N-Q 1 tv507989_nq.htm N-Q

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

 

FORM N-Q

 

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-23216

 

 

 

FS Series Trust

(Exact name of registrant as specified in charter)

 

 

 

201 Rouse Boulevard

Philadelphia, Pennsylvania

   19112
(Address of principal executive offices)   (Zip code)

 

 

 

Michael C. Forman

FS Series Trust

201 Rouse Boulevard

Philadelphia, Pennsylvania 19112

(Name and address of agent for service)

  

 

 

Registrant’s telephone number, including area code: (215) 495-1150

 

Date of fiscal year end: December 31

 

Date of reporting period: September 30, 2018

 

 

 

 

 

 

 

Item 1. Schedule of Investments.

 

FS Multi-Strategy Alternatives Fund (the “Fund”) is a series of FS Series Trust (the “Trust”), a Delaware statutory trust that is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a non-diversified, open-end management investment company. The Fund’s unaudited schedule of investments as of September 30, 2018 is set forth below:

 

 2 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Portfolio Company(a)  Footnotes  Industry  Par(b)   Cost   Fair
Value(c)		 
Corporate Bonds—23.5%                     
Actuant Corp., 5.6%, 6/15/2022     Miscellaneous Manufacturing  $350   $355   $356 
AK Steel Corp., 7.5%, 7/15/2023     Iron/Steel   475    495    501 
AMC Entertainment Holdings, Inc., 5.9%, 2/15/2022     Entertainment   500    509    505 
Amkor Technology, Inc., 6.4%, 10/1/2022     Semiconductors   550    562    560 
APX Group, Inc., 8.8%, 12/1/2020     Commercial Services   200    203    200 
APX Group, Inc., 7.6%, 9/1/2023     Commercial Services   200    210    185 
Beacon Roofing Supply, Inc., 6.4%, 10/1/2023  (d)  Distribution/Wholesale   625    645    648 
Bombardier, Inc., 8.8%, 12/1/2021  (e)  Aerospace/Defense   550    606    608 
Brookfield Residential Properties, Inc. / Brookfield Residential US Corp., 6.1%, 7/1/2022  (e)  Home Builders   200    201    201 
Cablevision Systems Corp., 5.9%, 9/15/2022     Media Entertainment   375    376    383 
Carlson Travel, Inc., 6.8%, 12/15/2023  (e)  Leisure Time   200    199    201 
Carrols Restaurant Group, Inc., 8.0%, 5/1/2022     Retail   125    130    130 
CCO Holdings LLC / CCO Holdings Capital Corp., 5.1%, 2/15/2023     Media Entertainment   450    458    452 
Century Communities, Inc., 6.9%, 5/15/2022     Home Builders   450    460    460 
Chesapeake Energy Corp., 5.6%, 4/15/2019     Oil & Gas   378    378    379 
Clear Channel Worldwide Holdings, Inc., 7.6%, 3/15/2020     Media Entertainment   358    361    360 
Constellation Merger Sub, Inc., 8.5%, 9/15/2025  (e)  Leisure Time   100    95    95 
Core & Main LP, 6.1%, 8/15/2025  (e)  Distribution/Wholesale   77    74    74 
Covanta Holding Corp., 5.9%, 7/1/2025     Environmental Control   200    194    203 
Covanta Holding Corp., 6.4%, 10/1/2022     Environmental Control   200    205    204 
CyrusOne LP / CyrusOne Finance Corp., 5.4%, 3/15/2027     Real Estate Investment Trusts   450    451    461 
Diamond Resorts International, Inc., 7.8%, 9/1/2023  (e)  Lodging   350    365    360 
DynCorp International, Inc., 11.9%, 11/30/2020     IT Services   400    416    417 
Envision Healthcare Corp., 5.6%, 7/15/2022  (d)  Healthcare-Services   563    571    579 
Five Point Operating Co. LP / Five Point Capital Corp., 7.9%, 11/15/2025  (e)  Real Estate   300    306    302 
GCI LLC, 6.8%, 6/1/2021     IT Services   245    248    248 
Genesis Energy LP / Genesis Energy Finance Corp., 6.8%, 8/1/2022     Pipelines   275    282    281 
Genesis Energy LP / Genesis Energy Finance Corp., 6.5%, 10/1/2025     Pipelines   200    194    195 
GEO Group, Inc., 5.9%, 1/15/2022     Real Estate Investment Trusts   375    385    379 
GEO Group, Inc., 6.0%, 4/15/2026     Real Estate Investment Trusts   375    367    361 
GFL Environmental, Inc., 5.6%, 5/1/2022  (e)  Environmental Control   350    339    340 
HCA, Inc., 5.4%, 2/1/2025     Healthcare-Services   688    693    703 
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 6.3%, 2/1/2022     Financial Services   350    360    360 
Ingram Micro, Inc., 5.5%, 12/15/2024     Electronics   475    464    467 
International Game Technology Plc, 6.5%, 2/15/2025  (e)  Entertainment   200    209    208 
Iron Mountain, Inc., 5.8%, 8/15/2024     Real Estate Investment Trusts   500    495    495 
iStar, Inc., 4.6%, 9/15/2020     Real Estate Investment Trusts   400    399    400 

 

See notes to unaudited consolidated schedule of investments.

