Blackstone Alternative Multi-Strategy Fund


Geographic Breakdown	Percentage of Total Net Assets
North America		69.2	%
Asia		4.9
Europe		3.4
Middle East		0.2
South America		0.9
Africa		0.0	¹
Oceania		0.0	¹
Other²		21.3
Securities Sold Short		(28.1	)
Other Assets and Liabilities³		28.2

Total		100.0	%

¹	Represents less than 0.1%.

²	Includes Sovereign Debt, Exchange-Traded Funds, Short-Term Investment—Money Market Fund and Purchased Options.

³	Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.


Portfolio Composition	Percentage of Total Net Assets
Common Stock		28.5	%
Mortgage-Backed Securities		27.7
Short-Term Investment—Money Market Fund		13.7
Investments in Investee Funds		6.4
Sovereign Debt		5.7
Asset-Backed Securities		4.7
Corporate Bonds & Notes		3.5
Preferred Stock		3.4
U.S. Treasury Obligations		1.8
Exchange-Traded Funds		1.7
Convertible Bonds		1.5
U.S. Government Sponsored Agency Securities		0.6
Bank Debt		0.5
Other¹		0.2
Securities Sold Short		(28.1	)
Other Assets and Liabilities²		28.2

Total		100.0	%

¹	Includes Purchased Options.

²	Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.


Credit Quality Allocation¹	Percentage of Total Investments in Securities
AAA/Aaa²		3.0	%
AA/Aa		1.9
A		1.0
BBB/Baa		4.7
BB/Ba		6.3
B		5.6
CCC/Caa		0.5
CC/Ca		—
D		0.1
Not Rated		22.9
Other³		54.0

Total Investments in Securities		100.0	%

¹	Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings.

²	Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the Investment Adviser.

³	Includes Common Stock, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Fund and Purchased Options.

Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2017

Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2017

Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) — Outstanding at September 30, 2017

Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2017

OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2017

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2017

OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at September 30, 2017

Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”) that commenced operations offering Class I Shares on June 16, 2014. The Trust consists of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund also offers Class D Shares, Class Y Shares and Class R Shares, of which, Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of September 30, 2017, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.

The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and, pursuant to an investment management agreement, has engaged BAIA to manage the Fund’s day-to-day investment activities. The Fund’s investment objective is to seek capital appreciation. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds, and may also manage a portion of the Fund’s assets directly. In pursuing the Fund’s investment objective, the Adviser focuses on the preservation of capital and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broker equity markets. Each discretionary Sub-Adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the oversight of the Board).

The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.

The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 of the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA has claimed an exemption under Rule 4.13(a)(3) from

registration as a commodity pool operator with respect to the Domestic Subsidiary III and the Domestic Subsidiary IV, and such pools are not subject to regulation by the CFTC.

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.

The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.

The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.

The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.

The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).

For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations shall be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.

Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially

affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made during the six-months ended September 30, 2017.

Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:

Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.

The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.

Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.

The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).

Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.

A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:

Equity securities, including common stock, listed preferred stock, exchange-traded funds, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities

exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.

The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of September 30, 2017, no such adjustments have been made.

The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At September 30, 2017, the Fund had $691,265,276 invested in State Street Institutional U.S. Government Money Market Fund (GVMXX—Premier Class). Investments in money market funds are categorized as Level 1 within the fair value hierarchy and are valued at net asset value.

Effective October 14, 2016, money market funds are required to comply with certain rules adopted by the Securities and Exchange Commission (“SEC”) in July 2014. The rules establish new definitions for money market fund classifications and certain money market funds are required to move from a stable $1.00 price per share to a floating net asset value. Money market funds that meet certain criteria can maintain a fixed $1.00 share price. The State Street Institutional U.S. Government Money Market Fund invests only in obligations issued or guaranteed as to principal and/or interest, as applicable, by the U.S. government or its agencies and instrumentalities, as well as repurchase agreements secured by such instruments and maintains a fixed $1.00 share price. Additionally, the State Street Institutional U.S. Government Money Market Fund is not subject to liquidity fees or redemption gates.

OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.

Fixed income securities, including corporate and convertible bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2017, the total fair value of Level 3 investments was $25,241,632. The appropriateness of fair values for these securities are monitored on an ongoing basis which may include results of backtesting, results of pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.

The fair value of investments in unaffiliated hedge funds, (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.

The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the

participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At September 30, 2017, the Fund had an outstanding commitment of $43,261 related to held bank debt.

The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, prepayment and extension risks.

The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.

Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.

Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.

The Fund uses each class of share’s adjusted prior day net assets, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.

At September 30, 2017, the Fund had $204,815,219 in domestic cash and $37,300,217 in foreign cash held at State Street Bank and Trust.

The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and deprecation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.

Under the Trust’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.

The Fund’s policy is to comply with the provisions of the Internal Revenue Code, as amended, applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.

For the current open tax years ending in October 31, 2014, October 31, 2015 and October 31, 2016 and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.

Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.

In cases in which the 1940 Act and the interpretive positions of the SEC and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forward foreign currency exchange contracts, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or certain interpretive guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) implemented between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments’ with collateral. At September 30, 2017, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s’ custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.

The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term

nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2017, the face value of open reverse repurchase agreements for the Fund was $171,529,000. The weighted average daily balances of reverse repurchase agreements outstanding during the six-months ended September 30, 2017 for the Fund was approximately $231,799,887, at a weighted average weekly interest rate of 2.77%.

An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements and related collateral governed by a securities lending agreement (“SLA”) (see below).

The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.

The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market

value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. Income from securities lending is included in investment income in the Consolidated Statement of Operations. As of September 30, 2017, the market value of securities loaned for the Fund amounted to $21,561,553 and the Fund had received cash collateral of $21,956,320. The market value of securities on loan are classified as common stock, corporate and convertible bonds and notes in the Fund’s Consolidated Schedule of Investments and as a component of investments in securities, at fair value in the Consolidated Statement of Assets and Liabilities. In addition, the value of the related collateral is shown separately as securities lending collateral payable in the Consolidated Statement of Assets and Liabilities. All of the security lending agreements are continuous.

The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.

The following table presents the SLA by borrower/counterparty, which are subject to offset under the SLA, as well as the collateral delivered related to those SLA by class of collateral and summarized by the remaining contractual maturity of the transactions. The Fund may not use collateral governed by an SLA to offset reverse repurchase agreements and related collateral governed by an MRA (see above) or derivatives contracts and related collateral governed by an ISDA (see Note 4).

The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.

The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.

In November 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2016-18, Statement of Cash Flows (Topic 230)—Restricted Cash. The new guidance is intended to change the presentation of restricted cash on the statement of cash flows. The new standard affects all entities that have restricted cash or restricted cash equivalents and are required to present a statement of cash flows under Topic 230. The new guidance is effective for fiscal years beginning after December 15, 2018, including interim periods within those years. Early adoption is permitted. The adoption of ASU No. 2016-18 is not expected to have a material impact in the consolidated financial statements.

In October 2016, the SEC issued a new rule, Investment Company Reporting Modernization, which, among other provisions, amends Regulation S-X to require standardized, enhanced disclosures, particularly relating

to derivatives, in investment company financial statements. In addition, the rule introduces two new regulatory reporting forms for investment companies, which will be used after June 1, 2018: Form N-PORT and Form N-CEN. Compliance with the amendments to Regulation S-X became effective for financial statements with period-ends filed with the SEC on or after August 1, 2017. The Fund is still evaluating the potential impacts of adopting Form N-PORT and Form N-CEN.

In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of period end are disclosed in the Consolidated Schedule of Investments.

The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.

The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from

changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.

Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.

Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.

The Fund may purchase or write interest rate swaption agreements which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.

Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.

The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.

The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty. Counterparty risk related to centrally cleared swaps is mitigated due to the protection against defaults provided by the exchange on which these contracts trade.

Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.

Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities.

Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.

Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index or market without owning such security or investing directly in that security, index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.

Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issues and/or baskets of securities.

In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.

Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed at the end of the Fund’s Consolidated Schedule of Investments.

The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the six-months ended September 30, 2017:

The Fund enters into ISDA Master Agreements which contain MNA’s that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or securities lending agreements and related collateral governed by an SLA (see Note 3).

The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2017:

The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2017:

Investments that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statement of Assets and Liabilities.

Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.

The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.

⁽¹⁾ The Equity strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies.

^(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.

^(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments which were made at differing points in time.

During the six-months ended September 30, 2017, there were no transfers between Level 1 and Level 2. As of September 30, 2017, no Fair Value Factor was applied as price movements did not meet the Fair Value Trigger. For more detail on the fair value of foreign equity securities, please refer to the discussion of fair value measurements for exchange-traded securities in Note 3.

The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into Level 3 were primarily related to a decrease in observable activity and inputs and transfers out of Level 3 were primarily related to an update to the valuation methodology that is based on observable inputs.

The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:

The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of September 30, 2017.

The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. As of September 30, 2017, only Class D Shares, Class I Shares and Class Y Shares are outstanding.

The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries that have entered into an agreement with the Distributor for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) may charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an arrangement approved by the Distributor to provide certain administrative services to investors. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares of the Fund may also be offered to employees, officers and directors/trustees of the Adviser, the Fund or their respective affiliates and to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) do not charge a fee to the Fund and (b) have entered into an arrangement approved by the Distributor. The minimum investment in Class D Shares of the Fund by an investor is $25,000, and the minimum subsequent investment in Class D Shares of the Fund by an investor is $5,000. The minimum investment in Class I Shares of the Fund by an investor is $1,000,000, and the minimum subsequent investment in Class I Shares of the Fund by an investor is $200,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.

Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund’s Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized) and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the period ended September 30, 2017, the Fund paid the Investment Adviser $43,426,058 in management fees. From this amount, the Investment Adviser paid $22,044,254 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.95% (annualized) of the Fund’s average daily net assets.

Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.

Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable

to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.

The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”). Specified Expenses include all expenses incurred by the Fund with the exception of (i) the distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Excluded Expenses”).

To the extent the estimated annualized specified expenses for any month exceeds the total expense cap, the Investment Adviser will waive its fees and/or make payments to the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the agreements at any time in its sole discretion after August 31, 2019 upon written notice to the Fund. The Fund has agreed to repay the amounts borne by the Investment Adviser under their respective agreements within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized specified expenses in the month of repayment to exceed the total expense cap. During the six-months ended September 30, 2017, there were no repayments or potential repayments to the Investment Adviser.

Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At six-month end the fund had $257,191 payable to FINCO recorded in accrued expenses and other liabilities in the Consolidated Statement of Assets and Liabilities.

State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.

Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.

Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that it believes has the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The Fund’s Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNA’s with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralized such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.

At September 30, 2017, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.

Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.

Liquidity Risk: Some securities held by the Fund, including, but not limited to, restricted, distressed, nonexchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to

divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.

Money Market Funds Risk: The investments in money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. In addition, money market funds are exposed to market risk, credit risk and liquidity risk.

Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.

The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury Obligations, U.S. Government Sponsored Agency Securities and other short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the six-months ended September 30, 2017 were as follows:

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund has adopted a tax year-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2016. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.

