N-CSR 1 f12835d1.htm COLUMBIA FUND SERIES TRUST II Columbia Fund Series Trust II

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 

FORM N-CSR 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES 

Investment Company Act file number811-21852 

Columbia Funds Series Trust II 

(Exact name of registrant as specified in charter) 

290 Congress Street 

Boston, MA 02210

(Address of principal executive offices) (Zip code)
 

  

Daniel J. Beckman 

c/o Columbia Management Investment Advisers, LLC 

290 Congress Street 

Boston, MA 02210 

  

Ryan C. Larrenaga, Esq. 

c/o Columbia Management Investment Advisers, LLC 

290 Congress Street 

Boston, MA 02210
  
(Name and address of agent for service)
 

  

Registrant's telephone number, including area code:   (800) 345-6611 

Date of fiscal year end:  May 31 

Date of reporting period:  May 31, 2022 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100  F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507. 

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

Item 1. Reports to Stockholders. 


Annual Report
May 31, 2022 
Multi-Manager Value Strategies Fund
Not FDIC or NCUA Insured • No Financial Institution Guarantee • May Lose Value

Table of Contents
If you elect to receive the shareholder report for Multi-Manager Value Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website (columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Value Strategies Fund  |  Annual Report 2022

Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with growth of capital and income.
Portfolio management
Columbia Management Investment Advisers, LLC
Scott Davis*
Michael Barclay, CFA
Tara Gately, CFA
* Mr. Davis has announced that he plans to retire from the Investment Manager effective June 30, 2023.
Diamond Hill Capital Management, Inc.
Charles Bath, CFA
Austin Hawley, CFA
Dimensional Fund Advisors LP
Jed Fogdall
Joel Schneider
John Hertzer, CFA
Morningstar style boxTM
The Morningstar Style Box is based on a fund’s portfolio holdings. For equity funds, the vertical axis shows the market capitalization of the stocks owned, and the horizontal axis shows investment style (value, blend, or growth). Information shown is based on the most recent data provided by Morningstar.
© 2022 Morningstar, Inc. All rights reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
Average annual total returns (%) (for the period ended May 31, 2022)
    Inception 1 Year 5 Years 10 Years
Institutional Class* 01/03/17 1.22 10.75 12.08
Institutional 3 Class* 12/18/19 1.35 10.80 12.10
Russell 1000 Value Index   0.93 9.50 12.06
All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
* Returns shown for periods prior to the inception date of the Fund’s Institutional Class and Institutional Class 3 shares through January 2, 2017 include the returns of the Fund’s Class A shares and the returns shown for the Fund’s Class Institutional 3 shares also include the returns of the Fund’s Institutional Class shares from January 3, 2017 through December 17, 2019. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
The Fund’s performance prior to October 1, 2016 reflects returns achieved pursuant to a different investment objective, principal investment strategies and/or management teams. If the Fund’s current investment objective, strategies and/or management teams had been in place for the prior periods, results shown may have been different.
The Russell 1000 Value Index, an unmanaged index, measures the performance of those stocks in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Multi-Manager Value Strategies Fund  | Annual Report 2022
3

Fund at a Glance   (continued)
(Unaudited)
Performance of a hypothetical $10,000 investment (May 31, 2012 — May 31, 2022)
The chart above shows the change in value of a hypothetical $10,000 investment in Institutional Class shares of Multi-Manager Value Strategies Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares.
Portfolio breakdown (%) (at May 31, 2022)
Common Stocks 99.1
Money Market Funds 0.9
Total 100.0
Percentages indicated are based upon total investments excluding investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Equity sector breakdown (%) (at May 31, 2022)
Communication Services 7.7
Consumer Discretionary 8.6
Consumer Staples 6.2
Energy 9.3
Financials 19.9
Health Care 15.1
Industrials 12.2
Information Technology 11.3
Materials 5.7
Real Estate 1.9
Utilities 2.1
Total 100.0
Percentages indicated are based upon total equity investments. The Fund’s portfolio composition is subject to change.
 
4 Multi-Manager Value Strategies Fund  | Annual Report 2022

Manager Discussion of Fund Performance
(Unaudited)
Columbia Management Investment Advisers, LLC (CMIA) serves as the investment manager for the Fund and attempts to achieve the Fund’s objective by managing a portion of the Fund’s assets and selecting one or more subadvisers to manage other sleeves independently of each other and CMIA. A portion of the Fund’s assets is subadvised by Dimensional Fund Advisors LP (DFA) and Diamond Hill Capital Management (Diamond Hill). As of May 31, 2022, CMIA, DFA and Diamond Hill managed approximately 28.4%, 39.0% and 32.6% of the portfolio, respectively.
For the 12-month period that ended May 31, 2022, Institutional Class shares of Multi-Manager Value Strategies Fund returned 1.22%. The Fund outperformed its benchmark, the Russell 1000 Value Index, which returned 0.93% for the same time period.
Market overview
U.S. equities reversed course during the last half of the 12-month period ending May 31, 2022, falling from record highs and ending three consecutive years of robust gains.  Energy stocks were the exception, significantly outperforming the overall equity market as measured by the S&P 500 Index. During the first quarter of 2022, for example, the overall sector outperformed the broad market by the largest quarterly margin on record.
Lingering Omicron-related worries were a continual headwind during the last half of the period, as were fears around inflation, durability of growth and the end of more than a decade of zero interest rate policy.  Volatility and risk-off sentiment spiked as investor anxiety expanded to include ramifications of the Russia-Ukraine conflict that erupted several months before period-end. Commodity prices surged, particularly for oil and wheat, as the conflict escalated into war and further complicated global supply chains.  Oil prices, which already were elevated on supply-demand imbalances, shot through a decade-high of more than $120 per barrel before retreating somewhat.
Despite a series of strong earnings reports, equities continued a choppy decline until the Federal Reserve (Fed) raised interest rates by 25 basis points in a widely anticipated move at its March meeting. (A basis point is 1/100 of a percent.) Although the announcement and accompanying projections of six additional hikes were hawkish as expected, Fed Chairman Jerome Powell seemingly calmed investors with a more neutral tone and his assessment that the U.S. economy is strong and well-positioned to handle tighter monetary policy.
Any positive sentiment faded at the end of the period, however, as investors increasingly focused on persistent inflation and slowing economic growth, which were exacerbated by yet more supply-chain snarls resulting from China’s zero-COVID lockdown policies.
Six of the eleven sectors in the benchmark ended the period in negative territory. The energy sector, delivered the benchmark’s strongest performance, with a return in excess of 75%. The utilities sector also delivered double-digit positive results. The bottom-performing sectors for the period were the communication services, consumer discretionary and industrials sectors.
CMIA
Our portion of the Fund’s portfolio measures its relative performance against the Russell 1000 Index instead of the Fund’s benchmark, the Russell 1000 Value Index. During the 12-month period that ended May 31, 2022, our portion of the Fund’s portfolio outperformed the Russell 1000 Index.
Notable contributors in the CMIA portion of the Fund during the period
Outperformance in our portion of the Fund was driven by allocation decisions and broad-based stock selection.
The health care sector was the strongest area of performance, primarily the result of stock selection with a modest contribution from an overweight allocation as compared to the benchmark.
Stock selection within the industrials and information technology sectors was additive.
Underweight allocations to the communication services and consumer discretionary sectors also benefited performance.
Top individual contributors included Chevron Corp., EOG Resources, Inc., Eli Lilly & Co. and Broadcom, Inc.
Multi-Manager Value Strategies Fund  | Annual Report 2022
5

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Within the energy sector, oil and gas companies Chevron and EOG Resources both benefited from the surge in energy prices during the period.
Within health care, an overweight to pharmaceutical company Eli Lilly benefited performance as the company’s stock price climbed throughout the year. Reporting strong earnings that surpassed expectations, the company received breakthrough therapy approval from the FDA for its new Alzheimer’s treatment and also recently received approval for its drug to treat diabetes and obesity.
Within information technology, semiconductor and infrastructure software provider Broadcom was among the top contributors in our portion of the Fund for the period. Broadcom holds a dominant position in the data center and networking end markets along with what has been a very profitable software business. The company seeks to sell into high-growth markets and has had a strong margin structure, which has produced above average growth and consistent profitability.
A lack of exposure to Amazon.com and Facebook parent Meta proved beneficial.
Notable detractors in the CMIA portion of the Fund during the period
Stock selection within the financial sector detracted from relative performance.
An overweight allocation to the poor-performing industrials sector also weighed on relative results.
Top individual detractors included Target Corp., Allstate Corp., Comcast Corp., JPMorgan Chase & Co. and Lam Research Corp.
Within the consumer discretionary sector, multiline retailer Target struggled with inventory issues as customers curtailed discretionary spending in the face of rising inflation.
An overweight during the period to insurer Allstate weighed on performance. Allstate had seen results for its auto insurance business pressured by an increase in miles driven and associated accident claims as the economy reopened, along with higher used vehicle prices and repair costs caused by supply chain issues. These factors have led to a period of margin compression that we believed would likely persist throughout 2022. We exited Allstate in the fourth quarter of 2021.
A position in broadband provider Comcast also constrained performance during the period. The company’s share price declined as its cable subscriber customer base shrank and its balance sheet remained leveraged. We believe the company is benefiting, however, from strength in its internet subscriber base and momentum in its wireless business.
Within financials, a position in JPMorgan Chase detracted. As longer term interest rates stabilized or drifted lower, investors sold off bank stocks on the outlook for weaker profits from lending.
Within information technology, an overweight to LAM Research weighed on relative results during the period. LAM is one of a handful of companies that makes equipment necessary to the increasingly complex process of manufacturing semiconductors. LAM’s stock price has benefited in recent years from strong equipment orders from the biggest chip producers. After a positive run in the stock, it appears LAM sold off on profit taking as investors wait for more guidance about 2022 equipment orders.
Not owning tech giant Apple also detracted from results relative to the benchmark.
DFA
Our portion of the Fund outperformed the Fund’s benchmark, the Russell 1000 Value Index for the 12-month period that ended May 31, 2022. Sector allocations and security selection within our portion of the Fund are primarily a result of how the strategy is constructed along the dimensions of size, style, and profitability.
Notable contributors in the DFA portion of the Fund during the period
The primary driver of outperformance in our portion of the Fund was the greater emphasis on mid cap, value, and higher profitability stocks.
6 Multi-Manager Value Strategies Fund  | Annual Report 2022

Manager Discussion of Fund Performance  (continued)
(Unaudited)
The three strongest-contributing market sectors to the strategy on a relative basis were the energy, materials and industrials sectors, in which we were overweight all three.
Returns for our portion of the Fund were positive in the energy and materials sectors and outperformed the benchmark’s returns for both due to both portfolio allocation and security selection.
Our sector return was negative on an absolute basis for the industrials sector but outperformed the sector return for the benchmark due to security selection.
The strongest-contributing stocks to the strategy on a relative basis were Occidental Petroleum Corp., Pfizer, Inc. and ConocoPhillips.
Our portion of the Fund was overweight, relative to the benchmark, in each of these three strong performing stocks, which contributed positively to relative performance.
Notable detractors in the DFA portion of the Fund during the period
Market sectors that detracted most on a relative basis during the period were the utilities, consumer discretionary and communication services sectors.
Within the utilities sector, an underweighted allocation in our portion of the Fund detracted from performance versus the benchmark. Our strategy generally excludes highly regulated utilities from purchase because while they tend to have low relative prices, their expected returns tend to be lower than those of value stocks. Relative underperformance was due to portfolio allocation.
Our portion of the Fund was overweight to the consumer discretionary sector and underperformed relative to the benchmark. Relative underperformance was due to portfolio allocation.
Our portion of the Fund was overweight relative to the communication services sector the benchmark. Though our portion of the Fund outperformed the benchmark in the sector, the overweighted allocation led to relative underperformance, as the communication services sector underperformed generally.
Individual stocks that detracted from results in our portion of the Fund included Comcast, Intel and UnitedHealth Group.
Our portion of the Fund was overweight, as compared to the benchmark, in the stock of Comcast and Intel, both of which posted negative returns for the period. Our overweighted position in each drove relative underperformance during the period.
Having an underweighted allocation to UnitedHealth Group during the period detracted from relative results as the stock outperformed the overall benchmark by a wide margin.
Diamond Hill
Our portion of the Fund underperformed the Fund’s benchmark, the Russell 1000 Value Index for the 12-month period that ended May 31, 2022.
Notable detractors in the Diamond Hill portion of the Fund during the period
Underperformance in our portion of the Fund was primarily driven by an overweight position and security selection within the consumer discretionary sector, as well as an underweight position in the energy sector.
Security selection and an overweight position in the communication services sector and an underweight position in the utilities sector also detracted from relative return.
Top individual detractors in our portion of the Fund included Walt Disney, Meta Platforms, Inc. and General Motors Co.
Shares of Walt Disney underperformed during the fourth quarter of 2021 and the first half of 2022 as subscriber growth in the company’s streaming service Disney+ is not expected to reaccelerate meaningfully until the summer, which adds to concerns over the service’s ability to achieve fiscal year 2024 targets. Increased investments and inflation have also cast a cloud over underlying improvements in Disney’s parks business.
Multi-Manager Value Strategies Fund  | Annual Report 2022
7