 

 3 

 

 

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Portfolio Company(a)  Footnotes  Industry  Par(b)   Cost   Fair
Value(c)		 
KGA Escrow LLC, 7.5%, 8/15/2023  (e)  Retail  $200   $208   $208 
Lamar Media Corp., 5.8%, 2/1/2026     Advertising   594    603    616 
Level 3 Parent LLC, 5.8%, 12/1/2022     Telecommunications   688    693    696 
LIN Television Corp., 5.9%, 11/15/2022     Media Entertainment   550    567    561 
M/I Homes, Inc., 5.6%, 8/1/2025     Home Builders   400    391    376 
M/I Homes, Inc., 6.8%, 1/15/2021     Home Builders   59    61    60 
MPT Operating Partnership LP / MPT Finance Corp., 5.0%, 10/15/2027     Real Estate Investment Trusts   563    534    546 
Navistar International Corp., 6.6%, 11/1/2025  (e)  Auto Manufacturers   400    416    417 
Nielsen Co. Luxembourg SARL, 5.5%, 10/1/2021  (e)  Commercial Services   250    252    251 
Pactiv LLC , 8.0%, 12/15/2025  (d)  Packaging & Containers   255    287    274 
Park Aerospace Holdings Ltd., 5.3%, 8/15/2022  (e)  Trucking & Leasing   374    370    379 
Rockpoint Gas Storage Canada Ltd., 7.0%, 3/31/2023  (e)  Gas   200    199    203 
Sprint Corp., 7.3%, 9/15/2021     Telecommunications   688    720    728 
StandardAero Aviation Holdings, Inc., 10.0%, 7/15/2023  (e)  Engineering & Construction   400    431    432 
SUPERVALU, Inc., 7.8%, 11/15/2022     Food   142    147    148 
TransDigm, Inc., 6.5%, 7/15/2024     Aerospace/Defense   530    542    544 
TransDigm, Inc., 6.0%, 7/15/2022     Aerospace/Defense   200    201    204 
Transocean Phoenix 2 Ltd., 7.8%, 10/15/2024  (e)  Oil & Gas Services   255    270    270 
Tribune Media Co., 5.9%, 7/15/2022     Media Entertainment   656    668    672 
Uniti Group LP / Uniti Group Finance, Inc. / CSL Capital LLC, 8.3%, 10/15/2023     Real Estate Investment Trusts   188    188    182 
USG Corp., 5.5%, 3/1/2025  (e)  Construction Materials   200    206    205 
Vector Group Ltd., 6.1%, 2/1/2025  (e)  Agriculture   450    430    418 
VFH Parent LLC / Orchestra Co-Issuer, Inc., 6.8%, 6/15/2022  (e)  Diversified Financial Services   303    314    314 
Vine Oil  & GAS LP / FIN Co., 9.8%, 4/15/2023  (e)  Exploration & Production   250    250    250 
William Lyon Homes, Inc., 7.0%, 8/15/2022  (d)  Home Builders   575    589    587 
William Lyon Homes, Inc., 6.0%, 9/1/2023     Home Builders   250    246    242 
Wyndham Destinations, Inc., 4.3%, 3/1/2022     Lodging   200    195    195 
Total Corporate Bonds              23,238    23,239 
                      
Convertible Bonds—14.3%                     
Arbor Realty Trust, Inc., 5.3%, 7/1/2021  (e)  Real Estate Investment Trusts  $500   $512   $518 
Ares Capital Corp., 4.4%, 1/15/2019     Investment Company Security   500    502    502 
Atlassian, Inc., 0.6%, 5/1/2023  (e)  Software   500    647    656 
AXA SA, 7.3%, 5/15/2021  (e)  Insurance   500    552    537 
Blackstone Mortgage Trust, Inc., 4.8%, 3/15/2023     Real Estate Investment Trusts   500    497    500 
Bristow Group, Inc., 4.5%, 6/1/2023     Oil & Gas Services   500    506    505 
FireEye, Inc., 1.6%, 6/1/2035     Internet   500    460    460 
Gannett Co., Inc., 4.8%, 4/15/2024  (e)  Media Entertainment   250    252    262 
Herbalife Nutrition Ltd., 2.6%, 3/15/2024  (e)  Pharmaceuticals   500    538    537 
IH Merger Sub LLC, 3.5%, 1/15/2022     Real Estate Investment Trusts   600    675    662 
Invacare Corp., 5.0%, 2/15/2021     Healthcare-Products   500    582    543 

 

See notes to unaudited consolidated schedule of investments.

 

 4 

 

 

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Portfolio Company(a)  Footnotes  Industry  Par(b)   Cost   Fair
Value(c)		 
Ligand Pharmaceuticals, Inc., 0.8%, 5/15/2023  (e)  Biotechnology  $1,000   $1,198   $1,220 
Medicines Co., 2.5%, 1/15/2022     Biotechnology   500    581    539 
MongoDB, Inc., 0.8%, 6/15/2024  (e)  Software   500    497    664 
Nuance Communications, Inc., 1.0%, 12/15/2035     Software   141    126    133 
Okta, Inc., 0.3%, 2/15/2023  (e)  Internet   500    769    775 
Redwood Trust, Inc., 4.8%, 8/15/2023     Real Estate Investment Trusts   300    290    288 
Silicon Laboratories, Inc., 1.4%, 3/1/2022     Semiconductors   500    579    573 
Splunk, Inc., 1.1%, 9/15/2025  (e)  Software   500    500    517 
Tesla, Inc., 1.3%, 3/1/2021     Auto Manufacturers   1,000    970    959 
Twilio, Inc., 0.3%, 6/1/2023  (e)  Internet   500    668    675 
Twitter, Inc., 1.0%, 9/15/2021     Internet   1,000    929    923 
Veeco Instruments, Inc., 2.7%, 1/15/2023     Semiconductors   500    446    426 
Wright Medical Group N.V., 2.3%, 11/15/2021     Healthcare-Products   500    695    723 
Total Convertible Bonds              13,971    14,097 

 