The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

As of September 30, 2017, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:

The Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $60,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month USD LIBOR Rate per annum (2.48% at September 30, 2017). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than January 29, 2018, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the six-months ended September 30, 2017, the Fund made no borrowings under the Facility.

The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance, and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.

As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six-months ended September 30, 2017. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. Five of the six Trustees were elected by the initial shareholder of the Trust.

During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries.

Each of the Independent Trustees are paid by the Trust $72,000 per fiscal year in aggregate for their services to the Trust, and the Chairpersons of the Board and the Audit Committee are each paid by the Trust an additional $3,000 per fiscal year. Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) due to his employment by Envestnet, Inc., which conducts business with certain intermediaries of the Fund and may conduct business with the Investment Adviser and its affiliates in the future) is paid $57,000 per fiscal year. The Trust also pays for the Trustees’ travel expenses related to Board meetings, continuing education and conferences. The Trustees do not receive any pension or retirement benefits from the Fund.

The Fund files a complete schedule of the Fund’s portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.

A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30, 2017 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.

At meetings of the Board held in person on May 16-17, 2017 and August 15-16, 2017, the Board, including all of the Independent Trustees, considered and unanimously approved investment sub-advisory agreements for the Fund (“New Sub-Advisory Agreements” and “Continued Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following Sub-Advisers:

The Independent Trustees were assisted in their review of the Sub-Advisory Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. The Board noted that BAIA and the Fund would rely on an exemptive order from the SEC that permitted the Fund to add or replace discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and certain other conditions are met.

Before the meetings, the Board received materials prepared by independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements. The Board had requested and received materials prepared by BAIA relating to each Sub-Adviser, including (1) summary information regarding: the investment thesis; strengths; performance and positioning; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of business infrastructure, valuation, liquidity, trade execution, and allocation, and compliance; and a summary of the key terms of the Sub-Advisory Agreements; (2) a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation, internal controls, counterparties, service providers, and regulatory and compliance infrastructure. The Board also received for each of Caspian Capital LP (“Caspian”), Good Hill Partners LP (“Good Hill”), and Two Sigma Advisers, LP (“Two Sigma”) a Sub-Adviser Tear Sheet which covered in greater detail each Sub-Adviser’s performance, returns, and investment exposure. The information the Board received for H2O AM LLP (“H2O”) also included a Manager Investment Review, which covered, in greater detail, the Sub-Adviser’s investment thesis, organizational history and ownership, personnel, peer group analysis, risk review, and business financial evaluation. Before the meetings, the Board received each Sub-Adviser’s responses to Information Requests under Section 15(c) of the 1940 Act that addressed, among other things: (i) general financial information; (ii) material business dealings with Blackstone and the Fund’s service providers; (iii) the Sub-Adviser’s business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability; and (v) risk management and regulatory compliance matters.

The Sub-Advisory Agreement with Magnetar Asset Management LLC (“Magnetar”) was initially approved by the Board at the May 2016 meeting, was reconsidered at the May 2017 meeting, and was executed in June 2017. With respect to that Sub-Advisory Agreement, the Board received, among other things, information about the changes since the May 2016 meeting, as well as copies of the information reviewed in connection with that approval.

At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with their independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders. In the case of the Amended and Restated Sub-Advisory Agreements, the Board also took into account its most recent consideration and approval of the agreements with those Sub-Advisers, and the fact that the proposed changes to the agreements were not expected to result in any change in the nature, extent or quality of the services provided to the Fund.

Following this discussion, the Board, including all of the Independent Trustees, determined to approve all of the Sub-Advisory Agreements on the basis of the following considerations, among others:

The Board discussed and considered with respect to each Sub-Adviser (1) personnel, operations, and financial condition; (2) investment expertise and strengths; (3) percentage of assets that are or potentially would be allocated to the Sub-Adviser; (4) investment return on the assets that are managed by the Sub-Adviser and related investment risks; (5) the Sub-Adviser’s experience and performance as a hedge fund manager, where applicable, and the extent to which the Sub-Adviser’s strategy for the Fund overlapped or would overlap with its hedge fund strategy; (6) where applicable, the Sub-Adviser’s experience and performance as a sub-adviser to the Fund; and (7) the experience and depth of the Sub-Adviser’s portfolio management team managing hedge fund and other products and its ability to manage risk. The Board

concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve the Sub-Advisory Agreements.

In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed the following factors: each Sub-Adviser’s sub-advisory fee (proposed sub-advisory fee in the case of Gracian Capital LLC, H2O AM LLP, and Magnetar) for managing the allocated Fund assets, including any breakpoints, each Sub-Adviser’s resources devoted or that would be devoted to the Fund; and each Sub-Advisers response, if any, to inquiries regarding profitability to the Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or would devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable. The Board noted that the compensation paid to the Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of the Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser, other than Gracian, charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining or hiring the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fees that BAIA pays the sub-advisers based on allocations of Fund assets among the sub-advisers.

The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.

The Board discussed various financial and economic considerations relating to the proposed arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in place for certain Sub-Advisers, including certain breakpoints in the sub-advisory fees payable to certain Sub-Advisers which are based on the amount of allocated assets of the Fund (together with other Blackstone allocations). The Board further noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that, although not directly related to the sub-advisory fees payable to each Sub-Adviser, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels.

The Board considered the investment performance of the Sub-Advisers. Where applicable, the Board considered information about the year-to-date, 2016, and inception-to-date investment return of the Fund’s assets that are managed by each Sub-Adviser (net of trading expenses but gross of investment management fees and fund operating expenses), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy. In addition, for Sub-Advisers currently engaged by BAIA, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and, for certain Sub-Advisers, such Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a measure of volatility), Sharpe ratio, beta statistics, and alpha statistics.

On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the Sub-Advisers currently engaged by BAIA was generally satisfactory and that each of the Sub-Advisers was capable of reasonable investment performance to the Fund.

The Board discussed other potential benefits that each Sub-Adviser may receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to Fund shareholders. The Board noted that each Sub-Adviser benefited from its relationship with BAIA/BAAM. The Board concluded that any other ancillary or “fall out” benefits derived by each Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.

The Board reviewed and considered certain terms and conditions of the Sub-Advisory Agreements. After discussion, the Board concluded that the terms of the Sub-Advisory Agreements were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Advisory Agreement in the future.

The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that the relevant Sub-Adviser would provide to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had determined that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of the federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval of the Sub-Advisory Agreements on a comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was also assisted by the advice of independent legal counsel in making these determinations.

The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.

Trustees

John M. Brown, Chairman

Frank J. Coates

Paul J. Lawler

Kristen M. Leopold

Peter Koffler

Peter M. Gilbert

Investment Adviser

Blackstone Alternative Investment Advisors LLC

345 Park Avenue

New York, New York 10154

Administrator and Custodian

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Officers

Brian F. Gavin, President and Principal Executive Officer

Arthur Liao, Treasurer and Principal Financial and Accounting Officer

James Hannigan, Chief Legal Officer, Chief Compliance Officer and Anti-Money Laundering Officer

Stephen Buehler, Secretary

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, New York 10112

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.blackstone.com/bamsf. You can also get this information at no cost by calling the Fund at 1-855-890-7725.

There have been no material changes to procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees.

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

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


Portfolio Information				1
Consolidated Schedule of Investments				4
Consolidated Statement of Assets and Liabilities				257
Consolidated Statement of Operations				259
Consolidated Statement of Changes in Net Assets				260
Consolidated Statement of Cash Flows				262
Consolidated Financial Highlights				263
Notes to Consolidated Financial Statements				266
Shareholder Fee Example				294
Supplemental Information				295


Industry	Percentage of Total Net Assets
Biotechnology & Pharmaceuticals		3.8	%
Financial Services		3.8
Medical Equipment & Devices		2.7
Retail—Discretionary		2.4
Health Care Facilities & Services		2.1
Semiconductors		2.1
Software		1.9
Media		1.4
Pharmaceuticals		1.2
Retail—Consumer Staples		1.2
Chemicals		1.1
Hardware		1.1
Gaming, Lodging & Restaurants		1.0
Consumer Products		0.9
Banking		0.8
Integrated Oils		0.8
Real Estate		0.6
Specialty Finance		0.6
Aerospace & Defense		0.5
Diversified Banks		0.5
Oil, Gas & Coal		0.5
Publishing & Broadcasting		0.5
Transportation & Logistics		0.5
Software & Services		0.4
Technology Services		0.4
Apparel & Textile Products		0.3
Containers & Packaging		0.3
Electrical Equipment		0.3
Machinery		0.3
Metals & Mining		0.3
Automotive		0.2
Consumer Services		0.2
Home & Office Products		0.2
Insurance		0.2
Iron & Steel		0.2
Oil & Gas Services & Equipment		0.2
Retail—Consumer Discretionary		0.2
Asset Management		0.1
Commercial Services		0.1
Consumer Finance		0.1
Design, Manufacturing & Distribution		0.1
Distributors—Consumer Staples		0.1
Engineering & Construction Services		0.1
Industrial Other		0.1
Industrial Services		0.1


Security Description	Shares		Value

INVESTMENTS IN SECURITIES — 99.9%
COMMON STOCK — 28.5%
Africa — 0.0%
Metals & Mining — 0.0%
Gold Fields Ltd. ADR		208,300	$	897,773
Harmony Gold Mining Co. Ltd. ADR		19,900		36,417

				934,190

Specialty Finance — 0.0%
Net 1 UEPS Technologies, Inc. (a),(b)		6,700		65,258

Total Africa				999,448

Asia — 1.5%
Banking — 0.1%
Industrial & Commercial Bank of China Ltd. H Shares		6,946,000		5,157,304

Biotechnology & Pharmaceuticals — 0.0%
Sinovac Biotech Ltd. (a)		700		4,928

Chemicals — 0.0%
Origin Agritech Ltd. (a)		100		164

Consumer Products — 0.1%
Japan Tobacco, Inc.		96,800		3,172,614

Consumer Services — 0.2%
New Oriental Education & Technology Group, Inc. ADR		55,000		4,854,300
TAL Education Group ADR		143,200		4,827,272
Tarena International, Inc. ADR		3,400		49,470

				9,731,042

Design, Manufacturing & Distribution — 0.0%
Fabrinet (a),(b)		3,700		137,122

Electrical Equipment — 0.1%
Keyence Corp.		3,900		2,070,873
SMC Corp.		8,400		2,962,862

				5,033,735

Gaming, Lodging & Restaurants — 0.1%
China Lodging Group Ltd. ADR (a)		10,000		1,188,200
Melco Crown Entertainment Ltd. ADR		171,800		4,143,816

				5,332,016


Security Description	Shares		Value
Hardware — 0.2%
Alps Electric Co. Ltd. (c)		55,000	$	1,451,189
AU Optronics Corp. ADR		29,300		118,372
LG Display Co. Ltd. ADR		4,300		57,706
Samsung Electronics Co. Ltd.		2,445		5,473,419
Sony Corp.		132,500		4,929,082
Sony Corp. ADR		29,100		1,086,594

				13,116,362

Health Care Facilities & Services — 0.0%
China Cord Blood Corp. (a)		3,500		38,920

Insurance — 0.0%
Fanhua, Inc. (b)		2,000		25,140

Machinery — 0.0%
China Yuchai International Ltd. (b)		4,045		90,042
Hollysys Automation Technologies Ltd. (b)		8,900		192,329

