either purchase or sell the security at the strike price or pay to the option holder the difference between the strike price and the current price level of the underlying equity security, ETF or index, depending on the terms of the option. When the Fund enters into derivatives transactions, it is typically required to post collateral, or initial margin, to secure its payment or delivery obligations. The Fund then pays or receives margin periodically during the term of the derivative depending on changes in value of the derivative. In some cases, the Fund posts margin directly to a broker or futures commission merchant (FCM) and in some cases the Fund posts margin to its custodian under an escrow or tri-party collateral arrangement.

In the case of a broker who is not an FCM, any posting of margin directly to that broker must be specifically approved by the Board. When the Fund posts margin directly to a broker or FCM, the Fund is subject to the credit risk and fraud risk of that broker or FCM with respect to that posted margin. There is generally no limit on the amount of margin that the Fund may post directly to a single broker or FCM or to all brokers and FCMs, and the Fund typically posts a significant portion of its assets in this manner. As a result, at any time the Fund may have substantial credit exposure to one or more brokers and/or FCMs. The Fund will invest in government obligations (including U.S. Treasury securities with remaining maturities of one year or less) and may invest in equities and ETFs, typically to meet asset coverage or margin requirements on the Funds option writing strategy.

Typically, the Fund will cover call options with equity securities and will cover put options with U.S. Treasuries; however, the Fund may use any liquid assets as cover or margin. The Fund may write call options on an underlying security it does not own and put options in respect of an underlying security in which the Fund does not have a short position (so-called naked call or put options). At times the Fund may hold significant positions in government obligations or cash and cash equivalents and may hold positions in equities and ETFs to the extent necessary to meet asset coverage or margin requirements. The Fund may at times write options on equities, ETFs and indices with aggregate notional value greater than the value of the Funds assets. In those cases, the Fund may be considered to have created investment leverage; leverage increases the volatility of the Fund and may result in losses greater than if the Fund had not been leveraged.

It is also possible that the Fund will create investment leverage by borrowing money. The Fund also may enter into futures contracts for hedging purposes. The use of derivatives gives rise to a form of leverage and the related risks. For the Adviser and the Fund to remain eligible for certain regulatory exclusions under the Commodity Exchange Act (the CEA), the Fund will be limited in its ability to use certain financial instruments regulated under the CEA (commodity interests), including futures and options on futures and certain swaps transactions. The Fund may lend its portfolio securities to generate additional income. The Adviser may consider the tax consequences of the Funds investment strategy, but there is no assurance that the Fund will be managed in a tax-advantaged manner.

VRLMX Performance

Total returns for VRLMX (as of 2026-10-01), from SEC filings.

VRLMX Risk Information

Risk metrics for VRLMX, derived from monthly returns in SEC filings.

• 1-year volatility (annualised): 13.7%

VRLMX Costs and Fees

VRLMX costs about $65 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.65%
• Gross expense ratio: 1.73%
• Portfolio turnover: 0%
• Brokerage commissions: 3.10 bps of average net assets (SEC N-CEN)

VRLMX Cashflows

Over the 12 months to 2022-10, Stone Ridge U.S. Large Cap Variance Risk Premium Fund had net inflows of $17.85M, from monthly SEC N-PORT filings.

VRLMX Debt Constituents

No individual debt constituents are reported in Stone Ridge U.S. Large Cap Variance Risk Premium Fund's latest SEC N-PORT filing.

VRLMX Prospectus and SEC Filings

Official Stone Ridge U.S. Large Cap Variance Risk Premium Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2023-02-28
• Prospectus (485BPOS) — filed 2022-02-24
• Prospectus (485BPOS) — filed 2021-02-25
• Portfolio holdings (N-PORT) — filed 2022-12-30
• Portfolio holdings (N-PORT) — filed 2022-09-29
• Portfolio holdings (N-PORT) — filed 2022-06-29
• Annual census (N-CEN) — filed 2023-01-13
• Annual census (N-CEN) — filed 2022-01-14

Related Funds

Other Commodity funds tracked on ABC INVEST:

• VanEck Vectors Gold Miners ETF (GDX)
• VanEck Vectors Junior Gold Miners ETF (GDXJ)
• Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)
• PIMCO CommoditiesPLUS Strategy Fund (PCLAX)
• First Eagle Gold Fund (SGGDX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.