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Meta Platforms’ share price declined significantly as the company reported a slight miss in earnings and provided guidance for a weak first quarter of 2022. Competition from TikTok has been impacting user engagement in its apps.
General Motors underperformed as it continues to face headwinds related to supply chain disruptions and raw material cost inflation. In addition, uncertainty surrounding global energy markets due to inflation and the conflict in Ukraine has created a greater economic burden on consumers, which tends to slow automotive sales.
Notable contributors in the Diamond Hill portion of the Fund during the period
Security selection in the financials, industrials, real estate and consumer staples sectors made the largest contribution to relative return in our portion of the Fund during the period.
Top individual contributors to performance included Chevron Corp., Pfizer, Inc. and ConocoPhillips.
Chevron benefited from increasing oil prices as demand bounced back from pandemic lows and the Russia/Ukraine war impacted supply. Its share price rose to a level that exceeded our estimate of intrinsic value and we exited our position during the first quarter of 2022.
Global pharmaceutical company Pfizer benefited due to investor excitement about the company’s new COVID-19 treatment. Pfizer also enjoys a distant patent cliff, an industry-leading product offering, a robust pipeline and the cash flow to invest in new pipeline assets.
During the first quarter of 2022, we redeployed capital from the sale of Chevron Corp. into ConocoPhillips, which has benefited from rising oil prices as economies have reopened. We believe the company is well positioned over the long run due to its low-risk asset base.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. The Fund is managed by multiple advisers independently of one another, which may result in contradicting trades (i.e., with no net benefit to the Fund), while increasing transaction costs. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent financial and accounting standards generally applicable to U.S. issuers. Risks are enhanced for emerging market issuers. Value securities may be unprofitable if the market fails to recognize their intrinsic worth or the portfolio manager misgauged that worth. Investments in a limited number of companies subject the Fund to greater risk of loss. The Fund may invest significantly in issuers within a particular sector, which may be negatively affected by market, economic or other conditions, making the Fund more vulnerable to unfavorable developments in the sector. Investing in derivatives is a specialized activity that involves special risks, which may result in significant losses. See the Fund’s prospectus for more information on these and other risks. 
The views expressed in this report reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
8 Multi-Manager Value Strategies Fund  | Annual Report 2022

Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount 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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
December 1, 2021 — May 31, 2022
  Account value at the
beginning of the
period ($)
Account value at the
end of the
period ($)
Expenses paid during
the period ($)
Fund’s annualized
expense ratio (%)
  Actual Hypothetical Actual Hypothetical Actual Hypothetical Actual
Institutional Class 1,000.00 1,000.00 1,009.50 1,021.49 3.46 3.48 0.69
Institutional 3 Class 1,000.00 1,000.00 1,009.90 1,021.74 3.21 3.23 0.64
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees charged.
Multi-Manager Value Strategies Fund  | Annual Report 2022
9

Portfolio of Investments
May 31, 2022
(Percentages represent value of investments compared to net assets)
Investments in securities
Common Stocks 98.9%
Issuer Shares Value ($)
Communication Services 7.6%
Diversified Telecommunication Services 2.1%
AT&T, Inc. 1,342,853 28,589,340
Lumen Technologies, Inc. 379,310 4,642,754
Verizon Communications, Inc. 1,253,833 64,309,095
Total   97,541,189
Entertainment 1.8%
Activision Blizzard, Inc. 72,433 5,641,082
Electronic Arts, Inc. 934 129,499
Liberty Media Group LLC, Class A(a) 2,700 153,954
Liberty Media Group LLC, Class C(a) 21,151 1,317,496
Madison Square Garden Entertainment Corp.(a) 476 32,268
Take-Two Interactive Software, Inc.(a) 116,788 14,543,682
Walt Disney Co. (The)(a) 476,360 52,609,199
Warner Bros Discovery, Inc.(a) 499,489 9,215,572
Total   83,642,752
Interactive Media & Services 1.1%
Alphabet, Inc., Class A(a) 13,802 31,402,863
Meta Platforms, Inc., Class A(a) 99,611 19,288,674
Total   50,691,537
Media 2.3%
Charter Communications, Inc., Class A(a) 46 23,319
Comcast Corp., Class A 1,787,034 79,129,865
DISH Network Corp., Class A(a) 70,159 1,601,730
Fox Corp., Class A 106,635 3,786,609
Fox Corp., Class B 84,190 2,753,855
Interpublic Group of Companies, Inc. (The) 128,172 4,130,984
Liberty Broadband Corp., Class A(a) 2,117 258,295
Liberty Broadband Corp., Class C(a) 18,699 2,340,554
Liberty SiriusXM Group, Class A(a) 13,066 539,756
Liberty SiriusXM Group, Class C(a) 29,602 1,216,642
News Corp., Class A 41,973 730,330
News Corp., Class B 22,496 395,480
Omnicom Group, Inc. 3,658 272,923
Paramount Global, Class A 5,695 209,918
Paramount Global, Class B 201,837 6,929,064
Total   104,319,324
Common Stocks (continued)
Issuer Shares Value ($)
Wireless Telecommunication Services 0.3%
T-Mobile USA, Inc.(a) 99,176 13,219,169
Total Communication Services 349,413,971
Consumer Discretionary 8.5%
Auto Components 0.6%
Aptiv PLC(a) 20,808 2,210,642
Autoliv, Inc. 16,890 1,352,551
BorgWarner, Inc. 498,305 20,091,658
Gentex Corp. 55,285 1,718,258
Lear Corp. 18,300 2,579,568
Total   27,952,677
Automobiles 1.1%
Ford Motor Co. 542,859 7,426,311
General Motors Co.(a) 1,149,105 44,447,381
Total   51,873,692
Distributors 0.1%
LKQ Corp. 105,221 5,407,307
Hotels, Restaurants & Leisure 1.1%
Aramark 45,023 1,551,943
Booking Holdings, Inc.(a) 10,130 22,727,263
Caesars Entertainment, Inc.(a) 5,016 251,653
Carnival Corp.(a) 130,288 1,808,397
Hyatt Hotels Corp., Class A(a) 5,864 518,319
McDonald’s Corp. 66,243 16,707,147
MGM Resorts International 82,729 2,893,033
Norwegian Cruise Line Holdings Ltd.(a) 6,188 99,070
Royal Caribbean Cruises Ltd.(a) 31,724 1,842,212
Total   48,399,037
Household Durables 1.6%
D.R. Horton, Inc. 126,147 9,479,947
Garmin Ltd. 37,976 4,011,025
Lennar Corp., Class A 89,215 7,159,504
Lennar Corp., Class B 6,679 448,628
Mohawk Industries, Inc.(a) 20,238 2,862,868
Newell Brands, Inc. 128,292 2,750,581
NVR, Inc.(a) 8,350 37,162,677
The accompanying Notes to Financial Statements are an integral part of this statement.
10 Multi-Manager Value Strategies Fund  | Annual Report 2022

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
PulteGroup, Inc. 82,663 3,741,327
Toll Brothers, Inc. 1,937 97,760
Whirlpool Corp. 20,193 3,720,358
Total   71,434,675
Internet & Direct Marketing Retail 0.9%
Amazon.com, Inc.(a) 11,536 27,734,736
eBay, Inc. 317,994 15,476,768
Total   43,211,504
Multiline Retail 0.6%
Dollar Tree, Inc.(a) 44,357 7,111,758
Target Corp. 132,759 21,491,027
Total   28,602,785
Specialty Retail 1.6%
Advance Auto Parts, Inc. 16,588 3,149,398
CarMax, Inc.(a) 53,415 5,302,507
Dick’s Sporting Goods, Inc. 1,132 91,952
Home Depot, Inc. (The) 209,345 63,379,199
Lithia Motors, Inc., Class A 6,032 1,836,563
Total   73,759,619
Textiles, Apparel & Luxury Goods 0.9%
Capri Holdings Ltd.(a) 1,813 88,366
Hanesbrands, Inc. 1,091,133 12,951,749
Ralph Lauren Corp. 6,915 699,037
Tapestry, Inc. 20,291 700,039
VF Corp. 532,026 26,846,032
Total   41,285,223
Total Consumer Discretionary 391,926,519
Consumer Staples 6.2%
Beverages 1.9%
Coca-Cola Co. (The) 300,064 19,018,057
Constellation Brands, Inc., Class A 17,053 4,186,000
Keurig Dr. Pepper, Inc. 46,824 1,626,666
Molson Coors Beverage Co., Class B 30,867 1,723,613
PepsiCo, Inc. 370,951 62,227,030
Total   88,781,366
Common Stocks (continued)
Issuer Shares Value ($)
Food & Staples Retailing 1.3%
Kroger Co. (The) 243,827 12,915,516
U.S. Foods Holding Corp.(a) 40,272 1,333,809
Walgreens Boots Alliance, Inc. 177,899 7,797,313
Walmart, Inc. 278,935 35,879,409
Total   57,926,047
Food Products 2.1%
Archer-Daniels-Midland Co. 72,502 6,584,631
Bunge Ltd. 49,798 5,892,099
Campbell Soup Co. 2,535 121,452
ConAgra Foods, Inc. 106,671 3,508,409
Darling Ingredients, Inc.(a) 25,037 2,004,712
General Mills, Inc. 125,849 8,790,553
Hershey Co. (The) 35,642 7,545,768
Hormel Foods Corp. 15,575 758,035
Ingredion, Inc. 349 33,047
JM Smucker Co. (The) 29,856 3,743,047
Kraft Heinz Co. (The) 55,028 2,081,709
McCormick & Co., Inc. 2,137 198,143
Mondelez International, Inc., Class A 689,809 43,844,260
Pilgrim’s Pride Corp.(a) 284 9,463
Post Holdings, Inc.(a) 6,582 541,238
Tyson Foods, Inc., Class A 93,436 8,372,800
Total   94,029,366
Household Products 0.6%
Procter & Gamble Co. (The) 183,250 27,099,010
Personal Products 0.0%
BellRing Brands, Inc.(a) 8,344 218,196
Tobacco 0.3%
Philip Morris International, Inc. 136,500 14,503,125
Total Consumer Staples 282,557,110
Energy 9.2%
Energy Equipment & Services 0.5%
Baker Hughes Co. 124,926 4,494,837
Halliburton Co. 97,284 3,940,002
Schlumberger NV 291,008 13,374,728
TechnipFMC PLC(a) 48,738 401,601
Total   22,211,168
 