				282,371

Media — 0.3%
Autohome, Inc. ADR (a)		9,600		576,768
Baidu, Inc. ADR (a)		17,900		4,433,651
Leju Holdings Ltd. ADR (a)		800		1,352
Phoenix New Media Ltd. ADR (a)		800		4,712
SINA Corp. (a)		35,700		4,093,005
Sohu.com, Inc. (a),(b)		11,200		609,840
Weibo Corp. ADR (a)		54,810		5,422,901
Xunlei Ltd. ADR (a)		4,300		18,275
Yandex NV A Shares (a)		31,400		1,034,630

				16,195,134

Oil, Gas & Coal — 0.1%
China Petroleum & Chemical Corp. ADR		1,800		136,368
JXTG Holdings, Inc.		474,300		2,440,100

				2,576,468

Passenger Transportation — 0.0%
China Southern Airlines Co. Ltd. ADR (b)		600		20,622
Guangshen Railway Co. Ltd. ADR (b)		100		2,916

				23,538

Real Estate — 0.0%
Xinyuan Real Estate Co. Ltd. ADR (b)		7,700		43,736


Security Description	Shares		Value
Renewable Energy — 0.0%
Highpower International, Inc. (a)		200	$	910
JA Solar Holdings Co. Ltd. ADR (a)		23,700		180,594

				181,504

Retail—Discretionary — 0.2%
Alibaba Group Holding Ltd. ADR (a),(b),(c)		11,536		1,992,383
JD.com, Inc. ADR (a)		162,700		6,215,140

				8,207,523

Semiconductors — 0.0%
Advanced Semiconductor Engineering, Inc. ADR		4,300		26,574
ChipMOS Technologies, Inc. ADR		700		13,524
Kulicke & Soffa Industries, Inc. (a),(b)		23,300		502,581
Magnachip Semiconductor Corp. (a)		15,400		174,790
Siliconware Precision Industries Co. Ltd. ADR		20		158
Taiwan Semiconductor Manufacturing Co. Ltd. ADR		300		11,265
United Microelectronics Corp. ADR		36,100		90,250

				819,142

Software — 0.1%
Changyou.com Ltd. ADR (a),(b)		8,600		340,646
DeNA Co. Ltd. (c)		139,000		3,115,379
Momo, Inc. ADR (a)		58,800		1,842,792

				5,298,817

Technology Services — 0.0%
Infosys Ltd. ADR		44,000		641,960
WNS Holdings Ltd. ADR (a)		11,200		408,800

				1,050,760

Telecommunications — 0.0%
Aspire Holdings LLC Class A (d)		1,502,082		2
China Telecom Corp. Ltd. ADR		900		46,008
KT Corp. ADR		700		9,709
NTT DOCOMO, Inc. ADR		100		2,276
SK Telecom Co. Ltd. ADR		3,500		86,065

				144,060

Total Asia				76,572,400

Europe — 1.2%
Automotive — 0.1%
Ferrari NV		22,100		2,441,608
Fiat Chrysler Automobiles NV		33,700		603,567

				3,045,175


Industry	Percentage of Total Net Assets
Medical Equipment & Devices Manufacturing		0.1
Passenger Transportation		0.1
Pipeline		0.1
Property & Casualty Insurance		0.1
Recreation Facilities & Services		0.1
Transportation Equipment		0.1
Utilities		0.1
Waste & Environmental Services & Equipment		0.1
Wireless Telecommunications Services		0.1
Advertising & Marketing		0.0	¹
Coal Operations		0.0	¹
Commercial Finance		0.0	¹
Construction Materials		0.0	¹
Distributors—Discretionary		0.0	¹
Entertainment Resources		0.0	¹
Exploration & Production		0.0	¹
Forest & Paper Products		0.0	¹
Homebuilders		0.0	¹
Institutional Financial Services		0.0	¹
Leisure Products		0.0	¹
Manufactured Goods		0.0	¹
Refining & Marketing		0.0	¹
Renewable Energy		0.0	¹
Supermarkets & Pharmacies		0.0	¹
Telecommunications		0.0	¹
Travel & Lodging		0.0	¹
Other²		62.5
Securities Sold Short		(28.1	)
Other Assets and Liabilities³		28.2

Total Investments		100.0	%


Security Description	Principal Amount		Value

ASSET-BACKED SECURITIES — 4.7%
North America — 4.7%
Adams Mill CLO Ltd., Series 2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 4.66%, 07/15/26 (d),(e),(f)	$	4,500,000	$	4,534,780
Allegro CLO Ltd., Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 4.76%, 01/30/26 (d),(e),(f)		5,000,000		5,018,255
Allegro Ltd., 3 mo. USD LIBOR + 3.85%, 5.16%, 01/21/27 (d),(e),(f)		1,900,000		1,895,917
ALM Loan Funding, Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.04%, 5.34%, 10/15/28 (d),(e),(f)		1,000,000		1,012,817
ALM XIV Ltd., Series 2014-14A, Class D, 3 mo. USD LIBOR + 4.85%, 6.16%, 07/28/26 (d),(e),(f)		1,000,000		984,955
Apidos CLO, Series 2014-18A, Class D, 3 mo. USD LIBOR + 5.20%, 6.51%, 07/22/26 (d),(e),(f)		2,000,000		2,001,996
ARES CLO Ltd.,
Series 2013-1A, Class D, 3 mo. USD LIBOR + 3.75%, 5.05%, 04/15/25 (d),(e),(f)		2,350,000		2,361,012
Series 2013-1A, Class E, 3 mo. USD LIBOR + 5.00%, 6.30%, 04/15/25 (d),(e),(f)		1,925,000		1,918,001
Avery Point CLO Ltd., Series 2014-5A, Class DR, 4.40%, 07/17/26 (d),(e),(f)		1,000,000		1,004,326
Babson CLO Ltd.,
Series 2013-IA, Class D, 3 mo. USD LIBOR + 3.50%, 4.81%, 04/20/25 (d),(e),(f)		3,200,000		3,230,182
Series 2015-2A, Class E, 3 mo. USD LIBOR + 5.55%, 6.86%, 07/20/27 (d),(e),(f)		1,500,000		1,492,500
Bear Stearns Asset-Backed Securities Trust,
Series 2007-1, Class A2, 1 mo. USD LIBOR + .28%, 1.52%, 01/25/37 (d),(f)		1,690,372		1,635,788
Series 2007-2, Class A2, 1 mo. USD LIBOR + .32%, 1.56%, 01/25/47 (d),(f)		2,762,582		2,707,745
Benefit Street Partners CLO Ltd., Series 2012-IA, Class DR, 3 mo. USD LIBOR + 6.50%, 7.80%, 10/15/25 (d),(e),(f)		2,000,000		1,991,082
Carlyle Global Market Strategies CLO Ltd.,
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.50%, 4.82%, 05/15/25 (d),(e),(f)		1,900,000		1,901,292
Series 2014-4A, Class E, 3 mo. USD LIBOR + 5.20%, 6.50%, 10/15/26 (d),(e),(f)		1,500,000		1,513,755


	Strike			Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)

PURCHASED OPTIONS — 0.2%
Exchange-Traded Call Options — 0.2%
Accor SA		41.00	EUR		10/20/17		285		1,422,150	$	20,236	$	48,505	$	28,269
Adobe Systems, Inc.		146.00	USD		10/20/17		211		3,147,698		60,415		93,473		33,058
Airbus SE		80.00	EUR		12/15/17		285		2,291,685		87,014		118,063		31,049
Airbus SE		76.00	EUR		10/20/17		285		2,291,685		48,012		152,252		104,240
Barclays PLC		2.00	GBP		11/17/17		1,426		275,717,100		75,538		66,879		(8,659	)
BASF SE		86.00	EUR		10/20/17		143		1,283,282		14,086		71,830		57,744
Bayer AG		110.00	EUR		10/20/17		71		976,250		16,306		46,992		30,686
Bayer AG		115.00	EUR		11/17/17		71		976,250		10,382		46,992		36,610
Carrefour SA		17.50	EUR		11/17/17		998		2,013,525		55,266		57,797		2,531
Carrefour SA		18.00	EUR		11/17/17		713		1,218,874		33,936		29,073		(4,863	)
Cie de Saint-Gobain		48.00	EUR		11/17/17		285		1,436,970		45,735		103,410		57,675
Cie de Saint-Gobain		50.00	EUR		11/17/17		285		1,436,970		47,753		59,621		11,868
Cie de Saint-Gobain		48.00	EUR		10/20/17		285		1,436,970		25,729		79,832		54,103
Cie de Saint-Gobain		50.00	EUR		10/20/17		285		1,436,970		25,043		35,705		10,662
Cisco Systems, Inc.		40.00	USD		01/17/20		853		2,868,639		107,475		120,273		12,798
Danone SA		68.00	EUR		11/17/17		285		1,891,545		43,728		36,884		(6,844	)
Dentsply Sirona, Inc.		65.00	USD		10/20/17		505		3,020,405		77,318		3,788		(73,530	)
Deutsche Telekom AG		16.00	EUR		11/17/17		2,012		3,166,888		81,588		68,962		(12,626	)
E.On SE		9.50	EUR		11/17/17		2,139		2,042,745		68,837		83,427		14,590
Enel SpA		5.20	EUR		10/19/17		570		2,904,150		59,639		21,558		(38,081	)
Engie		14.50	EUR		10/20/17		1,588		2,281,956		42,293		18,769		(23,524	)
Euro Stoxx 50 Index		3,600.00	EUR		12/15/17		356		12,797,666		180,796		271,388		90,592
Euro Stoxx 50 Index		3,750.00	EUR		12/15/17		102		3,666,747		19,293		15,310		(3,983	)
Euro Stoxx 50 Index		3,525.00	EUR		11/17/17		464		16,680,104		197,659		506,175		308,516
Euro Stoxx 50 Index		3,600.00	EUR		11/17/17		1,076		38,680,586		385,022		563,374		178,352
Euro Stoxx 50 Index		3,450.00	EUR		10/20/17		1,343		48,278,836		587,372		2,049,194		1,461,822
Euro Stoxx 50 Index		3,500.00	EUR		10/20/17		393		14,127,761		116,114		441,263		325,149
Euro Stoxx 50 Index		3,525.00	EUR		10/20/17		152		5,464,172		73,474		125,754		52,280
Euro Stoxx 50 Index		3,675.00	EUR		10/20/17		50		1,797,425		5,703		1,950		(3,753	)
Euro Stoxx Banks Index		135.00	EUR		12/15/17		1,345		9,306,055		498,529		508,690		10,161
Euro Stoxx Banks Index		140.00	EUR		12/15/17		1,057		7,313,383		320,977		206,129		(114,848	)
Euro Stoxx Banks Index		135.00	EUR		11/17/17		1,003		6,939,757		136,697		312,661		175,964
Fresenius SE & Co. KGaA		72.00	EUR		10/20/17		143		975,975		20,587		2,704		(17,883	)
Fresenius SE & Co. KGaA		72.00	EUR		12/15/17		143		975,718		18,374		15,127		(3,247	)
Fresenius SE & Co. KGaA		72.00	EUR		11/17/17		286		1,951,435		41,851		18,591		(23,260	)
iShares Nasdaq Biotechnology ETF		340.00	USD		10/20/17		125		4,169,875		60,230		31,875		(28,355	)
Lloyds Banking Group PLC		0.68	GBP		11/17/17		4,211		289,774,406		73,685		143,326		69,641
Orange SA		14.00	EUR		10/20/17		1,426		1,976,436		43,573		26,966		(16,607	)