Portfolio Company(a)   Footnotes  Industry  Number of
Shares		   Cost   Fair
Value(c)		 
Common Stock—0.0%                     
ON Semiconductor Corp.  (f)  Semiconductors   600   $11   $11 
Total Common Stock              11    11 
Convertible Preferred Stock—1.0%                     
CenterPoint Energy, Inc., 7%, 09/01/2021     Electric   20,000   $1,005   $1,010 
Total Convertible Preferred Stock              1,005    1,010 

 

Portfolio Company(a)  Footnotes  Yield   Number of
Shares		   Cost   Fair
Value(c)		 
Short-Term Investments—48.0%                       
State Street Institutional Liquid Reserves Fund - Premier Class  (g)   2.14%   47,489,798   $47,494   $47,494 
Total Short-Term Investments                47,494    47,494 

 

Portfolio Company(a)  Counterparty  Footnotes  Industry  Contracts   Cost   Fair
Value(c)		 
Put Options Purchased—0.0%                        
Bristow Group, Inc., $7.5, 12/18/2018  Morgan Stanley  (f)  Oil & Gas Services   8   $2   $2 
Redwood Trust, Inc., $12.5, 10/19/2018  Morgan Stanley  (f)  Real Estate Investment Trusts   3    1    — 
Wright Medical Group NV, $17.5, 11/16/2018  Morgan Stanley  (f)  Healthcare-Products   2    —    — 
Total Put Options Purchased                 3    2 
TOTAL INVESTMENTS—86.8%                $85,722   $85,853 
Other Assets in Excess of Liabilities—13.2%                      12,990 
Net Assets—100.0%                     $98,843 

 

See notes to unaudited consolidated schedule of investments.

 

 5 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Investments Sold Short

 

Portfolio Company(a)  Footnotes  Industry  Par(b)   Cost   Fair
Value(c)		 
Corporate Bonds Sold Short—(0.2)%                     
AMC Entertainment Holdings, Inc., 5.9%, 11/15/2026    Entertainment   $(100)  $(98)  $(96)
CF Industries, Inc., 3.5%, 6/1/2023     Chemicals    (73)   (72)   (70)
Total Corporate Bonds Sold Short              (170)   (166)

 

Portfolio Company(a)  Footnotes  Industry  Number of
Shares(b)		   Cost   Fair
Value(c)		 
Common Stock Sold Short—(7.6)%                     
Arbor Realty Trust, Inc.    Real Estate Investment Trusts   22,100   $(252)  $(254)
Atlassian Corp. Plc     Software   4,700    (446)   (452)
AXA Equitable Holdings, Inc.     Insurance   18,500    (412)   (397)
Blackstone Mortgage Trust, Inc.     Real Estate Investment Trusts   4,500    (150)   (151)
Bristow Group, Inc.     Oil & Gas Services   25,600    (309)   (311)
CenterPoint Energy, Inc.     Electric   23,200    (637)   (641)
Gannett Co., Inc.     Media Entertainment   12,200    (119)   (122)
Herbalife Nutrition Ltd.     Pharmaceuticals   5,600    (309)   (305)
Invacare Corp.     Healthcare-Products   21,000    (349)   (305)
Invitation Homes, Inc.     Real Estate Investment Trusts   17,100    (404)   (392)
Ligand Pharmaceuticals, Inc.     Biotechnology   2,950    (789)   (810)
Medicines Co.     Biotechnology   9,600    (328)   (287)
MongoDB, Inc.     Software   5,650    (311)   (461)
Nuance Communications, Inc.     Software   1,547    (22)   (27)
Okta, Inc.     Internet   9,100    (636)   (640)
RedwoodTrust, Inc.     Real Estate Investment Trusts   5,700    (94)   (93)
Silicon Laboratories, Inc.     Semiconductors   3,800    (356)   (349)
Splunk, Inc.     Software   2,200    (257)   (266)
Tesla, Inc.     Auto Manufacturers   830    (224)   (220)
Twilio, Inc.     Internet   5,600    (476)   (483)
Veeco Instruments, Inc.     Semiconductors   3,429    (50)   (35)
Wright Medical Group N.V.     Healthcare-Products   19,000    (525)   (551)
Total Common Stock Sold Short              (7,455)   (7,552)
Total Investments Sold Short              (7,625)   (7,718)

 

Counterparty  Fund Pays  Fund Receives  Notional
Amount		   Expiration
Date		  Periodic
Payment
Frequency		  Premium
Paid
(Received)		   Fair
Value(c)		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Total Return Equity Swaps(h)—0.0%                               
Deutsche Bank  Nice Ltd.  F - 0.4%  USD453   10/6/2018  Monthly  $—   $7   $7   $— 
Deutsche Bank  Veeco Instruments, Inc.  LIBOR - 0.4%  USD15   12/7/2018  Monthly   —    —    —    — 
Deutsche Bank  ON Semiconductor Corp.  LIBOR - 0.4%  USD219   5/16/2019  Monthly   —    7    7    — 
Deutsche Bank  Redwood Trust, Inc.  LIBOR - 0.4%  USD84   6/12/2019  Monthly   —    1    1    — 
Deutsche Bank  Silicon Laboratories, Inc.  LIBOR - 0.4%  USD228   6/12/2019  Monthly   —    3    3    — 
Total Total Return Equity Swaps             $—   $18   $18   $— 

 

See notes to unaudited consolidated schedule of investments.