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
11

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Oil, Gas & Consumable Fuels 8.7%
Chevron Corp. 445,675 77,841,595
ConocoPhillips Co. 913,464 102,636,815
Continental Resources, Inc. 73,254 4,986,400
Coterra Energy, Inc. 46,649 1,601,460
Devon Energy Corp. 45,922 3,439,558
Diamondback Energy, Inc. 36,642 5,570,317
EOG Resources, Inc. 271,369 37,166,698
Exxon Mobil Corp. 861,717 82,724,832
Hess Corp. 65,615 8,075,238
Kinder Morgan, Inc. 263,807 5,194,360
Marathon Oil Corp. 69,648 2,189,037
Marathon Petroleum Corp. 81,850 8,331,512
Occidental Petroleum Corp. 152,485 10,568,735
ONEOK, Inc. 62,701 4,128,861
Ovintiv, Inc. 33,901 1,898,117
Phillips 66 43,453 4,380,497
Pioneer Natural Resources Co. 29,170 8,107,510
Targa Resources Corp. 33,811 2,435,068
Valero Energy Corp. 141,557 18,345,787
Williams Companies, Inc. (The) 218,287 8,089,716
Total   397,712,113
Total Energy 419,923,281
Financials 19.7%
Banks 8.8%
Bank of America Corp. 2,714,517 100,980,033
Citigroup, Inc. 242,343 12,943,540
Citizens Financial Group, Inc. 55,445 2,294,314
Comerica, Inc. 31,473 2,618,868
East West Bancorp, Inc. 6,247 459,404
Fifth Third Bancorp 149,775 5,905,628
First Citizens BancShares Inc., Class A 78 54,631
First Horizon Corp. 7,895 180,243
Huntington Bancshares, Inc. 199,765 2,772,738
JPMorgan Chase & Co. 755,191 99,858,906
KeyCorp 239,120 4,772,835
M&T Bank Corp. 11,504 2,070,375
PNC Financial Services Group, Inc. (The) 126,900 22,259,529
Prosperity Bancshares, Inc. 622 45,095
Common Stocks (continued)
Issuer Shares Value ($)
Regions Financial Corp. 247,087 5,458,152
SVB Financial Group(a) 51,056 24,944,430
Truist Financial Corp. 963,778 47,938,318
U.S. Bancorp 412,315 21,881,557
Wells Fargo & Co. 999,804 45,761,029
Zions Bancorp 31,400 1,791,056
Total   404,990,681
Capital Markets 3.7%
Bank of New York Mellon Corp. (The) 163,162 7,604,981
BlackRock, Inc. 19,815 13,257,820
CME Group, Inc. 70,206 13,959,059
Franklin Resources, Inc. 95,259 2,579,614
Goldman Sachs Group, Inc. (The) 58,540 19,133,799
Invesco Ltd. 14,455 279,560
Jefferies Financial Group, Inc. 13,256 437,713
KKR & Co., Inc., Class A 725,071 39,741,141
Morgan Stanley 312,250 26,897,215
Nasdaq, Inc. 183,143 28,434,782
Northern Trust Corp. 121,585 13,587,124
State Street Corp. 45,950 3,330,915
Total   169,243,723
Consumer Finance 0.4%
Ally Financial, Inc. 104,256 4,591,434
Capital One Financial Corp. 66,833 8,545,268
Synchrony Financial 125,547 4,650,261
Total   17,786,963
Diversified Financial Services 1.6%
Apollo Global Management, Inc. 38,014 2,191,127
Berkshire Hathaway, Inc., Class B(a) 219,455 69,343,391
Equitable Holdings, Inc. 57,805 1,757,850
Total   73,292,368
Insurance 5.2%
Aflac, Inc. 107,427 6,506,854
Alleghany Corp.(a) 1,324 1,103,925
Allstate Corp. (The) 53,413 7,301,023
American Financial Group, Inc. 12,194 1,723,012
American International Group, Inc. 1,209,858 70,994,467
Arch Capital Group Ltd.(a) 51,657 2,451,641
 
The accompanying Notes to Financial Statements are an integral part of this statement.
12 Multi-Manager Value Strategies Fund  | Annual Report 2022

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Assurant, Inc. 6,544 1,156,259
Axis Capital Holdings Ltd. 98 5,740
Chubb Ltd. 125,554 26,528,305
CNA Financial Corp. 3,492 160,073
Everest Re Group Ltd. 4,525 1,278,313
Fidelity National Financial, Inc. 76,310 3,227,913
Globe Life, Inc. 24,580 2,398,271
Hartford Financial Services Group, Inc. (The) 410,997 29,801,392
Lincoln National Corp. 23,545 1,363,962
Loews Corp. 38,397 2,514,620
Markel Corp.(a) 666 912,040
Marsh & McLennan Companies, Inc. 345,477 55,259,046
MetLife, Inc. 55,862 3,764,540
Old Republic International Corp. 28,849 690,068
Principal Financial Group, Inc. 54,334 3,962,579
Prudential Financial, Inc. 38,409 4,080,956
Travelers Companies, Inc. (The) 68,367 12,240,428
WR Berkley Corp. 2,807 199,662
Total   239,625,089
Total Financials 904,938,824
Health Care 14.9%
Biotechnology 1.6%
AbbVie, Inc. 315,333 46,470,624
Biogen, Inc.(a) 34,457 6,891,400
Gilead Sciences, Inc. 157,729 10,228,726
Regeneron Pharmaceuticals, Inc.(a) 9,036 6,006,591
United Therapeutics Corp.(a) 824 189,800
Vertex Pharmaceuticals, Inc.(a) 11,059 2,971,000
Total   72,758,141
Health Care Equipment & Supplies 3.9%
Abbott Laboratories 561,126 65,909,860
Baxter International, Inc. 53,175 4,043,959
Becton Dickinson and Co. 173,258 44,319,396
Boston Scientific Corp.(a) 3,150 129,182
Cooper Companies, Inc. (The) 1,711 600,116
Dentsply Sirona, Inc. 19,280 762,717
Embecta Corp.(a) 5,724 141,841
Hologic, Inc.(a) 7,463 561,740
Medtronic PLC 559,521 56,036,028
Common Stocks (continued)
Issuer Shares Value ($)
STERIS PLC 12,626 2,881,253
Teleflex, Inc. 2,321 667,845
Zimmer Biomet Holdings, Inc. 31,778 3,820,033
Zimvie, Inc.(a) 3,177 69,163
Total   179,943,133
Health Care Providers & Services 3.8%
Anthem, Inc. 68,467 34,891,468
Centene Corp.(a) 55,484 4,518,617
Cigna Corp. 54,266 14,559,025
CVS Health Corp. 217,740 21,066,345
DaVita, Inc.(a) 7,494 730,590
Henry Schein, Inc.(a) 38,024 3,256,375
Humana, Inc. 83,302 37,838,268
Laboratory Corp. of America Holdings 34,080 8,408,218
McKesson Corp. 5,309 1,745,015
Quest Diagnostics, Inc. 44,222 6,236,186
UnitedHealth Group, Inc. 74,972 37,244,590
Universal Health Services, Inc., Class B 26,871 3,348,395
Total   173,843,092
Health Care Technology 0.0%
Cerner Corp. 23,277 2,207,823
Change Healthcare, Inc.(a) 12,961 312,231
Total   2,520,054
Life Sciences Tools & Services 0.8%
Bio-Rad Laboratories, Inc., Class A(a) 2,854 1,534,853
Danaher Corp. 56,699 14,958,330
PerkinElmer, Inc. 16,674 2,495,598
Thermo Fisher Scientific, Inc. 29,539 16,765,450
Total   35,754,231
Pharmaceuticals 4.8%
Bristol-Myers Squibb Co. 424,343 32,016,679
Catalent, Inc.(a) 1,318 135,833
Elanco Animal Health, Inc.(a) 54,384 1,288,901
Eli Lilly & Co. 75,466 23,654,063
Jazz Pharmaceuticals PLC(a) 13,557 2,029,212
Johnson & Johnson 239,202 42,943,935
Merck & Co., Inc. 295,034 27,151,979
Perrigo Co. PLC 1,120 44,643
 
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
13

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Pfizer, Inc. 1,643,146 87,152,464
Viatris, Inc. 203,802 2,500,651
Total   218,918,360
Total Health Care 683,737,011
Industrials 12.0%
Aerospace & Defense 2.0%
General Dynamics Corp. 31,557 7,097,485
Howmet Aerospace, Inc. 91,958 3,289,338
Huntington Ingalls Industries, Inc. 23 4,841
L3Harris Technologies, Inc. 102,460 24,682,614
Lockheed Martin Corp. 32,184 14,164,500
Northrop Grumman Corp. 55,495 25,969,995
Raytheon Technologies Corp. 117,928 11,217,311
Textron, Inc. 63,628 4,154,272
Total   90,580,356
Air Freight & Logistics 0.6%
FedEx Corp. 44,772 10,054,896
GXO Logistics, Inc.(a) 31,112 1,688,448
United Parcel Service, Inc., Class B 99,779 18,184,723
Total   29,928,067
Airlines 0.1%
JetBlue Airways Corp.(a) 3,151 33,842
Southwest Airlines Co.(a) 79,425 3,642,430
United Airlines Holdings, Inc.(a) 43,849 2,088,528
Total   5,764,800
Building Products 1.2%
Builders FirstSource, Inc.(a) 47,462 3,089,302
Carlisle Companies, Inc. 12,762 3,247,036
Carrier Global Corp. 586,736 23,064,592
Fortune Brands Home & Security, Inc. 29,167 2,022,731
Johnson Controls International PLC 104,802 5,712,757
Owens Corning 26,387 2,522,069
Trane Technologies PLC 102,708 14,179,867
Total   53,838,354
Commercial Services & Supplies 1.0%
Republic Services, Inc. 97,052 12,989,440
Waste Management, Inc. 220,620 34,970,476
Total   47,959,916
Common Stocks (continued)
Issuer Shares Value ($)
Construction & Engineering 0.2%
AECOM 36,137 2,524,169
Arcosa, Inc. 165 8,724
Quanta Services, Inc. 46,726 5,560,394
Total   8,093,287
Electrical Equipment 0.5%
Acuity Brands, Inc. 34 5,951
AMETEK, Inc. 11,624 1,411,967
Eaton Corp. PLC 136,656 18,940,522
Emerson Electric Co. 7,594 673,284
Hubbell, Inc. 1,885 357,886
Sensata Technologies Holding 40,917 1,965,243
Total   23,354,853
Industrial Conglomerates 1.0%
General Electric Co. 60,027 4,699,514
Honeywell International, Inc. 204,755 39,644,663
Total   44,344,177
Machinery 3.6%
AGCO Corp. 21,789 2,791,825
Caterpillar, Inc. 139,994 30,217,705
Cummins, Inc. 80,744 16,885,185
Deere & Co. 92,149 32,969,069
Dover Corp. 13,860 1,855,993
Fortive Corp. 44,622 2,756,301
Ingersoll Rand, Inc. 48,131 2,269,377
Middleby Corp. (The)(a) 3,903 591,148
Oshkosh Corp. 6,884 639,592
Otis Worldwide Corp. 54,838 4,079,947
PACCAR, Inc. 95,587 8,300,775
Parker-Hannifin Corp. 169,860 46,230,796
Pentair PLC 48,154 2,415,886
Snap-On, Inc. 18,739 4,157,809
Stanley Black & Decker, Inc. 53,017 6,292,588
Westinghouse Air Brake Technologies Corp. 23,456 2,215,654
Total   164,669,650
 
The accompanying Notes to Financial Statements are an integral part of this statement.
14 Multi-Manager Value Strategies Fund  | Annual Report 2022

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Professional Services 0.2%
Jacobs Engineering Group, Inc. 18,570 2,601,471
Leidos Holdings, Inc. 49,204 5,141,818
ManpowerGroup, Inc. 4,640 415,790
Nielsen Holdings PLC 22,490 574,845
Total   8,733,924
Road & Rail 1.5%
AMERCO 5,483 2,686,560
CSX Corp. 109,516 3,481,514
Norfolk Southern Corp. 40,737 9,763,029
Union Pacific Corp. 238,688 52,458,849
XPO Logistics, Inc.(a) 9,279 495,870
Total   68,885,822
Trading Companies & Distributors 0.1%
United Rentals, Inc.(a) 18,295 5,455,203
Total Industrials 551,608,409
Information Technology 11.2%
Communications Equipment 0.5%
Ciena Corp.(a) 4,225 214,714
Cisco Systems, Inc. 525,995 23,696,075
Juniper Networks, Inc. 44,440 1,363,419
Total   25,274,208
Electronic Equipment, Instruments & Components 0.5%
Arrow Electronics, Inc.(a) 16,208 1,955,495
Avnet, Inc. 268 12,985
Corning, Inc. 270,893 9,703,387
Flex Ltd.(a) 81,764 1,395,712
IPG Photonics Corp.(a) 223 23,524
Jabil, Inc. 8,029 493,944
TD SYNNEX Corp. 5,786 600,876
TE Connectivity Ltd. 71,219 9,215,026
Teledyne Technologies, Inc.(a) 1,270 514,541
Total   23,915,490
IT Services 3.4%
Accenture PLC, Class A 57,869 17,271,582
Akamai Technologies, Inc.(a) 13,481 1,362,120
Amdocs Ltd. 39,912 3,467,954
Automatic Data Processing, Inc. 68,910 15,362,795
Common Stocks (continued)
Issuer Shares Value ($)
Cognizant Technology Solutions Corp., Class A 388,911 29,051,652
Concentrix Corp. 6,392 990,057
DXC Technology Co.(a) 25,450 896,349
Fidelity National Information Services, Inc. 186,966 19,537,947
Fiserv, Inc.(a) 51,275 5,136,729
Global Payments, Inc. 16,298 2,135,690
International Business Machines Corp. 78,229 10,861,314
Kyndryl Holdings, Inc.(a) 3,420 42,203
SS&C Technologies Holdings, Inc. 426,085 27,265,179
Twilio, Inc., Class A(a) 1,217 127,992
Visa, Inc., Class A 109,199 23,168,752
Total   156,678,315
Semiconductors & Semiconductor Equipment 5.0%
Analog Devices, Inc. 150,792 25,393,373
Broadcom, Inc. 59,268 34,383,145
Intel Corp. 792,079 35,184,149
KLA Corp. 51,619 18,833,192
Lam Research Corp. 35,636 18,531,789
Marvell Technology, Inc. 62,725 3,710,184
Micron Technology, Inc. 208,863 15,422,444
ON Semiconductor Corp.(a) 81,076 4,919,692
Qorvo, Inc.(a) 35,816 4,002,438
QUALCOMM, Inc. 45,039 6,450,485
Skyworks Solutions, Inc. 31,570 3,437,026
Texas Instruments, Inc. 325,918 57,609,266
Total   227,877,183
Software 1.5%
Black Knight, Inc.(a) 2,911 197,686
Dolby Laboratories, Inc., Class A 659 51,151
Microsoft Corp. 231,615 62,969,170
Roper Technologies, Inc. 568 251,306
Salesforce, Inc.(a) 25,666 4,112,720
Total   67,582,033
 