	Counterparty	Strike			Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)

FX OTC Call Options — 0.0%
USD/MXN Currency	Deutsche Bank AG		18.50	USD		10/27/17		—		2,200,000	$	24,244	$	14,352	$	(9,892	)


FX OTC Put Options — 0.0%
USD/CAD Currency	Morgan Stanley & Co. International plc		1.10	USD		04/26/18		—		200,000	$	7,000	$	4,112	$	(2,888	)


OTC Call Options — 0.0%
Microsoft Corp.	Morgan Stanley & Co. International plc		80.00	USD		01/18/19		217,400		16,194,126	$	902,210	$	947,033	$	44,823
Wells Fargo & Co.	UBS AG		55.00	USD		10/20/17		132,700		7,318,405		302,556		145,038		(157,518	)

											$	1,204,766	$	1,092,071	$	(112,695	)


OTC Put Options — 0.0%
Qorvo, Inc.	Bank of America, N.A.		100.00	USD		01/18/19		21,200		1,498,416	$	608,864	$	687,935	$	79,071
Vaneck Vectors Semiconductor ETF	Bank of America, N.A.		67.50	USD		01/19/18		175,000		16,331,000		731,500		49,343		(682,157	)

											$	1,340,364	$	737,278	$	(603,086	)

Total Purchased Options Outstanding											$	11,744,129	$	10,995,959	$	(748,170	)


Counterparty	Interest Rate	Trade Date	Maturity Date			Face Value			Face Value Including Accrued Interest
BNP Paribas Securities Corp.	2.72%	09/18/17			10/18/17		$	4,799,000		$	4,803,357
Credit Suisse Securities (USA) LLC	2.83%	09/18/17			10/17/17			1,941,000			1,942,834
Credit Suisse Securities (USA) LLC	2.83%	09/18/17			10/17/17			898,000			898,848
Credit Suisse Securities (USA) LLC	2.83%	09/18/17			10/17/17			1,286,000			1,287,215
Credit Suisse Securities (USA) LLC	2.89%	09/01/17			10/02/17			2,744,000			2,750,382
Credit Suisse Securities (USA) LLC	2.91%	08/17/17			11/14/17			4,527,000			4,543,124
JPMorgan Chase Bank N.A.	2.73%	09/07/17			10/06/17			580,000			581,013
JPMorgan Chase Bank N.A.	2.73%	09/27/17			10/25/17			1,526,000			1,526,348
JPMorgan Chase Bank N.A.	2.74%	09/21/17			10/20/17			4,197,000			4,199,870
JPMorgan Chase Bank N.A.	2.74%	09/21/17			10/20/17			3,825,000			3,827,616
JPMorgan Chase Bank N.A.	2.74%	09/21/17			10/20/17			4,208,000			4,210,878
JPMorgan Chase Bank N.A.	2.74%	09/26/17			10/25/17			6,378,000			6,379,939
JPMorgan Chase Bank N.A.	2.93%	09/07/17			10/06/17			6,855,000			6,867,842
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.68%	09/08/17			10/10/17			1,569,000			1,571,572
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.68%	09/18/17			10/17/17			1,528,000			1,529,367
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.68%	09/18/17			10/17/17			16,034,000			16,048,347
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.69%	09/20/17			10/20/17			6,269,000			6,273,678
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.69%	09/20/17			10/20/17			6,996,000			7,001,220
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.69%	09/14/17			10/16/17			1,970,000			1,972,352
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.69%	09/01/17			10/02/17			12,155,000			12,181,312
Merrill Lynch, Pierce, Fenner & Smith, Inc.	2.98%	09/05/17			10/03/17			682,000			683,411
Royal Bank of Canada	2.46%	08/08/17			11/08/17			994,000			997,603
Royal Bank of Canada	2.47%	09/06/17			10/06/17			733,000			734,205
Royal Bank of Canada	2.47%	09/06/17			10/06/17			1,751,000			1,753,879
Royal Bank of Canada	2.47%	09/08/17			10/10/17			4,237,000			4,243,388
Royal Bank of Canada	2.51%	08/03/17			11/03/17			3,413,000			3,426,805
Royal Bank of Canada	2.51%	07/31/17			10/31/17			4,617,000			4,636,645
Royal Bank of Canada	2.60%	04/20/17			10/20/17			5,911,000			5,980,523
Royal Bank of Canada	2.62%	09/19/17			10/19/17			9,324,000			9,331,468
Royal Bank of Canada	2.62%	09/22/17			10/25/17			3,699,000			3,701,156
Royal Bank of Canada	2.62%	09/22/17			10/25/17			13,199,000			13,206,694
Royal Bank of Canada	2.64%	05/15/17			11/15/17			2,766,000			2,793,985
Royal Bank of Canada	2.64%	05/15/17			11/15/17			2,029,000			2,049,528
Royal Bank of Canada	2.67%	09/06/17			10/06/17			779,000			780,385
Royal Bank of Canada	2.67%	09/06/17			10/06/17			1,089,000			1,090,936
Royal Bank of Canada	2.68%	09/28/17			10/27/17			3,444,000			3,444,513
Royal Bank of Canada	2.71%	08/03/17			11/03/17			1,270,000			1,275,546
Royal Bank of Canada	2.71%	07/31/17			10/31/17			1,985,000			1,994,119
Royal Bank of Canada	2.71%	07/31/17			10/31/17			4,683,000			4,704,513
Royal Bank of Canada	2.74%	05/15/17			11/15/17			1,626,000			1,643,074
Royal Bank of Canada	2.77%	08/31/17			11/30/17			2,557,000			2,562,896
Royal Bank of Canada	2.80%	07/05/17			10/05/17			7,570,000			7,621,237
Royal Bank of Canada	2.82%	09/06/17			12/06/17			2,886,000			2,891,418

Total Reverse Repurchase Agreements Outstanding				$	171,529,000		$	171,945,041


Description	Contracts		Exchange		Notional Amount			Expiration Date		Value/ Unrealized Appreciation (Depreciation)

Long Futures
3 Month Euribor		135		ICE		33,840,458	EUR		09/17/18	$	(5,195	)
90 Day Eurodollar		7		CME		1,700,256	USD		03/14/22		8,007
90 Day Eurodollar		5		CME		1,219,063	USD		06/13/22		624
90 Day Eurodollar		2		CME		487,874	USD		09/19/22		(199	)
90-Day Bank Bill		89		SFE		88,588,468	AUD		06/07/18		(12,962	)
Aluminum		184		LME		9,499,945	USD		12/18/17		157,755
Aluminum		173		LME		8,489,539	USD		10/16/17		510,786
Aluminum		209		LME		10,777,077	USD		11/13/17		137,948
Amsterdam Index		94		Euronext		9,911,152	EUR		10/20/17		215,777
Australian 10-Year Bond		1,219		SFE		157,254,503	AUD		12/15/17		(1,875,079	)
Australian Dollar Currency		4,052		CME		323,205,336	USD		12/18/17		(5,690,616	)
BIST 30 Index		672		ISE		9,263,114	TRY		10/31/17		(197,924	)
Brent Crude		54		ICE		2,833,297	USD		10/31/18		159,923
Brent Crude		220		ICE		11,574,316	USD		10/31/17		919,484
Brent Crude		30		ICE		1,578,785	USD		10/31/19		67,915
Brent Crude		498		ICE		27,120,247	USD		11/30/17		1,061,573
British Pound Currency		328		CME		27,477,107	USD		12/18/17		72,843
CAC40 Index		656		Euronext		34,109,262	EUR		10/20/17		984,024
Canadian 10-Year Bond		504		CDE		69,477,697	CAD		12/18/17		(1,031,054	)
Canadian Dollar Currency		953		CME		77,857,170	USD		12/19/17		(1,374,155	)
Canola		54		ICE		546,014	CAD		11/14/17		(11,398	)
Cattle Feeder		121		CME		8,874,660	USD		01/25/18		292,602
Cattle Feeder		36		CME		2,829,408	USD		11/16/17		(57,408	)
Copper		73		LME		11,014,885	USD		10/16/17		751,346
Copper		121		LME		19,876,409	USD		11/13/17		(325,078	)
Copper		217		COMEX		16,716,879	USD		12/27/17		(686,004	)
Copper		140		LME		23,052,401	USD		12/18/17		(375,026	)
Corn		451		CBOT		8,254,565	USD		03/14/18		38,197
Crude Palm Oil		121		MYX		8,381,217	MYR		12/15/17		(54,196	)
DAX Index		221		Eurex		69,220,453	EUR		12/15/17		1,759,255
E-mini Dow		64		CBOT		6,973,603	USD		12/15/17		177,117
E-mini Russell 2000		178		CME		12,553,680	USD		12/15/17		733,130
E-mini S&P MidCap 400		33		CME		5,790,368	USD		12/15/17		135,442
Euro BUXL		3		Eurex		501,420	EUR		12/07/17		(13,757	)
Euro FX Currency		178		CME		26,788,434	USD		12/18/17		(389,921	)
Euro Stoxx 50		3,407		Eurex		119,399,607	EUR		12/15/17		2,877,588
Euro-BOBL		107		Eurex		14,085,378	EUR		12/07/17		(58,052	)
Euro-BTP		245		Eurex		33,264,560	EUR		12/07/17		(235,624	)
Euro-Bund		18		Eurex		13,590	EUR		10/27/17		(8,829	)
Euro-Bund		852		Eurex		137,964,063	EUR		12/07/17		(926,070	)
Euro-Oat		136		Eurex		21,192,814	EUR		12/07/17		(110,831	)


Currency Purchased	Amount in Currency Purchased		Currency Sold		Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
AUD		1,098,000		USD		881,324	Merrill Lynch International		12/20/2017	$	(20,848	)
AUD		153,241		USD		122,144	Morgan Stanley & Co. LLC		12/21/2017		(2,051	)
BRL		20,664,930		USD		6,484,946	Bank of America, N.A.		10/03/2017		39,825
BRL		60,395,028		USD		19,025,042	Merrill Lynch International		10/03/2017		44,161
BRL		26,768,195		USD		8,342,120	Merrill Lynch International		11/03/2017		74,360
CAD		423,859		USD		349,925	Merrill Lynch International		12/20/2017		(10,050	)
CAD		397,000		USD		321,653	State Street Bank and Trust Company		12/11/2017		(3,342	)
CAD		161,874		USD		133,298	Morgan Stanley Capital Services LLC		12/20/2017		(3,498	)
CHF		8,155,445		USD		8,488,433	Morgan Stanley & Co. LLC		12/21/2017		(21,161	)
CLP		4,315,231,338		USD		6,948,934	Merrill Lynch International		12/20/2017		(217,604	)
CLP		1,400,000,000		USD		2,191,609	State Street Bank and Trust Company		11/28/2017		(6,563	)


