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Mellon Optima L/S Strategy Fund, LLC – ‘N-Q’ for 12/31/08

On:  Friday, 2/27/09, at 6:46pm ET   ·   As of:  3/2/09   ·   Effective:  3/2/09   ·   For:  12/31/08   ·   Accession #:  935069-9-479   ·   File #:  811-21694

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 3/02/09  Mellon Optima L/S Strategy Fd LLC N-Q        12/31/08    2:18K                                    Bowne - BGM/FA

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Mellon Optima L/S Strategy Nq 12-08 Combined           5     25K 
 2: EX-99.CERT  Mellon Optima Nq 12-08 Certs 302-Jm&Sa                 2     14K

N-Q   —   Mellon Optima L/S Strategy Nq 12-08 Combined
Document Table of Contents

Page (sequential) | (alphabetic) Top
 
11st Page   -   Filing Submission
2Item 1 -- . Schedule of Investments
4Item 3 -- . Exhibits 
N-Q1st Page of 5TOC↑TopPreviousNext↓BottomJust 1st
 

 UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM N-Q

 QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY

 Investment Company Act file number: 811-21694
--------------------------------------------

MELLON OPTIMA L/S STRATEGY FUND, LLC
------------------------------------
(Exact name of registrant as specified in charter)

 BNY Mellon Financial Center
One Boston Place, 024-0071
 Boston, Massachusetts 02108
 ---------------------------
 (Address of principal executive offices) (Zip code)

 Peter M. Sullivan, Esq.
 BNY Mellon Financial Center
One Boston Place, 024-0081
 Boston, Massachusetts 02108
 -------------------------------
 (Name and address of agent for service)

Registrant's telephone number, including area code: (617) 722-7000
 -----------------------------------------------------------

 Date of fiscal year end: March 31
 ---------------------------------

 Date of reporting period: December 31, 2008
--------------------------------------


N-Q2nd Page of 5TOC1stPreviousNext↓BottomJust 2nd

ITEM 1 -- SCHEDULE OF INVESTMENTS.                                              

Attached hereto.                                                                

MELLON OPTIMA L/S STRATEGY FUND, LLC

SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED) 

                                                        [Enlarge/Download Table]

----------------------------------------------------------------------------------------------------------------- 

                                                                                    PERCENTAGE OF                 
Investment Funds                                        COST             VALUE        NET ASSETS     LIQUIDITY    
----------------------------------------------------------------------------------------------------------------- 
OPPORTUNISTIC                                                                                                     
                                                                                                                  
Glenview Institutional Partners LP                $     30,000,000  $    15,666,126          2.8%  Quarterly (a)  
Hunter Global Investors Fund I L.P.                     22,127,412       26,179,598          4.7%  Quarterly (b)  
Impala Fund LP                                          22,000,000       19,808,400          3.5%  Quarterly +    
Karsh Capital II, LP                                    28,125,331       37,730,870          6.8%  Quarterly +    
Kingdon Associates                                      25,283,055       26,730,971          4.8%  Quarterly +    
Raptor Global Fund L.P.                                 23,077,139       20,184,647          3.6%  Quarterly +    
                                                  ----------------- ----------------  -----------                 
                                                       150,612,937      146,300,612         26.2%                 
                                                  ----------------- ----------------  -----------                 
GROWTH                                                                                                            
Alydar QP Fund, L.P.                                    20,570,236       26,532,074          4.7%  Quarterly +    
Chilton QP Investment Partners, L.P.                    21,000,000       18,936,066          3.4%  Annually +     
Fox Point QP Fund, L.P.                                 25,000,000       26,398,649          4.7%  Bi-Annually (c)
Highbridge Long/Short Equity Fund, L.P.                 21,643,955       29,975,012          5.4%  Quarterly +    
Intrepid Capital Fund (QP), L.P.                        19,932,041       18,705,972          3.4%  Quarterly +    
Maverick Fund USA, Ltd.                                 24,464,054       22,216,872          4.0%  Annually (d)   
Pequot Capital                                          23,000,000       27,227,844          4.9%  Annually +     
                                                  ----------------- ----------------  -----------                 
                                                       155,610,286      169,992,489         30.5%                 
                                                  ----------------- ----------------  -----------                 
VALUE                                                                                                             
Amici Qualified Associates L.P.                         25,173,447       27,838,615          5.0%  Quarterly +    
Bay II Resources Partners L.P.                           8,500,000        7,462,000          1.3%  Quarterly +    
Clovis Capital Partners Institutional, L.P.             25,247,705       25,016,444          4.5%  Quarterly +    
Delta Institutional, L.P.                               19,624,302       16,138,818          2.9%  Quarterly +    
Oscar S. Schafer & Partners II L.P.                     25,000,000       17,544,819          3.1%  Annually (e)   
Shoshone Partners, L.P.                                 17,299,000       17,078,100          3.1%  Annually +     
Thruway Partners, L.P.                                  24,068,756       28,632,460          5.1%  Quarterly +    
                                                  ----------------- ----------------  -----------                 
                                                       144,913,210      139,711,256         25.0%                 
                                                  ----------------- ----------------  -----------                 
GLOBAL                                                                                                            
Asian Century Quest Fund (QP), L.P.                     19,000,000       22,712,825          4.1%  Quarterly +    
Calypso Qualified Partners, L.P.                        20,500,000       27,066,281          4.9%  Monthly +      
Lansdowne European Strategic Equity Fund, L.P.          25,500,000       23,651,257          4.2%  Monthly +      
                                                  ----------------- ----------------  -----------                 
                                                        65,000,000       73,430,363         13.2%                 
                                                  ----------------- ----------------  -----------                 
TOTAL INVESTMENT FUNDS                                 516,136,433      529,434,720         94.9%                 
                                                  ----------------- ----------------  -----------                 