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
15

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Technology Hardware, Storage & Peripherals 0.3%
Hewlett Packard Enterprise Co. 372,558 5,811,905
HP, Inc. 37,320 1,449,509
Western Digital Corp.(a) 100,588 6,104,686
Xerox Holdings Corp. 1,999 37,621
Total   13,403,721
Total Information Technology 514,730,950
Materials 5.6%
Chemicals 3.1%
Air Products & Chemicals, Inc. 22,983 5,657,495
Albemarle Corp. 24,004 6,251,122
Celanese Corp., Class A 4,679 732,357
CF Industries Holdings, Inc. 37,289 3,683,034
Corteva, Inc. 69,209 4,333,868
Dow, Inc. 155,046 10,540,027
DuPont de Nemours, Inc. 47,436 3,218,533
Eastman Chemical Co. 46,835 5,159,344
FMC Corp. 1,642 201,276
International Flavors & Fragrances, Inc. 24,739 3,269,754
Linde PLC 163,419 53,058,881
LyondellBasell Industries NV, Class A 104,868 11,981,169
Mosaic Co. (The) 76,885 4,816,845
Olin Corp. 4,107 270,199
PPG Industries, Inc. 37,468 4,739,327
Sherwin-Williams Co. (The) 70,977 19,024,675
Valvoline, Inc. 13,445 449,870
Westlake Corp. 19,870 2,625,026
Total   140,012,802
Construction Materials 0.3%
Martin Marietta Materials, Inc. 29,541 10,025,625
Vulcan Materials Co. 27,589 4,548,598
Total   14,574,223
Containers & Packaging 0.5%
Amcor PLC 67,703 886,909
Avery Dennison Corp. 42,495 7,332,937
International Paper Co. 119,659 5,797,479
Packaging Corp. of America 39,933 6,280,662
Common Stocks (continued)
Issuer Shares Value ($)
Sonoco Products Co. 212 12,396
WestRock Co. 41,589 2,016,651
Total   22,327,034
Metals & Mining 1.7%
Alcoa Corp. 31,915 1,969,794
Arconic Corp.(a) 1,340 37,694
Cleveland-Cliffs, Inc.(a) 67,129 1,556,050
Freeport-McMoRan, Inc. 1,129,144 44,126,947
Newmont Corp. 128,988 8,751,836
Nucor Corp. 100,960 13,373,161
Reliance Steel & Aluminum Co. 20,889 4,060,822
Royal Gold, Inc. 389 43,988
Steel Dynamics, Inc. 71,770 6,127,723
Total   80,048,015
Paper & Forest Products 0.0%
Sylvamo Corp.(a) 7,603 385,776
Total Materials 257,347,850
Real Estate 1.9%
Equity Real Estate Investment Trusts (REITS) 1.7%
AvalonBay Communities, Inc. 43,892 9,127,780
Crown Castle International Corp. 49,117 9,315,039
Digital Realty Trust, Inc. 77,753 10,853,541
Extra Space Storage, Inc. 48,657 8,670,678
SBA Communications Corp. 46,351 15,602,210
Weyerhaeuser Co. 560,437 22,148,470
Total   75,717,718
Real Estate Management & Development 0.2%
CBRE Group, Inc., Class A(a) 84,036 6,961,542
Howard Hughes Corporation(a) 259 21,790
Jones Lang LaSalle, Inc.(a) 13,410 2,646,061
Zillow Group, Inc., Class C(a) 10,447 416,836
Total   10,046,229
Total Real Estate 85,763,947
 
The accompanying Notes to Financial Statements are an integral part of this statement.
16 Multi-Manager Value Strategies Fund  | Annual Report 2022

Portfolio of Investments  (continued)
May 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Utilities 2.1%
Electric Utilities 1.0%
American Electric Power Co., Inc. 87,124 8,889,262
Entergy Corp. 65,740 7,909,837
Eversource Energy 79,771 7,364,459
NextEra Energy, Inc. 128,780 9,747,358
NRG Energy, Inc. 42,608 1,961,672
Xcel Energy, Inc. 117,222 8,831,505
Total   44,704,093
Independent Power and Renewable Electricity Producers 0.0%
Vistra Corp. 63,624 1,677,765
Multi-Utilities 1.1%
Ameren Corp. 88,708 8,444,114
CMS Energy Corp. 95,362 6,774,516
Dominion Energy, Inc. 241,095 20,305,021
Common Stocks (continued)
Issuer Shares Value ($)
DTE Energy Co. 40,770 5,410,587
WEC Energy Group, Inc. 89,341 9,387,059
Total   50,321,297
Total Utilities 96,703,155
Total Common Stocks
(Cost $3,540,107,373)
4,538,651,027
Money Market Funds 0.9%
  Shares Value ($)
Columbia Short-Term Cash Fund, 0.852%(b),(c) 41,594,992 41,578,354
Total Money Market Funds
(Cost $41,578,354)
41,578,354
Total Investments in Securities
(Cost: $3,581,685,727)
4,580,229,381
Other Assets & Liabilities, Net   8,968,541
Net Assets 4,589,197,922
 
Notes to Portfolio of Investments
(a) Non-income producing investment.
(b) The rate shown is the seven-day current annualized yield at May 31, 2022.
(c) As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2022 are as follows:
    
Affiliated issuers Beginning
of period($)
Purchases($) Sales($) Net change in
unrealized
appreciation
(depreciation)($)
End of
period($)
Realized gain
(loss)($)
Dividends($) End of
period shares
Columbia Short-Term Cash Fund, 0.852%
  57,947,148 609,484,696 (625,853,490) 41,578,354 (31,689) 134,924 41,594,992
Fair value measurements
The Fund categorizes its fair value measurements according to a three-level hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by prioritizing that the most observable input be used when available. Observable inputs are those that market participants would use in pricing an investment based on market data obtained from sources independent of the reporting entity. Unobservable inputs are those that reflect the Fund’s assumptions about the information market participants would use in pricing an investment. An investment’s level within the fair value hierarchy is based on the lowest level of any input that is deemed significant to the asset’s or liability’s fair value measurement. The input levels are not necessarily an indication of the risk or liquidity associated with investments at that level. For example, certain U.S. government securities are generally high quality and liquid, however, they are reflected as Level 2 because the inputs used to determine fair value may not always be quoted prices in an active market.
Fair value inputs are summarized in the three broad levels listed below:
Level 1 — Valuations based on quoted prices for investments in active markets that the Fund has the ability to access at the measurement date. Valuation adjustments are not applied to Level 1 investments.
Level 2 — Valuations based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risks, etc.).
Level 3 — Valuations based on significant unobservable inputs (including the Fund’s own assumptions and judgment in determining the fair value of investments).
Inputs that are used in determining fair value of an investment may include price information, credit data, volatility statistics, and other factors. These inputs can be either observable or unobservable. The availability of observable inputs can vary between investments, and is affected by various factors such as the type of investment, and the volume and level of activity for that investment or similar investments in the marketplace. The inputs will be considered by the Investment Manager, along with any other relevant factors in the calculation of an investment’s fair value. The Fund uses prices and inputs that are current as of the measurement date, which may include periods of market dislocations. During these periods, the availability of prices and inputs may be reduced for many investments. This condition could cause an investment to be reclassified between the various levels within the hierarchy.
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
17

Portfolio of Investments  (continued)
May 31, 2022
Fair value measurements  (continued)
Investments falling into the Level 3 category are primarily supported by quoted prices from brokers and dealers participating in the market for those investments. However, these may be classified as Level 3 investments due to lack of market transparency and corroboration to support these quoted prices. Additionally, valuation models may be used as the pricing source for any remaining investments classified as Level 3. These models may rely on one or more significant unobservable inputs and/or significant assumptions by the Investment Manager. Inputs used in valuations may include, but are not limited to, financial statement analysis, capital account balances, discount rates and estimated cash flows, and comparable company data.
Under the direction of the Fund’s Board of Trustees (the Board), the Investment Manager’s Valuation Committee (the Committee) is responsible for overseeing the valuation procedures approved by the Board. The Committee consists of voting and non-voting members from various groups within the Investment Manager’s organization, including operations and accounting, trading and investments, compliance, risk management and legal.
The Committee meets at least monthly to review and approve valuation matters, which may include a description of specific valuation determinations, data regarding pricing information received from approved pricing vendors and brokers and the results of Board-approved valuation control policies and procedures (the Policies). The Policies address, among other things, instances when market quotations are or are not readily available, including recommendations of third party pricing vendors and a determination of appropriate pricing methodologies; events that require specific valuation determinations and assessment of fair value techniques; securities with a potential for stale pricing, including those that are illiquid, restricted, or in default; and the effectiveness of third party pricing vendors, including periodic reviews of vendors. The Committee meets more frequently, as needed, to discuss additional valuation matters, which may include the need to review back-testing results, review time-sensitive information or approve related valuation actions. The Committee reports to the Board, with members of the Committee meeting with the Board at each of its regularly scheduled meetings to discuss valuation matters and actions during the period, similar to those described earlier.
The following table is a summary of the inputs used to value the Fund’s investments at May 31, 2022:
  Level 1 ($) Level 2 ($) Level 3 ($) Total ($)
Investments in Securities        
Common Stocks        
Communication Services 349,413,971 349,413,971
Consumer Discretionary 391,926,519 391,926,519
Consumer Staples 282,557,110 282,557,110
Energy 419,923,281 419,923,281
Financials 904,938,824 904,938,824
Health Care 683,737,011 683,737,011
Industrials 551,608,409 551,608,409
Information Technology 514,730,950 514,730,950
Materials 257,347,850 257,347,850
Real Estate 85,763,947 85,763,947
Utilities 96,703,155 96,703,155
Total Common Stocks 4,538,651,027 4,538,651,027
Money Market Funds 41,578,354 41,578,354
Total Investments in Securities 4,580,229,381 4,580,229,381
See the Portfolio of Investments for all investment classifications not indicated in the table.
The accompanying Notes to Financial Statements are an integral part of this statement.
18 Multi-Manager Value Strategies Fund  | Annual Report 2022

Statement of Assets and Liabilities
May 31, 2022
Assets  
Investments in securities, at value  
Unaffiliated issuers (cost $3,540,107,373) $4,538,651,027
Affiliated issuers (cost $41,578,354) 41,578,354
Receivable for:  
Investments sold 1,543,305
Capital shares sold 4,727,648
Dividends 9,102,278
Foreign tax reclaims 114,514
Prepaid expenses 25,845
Total assets 4,595,742,971
Liabilities  
Payable for:  
Investments purchased 1,137,699
Capital shares purchased 4,514,596
Management services fees 301,633
Transfer agent fees 316,968
Compensation of board members 155,008
Other expenses 119,145
Total liabilities 6,545,049
Net assets applicable to outstanding capital stock $4,589,197,922
Represented by  
Paid in capital 3,242,039,147
Total distributable earnings (loss) 1,347,158,775
Total - representing net assets applicable to outstanding capital stock $4,589,197,922
Institutional Class  
Net assets $4,589,195,063
Shares outstanding 277,855,641
Net asset value per share $16.52
Institutional 3 Class  
Net assets $2,859
Shares outstanding 173
Net asset value per share(a) $16.55
    