Reference Obligation	Financing Fee			Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of Korea		(1.00	)%		3M	12/20/21	Credit Suisse Securities (USA) LLC		8,195,477 USD	$	(117,138	)	$	(237,533	)	$	120,395
Republic of South Africa		(1.00	)%		3M	12/20/21	Credit Suisse Securities (USA) LLC		11,030,000 USD		220,501			519,200			(298,699	)
Republic of South Africa		(1.00	)%		3M	06/20/22	Credit Suisse Securities (USA) LLC		6,191,000 USD		185,278			321,382			(136,104	)
Republic of Turkey		(1.00	)%		3M	12/20/21	Credit Suisse Securities (USA) LLC		1,713,000 USD		34,178			104,759			(70,581	)
Republic of Turkey		(1.00	)%		3M	09/20/20	Credit Suisse Securities (USA) LLC		4,178,000 USD		8,698			333,473			(324,775	)
Republic of Turkey		(1.00	)%		3M	12/20/20	Credit Suisse Securities (USA) LLC		7,217,000 USD		34,093			508,322			(474,229	)
Republic of Turkey		(1.00	)%		3M	06/20/21	Credit Suisse Securities (USA) LLC		4,143,000 USD		48,030			271,473			(223,443	)
Republic of Turkey		(1.00	)%		3M	06/20/22	Credit Suisse Securities (USA) LLC		1,521,000 USD		45,280			81,500			(36,220	)
United Mexian States		(1.00	)%		3M	12/20/21	Credit Suisse Securities (USA) LLC		7,595,000 USD		(48,828	)		215,046			(263,874	)

Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection)										$	410,092		$	2,117,622		$	(1,707,530	)


Notional Amount		Fund Pays	Notional Amount		Fund Receives	Pay/ Receive Payment Frequency	Maturity Date		Counterparty	Market Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
4,895,121	USD	3-Month USD LIBOR	29,378,072	TRY	10.32%	3M/1Y		12/20/22	Deutsche Bank AG	$	(43,833	)	$	—	$	(43,833	)
8,374,593	USD	3-Month USD LIBOR	17,181,875	TRY	10.33%	3M/1Y		12/20/22	Bank of America, N.A.		(23,872	)		—		(23,872	)

Total OTC Cross Currency Swaps										$	(67,705	)	$	—	$	(67,705	)


Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2017
The Fund Pays/ Receives Floating Rate	Floating Rate Index	Fixed Rate		Pay/ Receive Payment Frequency	Maturity Date		Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Pays	BRL-CDI		9.38%	1T/1T		01/04/21	Credit Suisse Securities (USA) LLC		31,028,461 BRL	$	234,961		$	—		$	234,961
Pays	BRL-CDI		9.94%	1T/1T		01/04/21	Credit Suisse Securities (USA) LLC		19,774,399 BRL		270,352			—			270,352
Pays	3-Month USD LIBOR		1.90%	3M/6M		09/25/24	Morgan Stanley & Co. LLC		5,029,000 USD		(81,620	)		—			(81,620	)
Pays	3-Month USD LIBOR		1.93%	3M/6M		09/25/24	Morgan Stanley & Co. LLC		12,651,000 USD		(181,277	)		—			(181,277	)
Pays	3-Month USD LIBOR		1.95%	3M/6M		06/26/24	Morgan Stanley & Co. LLC		6,282,000 USD		(72,942	)		(9,026	)		(63,916	)
Pays	3-Month USD LIBOR		1.96%	3M/6M		06/26/24	Morgan Stanley & Co. LLC		6,581,000 USD		(73,244	)		—			(73,244	)
Pays	3-Month USD LIBOR		1.97%	3M/6M		06/26/24	Morgan Stanley & Co. LLC		6,445,000 USD		(67,033	)		—			(67,033	)
Pays	3-Month USD LIBOR		1.98%	3M/6M		07/25/24	Morgan Stanley & Co. LLC		3,506,000 USD		(35,913	)		—			(35,913	)
Pays	3-Month USD LIBOR		1.98%	3M/6M		09/25/24	Morgan Stanley & Co. LLC		5,839,000 USD		(64,914	)		—			(64,914	)
Pays	3-Month USD LIBOR		1.99%	3M/6M		06/26/24	Morgan Stanley & Co. LLC		8,038,000 USD		(74,737	)		—			(74,737	)
Pays	3-Month USD LIBOR		1.99%	3M/6M		05/25/24	Morgan Stanley & Co. LLC		3,193,000 USD		(27,472	)		(1,176	)		(26,296	)
Pays	3-Month USD LIBOR		1.99%	3M/6M		09/25/24	Morgan Stanley & Co. LLC		4,571,000 USD		(46,922	)		—			(46,922	)
Pays	3-Month USD LIBOR		2.01%	3M/6M		04/25/24	Morgan Stanley & Co. LLC		3,441,000 USD		(24,248	)		—			(24,248	)
Pays	3-Month USD LIBOR		2.03%	3M/6M		05/25/24	Morgan Stanley & Co. LLC		11,661,000 USD		(71,998	)		—			(71,998	)
Pays	3-Month USD LIBOR		2.03%	3M/6M		06/26/24	Morgan Stanley & Co. LLC		4,027,000 USD		(25,319	)		—			(25,319	)
Pays	3-Month USD LIBOR		2.05%	3M/6M		04/25/24	Morgan Stanley & Co. LLC		21,022,000 USD		(101,297	)		—			(101,297	)
Pays	3-Month USD LIBOR		2.06%	3M/6M		08/25/24	Morgan Stanley & Co. LLC		5,354,000 USD		(28,348	)		(1,540	)		(26,808	)


Security Description	Shares		Value
Software — 0.0%
Attunity Ltd. (a)		500	$	3,380
Sapiens International Corp. NV (a),(b)		1,400		18,480

				21,860

Technology Services — 0.0%
Magic Software Enterprises Ltd. (b)		600		5,250

Telecommunications — 0.0%
Allot Communications Ltd. (a)		1,300		6,994

Total Middle East				1,560,723

North America — 25.4%
Aerospace & Defense — 0.5%
AAR Corp.		1,000		37,780
Aerojet Rocketdyne Holdings (a)		12,600		441,126
Aerovironment, Inc. (a)		2,100		113,652
Arconic, Inc.		11,405		283,756
Boeing Co.		76,900		19,548,749
Ducommun, Inc. (a),(b)		2,200		70,510
Esterline Technologies Corp. (a)		500		45,075
Harris Corp.		17,582		2,315,198
Lockheed Martin Corp.		9,900		3,071,871
Moog, Inc. Class A (a),(b)		3,300		275,319
Orbital ATK, Inc.		8		1,065
Spirit AeroSystems Holdings, Inc. Class A		900		69,948
Textron, Inc.		5,700		307,116

				26,581,165

Apparel & Textile Products — 0.3%
Crocs, Inc. (a)		32,800		318,160
Culp, Inc.		900		29,475
Fossil Group, Inc. (a)		7,200		67,176
Michael Kors Holdings Ltd. (a)		28,500		1,363,725
Movado Group, Inc.		200		5,600


Security Description	Shares		Value
Asset Management — 0.1%
Apollo Investment Corp.		30,697	$	187,559
Ares Capital Corp.		7,200		118,008
BlackRock Kelso Capital Corp. (b)		14,300		107,250
BlackRock, Inc.		400		178,836
Capital Southwest Corp.		200		3,426
Capitala Finance Corp.		5,900		56,286
Eaton Vance Corp.		1,500		74,055
Fidus Investment Corp. (b)		4,600		73,968
Fifth Street Finance Corp.		20,400		111,588
Fifth Street Senior Floating Rate Corp.		3,800		33,440
FS Investment Corp.		100		845
Garrison Capital, Inc. (b)		2,600		21,918
Gladstone Capital Corp. (b)		6,300		59,850
Gladstone Investment Corp. (b)		7,100		67,379
Hercules Technology Growth Capital, Inc.		14,700		189,630
Horizon Technology Finance Corp. (b)		2,400		26,664
KCAP Financial, Inc. (b)		5,800		21,170
Manning & Napier, Inc.		1,600		6,320
Medallion Financial Corp. (b)		4,400		9,548
Monroe Capital Corp.		5,400		77,274
MVC Capital, Inc. (b)		1,800		18,018
Newtek Business Services Corp.		4,413		78,639
OM Asset Management PLC		9,100		135,772
Oppenheimer Holdings, Inc. Class A (b)		1,100		19,085
PennantPark Floating Rate Capital Ltd. (b)		7,462		108,050
PennantPark Investment Corp. (b)		15,500		116,405
Safeguard Scientifics, Inc. (a)		700		9,345
Solar Capital Ltd. (b)		4,800		103,872
Solar Senior Capital Ltd.		2,500		43,075
Stellus Capital Investment Corp. (b)		4,600		62,790
TCP Capital Corp.		10,200		168,198
THL Credit, Inc. (b)		5,600		52,248
TICC Capital Corp. (b)		13,500		92,475
TPG Specialty Lending, Inc. (b)		8,600		180,256
TriplePoint Venture Growth BDC Corp.		3,500		46,900
WhiteHorse Finance, Inc. (b)		5,100		75,225


Security Description	Shares		Value
Miller Industries, Inc.		100	$	2,803
Modine Manufacturing Co. (a)		11,500		221,375
Superior Industries International, Inc.		200		3,330
Tenneco, Inc.		1,400		84,938
Tower International, Inc. (b)		4,000		108,800
Visteon Corp. (a),(b)		8,600		1,064,422

				7,567,835

Banking — 0.5%
Access National Corp.		400		11,464
Arrow Financial Corp. (b)		659		22,637
Astoria Financial Corp.		100		2,168
Atlantic Capital Bancshares, Inc. (a)		3,200		58,080
Bancorp, Inc. (a),(b)		4,000		33,080
Bank Mutual Corp. (b)		3,400		34,510
Bank of America Corp.		219,581		5,564,183
Bank of Marin Bancorp		400		27,400
Bank of NT Butterfield & Son Ltd.		10,800		395,712
Bank of the Ozarks, Inc.		100		4,827
BankFinancial Corp.		1,555		24,709
Beneficial Bancorp, Inc.		7,582		125,861
Bridge Bancorp, Inc.		200		6,790
Bryn Mawr Bank Corp.		200		8,760
Cathay General Bancorp		100		4,027
Centerstate Banks, Inc. (b)		129		3,457
Central Pacific Financial Corp. (b)		5,000		160,900
Charter Financial Corp. (b)		1,700		31,501
Citigroup, Inc.		1,300		94,562
Citizens Financial Group, Inc.		7,000		265,090
City Holding Co. (b)		100		7,191
Clifton Bancorp, Inc.		600		10,032
CoBiz Financial, Inc.		700		13,748
Comerica, Inc.		26,400		2,013,264
CU Bancorp (a)		300		11,633
East West Bancorp, Inc.		3,400		203,252
Enterprise Financial Services Corp.		500		21,175
Farmers Capital Bank Corp. (b)		100		4,205