 

 6 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Counterparty  Fund Pays  Fund Receives  Notional
Amount		   Expiration
Date		  Periodic
Payment
Frequency		  Premium
Paid
(Received)		   Fair
Value(c)		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Total Return Debt Swaps(h)—0.0%                               
Deutsche Bank  LIBOR + 0.9%  Redwood Trust, Inc., 4.8%, 8/15/2023  USD266   6/12/2019  Monthly  $—   $(2)  $—   $2 
Deutsche Bank  LIBOR + 0.9%  Veeco Instruments, Inc., 2.7%, 01/15/2023  USD170   12/7/2018  Monthly   5    (2)   —    7 
Deutsche Bank  LIBOR + 0.9%  Silicon Laboratories, Inc., 1.4%, 3/1/2022  USD375   6/12/2019  Monthly   (2)   (6)   —    4 
Deutsche Bank  LIBOR + 0.9%  Nice Ltd., 1.3%, 1/15/2024  USD557   1/18/2019  Monthly   (17)   (11)   6    — 
Deutsche Bank  LIBOR + 0.9%  ON Semiconductor Corp., 1.0%, 12/1/2020  USD360   5/16/2019  Monthly   (3)   (13)   —    10 
Total Total Return Debt Swaps             $(17)  $(34)  $6   $23 

 

See notes to unaudited consolidated schedule of investments.

 

 7 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Counterparty  Fund Pays  Fund Receives  Notional
Amount		   Expiration
Date		  Periodic
Payment
Frequency		  Premium
Paid
(Received)		   Fair
Value(c)		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Total Return Index Swaps(h)—(0.4)%                               
Barclays Bank PLC  Fixed rate of 0.68%  Total return on Barclays Trendstar+ Alt Roll 2 Index(i)  USD5,800   5/31/2019  Quarterly  $—   $(25)  $—   $25 
Barclays Bank PLC  Fixed rate of 0.10%  Total return on Barclays Cross Asset Trend Index– Bond Index(j)  USD4,350   5/31/2019  Quarterly   —    (41)   —    41 
Barclays Bank PLC  Fixed rate of 0.25%  Total return on Barclays Cross Asset Trend Index – Developed FX Index(k)  USD1,740   5/31/2019  Quarterly   —    (28)   —    28 
Barclays Bank PLC  Fixed rate of 0.25%  Total return on Barclays Cross Asset Trend Index - Equity Index(l)  USD4,350   5/31/2019  Quarterly   —    (1)   —    1 
Barclays Bank PLC  Fixed rate of 0.15%  Total return on Barclays Cross Asset Trend Index –Money Market(m)  USD4,350   5/31/2019  Quarterly   —    (29)   —    29 
Barclays Bank PLC  Fixed rate of 0.25%  Total return on Barclays Cross Asset Trend Index – EM FX Index(n)  USD2,610   5/31/2019  Quarterly   —    (25)   —    25 
Deutsche Bank     Total return on Deutsche Bank S&P 500 Mean Reversion Index(o)  USD2,432   5/31/2019  Monthly   —    1    1    — 
Deutsche Bank     Total return on Deutsche Bank EU Fixed Income Long Vol Composite Index(p)  EUR4,160   5/31/2019  Quarterly   7    (36)   —    43 
Deutsche Bank     Total return on Deutsche Bank US Fixed Income Long Vol Composite Index(q)  USD4,778   5/31/2019  Quarterly   18    (34)   —    52 
Goldman Sachs International  Fixed rate of 0.45%  Total return on Goldman Sachs FX Multi Factor(r)  USD3,295   5/31/2019  Monthly   —    —    0    — 

 

See notes to unaudited consolidated schedule of investments.

 

 8 

 

 

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Counterparty  Fund Pays  Fund Receives  Notional
Amount		   Expiration
Date		  Periodic
Payment
Frequency		  Premium
Paid
(Received)		   Fair
Value(c)		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Goldman Sachs International  Fixed rate of 0.40%  GS RP Equity World Long Short Series 88 Excess Return Strategy(s)  USD8,479   5/31/2019  Quarterly  $—   $(248)  $—   $248 
Goldman Sachs International  Fixed rate of 0.15%  Total Return on Goldman Sachs Cross Asset Trend Risk Parity(t)  USD5,847   5/31/2019  Quarterly   —    (130)   —    130 
JP Morgan Chase Bank, N.A.  Fixed rate of 0.25%  Total return on J. P. Morgan Government Bond Carry to–Risk Index(u)  USD34,750   5/31/2019  Quarterly   —    (133)   —    133 
JP Morgan Chase Bank, N.A.  Fixed rate of 1.40%  Total Return on JPM Commodity Carry Pairs Capped(v)  USD4,800   5/31/2019  Quarterly   —    —    —    — 
JP Morgan Chase Bank, N.A.  Fixed rate of 0.70%  Total Return on JPM Commodity Curve(w)  USD10,800   5/31/2019  Quarterly   —    (93)   —    93 
JP Morgan Chase Bank, N.A.     Total return on J.P. Morgan Equity Risk Premium – Global Balanced Multi-Factor Index(x)  USD7,248   5/31/2019  Monthly   —    —    —    — 
JP Morgan Chase Bank, N.A.  Fixed rate of 0.20%  Total return on JPM US Conviction Mean Reversion Index(y)  USD2,992   5/31/2019  Monthly   —    —    —    — 
JP Morgan Chase Bank, N.A.  Total return on IBOXX USD Liquid High Yield Index Series 1 Version 1  3 Month Libor  USD1,500   12/20/2018  Quarterly   —    (15)   —    15 
JP Morgan Chase Bank, N.A.  Total return on IBOXX USD Liquid High Yield Index Series 1 Version 1  3 Month Libor  USD1,500   3/20/2019  Quarterly   —    (6)   —    6 
Morgan Stanley Capital Services LLC  Fixed rate of 0.40%  Total return on Morgan Stanley Equity Risk Premia Multi-Factor Index(z)  USD5,951   5/31/2019  Quarterly   —    (144)   —    144 
Morgan Stanley Capital Services LLC  Fixed rate of 0.50%  Total return on Morgan Stanley eVol Hedge Index(aa)  USD2,400   7/26/2019  Quarterly   —    —    —    0 

 

See notes to unaudited consolidated schedule of investments.