(a) Net asset value per share rounds to this amount due to fractional shares outstanding.
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
19

Statement of Operations
Year Ended May 31, 2022
Net investment income  
Income:  
Dividends — unaffiliated issuers $103,905,837
Dividends — affiliated issuers 134,924
Foreign taxes withheld (2,073)
Total income 104,038,688
Expenses:  
Management services fees 30,835,150
Transfer agent fees  
Institutional Class 4,310,863
Institutional 3 Class 1
Compensation of board members 72,531
Custodian fees 44,754
Printing and postage fees 285,132
Registration fees 128,183
Audit fees 33,050
Legal fees 60,345
Interest on interfund lending 2,647
Compensation of chief compliance officer 822
Other 42,650
Total expenses 35,816,128
Net investment income 68,222,560
Realized and unrealized gain (loss) — net  
Net realized gain (loss) on:  
Investments — unaffiliated issuers 480,449,591
Investments — affiliated issuers (31,689)
Futures contracts (4,357,211)
Net realized gain 476,060,691
Net change in unrealized appreciation (depreciation) on:  
Investments — unaffiliated issuers (497,608,677)
Foreign currency translations (15,556)
Net change in unrealized appreciation (depreciation) (497,624,233)
Net realized and unrealized loss (21,563,542)
Net increase in net assets resulting from operations $46,659,018
The accompanying Notes to Financial Statements are an integral part of this statement.
20 Multi-Manager Value Strategies Fund  | Annual Report 2022

Statement of Changes in Net Assets
  Year Ended
May 31, 2022
Year Ended
May 31, 2021
Operations    
Net investment income $68,222,560 $59,682,807
Net realized gain 476,060,691 342,171,899
Net change in unrealized appreciation (depreciation) (497,624,233) 1,214,934,902
Net increase in net assets resulting from operations 46,659,018 1,616,789,608
Distributions to shareholders    
Net investment income and net realized gains    
Institutional Class (408,044,013) (101,861,244)
Institutional 3 Class (244) (65)
Total distributions to shareholders (408,044,257) (101,861,309)
Decrease in net assets from capital stock activity (105,137,297) (48,361,524)
Total increase (decrease) in net assets (466,522,536) 1,466,566,775
Net assets at beginning of year 5,055,720,458 3,589,153,683
Net assets at end of year $4,589,197,922 $5,055,720,458
    
  Year Ended Year Ended
  May 31, 2022 May 31, 2021
  Shares Dollars ($) Shares Dollars ($)
Capital stock activity
Institutional Class        
Subscriptions 54,031,716 935,240,677 79,038,197 1,204,384,240
Distributions reinvested 23,954,125 408,044,013 7,038,500 101,861,244
Redemptions (86,176,500) (1,448,421,987) (87,676,084) (1,354,607,008)
Net decrease (8,190,659) (105,137,297) (1,599,387) (48,361,524)
Total net decrease (8,190,659) (105,137,297) (1,599,387) (48,361,524)
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
21

Financial Highlights
The following table is intended to help you understand the Fund’s financial performance. Certain information reflects financial results for a single share of a class held for the periods shown. Per share net investment income (loss) amounts are calculated based on average shares outstanding during the period. Total return assumes reinvestment of all dividends and distributions, if any. Total return does not reflect payment of sales charges, if any. Total return and portfolio turnover are not annualized for periods of less than one year. The portfolio turnover rate is calculated without regard to purchase and sales transactions of short-term instruments and certain derivatives, if any. If such transactions were included, the Fund’s portfolio turnover rate may be higher.
  Net asset value,
beginning of
period
Net
investment
income
Net
realized
and
unrealized
gain (loss)
Total from
investment
operations
Distributions
from net
investment
income
Distributions
from net
realized
gains
Total
distributions to
shareholders
Institutional Class
Year Ended 5/31/2022 $17.67 0.23 0.02(c) 0.25 (0.22) (1.18) (1.40)
Year Ended 5/31/2021 $12.48 0.21 5.34 5.55 (0.21) (0.15) (0.36)
Year Ended 5/31/2020 $12.83 0.24 (0.06)(c) 0.18 (0.23) (0.30) (0.53)
Year Ended 5/31/2019 $13.64 0.21 (0.02)(c) 0.19 (0.20) (0.80) (1.00)
Year Ended 5/31/2018 $12.97 0.20 1.15 1.35 (0.20) (0.48) (0.68)
Institutional 3 Class
Year Ended 5/31/2022 $17.69 0.24 0.03(c) 0.27 (0.23) (1.18) (1.41)
Year Ended 5/31/2021 $12.50 0.22 5.34 5.56 (0.22) (0.15) (0.37)
Year Ended 5/31/2020(f) $14.47 0.11 (2.02)(c) (1.91) (0.06) (0.06)
    
Notes to Financial Highlights
(a) In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios.
(b) Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable.
(c) Calculation of the net gain (loss) per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized gain (loss) presented in the Statement of Operations due to the timing of subscriptions and redemptions of Fund shares in relation to fluctuations in the market value of the portfolio.
(d) Ratios include interfund lending expense which is less than 0.01%.
(e) Ratios include line of credit interest expense which is less than 0.01%.
(f) Institutional 3 Class shares commenced operations on December 18, 2019. Per share data and total return reflect activity from that date.
(g) Annualized.
The accompanying Notes to Financial Statements are an integral part of this statement.
22 Multi-Manager Value Strategies Fund  | Annual Report 2022

Financial Highlights  (continued)
  Net
asset
value,
end of
period
Total
return
Total gross
expense
ratio to
average
net assets(a)
Total net
expense
ratio to
average
net assets(a),(b)
Net investment
income
ratio to
average
net assets
Portfolio
turnover
Net
assets,
end of
period
(000’s)
Institutional Class
Year Ended 5/31/2022 $16.52 1.22% 0.69%(d) 0.69%(d) 1.31% 22% $4,589,195
Year Ended 5/31/2021 $17.67 45.16% 0.71%(d) 0.71%(d) 1.41% 29% $5,055,717
Year Ended 5/31/2020 $12.48 1.07% 0.76% 0.74% 1.78% 19% $3,589,152
Year Ended 5/31/2019 $12.83 1.62% 0.77% 0.77% 1.59% 20% $2,849,432
Year Ended 5/31/2018 $13.64 10.41% 0.78%(e) 0.78%(e) 1.46% 21% $3,137,590
Institutional 3 Class
Year Ended 5/31/2022 $16.55 1.35% 0.62%(d) 0.62%(d) 1.37% 22% $3
Year Ended 5/31/2021 $17.69 45.20% 0.63%(d) 0.63%(d) 1.49% 29% $3
Year Ended 5/31/2020(f) $12.50 (13.14%) 0.66%(g) 0.64%(g) 1.84%(g) 19% $2
The accompanying Notes to Financial Statements are an integral part of this statement.
Multi-Manager Value Strategies Fund  | Annual Report 2022
23

Notes to Financial Statements
May 31, 2022
Note 1. Organization
Multi-Manager Value Strategies Fund (the Fund), a series of Columbia Funds Series Trust II (the Trust), is a diversified fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
Fund shares 
The Trust may issue an unlimited number of shares (without par value). The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. (Ameriprise Financial) or its affiliates. The Fund offers each of the share classes listed in the Statement of Assets and Liabilities which are not subject to any front-end sales charge or contingent deferred sales charge.
Note 2. Summary of significant accounting policies
Basis of preparation
The Fund is an investment company that applies the accounting and reporting guidance in the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services - Investment Companies (ASC 946). The financial statements are prepared in accordance with U.S. generally accepted accounting principles (GAAP), which requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements.
Security valuation
Equity securities listed on an exchange are valued at the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. Securities with a closing price not readily available or not listed on any exchange are valued at the mean between the closing bid and ask prices. Listed preferred stocks convertible into common stocks are valued using an evaluated price from a pricing service.
Foreign equity securities are valued based on the closing price or last trade price on their primary exchange at the close of business of the New York Stock Exchange. If any foreign equity security closing prices are not readily available, the securities are valued at the mean of the latest quoted bid and ask prices on such exchanges or markets. Foreign currency exchange rates are determined at the scheduled closing time of the New York Stock Exchange. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange; therefore, the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. In those situations, foreign securities will be fair valued pursuant to a policy adopted by the Board of Trustees. Under the policy, the Fund may utilize a third-party pricing service to determine these fair values. The third-party pricing service takes into account multiple factors, including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign exchange rates that have occurred subsequent to the close of the foreign exchange or market, to determine a good faith estimate that reasonably reflects the current market conditions as of the close of the New York Stock Exchange. The fair value of a security is likely to be different from the quoted or published price, if available.
Investments in open-end investment companies (other than exchange-traded funds (ETFs)), are valued at the latest net asset value reported by those companies as of the valuation time.
Investments for which market quotations are not readily available, or that have quotations which management believes are not reflective of market value or reliable, are valued at fair value as determined in good faith under procedures approved by and under the general supervision of the Board of Trustees. If a security or class of securities (such as foreign securities) is valued at fair value, such value is likely to be different from the quoted or published price for the security, if available.
24 Multi-Manager Value Strategies Fund  | Annual Report 2022

Notes to Financial Statements  (continued)
May 31, 2022
The determination of fair value often requires significant judgment. To determine fair value, management may use assumptions including but not limited to future cash flows and estimated risk premiums. Multiple inputs from various sources may be used to determine fair value.
GAAP requires disclosure regarding the inputs and valuation techniques used to measure fair value and any changes in valuation inputs or techniques. In addition, investments shall be disclosed by major category. This information is disclosed following the Fund’s Portfolio of Investments.
Foreign currency transactions and translations
The values of all assets and liabilities denominated in foreign currencies are generally translated into U.S. dollars at exchange rates determined at the close of regular trading on the New York Stock Exchange. Net realized and unrealized gains (losses) on foreign currency transactions and translations include gains (losses) arising from the fluctuation in exchange rates between trade and settlement dates on securities transactions, gains (losses) arising from the disposition of foreign currency and currency gains (losses) between the accrual and payment dates on dividends, interest income and foreign withholding taxes.
For financial statement purposes, the Fund does not distinguish that portion of gains (losses) on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices of the investments. Such fluctuations are included with the net realized and unrealized gains (losses) on investments in the Statement of Operations.
Derivative instruments
The Fund invests in certain derivative instruments, as detailed below, in seeking to meet its investment objectives. Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more securities, currencies, commodities, indices, or other assets or instruments. Derivatives may be used to increase investment flexibility (including to maintain cash reserves while maintaining desired exposure to certain assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. The Fund may also use derivative instruments to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. Derivatives may involve various risks, including the potential inability of the counterparty to fulfill its obligations under the terms of the contract, the potential for an illiquid secondary market (making it difficult for the Fund to sell or terminate, including at favorable prices) and the potential for market movements which may expose the Fund to gains or losses in excess of the amount shown in the Statement of Assets and Liabilities. The notional amounts of derivative instruments, if applicable, are not recorded in the financial statements.
A derivative instrument may suffer a marked-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform its obligations under the contract. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund and the amount of any variation margin held by the counterparty, plus any replacement costs or related amounts. With exchange-traded or centrally cleared derivatives, there is reduced counterparty credit risk to the Fund since the clearinghouse or central counterparty (CCP) provides some protection in the case of clearing member default. The clearinghouse or CCP stands between the buyer and the seller of the contract; therefore, failure of the clearinghouse or CCP may pose additional counterparty credit risk. However, credit risk still exists in exchange-traded or centrally cleared derivatives with respect to initial and variation margin that is held in a broker’s customer account. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients and such shortfall is remedied by the CCP or otherwise, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the clearing broker’s customers (including the Fund), potentially resulting in losses to the Fund.
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is an agreement between the Fund and a counterparty that governs over-the-counter derivatives and foreign exchange forward contracts and contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA
Multi-Manager Value Strategies Fund  | Annual Report 2022
25