Security Description	Shares		Value
First Interstate BancSystem, Inc. Class A (b)		3,100	$	118,575
Flushing Financial Corp.		2,200		65,384
Glacier Bancorp, Inc.		200		7,597
Green Bancorp, Inc. (a)		800		18,920
Guaranty Bancorp		900		25,020
Hanmi Financial Corp.		100		3,093
Heritage Commerce Corp.		3,600		51,228
Home BancShares, Inc.		6,516		164,332
HomeTrust Bancshares, Inc. (a)		200		5,130
Hope Bancorp, Inc.		62		1,098
Huntington Bancshares, Inc.		607,735		8,483,981
Independent Bank Corp. (b)		2,800		63,420
Independent Bank Group, Inc. (b)		300		18,090
Lakeland Bancorp, Inc.		1,000		20,400
Macatawa Bank Corp.		100		1,026
Mercantile Bank Corp.		1,100		38,390
Meridian Bancorp, Inc.		600		11,190
MidWestOne Financial Group, Inc.		300		10,271
National Bankshares, Inc. (b)		100		4,495
Northrim BanCorp, Inc.		486		16,986
OceanFirst Financial Corp.		2,292		63,007
Opus Bank		1,500		36,000
Oritani Financial Corp.		9,100		152,880
Pacific Premier Bancorp, Inc. (a)		100		3,775
Park Sterling Corp.		300		3,736
Peapack Gladstone Financial Corp.		800		26,992
Peoples Bancorp, Inc.		500		16,795
Popular, Inc.		90		3,235
Preferred Bank (b)		800		48,280
Prosperity Bancshares, Inc.		4,500		295,785
QCR Holdings, Inc.		300		13,650
Regions Financial Corp. (b)		151,800		2,311,914
Sandy Spring Bancorp, Inc.		400		16,576
Seacoast Banking Corp. of Florida (a)		4,100		97,949
ServisFirst Bancshares, Inc.		300		11,655
South State Corp.		100		8,945
Southside Bancshares, Inc.		615		22,361
Southwest Bancorp, Inc. (b)		1,900		52,345


Abbreviation Legend:
	M	Monthly
	T	At Maturity
	1Y	Yearly
	3M	Quarterly
	6M	Semi-Annually
	28D	28 Days
	ADR	American Depository Receipt
	BADLARPP	BADLAR Private Banks
	CBOT	Chicago Board of Trade
	CDE	Montreal Exchange
	CME	Chicago Mercantile Exchange
	COMEX	Commodities Exchange Center
	Eurex	Eurex Exchange
	EURIBOR	Euro Interbank Offered Rate
	Euronext	Euronext Paris
	HKFE	Hong Kong Futures Exchange Ltd.


	ICE	Ice Futures Europe
	IDEM	Italian Derivatives Exchange Market
	ISE	Istanbul Stock Exchange
	KRX FM	Korea Exchange (Futures Market)
	LIBOR	London Interbank Offered Rate
	LME	London Metal Exchange
	MTN	Medium Term Note
	MYX	Bursa Malaysia
	Nasdaq OMX	Nasdaq OMX Nordic
	NYMEX	New York Mercantile Exchange
	OSE	Osaka Exchange
	OTC	Over the Counter
	PIK	Denotes that all or a portion of the income is paid in-kind in the form of additional principal.
	REG S	Regulation-S
	REIT	Real Estate Investment Trust
	Safex	South African Futures Exchange
	SFE	ASX Trade24
	SGX	Singapore Exchange
	TFEX	Thailand Futures Exchange

Currency Legend:
	ARS	Argentine Peso
	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	CHF	Swiss Franc
	CLP	Chilean Peso
	CNH	Chinese Renminbi
	COP	Colombian Peso
	CZK	Czech Koruna
	DKK	Danish Krone
	EGP	Egyptian Pound
	EUR	Euro
	GBP	British Pound
	HKD	Hong Kong Dollar
	HUF	Hungarian Forint
	IDR	Indonesian Rupiah
	ILS	Israeli Shekel
	INR	Indian Rupee
	JPY	Japanese Yen
	KRW	South Korean Won
	MXN	Mexican Peso
	MYR	Malaysian Ringgit
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	PHP	Philippine Peso
	PLN	Polish Zloty
	RUB	Russian Ruble


		SEK		Swedish Krona
		SGD		Singapore Dollar
		THB		Thai Baht
		TRY		Turkish Lira
		TWD		Taiwanese Dollar
		USD		United States Dollar
		UYU		Uruguayan Peso
		ZAR		South African Rand


Assets:
Investments in securities, at fair value (cost of $4,719,322,493)¹	$	5,027,871,304
Cash		204,815,219
Cash denominated in foreign currencies (cost of $37,111,787)		37,300,217
Segregated cash balance with counterparties for securities sold short		1,082,411,068
Segregated cash balance with counterparties for options		1,773,869
Segregated cash balance with counterparties for swaps		363,713,677
Segregated cash balance with counterparties for forward foreign currency exchange contracts		32,387,111
Segregated cash balance with broker for futures contracts		173,882,575
Segregated cash balance with broker for reverse repurchase agreements		13,608,451
Unrealized appreciation on forward foreign currency exchange contracts		8,015,722
Income receivable		13,405,380
Receivable for investments sold		573,338,073
Receivable for Fund shares sold		8,638,426
Receivable for periodic payments from swap contracts		9,720,947
Variation margin receivable on futures		15,580,274
Swap contracts, premium paid		4,996,246
Unrealized appreciation on swap contracts		54,120,062
Prepaid expenses and other assets		1,073,594

Total assets		7,626,652,215

Liabilities:
Securities sold short, at fair value (proceeds of $1,353,085,711)		1,416,362,407
Securities lending collateral payable		21,956,320
Cash received as collateral from counterparty for options		606,648
Cash received as collateral from counterparty for swaps		154,248
Cash received as collateral from counterparty for forward foreign currency exchange contracts		1,699,624
Options written, at fair value (premiums received $9,189,201)		8,886,140
Unrealized depreciation on forward foreign currency exchange contracts		6,928,754
Payable for reverse repurchase agreements		171,945,041
Payable for investments purchased		837,608,807
Payable for Fund shares redeemed		2,564,682
Payable for periodic payments from swap contracts		1,627,638
Variation margin payable on futures		16,696,662
Variation margin payable on centrally cleared swaps		12,541,604
Swap contracts, premium received		17,648,469
Unrealized depreciation on swap contracts		45,180,478
Dividend and interest income payable on securities sold short		1,081,305
Management fee payable		22,556,666
Accrued expenses and other liabilities		6,497,805

Total liabilities		2,592,543,298

Net assets	$	5,034,108,917

Net Assets Consist of:
Paid-in capital	$	4,787,478,395
Accumulated undistributed net investment income		1,930,841
Accumulated net realized loss		(15,925,179	)
Net unrealized appreciation		260,624,860

Net assets	$	5,034,108,917


Net Asset Value:
Class I Shares
Net Assets	$	4,355,098,711
Class I Shares outstanding, no par value, unlimited shares authorized		398,932,827

Net asset value per share	$	10.92

Class D Shares
Net Assets	$	210,696,874
Class D Shares outstanding, no par value, unlimited shares authorized		19,393,633

Net asset value per share	$	10.86

Class Y Shares
Net Assets	$	468,313,332
Class Y Shares outstanding, no par value, unlimited shares authorized		43,192,631

Net asset value per share	$	10.84


Investment Income:
Interest (including net foreign taxes withheld of $61)	$	63,951,218
Dividends (including net foreign taxes withheld of $575,498)		11,692,484

Total income		75,643,702

Expenses:
Management fees	$	43,426,058
Administration fees		2,225,681
Custodian fees		1,150,900
Trustees’ fees		179,528
Distribution and service fees—Class D		272,318
Shareholder service fees		2,653,769
Registration fees		103,420
Printing and postage fees		237,606
Professional fees		858,668
Dividends and interest on securities sold short		10,462,073
Financing fees on securities sold short		1,141,024
Line of credit fee		113,288
Interest fees		3,159,445
Other		123,496

Total expenses		66,107,274

Net investment income		9,536,428

Net Realized and Unrealized Gain (Loss):
Net realized gain on investments in securities		148,812,241
Net realized loss on securities sold short		(46,373,924	)
Net realized loss on forward foreign currency exchange contracts		(21,654,668	)
Net realized loss on foreign currency transactions		(2,379,838	)
Net realized loss on futures contracts		(29,674,226	)
Net realized gain on options written		2,231,056
Net realized gain on swap contracts		40,183,187
Net change in unrealized appreciation on investments in securities		75,308,912
Net change in unrealized depreciation on securities sold short		(29,359,414	)
Net change in unrealized appreciation on forward foreign currency exchange contracts		3,983,455
Net change in unrealized depreciation on foreign currency translations		(865,167	)
Net change in unrealized appreciation on futures contracts		250,655
Net change in unrealized depreciation on options written		(483,477	)
Net change in unrealized depreciation on swap contracts		(366,538	)

Net realized and unrealized gain		139,612,254

Net increase in net assets resulting from operations	$	149,148,682


	Six-Months Ended 9/30/2017 (unaudited)			Year Ended 3/31/2017
Increase (Decrease) in Net Assets
Operations:
Net investment income	$	9,536,428		$	31,254,328
Net realized gain		91,143,828			73,472,613
Net change in unrealized appreciation		48,468,426			240,552,440

Net increase in net assets resulting from operations		149,148,682			345,279,381

Distributions:
Distributions from net investment income:
Class I Shares		—			(16,162,497	)
Class D Shares		—			(1,677,393	)
Class Y Shares		—			(2,232,284	)

Total distributions to shareholders		—			(20,072,174	)

Capital Transactions:
Shareholder subscriptions:
Proceeds from sale of Class I Shares		1,018,580,840			1,349,759,049
Proceeds from sale of Class D Shares		26,467,798			612,319,359
Proceeds from sale of Class Y Shares		39,370,305			224,058,828
Distributions from net realized capital gains:
Net asset value of Class I Shares issued to shareholders in payment of distributions declared		—			11,716,838
Net asset value of Class D Shares issued to shareholders in payment of distributions declared		—			1,671,266
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared		—			2,190,011
Shareholder redemptions:
Cost of Class I Shares redeemed		(387,918,581	)		(1,952,529,789	)
Cost of Class D Shares redeemed		(139,204,747	)		(348,796,647	)
Cost of Class Y Shares redeemed		(18,608,697	)		(162,772,964	)

Net increase (decrease) in net assets resulting from capital transactions		538,686,918			(262,384,049	)

Net increase in net assets		687,835,600			62,823,158

Net Assets:
Beginning of period		4,346,273,317			4,283,450,159

End of period	$	5,034,108,917		$	4,346,273,317


Accumulated undistributed (distributions in excess of) net investment income	$	1,930,841		$	(7,605,587	)


	Six-Months Ended 9/30/2017 (unaudited)			Year Ended 3/31/2017
Share Transactions:
Class I Shares
Beginning of period		340,734,104			399,185,175
Shares issued		94,120,638			132,971,298
Reinvestment in Shares		—			1,152,094
Shares redeemed		(35,921,915	)		(192,574,463	)

Net change in shares resulting from share transactions		58,198,723			(58,451,071	)

End of period		398,932,827			340,734,104

Class D Shares
Beginning of period		30,032,248			2,325,127
Shares issued		2,454,993			61,462,720
Reinvestment in Shares		—			164,648
Shares redeemed		(13,093,608	)		(33,920,247	)