 

 9 

 

 

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

Counterparty  Fund Pays  Fund Receives  Notional
Amount		   Expiration
Date		  Periodic
Payment
Frequency		  Premium
Paid
(Received)		   Fair
Value(c)		   Unrealized
Appreciation		   Unrealized
Depreciation		 
Morgan Stanley Capital Services LLC  Total return on Morgan Stanley Equity Growth Factor Index(bb)  F + 0.15%  USD27,510   7/30/2019  Quarterly  $—   $(34)  $—   $34 
Morgan Stanley Capital Services LLC  F + 0.30%  Total return on Morgan Stanley Equity Value Factor Index(cc)  USD36,983   7/30/2019      —    612    612    — 
Societe Generale  Fixed rate of 0.15%  Total return on SGI US Delta Capped Mean Reversion Index(dd)  USD2,000   5/31/2019  Quarterly   —    21    21    — 
Total Total Return Index Swaps             $25   $(388)  $634   $1,047 
Total                   $8   $(404)  $658   $1,070 

 

 

(a)Security may be an obligation of one or more entities affiliated with the named company.

 

(b)Denominated in U.S. dollars unless otherwise noted.

 

(c)Fair value as of September 30, 2018 is determined by the board of trustees of FS Series Trust (the “Trust”).

 

(d)All or portion of security is pledged as collateral for short sales. Total market value of securities pledged as collateral on short sales amounts to $2,088, which represents approximately 2.1% of net assets as of September 30, 2018.

 

(e)Exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $12,097, which represents approximately 12.0% of net assets as of September 30, 2018.

 

(f)Non-income producing security.

 

(g)Rate represents the seven-day yield as of September 30, 2018.

 

(h)The Fund pays or receives periodic payments in accordance with the total return swap contracts depending on the performance of the reference index. On reset dates and on the expiration date of the swap contracts, the Fund will either receive from or pay to the counterparty an amount equal to the net of (i) the accrued financing fees and (ii) the percentage change in price of the reference index times the notional amount.

 

(i)Aims to extract excess return from steepening/flattening trends in the USD swap curve. Designed to perform in both steepening/flattening environments.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Cash          
US Dollar   19,775    342.43%
Future          
90DAY EURO$ FUTURE Dec18   (19,775)   (342.43)%
Swap          
Invt Swap Ind USD 2 YR TRI   (25,550)   (442.43)%
Invt Swap Ind USD 10 YR TRI   5,775    100.00%

 

See notes to unaudited consolidated schedule of investments.

 

 10 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(j)Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
EURO-SCHATZ FUTURE Dec18   (4,309)   (100.00)%
US 2YR NOTE (CBT) FUTURE Dec18   (4,309)   (100.00)%
EURO-BOBL FUTURE Dec18   (1,658)   (38.48)%
LONG GILT FUTURE Dec18   (1,077)   (25.00)%

 

(k)Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
USD/CHF CURRENCY FUTURE DEC 18   515    30.07%
USD/JPY CURRENCY FUTURE DEC 18   (461)   (26.91)%
AUD/USD CURRENCY FUTURE DEC 18   (318)   (18.55)%

  

(l)Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Cash          
US Dollar   4,349    100.00%
Futures          
S&P 500 FUTURE Dec18   835    19.20%
NASDAQ 100 E-MINI Dec18   509    11.71%
FTSE 100 IDX FUTURE Dec18   (501)   (11.53)%
NIKKEI 225 (OSE) Dec18   501    11.52%
HANG SENG IDX FUTURE Oct18   (390)   (8.97)%

 

See notes to unaudited consolidated schedule of investments.

 

 11 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(m)Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
3MO EURO EURIBOR FUTURE Mar20   (6,481)   (150.00)%
3MO EURO EURIBOR FUTURE Jun20   (6,481)   (150.00)%
3MO EURO EURIBOR FUTURE Sep20   (6,481)   (150.00)%
3MO EURO EURIBOR FUTURE Dec20   (6,481)   (150.00)%
90DAY STERLING FUTURE Mar20   (3,241)   (75.00)%
90DAY STERLING FUTURE Jun20   (3,241)   (75.00)%
90DAY STERLING FUTURE Sep20   (3,241)   (75.00)%
90DAY STERLING FUTURE Dec20   (3,241)   (75.00)%

 

(n)Barclays Cross-Asset Trend constituent. Uses a rolling series of the most liquid front and deferred futures contracts across the six asset classes from all the major exchanges globally. Aims to provide a similar risk profile to Commodity Trading Advisers and derives performance through trend following diversification and low correlation to traditional asset classes.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
USD/PHP CURRENCY FUTURE OCT 18   (935)   (36.17)%
USD/TWD CURRENCY FUTURE OCT 18   (757)   (29.28)%
USD/SGD CURRENCY FUTURE NOV 18   (645)   (24.95)%
USD/INR CURRENCY FUTURE OCT 18   (582)   (22.51)%
USD/KRW CURRENCY FUTURE DEC 18   (471)   (18.24)%
USD/IDR CURRENCY FUTURE NOV 18   (368)   (14.23)%
USD/HUF CURRENCY FUTURE DEC 18   (296)   (11.44)%
USD/RUB CURRENCY FUTURE DEC 18   (232)   (8.96)%
USD/MXN CURRENCY FUTURE DEC 18   227    8.79%
USD/BRL CURRENCY FUTURE NOV 18   (174)   (6.72)%
USD/ZAR CURRENCY FUTURE DEC 18   (156)   (6.05)%
USD/TRY CURRENCY FUTURE OCT 18   (73)   (2.83)%

 

(o)Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Index          
S&P 500 Total Return Index   (122)   (5.00)%

 

(p)Seeks to take advantage of the structural imbalance in supply and demand in rates space by owning a long volatility position with positive carry.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Swaps          
EURO 10YR/20YR SWAPTION  €6,518    157.88%
EURO 10YR/20YR SWAP  €(2,333)   (56.51)%

 

See notes to unaudited consolidated schedule of investments.