AFFILIATED INVESTMENT                                                                                             
Dreyfus Institutional Preferred Plus                                                                              
  Money Market Fund (f)                                (29,582,546       29,582,546          5.3%  Daily +        
                                                  ----------------- ----------------  -----------                 
TOTAL INVESTMENTS                                 $    545,718,979      559,017,266        100.2%                 
                                                  ================= ----------------  -----------                 
OTHER ASSETS IN EXCESS OF LIABILITIES                                    (1,256,513)        (0.2)%                
                                                                    ----------------  -----------                 
TOTAL NET ASSETS                                                    $   557,760,753        100.0%                 
                                                                    ================  ===========                 

(a) Investments have a 2 year lock-up period. $20 million was invested on 4/1/08
and $10 million was invested on 5/1/08.                                 
(b) Investments have a 1 year lock-up period. $3 million was invested on 3/1/08.
The remaining investment amount has no lock up or other redemption      
restrictions.                                                           
(c) Investments have a 25 month lock-up period. $10 million was invested on     
1/1/08 and $15 million was invested on 2/1/08.                          
(d) Investments have a 1 year lock-up period. $2 million was invested on 4/1/08.
The remaining investment amount has no lock-up or other redemption      
restrictions.                                                           
(e) Investments have a 1 year lock-up period. $25 million was invested on       
7/1/08.                                                                 
(f) The 7-day yield at 12/31/08 was 0.07%.                                      
+   The investment amount has no lock-up or other redemption restrictions.      


N-Q3rd Page of 5TOC1stPreviousNext↓BottomJust 3rd

MELLON OPTIMA L/S STRATEGY FUND, LLC

 SCHEDULE OF INVESTMENTS - DECEMBER 31, 2008 (UNAUDITED)
--------------------------------------------------------------------------------

In September 2006, the Financial Accounting Standards Board ("FASB") released   
Statement of Financial Accounting Standards No. 157"Fair Value Measurements"    
("FAS 157"). FAS 157 establishes an authoritative definition of fair value, sets
out a framework for measuring fair value, and requires additional disclosures   
about fair value measurements. The application of FAS 157 is required for fiscal
years beginning after November 15, 2007 and interim periods within those fiscal 
years.                                                                          

Various inputs are used in determining the value of the Mellon Optima L/S       
Strategy Fund, LLC (the "Fund") investments relating to FAS 157. These inputs   
are summarized in the three broad levels listed below.                          

LEVEL 1 - quoted prices in active markets for identical securities. 