Notes to Financial Statements  (continued)
May 31, 2022
Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting), including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset or netting in bankruptcy, insolvency or other events.
Collateral (margin) requirements differ by type of derivative. Margin requirements are established by the clearinghouse or CCP for exchange-traded and centrally cleared derivatives. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms for most over-the-counter derivatives are subject to regulatory requirements to exchange variation margin with trading counterparties and may have contract specific margin terms as well. For over-the-counter derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked-to-market amount for each transaction under such agreement and comparing that amount to the value of any variation margin currently pledged by the Fund and/or the counterparty. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund may also pay interest expense on cash collateral received from the broker. Any interest expense paid by the Fund is shown in the Statement of Operations. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties of over-the-counter derivatives transactions to terminate derivatives contracts prior to maturity in the event the Fund’s net asset value declines by a stated percentage over a specified time period or if the Fund fails to meet certain terms of the ISDA Master Agreement, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.  The Fund also has termination rights if the counterparty fails to meet certain terms of the ISDA Master Agreement.  In determining whether to exercise such termination rights, the Fund would consider, in addition to counterparty credit risk, whether termination would result in a net liability owed from the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
Futures contracts
Futures contracts are exchange-traded and represent commitments for the future purchase or sale of an asset at a specified price on a specified date. The Fund bought and sold futures contracts to maintain appropriate equity market exposure while keeping sufficient cash to accommodate daily redemptions. These instruments may be used for other purposes in future periods. Upon entering into futures contracts, the Fund bears risks that it may not achieve the anticipated benefits of the futures contracts and may realize a loss. Additional risks include counterparty credit risk, the possibility of an illiquid market, and that a change in the value of the contract or option may not correlate with changes in the value of the underlying asset.
Upon entering into a futures contract, the Fund deposits cash or securities with the broker, known as a futures commission merchant (FCM), in an amount sufficient to meet the initial margin requirement. The initial margin deposit must be maintained at an established level over the life of the contract. Cash deposited as initial margin is recorded in the Statement of Assets and Liabilities as margin deposits. Securities deposited as initial margin are designated in the Portfolio of Investments. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily change in the contract value and are recorded as variation margin receivable or payable and are offset in unrealized gains or losses. The Fund generally expects to earn interest income on its margin deposits. The Fund recognizes a realized gain or loss when the contract is closed or expires. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities.
26 Multi-Manager Value Strategies Fund  | Annual Report 2022

Notes to Financial Statements  (continued)
May 31, 2022
Effects of derivative transactions in the financial statements
The following tables are intended to provide additional information about the effect of derivatives on the financial statements of the Fund, including: the fair value of derivatives by risk category and the location of those fair values in the Statement of Assets and Liabilities; and the impact of derivative transactions over the period in the Statement of Operations, including realized and unrealized gains (losses). The derivative instrument schedules following the Portfolio of Investments present additional information regarding derivative instruments outstanding at the end of the period, if any.
The following table indicates the effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in the Statement of Operations for the year ended May 31, 2022:
Amount of realized gain (loss) on derivatives recognized in income
Risk exposure category Futures
contracts
($)
Equity risk (4,357,211)
The following table is a summary of the average outstanding volume by derivative instrument for the year ended May 31, 2022:
Derivative instrument Average notional
amounts ($)*
Futures contracts — long 796,272
    
* Based on the ending daily outstanding amounts for the year ended May 31, 2022.
Security transactions
Security transactions are accounted for on the trade date. Cost is determined and gains (losses) are based upon the specific identification method for both financial statement and federal income tax purposes.
Income recognition
Corporate actions and dividend income are generally recorded net of any non-reclaimable tax withholdings, on the ex-dividend date or upon receipt of an ex-dividend notification in the case of certain foreign securities.
The Fund may receive distributions from holdings in equity securities, business development companies (BDCs), exchange-traded funds (ETFs), limited partnerships (LPs), other regulated investment companies (RICs), and real estate investment trusts (REITs), which report information as to the tax character of their distributions annually. These distributions are allocated to dividend income, capital gain and return of capital based on actual information reported. Return of capital is recorded as a reduction of the cost basis of securities held. If the Fund no longer owns the applicable securities, return of capital is recorded as a realized gain. With respect to REITs, to the extent actual information has not yet been reported, estimates for return of capital are made by Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). The Investment Manager’s estimates are subsequently adjusted when the actual character of the distributions is disclosed by the REITs, which could result in a proportionate change in return of capital to shareholders.
Awards from class action litigation are recorded as a reduction of cost basis if the Fund still owns the applicable securities on the payment date. If the Fund no longer owns the applicable securities on the payment date, the proceeds are recorded as realized gains.
Expenses
General expenses of the Trust are allocated to the Fund and other funds of the Trust based upon relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Fund are charged to the Fund. Expenses directly attributable to a specific class of shares are charged to that share class.
Multi-Manager Value Strategies Fund  | Annual Report 2022
27

Notes to Financial Statements  (continued)
May 31, 2022
Determination of class net asset value
All income, expenses (other than class-specific expenses, which are charged to that share class, as shown in the Statement of Operations) and realized and unrealized gains (losses) are allocated to each class of the Fund on a daily basis, based on the relative net assets of each class, for purposes of determining the net asset value of each class.
Federal income tax status
The Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code, as amended, and will distribute substantially all of its investment company taxable income and net capital gain, if any, for its tax year, and as such will not be subject to federal income taxes. In addition, the Fund intends to distribute in each calendar year substantially all of its ordinary income, capital gain net income and certain other amounts, if any, such that the Fund should not be subject to federal excise tax. Therefore, no federal income or excise tax provision is recorded.
Foreign taxes
The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities.
Distributions to shareholders
Distributions from net investment income, if any, are declared and paid each calendar quarter. Net realized capital gains, if any, are distributed at least annually. Income distributions and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.
Guarantees and indemnifications
Under the Trust’s organizational documents and, in some cases, by contract, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust or its funds. In addition, certain of the Fund’s contracts with its service providers contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Fund cannot be determined, and the Fund has no historical basis for predicting the likelihood of any such claims.
Note 3. Fees and other transactions with affiliates
Management services fees
The Fund has entered into a Management Agreement with Columbia Management Investment Advisers, LLC (the Investment Manager), a wholly-owned subsidiary of Ameriprise Financial, Inc. (Ameriprise Financial). Under the Management Agreement, the Investment Manager provides the Fund with investment research and advice, as well as administrative and accounting services. The Investment Manager is responsible for the ultimate oversight of investments made by the Fund. The Fund’s subadvisers (see Subadvisory agreements below) have the primary responsibility for the day-to-day portfolio management of their portion of the Fund. The management services fee is an annual fee that is equal to a percentage of the Fund’s daily net assets that declines from 0.72% to 0.52% as the Fund’s net assets increase. The effective management services fee rate for the year ended May 31, 2022 was 0.59% of the Fund’s average daily net assets.
Subadvisory agreements 
The Investment Manager has entered into Subadvisory Agreements with Diamond Hill Capital Management, Inc. and Dimensional Fund Advisors LP, each of which subadvises a portion of the assets of the Fund. New investments in the Fund, net of redemptions, are allocated in accordance with the Investment Manager’s determination. Each subadviser’s proportionate share of investments in the Fund will vary due to market fluctuations. The Investment Manager compensates each subadviser to manage the investment of the Fund’s assets.
28 Multi-Manager Value Strategies Fund  | Annual Report 2022

Notes to Financial Statements  (continued)
May 31, 2022
Compensation of board members
Members of the Board of Trustees who are not officers or employees of the Investment Manager or Ameriprise Financial are compensated for their services to the Fund as disclosed in the Statement of Operations. Under a Deferred Compensation Plan (the Deferred Plan), these members of the Board of Trustees may elect to defer payment of up to 100% of their compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain funds managed by the Investment Manager. The Fund’s liability for these amounts is adjusted for market value changes and remains in the Fund until distributed in accordance with the Deferred Plan. All amounts payable under the Deferred Plan constitute a general unsecured obligation of the Fund. The expense for the Deferred Plan, which includes Trustees’ fees deferred during the current period as well as any gains or losses on the Trustees’ deferred compensation balances as a result of market fluctuations, is included in "Compensation of board members" in the Statement of Operations.
Compensation of Chief Compliance Officer
The Board of Trustees has appointed a Chief Compliance Officer for the Fund in accordance with federal securities regulations. As disclosed in the Statement of Operations, a portion of the Chief Compliance Officer’s total compensation is allocated to the Fund, along with other allocations to affiliated registered investment companies managed by the Investment Manager and its affiliates, based on relative net assets.
Transfer agency fees
Under a Transfer and Dividend Disbursing Agent Agreement, Columbia Management Investment Services Corp. (the Transfer Agent), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, is responsible for providing transfer agency services to the Fund. The Transfer Agent has contracted with DST Asset Manager Solutions, Inc. (DST) to serve as sub-transfer agent. The Transfer Agent pays the fees of DST for services as sub-transfer agent and DST is not entitled to reimbursement for such fees from the Fund (with the exception of out-of-pocket fees).
The Fund pays the Transfer Agent a monthly transfer agency fee based on the number or the average value of accounts, depending on the type of account. In addition, the Fund pays the Transfer Agent a fee for shareholder services based on the number of accounts or on a percentage of the average aggregate value of the Fund’s shares maintained in omnibus accounts up to the lesser of the amount charged by the financial intermediary or a cap established by the Board of Trustees from time to time.
The Transfer Agent also receives compensation from the Fund for various shareholder services and reimbursements for certain out-of-pocket fees. Total transfer agency fees for Institutional 3 Class shares are subject to an annual limitation of not more than 0.02% of the average daily net assets attributable to Institutional 3 Class. In addition, prior to October 1, 2021, Institutional 3 Class shares were subject to a contractual transfer agency fee annual limitation of not more than 0.01% of the average daily net assets attributable to that share class.
For the year ended May 31, 2022, the Fund’s effective transfer agency fee rates as a percentage of average daily net assets of each class were as follows:
  Effective rate (%)
Institutional Class 0.08
Institutional 3 Class 0.02
Distribution and service fees
The Fund has an agreement with Columbia Management Investment Distributors, Inc. (the Distributor), an affiliate of the Investment Manager and a wholly-owned subsidiary of Ameriprise Financial, for distribution and shareholder services. The Fund does not pay the Distributor a fee for the distribution services it provides to the Fund.
Multi-Manager Value Strategies Fund  | Annual Report 2022
29

Notes to Financial Statements  (continued)
May 31, 2022
Expenses waived/reimbursed by the Investment Manager and its affiliates
The Investment Manager and certain of its affiliates have contractually agreed to waive fees and/or reimburse expenses (excluding certain fees and expenses described below) for the period(s) disclosed below, unless sooner terminated at the sole discretion of the Board of Trustees, so that the Fund’s net operating expenses, after giving effect to fees waived/expenses reimbursed and any balance credits and/or overdraft charges from the Fund’s custodian, do not exceed the following annual rate(s) as a percentage of the classes’ average daily net assets:
  October 1, 2021
through
September 30, 2022
Prior to
October 1, 2021
Institutional Class 0.74% 0.74%
Institutional 3 Class 0.68 0.64
Under the agreement governing these fee waivers and/or expense reimbursement arrangements, the following fees and expenses are excluded from the waiver/reimbursement commitment, and therefore will be paid by the Fund, if applicable: taxes (including foreign transaction taxes), expenses associated with investments in affiliated and non-affiliated pooled investment vehicles (including mutual funds and exchange-traded funds), transaction costs and brokerage commissions, costs related to any securities lending program, dividend expenses associated with securities sold short, inverse floater program fees and expenses, transaction charges and interest on borrowed money, interest, costs associated with shareholder meetings, infrequent and/or unusual expenses and any other expenses the exclusion of which is specifically approved by the Board of Trustees. This agreement may be modified or amended only with approval from the Investment Manager, certain of its affiliates and the Fund. Reflected in the contractual cap commitment prior to October 1, 2021, is the Transfer Agent’s contractual agreement to limit total transfer agency fees to an annual rate of not more than 0.01% for Institutional 3 Class of the average daily net assets attributable to that share class. Any fees waived and/or expenses reimbursed under the expense reimbursement arrangements described above are not recoverable by the Investment Manager or its affiliates in future periods.
Note 4. Federal tax information
The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP because of temporary or permanent book to tax differences.
At May 31, 2022, these differences were primarily due to differing treatment for deferral/reversal of wash sale losses, trustees’ deferred compensation, corporate actions, re-characterization of distributions for investments and earnings and profits distributed to shareholders on the redemption of shares. To the extent these differences were permanent, reclassifications were made among the components of the Fund’s net assets. Temporary differences do not require reclassifications.
The following reclassifications were made:
Undistributed net
investment
income ($)
Accumulated
net realized
gain ($)
Paid in
capital ($)
(2,688,831) (39,315,947) 42,004,778
Net investment income (loss) and net realized gains (losses), as disclosed in the Statement of Operations, and net assets were not affected by this reclassification.
The tax character of distributions paid during the years indicated was as follows:
Year Ended May 31, 2022 Year Ended May 31, 2021
Ordinary
income ($)
Long-term
capital gains ($)
Total ($) Ordinary
income ($)
Long-term
capital gains ($)
Total ($)
100,200,562 307,843,695 408,044,257 59,463,569 42,397,740 101,861,309
Short-term capital gain distributions, if any, are considered ordinary income distributions for tax purposes.
30 Multi-Manager Value Strategies Fund  | Annual Report 2022