 

 12 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(q)Seeks to take advantage of the structural imbalance in supply and demand in rates space by owning a long volatility position with positive carry.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Swaps          
US DOLLAR 10YR/20YR SWAPTION   9,811    206.84%
US DOLLAR 10YR/20YR SWAP   (2,334)   (49.20)%

 

(r)Seeks to buy currencies with higher interest rates and sell currencies with lower interest rates (i.e. ""Carry"") and monetize the tendency for foreign exchange rates to revert to fair value in the long run (i.e. ""Value"").

 

Top Underlying Components  Notional   Percentage
of Notional		 
Forwards          
EUR/USD 1MO FORWARD   (1,280)   (38.84)%
USD/TRY 1MO FORWARD   1,134    34.40%
USD/CHF 1MO FORWARD   (1,120)   (34.00)%
USD/MXN 1MO FORWARD   990    30.04%
USD/ZAR 1MO FORWARD   851    25.83%
USD/KRW 1MO FORWARD   (703)   (21.33)%
USD/NOK 1MO FORWARD   702    21.31%
USD/SGD 1MO FORWARD   (695)   (21.09)%
USD/IDR 1MO FORWARD   691    20.97%
USD/INR 1MO FORWARD   657    19.93%
USD/HUF 1MO FORWARD   (656)   (19.91)%
USD/TWD 1MO FORWARD   (645)   (19.58)%
USD/ILS 1MO FORWARD   (636)   (19.30)%
USD/PHP 1MO FORWARD   546    16.57%
USD/SEK 1MO FORWARD   432    13.11%
NZD/USD 1MO FORWARD   (279)   (8.45)%
USD/JPY 1MO FORWARD   (203)   (6.16)%
USD/BRL 1MO FORWARD   198    6.00%
USD/CNH 1MO FORWARD   98    2.98%
USD/CLP 1MO FORWARD   46    1.39%
USD/RUB 1MO FORWARD   20    0.62%
GBP/USD 1MO FORWARD   (2)   (0.06)%
USD/PLN 1MO FORWARD   0    0.00%
USD/CAD 1MO FORWARD   0    0.00%
AUD/USD 1MO FORWARD   0    0.00%

 

See notes to unaudited consolidated schedule of investments.

 

 13 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(s)Provides exposure with a long position in the GS EFI Index and a short beta adjusted position in MSCI World Index. Geared towards optimal exposure to global equities exhibiting favorable factors of low beta, value, quality, momentum, and size.

 

Top Underlying Components  Shares   Notional   Percentage
of Notional		 
Common Stock               
Microsoft Corp   (2,796)   (320)   (3.88)%
Amazon.com Inc   (157)   (314)   (3.82)%
Apple Inc   (1,374)   (310)   (3.77)%
HollyFrontier Corp   4,256    298    3.61%
Host Hotels & Resorts Inc   14,039    296    3.60%
Micron Technology Inc   6,496    294    3.57%
Ross Stores Inc   2,946    292    3.55%
Progressive Corp/The   4,108    292    3.55%
JPMorgan Chase & Co   (2,582)   (291)   (3.54)%
Eaton Corp PLC   3,341    290    3.52%
Centene Corp   1,996    289    3.51%
Fifth Third Bancorp   10,229    286    3.47%
Citizens Financial Group Inc   7,385    285    3.46%
Alphabet Inc   (238)   (284)   (3.45)%
WW Grainger Inc   790    282    3.43%
Johnson & Johnson   (2,034)   (281)   (3.41)%
Humana Inc   823    279    3.38%
Regions Financial Corp   15,151    278    3.38%
Exelon Corp   6,342    277    3.36%
Michael Kors Holdings Ltd   4,024    276    3.35%
Intuit Inc   1,213    276    3.35%
Alphabet Inc   (226)   (273)   (3.32)%
Exxon Mobil Corp   (3,211)   (273)   (3.32)%
Phillips 66   2,418    273    3.31%
Marathon Petroleum Corp   3,408    273    3.31%
BNP Paribas SA   4,444    272    3.30%
T Rowe Price Group Inc   2,481    271    3.29%
Valero Energy Corp   2,373    270    3.28%
Fastenal Co   4,637    269    3.27%
LyondellBasell Industries NV   2,615    268    3.26%
F5 Networks Inc   1,237    247    3.00%
Akamai Technologies Inc   3,362    246    2.99%
Align Technology Inc   621    243    2.95%
Archer-Daniels-Midland Co   4,804    241    2.93%
CA Inc   5,409    239    2.90%
Aflac Inc   4,974    234    2.84%
Public Service Enterprise Grou   4,348    230    2.79%
Accenture PLC   1,348    229    2.79%
Kohl's Corp   3,056    228    2.77%
Estee Lauder Cos Inc/The   1,563    227    2.76%
Monster Beverage Corp   3,866    225    2.74%
Anthem Inc   821    225    2.73%
Astellas Pharma Inc   12,715    222    2.69%
L'Oreal SA   919    221    2.69%
Discovery Inc   6,836    219    2.66%
Bank of America Corp   (7,304)   (215)   (2.61)%
Tyson Foods Inc   3,609    215    2.61%
Deutsche Lufthansa AG   8,732    214    2.60%
Zoetis Inc   2,324    213    2.59%
Koninklijke Ahold Delhaize NV   9,211    211    2.56%

 

See notes to unaudited consolidated schedule of investments.