      LEVEL 2 - other significant observable inputs (including quoted prices for
     similar securities, interest rates, prepayment speeds, credit risk, etc.)

LEVEL 3 - significant unobservable inputs (including Fund's own     
assumptions in determining the fair value of investments).          

The inputs or methodology used for valuing securities are not necessarily an    
indication of the risk associated with investing in those securities.           

The following is a summary of the inputs used as of December 31, 2008 in valuing
the Fund's investments carried at fair value:                                   

                                                        [Enlarge/Download Table]

VALUATION INPUTS                                INVESTMENTS IN SECURITIES ($)    OTHER FINANCIAL INSTRUMENTS ($)+ 
------------------------------------------------------------------------------------------------------------------
                                                                                                                  
Level 1 - Quoted Prices                                           29,582,546                                   -- 
------------------------------------------------------------------------------------------------------------------
Level 2 - Other Significant Observable Inputs                             --                                   -- 
------------------------------------------------------------------------------------------------------------------
Level 3 - Significant Unobservable Inputs                        529,434,720                                   -- 
------------------------------------------------------------------------------------------------------------------
TOTAL                                                            559,017,266                                   -- 
------------------------------------------------------------------------------------------------------------------

+ OTHER FINANCIAL INSTRUMENTS INCLUDE DERIVATIVE INSTRUMENTS, SUCH AS FUTURES,  
FORWARD CURRENCY EXCHANGE CONTRACTS AND SWAP CONTRACTS, WHICH ARE VALUED AT THE 
unrealized appreciation (depreciation) on the instrument.                       

The following is a reconciliation of Level 3 assets for which significant       
unobservable inputs were used to determine fair value:                          

                                                                [Download Table]

                                                      INVESTMENTS IN  
                                                       SECURITIES ($) 
----------------------------------------------------------------------
                                                                      
BALANCE AS OF 9/30/2008                                  556,391,942  
----------------------------------------------------------------------
REALIZED GAIN (LOSS)                                              --  
----------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION                        (35,457,222) 
----------------------------------------------------------------------
NET PURCHASES (SALES)                                      8,500,000  
----------------------------------------------------------------------
TRANSFERS IN AND/OR OUT OF LEVEL 3                                --  
----------------------------------------------------------------------
BALANCE AS OF 12/31/2008                                 529,434,720  
----------------------------------------------------------------------


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ITEM 2 -- CONTROLS AND PROCEDURES.                                              
     (a)      The Registrant's Principal Executive Officer and Principal
                Financial Officer have evaluated the Registrant's disclosure
                  controls and procedures (as defined in Rule 30a-3(c) under the
                 Investment Company Act of 1940) within 90 days of this filing
                and have concluded that the Registrant's disclosure controls
   and procedures were effective, as of that date.

        (b)      There was no change in the Registrant's internal control over
              financial reporting (as defined in Rule 30a-3(d) under the
            Investment Company Act of 1940) during Registrant's last
                 fiscal quarter that has materially affected, or is reasonably
                  likely to materially affect, the Registrant's internal control
over financial reporting.                   

ITEM 3 -- EXHIBITS.                                                             

  Separate certifications for the Registrant's Principal Executive
        Officer and Principal Financial Officer, as required by Section 302 of
       the Sarbanes-Oxley Act of 2002 and Rule 30a-2(a) under the Investment
Company Act of 1940, are attached as Ex99.CERT.               


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SIGNATURES                                                                      

         Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report  
to be signed on its behalf by the undersigned, thereunto duly authorized.       

                                    MELLON OPTIMA L/S STRATEGY FUND, LLC

                             By:    /s/ STEVEN M. ANDERSON
                                           -----------------------------
                                Steven M. Anderson
                       Treasurer

                        Date:  February 27, 2009

         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:    /s/ STEVEN M. ANDERSON
                                           -----------------------------
                                Steven M. Anderson
                       Treasurer

                        Date:  February 27, 2009

                        By:    /s/ Joseph Murphy
                                           -----------------------------
                           Joseph Murphy
                       President

                        Date:  February 27, 2009

Dates Referenced Herein

Referenced-On Page
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Filed as of / Effective on:3/2/09None on these Dates
Filed on:2/27/095
For Period End:12/31/0813
11/15/073
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