Net change in shares resulting from share transactions		(10,638,615	)		27,707,121

End of period		19,393,633			30,032,248

Class Y Shares
Beginning of period		41,247,352			34,829,511
Shares issued		3,675,577			22,324,054
Reinvestment in Shares		—			217,048
Shares redeemed		(1,730,298	)		(16,123,261	)

Net change in shares resulting from share transactions		1,945,279			6,417,841

End of period		43,192,631			41,247,352


Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$	149,148,682
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:
Purchases of investments in securities		(5,835,734,185	)
Proceeds from disposition of investments in securities		5,880,817,781
Proceeds from securities sold short		1,982,122,434
Payments to cover securities sold short		(1,994,670,988	)
Premiums paid on closing options written		(14,615,853	)
Proceeds from premiums received from options written		11,645,363
Net realized gain on investments in securities		(148,812,241	)
Net realized gain (loss) on securities sold short		46,373,924
Net realized gain on options written		(2,231,056	)
Accretion of bond discount and amortization of bond premium		(5,399,120	)
Net change in unrealized appreciation on investments		(75,308,912	)
Net change in unrealized depreciation on securities sold short		29,359,414
Net change in unrealized depreciation on options written		483,477
Changes in assets and liabilities:
(Increase) decrease in assets:
Segregated cash balance with counterparties for securities sold short		(26,197,235	)
Segregated cash balance with counterparties for options		(1,773,869	)
Segregated cash balance with counterparties for swaps		(247,905,197	)
Segregated cash balance with counterparties for forward foreign currency exchange contracts		(32,387,111	)
Segregated cash balance with broker for futures contracts		(23,768,378	)
Segregated cash balance with broker for reverse repurchase agreements		48,912,770
Unrealized appreciation on forward foreign currency exchange contracts		(4,439,133	)
Income receivable		1,336,993
Receivable for periodic payments from swap contracts		3,741,074
Variation margin receivable on futures		(11,448,172	)
Swap contracts, premium paid		103,201
Unrealized appreciation on swap contracts		(33,528,499	)
Prepaid expenses and other assets		(969,629	)
Increase (decrease) in liabilities:
Securities lending collateral payable		(14,507,883	)
Cash received as collateral from counterparty for options		606,648
Cash received as collateral from counterparty for swaps		(5,752	)
Cash received as collateral from counterparty for forward foreign currency exchange contracts		1,699,624
Unrealized depreciation on forward foreign currency exchange contracts		455,678
Swap contracts, premium received		582,886
Unrealized depreciation on swap contracts		32,540,359
Variation margin payable on futures		6,740,234
Variation margin payable on centrally cleared swaps		12,541,604
Payable for periodic payments from swap contracts		310,090
Dividend and interest income payable on securities sold short		(559,023	)
Interest payable on reverse repurchase agreements		(483,304	)
Management fee payable		2,139,724
Accrued expenses and other liabilities		844,841

Net cash used in operating activities		(262,238,739	)

Cash Flows from Financing Activities
Proceeds from shares sold		1,083,225,470
Cost of shares repurchased		(550,352,258	)
Proceeds from reverse repurchase agreements		885,626,000
Repayment of reverse repurchase agreements		(1,005,315,008	)

Net cash provided by financing activities		413,184,204

Net increase (decrease) in cash and foreign currency		150,945,465
Cash and foreign currency, beginning of period		91,169,971

Cash and foreign currency, end of period	$	242,115,436

Supplemental disclosure of cash flow information:
Cash paid during the period for interest	$	2,591,423


	Class I
	Six-Months Ended 9/30/2017 (unaudited)			Year Ended 3/31/2017			Year Ended 3/31/2016			Period Ended 3/31/2015¹
Net Asset Value, Beginning of Period	$	10.56		$	9.82		$	10.38		$	10.00
Income From Investment Operations:
Net investment income (loss)²		0.02			0.07			(0.05	)		(0.09	)
Net realized and unrealized gain (loss)		0.34			0.72			(0.26	)		0.53

Total From Investment Operations		0.36			0.79			(0.31	)		0.44

Less Distributions to Shareholders:
From net investment income		—			(0.05	)		(0.01	)		(0.02	)
From net realized capital gains		—			—			(0.24	)		(0.04	)

Total Distributions		—			(0.05	)		(0.25	)		(0.06	)

Net Asset Value, End of Period	$	10.92		$	10.56		$	9.82		$	10.38

Total Return		3.41	%³		8.03	%		(3.01	)%		4.43	%³


Ratios to Average Net Assets:⁴
Total expenses before recoupment (reimbursement) from Investment Adviser		0.97	%⁵		1.15	%		1.30	%		1.46	%⁵
Management Fees		1.88	%⁵		1.88	%		1.92	%		1.95	%⁵
Recoupment (reimbursement) from Investment Adviser		—			—			0.05	%		(0.24	)%⁵

Net expenses after recoupment (reimbursement) from Investment Adviser		2.85	%⁵		3.03	%		3.27	%		3.17	%⁵
Excluded expenses⁶		(0.66	)%⁵		(0.81	)%		(0.93	)%		(0.77	)%⁵

Expenses, net of impact of excluded expenses		2.19	%⁵		2.22	%		2.34	%		2.40	%⁵

Net investment income (loss)		0.42	%⁵		0.71	%		(0.45	)%		(1.11	)%⁵

Supplemental Data:
Net assets, end of period (in thousands)	$	4,355,099		$	3,597,704		$	3,921,027		$	1,097,917
Portfolio turnover		107	%³		237	%		172	%		194	%³


	Class D
	Six-Months Ended 9/30/2017 (unaudited)			Year Ended 3/31/2017			Year Ended 3/31/2016			Period Ended 3/31/2015¹
Net Asset Value, Beginning of Period	$	10.53		$	9.81		$	10.38		$	10.00
Income From Investment Operations:
Net investment income (loss)²		0.00	³		0.05			(0.07	)		(0.05	)
Net realized and unrealized gain (loss)		0.33			0.70			(0.26	)		0.48

Total From Investment Operations		0.33			0.75			(0.33	)		0.43

Less Distributions to Shareholders:
From net investment income		—			(0.03	)		—			(0.01	)
From net realized capital gains		—			—			(0.24	)		(0.04	)

Total Distributions		—			(0.03	)		(0.24	)		(0.05	)

Net Asset Value, End of Period	$	10.86		$	10.53		$	9.81		$	10.38

Total Return		3.13	%⁴		7.70	%		(3.22	)%		4.32	%⁴


Ratios to Average Net Assets:⁵
Total expenses before recoupment (reimbursement) from Investment Adviser		1.39	%⁶		1.40	%		1.55	%		1.59	%⁶
Management Fees		1.88	%⁶		1.88	%		1.92	%		1.95	%⁶
Recoupment (reimbursement) from Investment Adviser		—			—			0.02	%		(0.14	)%⁶

Net expenses after recoupment (reimbursement) from Investment Adviser		3.27	%⁶		3.28	%		3.49	%		3.40	%⁶
Excluded expenses⁷		(0.90	)%⁶		(1.06	)%		(1.18	)%		(1.00	)%⁶

Expenses, net of impact of excluded expenses		2.37	%⁶		2.22	%		2.31	%		2.40	%⁶

Net investment income (loss)		0.01	%⁶		0.48	%		(0.66	)%		(1.29	)%⁶

Supplemental Data:
Net assets, end of period (in thousands)	$	210,697		$	316,243		$	22,811		$	6,012
Portfolio turnover		107	%⁴		237	%		172	%		194	%⁴


	Class Y
	Six-Months Ended 9/30/2017 (unaudited)			Year Ended 3/31/2017			Year Ended 3/31/2016			Period Ended 3/31/2015¹
Net Asset Value, Beginning of Period	$	10.48		$	9.75		$	10.29		$	10.00
Income From Investment Operations:
Net investment income (loss)²		0.03			0.08			(0.03	)		(0.02	)
Net realized and unrealized gain (loss)		0.33			0.71			(0.25	)		0.31

Total From Investment Operations		0.36			0.79			(0.28	)		0.29

Less Distributions to Shareholders:
From net investment income		—			(0.06	)		(0.02	)		—
From net realized capital gains		—			—			(0.24	)		—

Total Distributions		—			(0.06	)		(0.26	)		—

Net Asset Value, End of Period	$	10.84		$	10.48		$	9.75		$	10.29

Total Return		3.44	%³		8.10	%		(2.90	)%		2.90	%³


Ratios to Average Net Assets:⁴
Total expenses before recoupment (reimbursement) from Investment Adviser		0.87	%⁵		1.05	%		1.20	%		1.31	%⁵
Management Fees		1.88	%⁵		1.88	%		1.92	%		1.95	%⁵
Recoupment (reimbursement) from Investment Adviser		—			—			0.00	%⁶		(0.07	)%⁵

Net expenses after recoupment (reimbursement) from Investment Adviser		2.75	%⁵		2.93	%		3.12	%		3.19	%⁵
Excluded expenses⁷		(0.66	)%⁵		(0.81	)%		(0.92	)%		(0.79	)%⁵

Expenses, net of impact of excluded expenses		2.09	%⁵		2.12	%		2.20	%		2.40	%⁵

Net investment income (loss)		0.53	%⁵		0.78	%		(0.34	)%		(1.03	)%³

Supplemental Data:
Net assets, end of period (in thousands)	$	468,313		$	432,327		$	339,613		$	105,624
Portfolio turnover		107	%³		237	%		172	%		194	%³


Counterparty	Reverse Repurchase Agreements				Fair Value of Non-Cash Collateral⁽¹⁾			Cash Collateral Pledged⁽¹⁾			Net Amount
BNP Paribas Securities Corp.		$	(4,803,357	)		$	4,803,357		$	—		$	—
Credit Suisse Securities (USA) LLC			(11,422,403	)			11,422,403			—			—
JPMorgan Chase Bank, N.A.			(27,593,506	)			27,593,506			—			—
Merrill Lynch, Pierce, Fenner & Smith, Inc.			(47,261,259	)			47,261,259			—			—
Royal Bank of Canada			(80,864,516	)			80,864,516			—			—

Total		$	(171,945,041	)		$	171,945,041		$	—		$	—


	Remaining Contractual Maturity of the Agreements As of September 30, 2017
	Overnight and Continuous				<30 days				Between 30 & 90 days				>90 days			Total
Reverse Repurchase Agreements
Mortgage-Backed Securities		$	—			$	(133,035,166	)		$	(23,666,973	)		$	—		$	(156,702,139	)
Asset-Backed Securities			—				—				(4,618,070	)			—			(4,618,070	)
Cash			(10,624,832	)			—				—				—			(10,624,832	)

Total		$	(10,624,832	)		$	(133,035,166	)		$	(28,285,043	)		$	—		$	(171,945,041	)

Gross amount of recognized liabilities for reverse repurchase agreements																$	(171,945,041	)