 

 14 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(t)Futures-based liquid and fully transparent strategy that is composed of four Goldman Sachs' proprietary strategies across four asset classes - FX Trend, Rates & Bonds Trend, Equity Trend, and Commodity trend.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
US 2YR NOTE (CBT) Dec18   (7,238)   (126.60)%
3MO EURO EURIBOR Dec19   5,422    94.84%
3MO EURO EURIBOR Mar20   5,418    94.77%
90DAY STERLING FUTURE Mar19   5,376    94.03%
90DAY EURO$ FUTURE Mar19   (5,266)   (92.11)%
90DAY EURO$ FUTURE Jun19   (5,258)   (91.97)%
90DAY EURO$ FUTURE Mar20   (5,252)   (91.87)%
90DAY EURO$ FUTURE Dec19   (5,252)   (91.87)%
3MO EURO EURIBOR Jun19   4,972    86.97%
3MO EURO EURIBOR Mar19   4,450    77.83%
90DAY STERLING FUTURE Jun19   2,912    50.93%
90DAY STERLING FUTURE Dec19   (2,907)   (50.85)%
90DAY STERLING FUTURE Mar20   (2,906)   (50.83)%
US 5YR NOTE (CBT) Dec18   (2,873)   (50.25)%
EURO-BOBL FUTURE Dec18   1,826    31.93%
JPN 10Y BOND(OSE) Dec18   (1,531)   (26.78)%
US 10YR NOTE (CBT)Dec18   (1,438)   (25.16)%
USD/PHP CURRENCY FUTURE OCT 18   (1,114)   (19.48)%
EURO-BUND FUTURE Dec18   1,045    18.27%
USD/TWD CURRENCY FUTURE OCT 18   (995)   (17.41)%
USD/SGD CURRENCY FUTURE NOV 18   (806)   (14.09)%
US LONG BOND(CBT) Dec18   (722)   (12.62)%
EURO-SCHATZ FUTURE Dec18   (651)   (11.39)%
USD/ILS CURRENCY FUTURE DEC 18   (618)   (10.81)%
USD/JPY CURRENCY FUTURE DEC 18   (558)   (9.75)%
USD/INR CURRENCY FUTURE OCT 18   (545)   (9.53)%
USD/KRW CURRENCY FUTURE DEC 18   (521)   (9.12)%
S&P500 EMINI FUTURE Dec18   500    8.74%
SPI 200 FUTURE Oct18   500    8.74%
USD/IDR CURRENCY FUTURE NOV 18   (498)   (8.71)%
S&P/TSX 60 IX FUTURE Dec18   496    8.67%
USD/CNH CURRENCY FUTURE DEC 18   (474)   (8.29)%
USD/CAD CURRENCY FUTURE DEC 18   (451)   (7.90)%
EUR/USD CURRENCY FUTURE DEC 18   (451)   (7.90)%
SWISS MKT IX FUTURE Dec18   447    7.82%
OMXS30 IND FUTURE Oct18   438    7.66%
E-Mini Russ 2000 Dec18   427    7.47%
GBP/USD CURRENCY FUTURE DEC 18   (425)   (7.43)%
IBEX 35 INDX FUTURE Oct18   (420)   (7.34)%
KOSPI2 INX FUTURE Dec18   (416)   (7.28)%
CAC40 10 EURO FUTURE Oct18   414    7.24%
AUD/USD CURRENCY FUTURE DEC 18   (398)   (6.97)%
USD/NOK CURRENCY FUTURE DEC 18   (398)   (6.97)%
LONG GILT FUTURE Dec18   393    6.87%
USD/CZK CURRENCY FUTURE DEC 18   (382)   (6.69)%
NASDAQ 100 E-MINI Dec18   377    6.60%
NZD/USD CURRENCY FUTURE DEC 18   (372)   (6.50)%
DAX INDEX FUTURE Dec18   (360)   (6.29)%
SET50 FUTURE Dec18   322    5.63%
USD/SEK CURRENCY FUTURE DEC 18   (319)   (5.57)%

 

See notes to unaudited consolidated schedule of investments.

 

 15 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(u)Seeks to deliver enhanced returns by allocating exposure to assets from a set of government bond futures by computing the ratio of implied carry to three-month realized volatility, allocating evenly weighted risk exposure to all assets with a ratio above the set threshold.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
JPN 10Y BOND(OSE) Dec18   19,736    57.01%
US 2YR NOTE (CBT) Dec18   19,736    57.01%
EURO-SCHATZ FUTURE Dec18   19,735    57.01%
US 5YR NOTE (CBT) Dec18   7,401    21.38%
US 10YR NOTE (CBT)Dec18   3,701    10.69%
EURO-BUND FUTURE  Dec18   3,700    10.69%

 