Notes to Financial Statements  (continued)
May 31, 2022
At May 31, 2022, the components of distributable earnings on a tax basis were as follows:
Undistributed
ordinary income ($)
Undistributed
long-term
capital gains ($)
Capital loss
carryforwards ($)
Net unrealized
appreciation ($)
19,308,520 340,692,669 987,313,200
At May 31, 2022, the cost of all investments for federal income tax purposes along with the aggregate gross unrealized appreciation and depreciation based on that cost was:
Federal
tax cost ($)
Gross unrealized
appreciation ($)
Gross unrealized
(depreciation) ($)
Net unrealized
appreciation ($)
3,592,916,181 1,090,958,336 (103,645,136) 987,313,200
Tax cost of investments and unrealized appreciation/(depreciation) may also include timing differences that do not constitute adjustments to tax basis.
Management of the Fund has concluded that there are no significant uncertain tax positions in the Fund that would require recognition in the financial statements. However, management’s conclusion may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws, regulations, and administrative interpretations (including relevant court decisions). Generally, the Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
Note 5. Portfolio information
The cost of purchases and proceeds from sales of securities, excluding short-term investments and derivatives, if any, aggregated to $1,111,253,123 and $1,539,798,994, respectively, for the year ended May 31, 2022. The amount of purchase and sale activity impacts the portfolio turnover rate reported in the Financial Highlights.
Note 6. Affiliated money market fund
The Fund invests in Columbia Short-Term Cash Fund, an affiliated money market fund established for the exclusive use by the Fund and other affiliated funds (the Affiliated MMF). The income earned by the Fund from such investments is included as Dividends - affiliated issuers in the Statement of Operations. As an investing fund, the Fund indirectly bears its proportionate share of the expenses of the Affiliated MMF. The Affiliated MMF prices its shares with a floating net asset value. In addition, the Board of Trustees of the Affiliated MMF may impose a fee on redemptions (sometimes referred to as a liquidity fee) or temporarily suspend redemptions (sometimes referred to as imposing a redemption gate) in the event its liquidity falls below regulatory limits.
Note 7. Interfund lending
Pursuant to an exemptive order granted by the Securities and Exchange Commission, the Fund participates in a program (the Interfund Program) allowing each participating Columbia Fund (each, a Participating Fund) to lend money directly to and, except for closed-end funds and money market funds, borrow money directly from other Participating Funds for temporary purposes. The amounts eligible for borrowing and lending under the Interfund Program are subject to certain restrictions.
Interfund loans are subject to the risk that the borrowing fund could be unable to repay the loan when due, and a delay in repayment to the lending fund could result in lost opportunities and/or additional lending costs. The exemptive order is subject to conditions intended to mitigate conflicts of interest arising from the Investment Manager’s relationship with each Participating Fund.
The Fund’s activity in the Interfund Program during the year ended May 31, 2022 was as follows:
Borrower or lender Average loan
balance ($)
Weighted average
interest rate (%)
Number of days
with outstanding loans
Borrower 11,840,000 0.96 10
Multi-Manager Value Strategies Fund  | Annual Report 2022
31

Notes to Financial Statements  (continued)
May 31, 2022
Interest expense incurred by the Fund is recorded as Interfund lending in the Statement of Operations. The Fund had no outstanding interfund loans at May 31, 2022.
Note 8. Line of credit
The Fund has access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. whereby the Fund may borrow for the temporary funding of shareholder redemptions or for other temporary or emergency purposes. Pursuant to an October 28, 2021 amendment and restatement, the credit facility, which is an agreement between the Fund and certain other funds managed by the Investment Manager or an affiliated investment manager, severally and not jointly, permits aggregate borrowings up to $950 million. Interest is currently charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the secured overnight financing rate plus 0.11448% and (iii) the overnight bank funding rate, plus in each case, 1.00%. Each borrowing under the credit facility matures no later than 60 days after the date of borrowing. The Fund also pays a commitment fee equal to its pro rata share of the unused amount of the credit facility at a rate of 0.15% per annum. The commitment fee is included in other expenses in the Statement of Operations. This agreement expires annually in October unless extended or renewed. Prior to the October 28, 2021 amendment and restatement, the Fund had access to a revolving credit facility with a syndicate of banks led by JPMorgan Chase Bank, N.A., Citibank, N.A. and Wells Fargo Bank, N.A. which permitted collective borrowings up to $950 million. Interest was charged to each participating fund based on its borrowings at a rate equal to the higher of (i) the federal funds effective rate, (ii) the one-month London Interbank Offered Rate (LIBOR) rate and (iii) the overnight bank funding rate, plus in each case, 1.25%.
The Fund had no borrowings during the year ended May 31, 2022.
Note 9. Significant risks
Market risk
The Fund may incur losses due to declines in the value of one or more securities in which it invests. These declines may be due to factors affecting a particular issuer, or the result of, among other things, political, regulatory, market, economic or social developments affecting the relevant market(s) more generally. In addition, turbulence in financial markets and reduced liquidity in equity, credit and/or fixed income markets may negatively affect many issuers, which could adversely affect the Fund’s ability to price or value hard-to-value assets in thinly traded and closed markets and could cause significant redemptions and operational challenges. Global economies and financial markets are increasingly interconnected, and conditions and events in one country, region or financial market may adversely impact issuers in a different country, region or financial market. These risks may be magnified if certain events or developments adversely interrupt the global supply chain; in these and other circumstances, such risks might affect companies worldwide. As a result, local, regional or global events such as terrorism, war, natural disasters, disease/virus outbreaks and epidemics or other public health issues, recessions, depressions or other events – or the potential for such events – could have a significant negative impact on global economic and market conditions.
The large-scale invasion of Ukraine by Russia in February 2022 has resulted in sanctions and market disruptions, including declines in regional and global stock, unusual volatility in global commodity markets and significant devaluations of Russian currency. The extent and duration of the military action are impossible to predict but could be significant. Market disruption caused by the Russian military action, and any counter measures or responses thereto (including international sanctions, a downgrade in the country’s credit rating, purchasing and financing restrictions, boycotts, tariffs, changes in consumer or purchaser preferences, cyberattacks and espionage) could have severe adverse impacts on regional and/or global securities and commodities markets, including markets for oil and natural gas. These impacts may include reduced market liquidity, distress in credit markets, further disruption of global supply chains, increased risk of inflation, and limited access to investments in certain international markets and/or issuers. These developments and other related events could negatively impact Fund performance.
The pandemic caused by coronavirus disease 2019 and its variants (COVID-19) has resulted in, and may continue to result in, significant global economic and societal disruption and market volatility due to disruptions in market access, resource availability, facilities operations, imposition of tariffs, export controls and supply chain disruption, among others. Such disruptions may be caused, or exacerbated by, quarantines and travel restrictions, workforce displacement and loss in
32 Multi-Manager Value Strategies Fund  | Annual Report 2022

Notes to Financial Statements  (continued)
May 31, 2022
human and other resources. The uncertainty surrounding the magnitude, duration, reach, costs and effects of the global pandemic, as well as actions that have been or could be taken by governmental authorities or other third parties, present unknowns that are yet to unfold. The impacts, as well as the uncertainty over impacts to come, of COVID-19 – and any other infectious illness outbreaks, epidemics and pandemics that may arise in the future – could negatively affect global economies and markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illness outbreaks and epidemics in emerging market countries may be greater due to generally less established healthcare systems, governments and financial markets. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The disruptions caused by COVID-19 could prevent the Fund from executing advantageous investment decisions in a timely manner and negatively impact the Fund’s ability to achieve its investment objective. Any such events could have a significant adverse impact on the value and risk profile of the Fund.
Shareholder concentration risk
At May 31, 2022, affiliated shareholders of record owned 100.0% of the outstanding shares of the Fund in one or more accounts. Subscription and redemption activity by concentrated accounts may have a significant effect on the operations of the Fund. In the case of a large redemption, the Fund may be forced to sell investments at inopportune times, including its liquid positions, which may result in Fund losses and the Fund holding a higher percentage of less liquid positions. Large redemptions could result in decreased economies of scale and increased operating expenses for non-redeeming Fund shareholders.
Note 10. Subsequent events
Management has evaluated the events and transactions that have occurred through the date the financial statements were issued and noted no items requiring adjustment of the financial statements or additional disclosure.
Note 11. Information regarding pending and settled legal proceedings
Ameriprise Financial and certain of its affiliates are involved in the normal course of business in legal proceedings which include regulatory inquiries, arbitration and litigation, including class actions concerning matters arising in connection with the conduct of its activities as a diversified financial services firm. Ameriprise Financial believes that the Fund is not currently the subject of, and that neither Ameriprise Financial nor any of its affiliates are the subject of, any pending legal, arbitration or regulatory proceedings that are likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund. Ameriprise Financial is required to make quarterly (10-Q), annual (10-K) and, as necessary, 8-K filings with the Securities and Exchange Commission (SEC) on legal and regulatory matters that relate to Ameriprise Financial and its affiliates. Copies of these filings may be obtained by accessing the SEC website at www.sec.gov.
There can be no assurance that these matters, or the adverse publicity associated with them, will not result in increased Fund redemptions, reduced sale of Fund shares or other adverse consequences to the Fund. Further, although we believe proceedings are not likely to have a material adverse effect on the Fund or the ability of Ameriprise Financial or its affiliates to perform under their contracts with the Fund, these proceedings are subject to uncertainties and, as such, we are unable to estimate the possible loss or range of loss that may result. An adverse outcome in one or more of these proceedings could result in adverse judgments, settlements, fines, penalties or other relief that could have a material adverse effect on the consolidated financial condition or results of operations of Ameriprise Financial or one or more of its affiliates that provides services to the Fund.
Multi-Manager Value Strategies Fund  | Annual Report 2022
33

Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Columbia Funds Series Trust II and Shareholders of Multi-Manager Value Strategies Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Multi-Manager Value Strategies Fund (one of the funds constituting Columbia Funds Series Trust II, referred to hereafter as the "Fund") as of May 31, 2022, the related statement of operations for the year ended May 31, 2022, the statement of changes in net assets for each of the two years in the period ended May 31, 2022, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended May 31, 2022 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Minneapolis, Minnesota
July 21, 2022
We have served as the auditor of one or more investment companies within the Columbia Funds Complex since 1977.
34 Multi-Manager Value Strategies Fund  | Annual Report 2022

 Federal Income Tax Information
(Unaudited)
The Fund hereby designates the following tax attributes for the fiscal year ended May 31, 2022. Shareholders will be notified in early 2023 of the amounts for use in preparing 2022 income tax returns.
Qualified
dividend
income
Dividends
received
deduction
Capital
gain
dividend
93.94% 91.68% $490,572,219
Qualified dividend income. For taxable, non-corporate shareholders, the percentage of ordinary income distributed during the fiscal year that represents qualified dividend income subject to reduced tax rates.
Dividends received deduction. The percentage of ordinary income distributed during the fiscal year that qualifies for the corporate dividends received deduction.
Capital gain dividend. The Fund designates as a capital gain dividend the amount reflected above, or if subsequently determined to be different, the net capital gain of such fiscal period.
 TRUSTEES AND OFFICERS
(Unaudited)
The Board oversees the Fund’s operations and appoints officers who are responsible for day-to-day business decisions based on policies set by the Board. The following table provides basic biographical information about the Fund’s Trustees as of the printing of this report, including their principal occupations during the past five years, although specific titles for individuals may have varied over the period. The year set forth beneath Length of Service in the table below is the year in which the Trustee was first appointed or elected as Trustee to any Fund currently in the Columbia Funds Complex or a predecessor thereof. Under current Board policy, each Trustee generally serves until December 31 of the year such Trustee turns seventy-five (75).
Independent trustees
Name,
address,
year of birth
Position held
with the Columbia Funds and
length of service
Principal occupation(s)
during past five years
and other relevant
professional experience
Number of
Funds in the
Columbia Funds
Complex*
overseen
Other directorships
held by Trustee
during the past
five years
George S. Batejan
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1953
Trustee since 2017 Executive Vice President, Global Head of Technology and Operations, Janus Capital Group, Inc., 2010-2016 176 Former Chairman of the Board, NICSA (National Investment Company Services Association) (Executive Committee, Nominating Committee and Governance Committee), 2014-2016; former Director, Intech Investment Management, 2011-2016; former Board Member, Metro Denver Chamber of Commerce, 2015-2016; former Advisory Board Member, University of Colorado Business School, 2015-2018
Multi-Manager Value Strategies Fund  | Annual Report 2022
35