Borrower/Counterparty	Securities Loaned at Value			Cash Collateral Received⁽¹⁾				Net Amount
BNP Paribas Securities Corp.		$	56,617		$	(56,617	)		$	—
Citigroup Global Markets, Inc.			625,992			(625,992	)			—
Janney Montgomery Scott LLC			1,566,363			(1,566,363	)			—
JP Morgan Securities LLC			11,265,490			(11,265,490	)			—
Merrill Lynch, Pierce, Fenner & Smith, Inc.			2,556			(2,556	)			—
Morgan Stanley & Co. LLC			2,852,644			(2,852,644	)			—
National Financial Services LLC			211,980			(211,980	)			—
Pershing LLC			1,006,599			(1,006,599	)			—
Societe Generale SA			2,495,827			(2,495,827	)			—
UBS Securities LLC			1,087,752			(1,087,752	)			—
Wedbush Securities, Inc.			21,844			(21,844	)			—
Wells Fargo Securities LLC			367,889			(367,889	)			—

Total		$	21,561,553		$	(21,561,553	)		$	—


	Asset Derivatives				Liability Derivatives
Risk Exposure	Consolidated Statement of Assets & Liabilities Location	Fair Value			Consolidated Statement of Assets & Liabilities Location	Fair Value
Interest Rate	Centrally cleared swaps, at fair value ^(c)	$	3,223,978		Centrally cleared swaps, at fair value ^(c)	$	(2,432,417	)
	Unrealized appreciation on futures contracts ^(c)		7,176,075		Unrealized depreciation on futures contracts ^(c)		(12,334,831	)
Equity	Swap contracts, at fair value ^(b)		50,112,746		Swap contracts, at fair value ^(b)		(37,732,655	)
	Unrealized appreciation on futures contracts ^(c)		19,884,387		Unrealized depreciation on futures contracts ^(c)		(18,720,564	)
	Purchased options, at fair value ^(d)		10,977,495		Options written, at value		(8,885,361	)
Commodity	Unrealized appreciation on futures contracts ^(c)		14,430,438		Unrealized depreciation on futures contracts ^(c)		(8,865,685	)
Credit	Swap contracts, at fair value ^(b)		348,543		Swap contracts, at fair value ^(b)		(16,373,568	)
	Centrally cleared swaps, at fair value ^(c)		18,363,666		Centrally cleared swaps, at fair value ^(c)		(6,261,031	)
Foreign Exchange	Swap contracts, at fair value ^(b)		—		Swap contracts, at fair value ^(b)		(67,705	)
	Unrealized appreciation on forward foreign currency exchange contracts		8,015,722		Unrealized depreciation on forward foreign currency exchange contracts		(6,928,754	)
	Unrealized appreciation on futures contracts ^(c)		7,870,996		Unrealized depreciation on futures contracts ^(c)		(14,038,473	)
	Purchased options, at fair value ^(d)		18,464		Options written, at value		(779	)

Total		$	140,422,510			$	(132,641,823	)

Amounts not subject to MNA ⁽¹⁾			(80,510,578	)			63,341,644

Total gross amounts subject to MNA		$	59,911,932			$	(69,300,179	)


Primary Underlying Risk	Average Number of Contracts ^(a)		Average Notional USD ^(a)			Net Realized Gain (Loss)			Net Change in Unrealized Appreciation (Depreciation)
Interest Rate
Swap contracts		—		$	899,701,180		761,019			$	313,084
Future contracts		—			2,637,504,497		769,899				(4,321,881	)
Purchased options ^(d)		—			3,100,000		(685,680	)			675,602
Options written		—			2,933,333		—				—
Equity
Swap contracts		—			1,992,547,571		20,499,991				5,106,380
Future contracts		—			1,539,387,646		(19,238,671	)			7,243,847
Purchased options ^(d)		826,248			—		(17,091,617	)			(33,448	)
Options written		428,940			—		2,231,056				(497,020	)
Commodity
Future contracts		—			610,804,173		(8,303,875	)			5,982,472
Credit
Swap contracts		—			985,804,124		17,588,588				(5,718,297	)
Foreign Exchange
Swap contracts		—			14,721,341		1,333,589				(67,705	)
Forward foreign currency exchange contracts		—			1,195,498,152		(21,654,668	)			3,983,455
Future contracts		—			1,037,403,667		(2,901,579	)			(8,653,783	)
Purchased options		—			3,200,000		—				(12,780	)
Options written		—			—		—				13,543

Total							(26,691,948	)		$	4,013,470


				Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
	Gross Amounts of Assets in Consolidated Statement of Assets and Liabilities			Derivative Financial Instruments Available to Offset				Cash Collateral Received⁽⁴⁾				Non-Cash Collateral⁽⁶⁾			Net Amount⁽²⁾

By Counterparty⁽¹⁾
Bank of America, N.A.		$	1,204,019		$	(309,981	)		$	(894,038	)		$	—		$	—
Barclays Bank plc			3,625,796			(973,913	)			—				—			2,651,883
Citibank N.A.			532,144			—				—				—			532,144
Credit Suisse Securities (Europe) Limited			11,163,261			(6,725,525	)			—				—			4,437,736
Deutsche Bank AG			473,617			(219,875	)			—				—			253,742
J.P. Morgan Securities LLC			3,383			(3,383	)			—				—			—
JPMorgan Chase Bank, N.A.			7,572,494			(7,572,494	)			—				—			—
Morgan Stanley & Co. International plc			1,344,630			(513,657	)			—				—			830,973
Morgan Stanley Capital Services LLC			3,096,642			(2,753,036	)			—				—			343,606
Skandinaviska Enskilda Banken AB (publ)			7,219,563			(7,219,563	)			—				—			—
State Street Bank and Trust Company			46,578			(3,374	)			—				—			43,204
UBS AG			145,038			—				—				—			145,038

Cayman Subsidiary
Credit Suisse International			49,273			(49,273	)			—				—			—
Merrill Lynch International			333,949			(333,949	)			—				—			—
Morgan Stanley Capital Services LLC			14,938,963			(11,012,765	)			—				—			3,926,198
State Street Bank and Trust Company			2,569,698			(1,573,544	)			(996,154	)			—			—

Domestic Subsidiary IV
Credit Suisse Securities (Europe) Limited			149			—				—				—			149
Deutsche Bank AG			3,484,311			(3,484,311	)			—				—			—
Merrill Lynch International			1,016,704			(789,661	)			—				—			227,043
Morgan Stanley Capital Services LLC			1,023,560			(1,023,560	)			—				—			—
State Street Bank and Trust Company			68,160			(3,342	)			—				—			64,818

		$	59,911,932		$	(44,565,206	)		$	(1,890,192	)		$	—		$	13,456,534


					Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
	Gross Amounts of Liabilities in Consolidated Statement of Assets and Liabilities				Derivative Financial Instruments Available to Offset			Cash Collateral Pledged⁽⁵⁾			Non-Cash Collateral			Net Amount⁽³⁾

By Counterparty⁽¹⁾
Bank of America, N.A.		$	(309,981	)		$	309,981		$	—		$	—		$	—
Barclays Bank plc			(973,913	)			973,913			—			—			—
Credit Suisse International			(103,797	)			—			103,797			—			—
Credit Suisse Securities (Europe) Limited			(6,725,525	)			6,725,525			—			—			—
Deutsche Bank AG			(219,875	)			219,875			—			—			—
Goldman Sachs International			(1,598,520	)			—			1,598,520			—			—
J.P. Morgan Securities LLC			(1,958,749	)			3,383			1,955,366			—			—
JPMorgan Chase Bank, N.A.			(11,797,514	)			7,572,494			4,225,020			—			—
Merrill Lynch Capital Services, Inc.			(2,350,214	)			—			2,350,214			—			—
Morgan Stanley & Co. International plc			(513,657	)			513,657			—			—			—
Morgan Stanley Capital Services LLC			(2,753,036	)			2,753,036			—			—			—
Skandinaviska Enskilda Banken AB (publ)			(8,517,829	)			7,219,563			1,298,266			—			—
State Street Bank and Trust Company			(3,374	)			3,374			—			—			—

Cayman Subsidiary
Credit Suisse International			(3,250,997	)			49,273			3,201,724			—			—
Merrill Lynch International			(3,460,012	)			333,949			3,126,063			—			—
Morgan Stanley Capital Services LLC			(11,012,765	)			11,012,765			—			—			—
State Street Bank and Trust Company			(1,573,544	)			1,573,544			—			—			—

Domestic Subsidiary III
Credit Suisse International			(3,577,341	)			—			3,577,341			—			—
Morgan Stanley Capital Services LLC			(780,882	)			—			780,882			—			—


Assets:	Level 1			Level 2			Level 3			Total
Investments in Securities:
Common Stock		$	1,432,110,355		$	—		$	2,757,604		$	1,434,867,959
Preferred Stock			169,093,058						3,532,000			172,625,058
Asset-Backed Securities			—			235,801,559			—			235,801,559
Convertible Bonds			—			76,694,275			—			76,694,275
Bank Debt			—			20,015,730			4,069,304			24,085,034
Corporate Bonds & Notes			—			162,963,019			14,882,724			177,845,743
Sovereign Debt			—			284,547,160			—			284,547,160
Mortgage-Backed Securities			—			1,394,678,433			—			1,394,678,433
U.S. Government Sponsored Agency Securities			—			28,277,978			—			28,277,978
U.S. Treasury Obligations			—			87,085,496			—			87,085,496
Exchange-Traded Funds			86,354,673			—			—			86,354,673
Purchased Options			9,148,146			1,847,813			—			10,995,959
Short-Term Investment—Money Market Fund			691,265,276			—			—			691,265,276
Subtotal		$	2,387,971,508		$	2,291,911,463		$	25,241,632		$	4,705,124,603
Investments Valued at NAV												322,746,701
Total Investments in Securities			2,387,971,508			2,291,911,463			25,241,632		$	5,027,871,304
Forward Foreign Currency Exchange Contracts			—			8,015,722			—			8,015,722
Futures Contracts			49,361,896			—			—			49,361,896
Centrally Cleared Credit Default Swaps			—			18,363,666			—			18,363,666
OTC Credit Default Swaps			—			348,543			—			348,543
OTC Total Return Swaps			—			50,112,746			—			50,112,746
Centrally Cleared Interest Rate Swaps			—			3,223,978			—			3,223,978
Total Assets		$	2,437,333,404		$	2,371,976,118		$	25,241,632		$	5,157,297,855


Liabilities:	Level 1			Level 2			Level 3			Total
Securities Sold Short		$	1,295,437,967		$	120,924,440		$	—		$	1,416,362,407
Options Written			219,544			8,666,596			—			8,886,140
Reverse Repurchase Agreements			—			171,945,041			—			171,945,041
Securities Lending Collateral Payable			—			21,956,320			—			21,956,320
Forward Foreign Currency Exchange Contracts			—			6,928,754			—			6,928,754
Futures Contracts			53,959,553			—			—			53,959,553
Centrally Cleared Credit Default Swaps			—			6,261,031			—			6,261,031
OTC Credit Default Swaps			—			16,373,568			—			16,373,568
OTC Cross Currency						67,705						67,705
OTC Total Return Swaps			—			37,732,655			—			37,732,655
Centrally Cleared Interest Rate Swaps			—			2,432,417			—			2,432,417
Total Liabilities		$	1,349,617,064		$	393,288,527		$	—		$	1,742,905,591