TRUSTEES AND OFFICERS  (continued)
(Unaudited)
Independent trustees  (continued)
Name,
address,
year of birth
Position held
with the Columbia Funds and
length of service
Principal occupation(s)
during past five years
and other relevant
professional experience
Number of
Funds in the
Columbia Funds
Complex*
overseen
Other directorships
held by Trustee
during the past
five years
Kathleen Blatz
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1954
Trustee since 2006 Attorney, specializing in arbitration and mediation; Chief Justice, Minnesota Supreme Court, 1998-2006; Associate Justice, Minnesota Supreme Court, 1996-1998; Fourth Judicial District Court Judge, Hennepin County, 1994-1996; Attorney in private practice and public service, 1984-1993; State Representative, Minnesota House of Representatives, 1979-1993, which included service on the Tax and Financial Institutions and Insurance Committees; Member and Interim Chair, Minnesota Sports Facilities Authority, January 2017-July 2017; Interim President and Chief Executive Officer, Blue Cross and Blue Shield of Minnesota (health care insurance), February-July 2018, April-October 2021 176 Former Trustee, Blue Cross and Blue Shield of Minnesota, 2009-2021 (Chair of the Business Development Committee, 2014-2017; Chair of the Governance Committee, 2017-2019); former Member and Chair of the Board, Minnesota Sports Facilities Authority, January 2017-July 2017; former Director, Robina Foundation, 2009-2020 (Chair, 2014-2020); Director, Schulze Family Foundation, since 2021
Pamela G. Carlton
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1954
Trustee since 2007 President, Springboard — Partners in Cross Cultural Leadership (consulting company) since 2003; Managing Director of US Equity Research, JP Morgan Chase, 1999-2003; Director of US Equity Research, Chase Asset Management, 1996-1999; Co-Director Latin America Research, 1993-1996, COO Global Research, 1992-1996, Co-Director of US Research, 1991-1992, Investment Banker, 1982-1991, Morgan Stanley; Attorney, Cleary Gottlieb Steen & Hamilton LLP, 1980-1982 176 Trustee, New York Presbyterian Hospital Board (Executive Committee and Chair of People Committee) since 1996; Director, DR Bank (Audit Committee) since 2017; Director, Evercore Inc. (Audit Committee) since 2019; Director, Apollo Commercial Real Estate Finance, Inc. since 2021; the Governing Council of the Independent Directors Council (IDC), since 2021
Janet Langford Carrig
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1957
Trustee since 1996 Senior Vice President, General Counsel and Corporate Secretary, ConocoPhillips (independent energy company), September 2007-October 2018 174 Director, EQT Corporation (natural gas producer) since 2019
J. Kevin Connaughton
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1964
Trustee since 2020 Member, FINRA National Adjudicatory Council since January 2020; Adjunct Professor of Finance, Bentley University since January 2018; Consultant to Independent Trustees of CFVIT and CFST I from March 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Managing Director and General Manager of Mutual Fund Products, Columbia Management Investment Advisers, LLC, May 2010-February 2015; President, Columbia Funds, 2008-2015; and senior officer of Columbia Funds and affiliated funds, 2003-2015 174 Former Director, The Autism Project, March 2015-December 2021; former Member of the Investment Committee, St. Michael’s College, November 2015-February 2020; former Trustee, St. Michael’s College, June 2017-September 2019; former Trustee, New Century Portfolios, January 2015-December 2017
36 Multi-Manager Value Strategies Fund  | Annual Report 2022

TRUSTEES AND OFFICERS  (continued)
(Unaudited)
Independent trustees  (continued)
Name,
address,
year of birth
Position held
with the Columbia Funds and
length of service
Principal occupation(s)
during past five years
and other relevant
professional experience
Number of
Funds in the
Columbia Funds
Complex*
overseen
Other directorships
held by Trustee
during the past
five years
Olive M. Darragh
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1962
Trustee since 2020 Managing Director of Darragh Inc. (strategy and talent management consulting firm) since 2010; Founder and CEO, Zolio, Inc. (investment management talent identification platform) since 2004; Consultant to Independent Trustees of CFVIT and CFST I from June 2019 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Partner, Tudor Investments, 2004-2010; Senior Partner, McKinsey & Company (consulting), 1990-2004; Touche Ross CPA, 1985-1988 174 Former Director, University of Edinburgh Business School (Member of US Board); former Director, Boston Public Library Foundation
Patricia M. Flynn
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1950
Trustee since 2004 Trustee Professor of Economics and Management, Bentley University since 1976 (also teaches and conducts research on corporate governance); Dean, McCallum Graduate School of Business, Bentley University, 1992-2002 176 Trustee, MA Taxpayers Foundation since 1997; former Board of Governors, Innovation Institute, MA Technology Collaborative, 2010-2020; former Board of Directors, The MA Business Roundtable, 2003-2019
Brian J. Gallagher
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1954
Trustee since 2017 Retired; Partner with Deloitte & Touche LLP and its predecessors, 1977-2016 176 Trustee, Catholic Schools Foundation since 2004
Douglas A. Hacker
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1955
Co-Chair since 2021; Chair of CFST I and CFVIT since 2014; Trustee of CFST I and CFVIT since 1996 and CFST, CFST II, CFVST II, CET I and CET II since 2021 Independent business executive since May 2006; Executive Vice President – Strategy of United Airlines, December 2002 - May 2006; President of UAL Loyalty Services (airline marketing company), September 2001-December 2002; Executive Vice President and Chief Financial Officer of United Airlines, July 1999-September 2001 176 Director, Spartan Nash Company (food distributor); Director, Aircastle Limited (Chair of Audit Committee) (aircraft leasing); former Director, Nash Finch Company (food distributor), 2005-2013; former Director, SeaCube Container Leasing Ltd. (container leasing), 2010-2013; and former Director, Travelport Worldwide Limited (travel information technology), 2014-2019
Nancy T. Lukitsh
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1956
Trustee since 2011 Senior Vice President, Partner and Director of Marketing, Wellington Management Company, LLP (investment adviser), 1997-2010; Chair, Wellington Management Portfolios (commingled non-U.S. investment pools), 2007 -2010; Director, Wellington Trust Company, NA and other Wellington affiliates, 1997-2010 174 None
Multi-Manager Value Strategies Fund  | Annual Report 2022
37

TRUSTEES AND OFFICERS  (continued)
(Unaudited)
Independent trustees  (continued)
Name,
address,
year of birth
Position held
with the Columbia Funds and
length of service
Principal occupation(s)
during past five years
and other relevant
professional experience
Number of
Funds in the
Columbia Funds
Complex*
overseen
Other directorships
held by Trustee
during the past
five years
David M. Moffett
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1952
Trustee since 2011 Retired; Consultant to Bridgewater and Associates 174 Director, CSX Corporation (transportation suppliers); Director, Genworth Financial, Inc. (financial and insurance products and services); Director, PayPal Holdings Inc. (payment and data processing services); Trustee, University of Oklahoma Foundation; former Director, eBay Inc. (online trading community), 2007-2015; and former Director, CIT Bank, CIT Group Inc. (commercial and consumer finance), 2010-2016
Catherine James Paglia
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1952
Co-Chair since 2021; Chair of CFST, CFST II, CFVST II, CET I and CET II since 2020; Trustee of CFST, CFST II and CFVST II since 2004 and CFST I and CFVIT since 2021 Director, Enterprise Asset Management, Inc. (private real estate and asset management company) since September 1998; Managing Director and Partner, Interlaken Capital, Inc., 1989-1997; Vice President, 1982-1985, Principal, 1985-1987, Managing Director, 1987-1989, Morgan Stanley; Vice President, Investment Banking, 1980-1982, Associate, Investment Banking, 1976-1980, Dean Witter Reynolds, Inc. 176 Director, Valmont Industries, Inc. (irrigation systems manufacturer) since 2012; Trustee, Carleton College (on the Investment Committee); Trustee, Carnegie Endowment for International Peace (on the Investment Committee)
Minor M. Shaw
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1947
Trustee since 2003 President, Micco LLC (private investments) since 2011; President, Micco Corp. (family investment business), 1998-2011 176 Director, Blue Cross Blue Shield of South Carolina (Chair of Compensation Committee) since April 2008; Trustee, Hollingsworth Funds (on the Investment Committee) since 2016 (previously Board Chair from 2016-2019); Former Advisory Board member, Duke Energy Corp., 2016-2020; Chair of the Duke Endowment; Chair of Greenville – Spartanburg Airport Commission; former Trustee, BofA Funds Series Trust (11 funds), 2003-2011; former Director, Piedmont Natural Gas, 2004-2016; former Director, National Association of Corporate Directors, Carolinas Chapter, 2013-2018; Chair, Daniel-Mickel Foundation since 1998
38 Multi-Manager Value Strategies Fund  | Annual Report 2022

TRUSTEES AND OFFICERS  (continued)
(Unaudited)
Independent trustees  (continued)
Name,
address,
year of birth
Position held
with the Columbia Funds and
length of service
Principal occupation(s)
during past five years
and other relevant
professional experience
Number of
Funds in the
Columbia Funds
Complex*
overseen
Other directorships
held by Trustee
during the past
five years
Natalie A. Trunow
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1967
Trustee since 2020 Chief Executive Officer, Millennial Portfolio Solutions LLC (asset management and consulting services), January 2016-January 2021; Non-executive Member of the Investment Committee and Valuation Committee, Sarona Asset Management Inc. (private equity firm) since September 2019; Advisor, Horizon Investments (asset management and consulting services), August 2018-January 2021; Advisor, Paradigm Asset Management, November 2016-December 2021; Consultant to Independent Trustees of CFVIT and CFST I from September 2016 to June 2020 with respect to CFVIT and to December 2020 with respect to CFST I; Director of Investments/Consultant, Casey Family Programs, April 2016-November 2016; Senior Vice President and Chief Investment Officer, Calvert Investments, August 2008-January 2016; Section Head and Portfolio Manager, General Motors Asset Management, June 1997-August 2008 174 Former Director, Investment Committee, Health Services for Children with Special Needs, Inc., 2012-2019; Director, Chair of Audit Committee, Consumer Credit Counseling Services (formerly Guidewell Financial Solutions), since 2019; Independent Director, Investment Committee and Valuation Committee, Sarona Asset Management, since 2019
Sandra L. Yeager
c/o Columbia Management
Investment Advisers, LLC
290 Congress Street
Boston, MA 02210
1964
Trustee since 2017 Retired; President and founder, Hanoverian Capital, LLC (SEC registered investment advisor firm), 2008-2016; Managing Director, DuPont Capital, 2006-2008; Managing Director, Morgan Stanley Investment Management, 2004-2006; Senior Vice President, Alliance Bernstein, 1990-2004 176 Former Director, NAPE Education Foundation, October 2016-October 2020
* The term “Columbia Funds Complex” as used herein includes Columbia Seligman Premium Technology Growth Fund, Tri-Continental Corporation and each series of Columbia Fund Series Trust (CFST), Columbia Funds Series Trust I (CFST I), Columbia Funds Series Trust II (CFST II), Columbia ETF Trust I (CET I), Columbia ETF Trust II (CET II), Columbia Funds Variable Insurance Trust (CFVIT) and Columbia Funds Variable Series Trust II (CFVST II). Messrs. Batejan, Beckman, Gallagher and Hacker and Mses. Blatz, Carlton, Flynn, Paglia, Shaw and Yeager serve as Directors of Columbia Seligman Premium Technology Growth Fund and Tri-Continental Corporation.
Interested trustee affiliated with Investment Manager*
Name,
address,
year of birth