(v)Seeks to take advantage of the convexity that exists within commodity term structures by going long deferred futures contracts and short nearby futures contracts within the same commodity.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
BRENT CRUDE FUTURE Mar19   997    20.77%
NY Harb ULSD FUTURE Feb19   (995)   (20.73)%
SUGAR #11 (WORLD) Mar19   (977)   (20.36)%
BRENT CRUDE FUTURE Dec18   956    19.92%
NY Harb ULSD FUTURE Nov18   (953)   (19.84)%
LME COPPER FUTURE Nov18   881    18.36%
COPPER FUTURE Dec18   (881)   (18.35)%
COPPER FUTURE Mar19   (717)   (14.94)%
LME COPPER FUTURE Feb19   717    14.93%
SILVER FUTURE Dec18   (565)   (11.78)%
GOLD 100 OZ FUTURE Dec18   549    11.44%
WHITE SUGAR (ICE) Mar19   527    10.99%
WTI CRUDE FUTURE Feb19   517    10.76%
LIVE CATTLE FUTURE Feb19   (485)   (10.10)%
LIVE CATTLE FUTURE Dec18   (484)   (10.09)%
CATTLE FEEDER FUTURE Mar19   484    10.08%
CATTLE FEEDER FUTURE Nov18   483    10.06%
SILVER FUTURE Mar19   (463)   (9.64)%
WTI CRUDE FUTURE Nov18   456    9.49%
GASOLINE RBOB FUTURE Nov18   (455)   (9.49)%
GASOLINE RBOB FUTURE Feb19   (452)   (9.42)%
WHITE SUGAR (ICE) Dec18   450    9.37%
GOLD 100 OZ FUTURE Feb19   449    9.36%
SOYBEAN FUTURE Mar19   (364)   (7.58)%
SOYBEAN FUTURE Nov18   (363)   (7.57)%
SOYBEAN MEAL FUTURE Dec18   361    7.52%
SOYBEAN MEAL FUTURE Mar19   360    7.50%
RED WHEAT FUTURE MGE Dec18   354    7.37%
KC HRW WHEAT FUTURE Dec18   (352)   (7.34)%
RED WHEAT FUTURE MGE Mar19   316    6.59%
KC HRW WHEAT FUTURE Mar19   (316)   (6.57)%
Low Su Gasoil G Feb19   (65)   (1.36)%

 

See notes to unaudited consolidated schedule of investments.

 

 16 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

  

(w)Seeks to go long commodities with the most downward sloping term structures and short commodities with the most upward sloping term structures to monetize the relative roll-yields that exists across different commodities.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Futures          
BRENT CRUDE FUTURE Dec18   2,124    19.83%
BRENT CRUDE FUTURE Jan19   (2,017)   (18.84)%
NATURAL GAS FUTURE Nov18   (1,897)   (17.71)%
NATURAL GAS FUTURE Apr19   1,696    15.84%
COPPER FUTURE Mar19   1,354    12.65%
CORN FUTURE Dec18   (1,344)   (12.55)%
COPPER FUTURE Dec18   (1,343)   (12.54)%
CORN FUTURE Jul19   1,300    12.14%
SOYBEAN FUTURE Jul19   1,201    11.22%
SOYBEAN FUTURE Nov18   (1,121)   (10.47)%
LIVE CATTLE FUTURE Dec18   (928)   (8.67)%
NY Harb ULSD FUTURE Mar19   922    8.61%
LME PRI ALUM FUTURE Nov18   (915)   (8.55)%
NY Harb ULSD FUTURE Nov18   (910)   (8.50)%
LME PRI ALUM FUTURE Jan19   901    8.41%
SOYBEAN MEAL FUTURE Jul19   643    6.00%
SOYBEAN MEAL FUTURE Dec18   (629)   (5.88)%
LME NICKEL FUTURE Dec18   610    5.70%
LME NICKEL FUTURE Nov18   (598)   (5.59)%
LME ZINC FUTURE Dec18   543    5.08%
LME ZINC FUTURE Nov18   (527)   (4.92)%
SOYBEAN OIL FUTURE Jul19   523    4.88%
SOYBEAN OIL FUTURE Dec18   (510)   (4.76)%
LIVE CATTLE FUTURE Feb19   473    4.42%
WHEAT FUTURE(CBT) Dec18   (452)   (4.22)%
COFFEE 'C' FUTURE Dec18   (449)   (4.19)%
COFFEE 'C' FUTURE May19   447    4.17%
WHEAT FUTURE(CBT) Dec19   383    3.58%
LEAN HOGS FUTURE Dec18   (364)   (3.40)%
LIVE CATTLE FUTURE Apr19   346    3.23%
COTTON NO.2 FUTURE Mar19   329    3.07%
COTTON NO.2 FUTURE Dec18   (307)   (2.87)%
LEAN HOGS FUTURE Feb19   192    1.79%
KC HRW WHEAT FUTURE Dec18   (181)   (1.69)%
KC HRW WHEAT FUTURE Dec19   152    1.42%
LEAN HOGS FUTURE Apr19   142    1.33%
LIVE CATTLE FUTURE Jun19   133    1.24%
LEAN HOGS FUTURE Jun19   65    0.60%
GOLD 100 OZ FUTURE  Dec18   (29)   (0.27)%
SUGAR #11 (WORLD) Mar19   26    0.25%
SILVER FUTURE Dec18   5    0.05%
WTI CRUDE FUTURE Nov18   5    0.05%
GASOLINE RBOB FUTURE Nov18   4    0.04%

 

See notes to unaudited consolidated schedule of investments.

 

 17 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(x)Market neutral strategy that seeks to provide exposure to 5 well-known and researched equity risk premia: Low Beta, Size, Value, Momentum and Quality.

 

Top Underlying Components  Shares   Notional   Percentage
of Notional		 
Common Stock               
ABIOMED Inc   197    88    1.22%
Alexion Pharmaceuticals Inc   (626)   (87)   (1.20)%
thyssenkrupp AG   (3,321)   (84)   (1.16)%
Shopify Inc   (500)   (82)   (1.13)%
SES SA   (3,738)   (82)   (1.13)%
Concho Resources Inc   (536)   (82)   (1.13)%
Glencore PLC   (189)   (82)   (1.13)%
Komatsu Ltd   (2,686)   (82)   (1.13)%
John Wood Group PLC   (80)   (81)   (1.11)%
Yakult Honsha Co Ltd   (984)   (81)   (1.11)%
Konica Minolta Inc   7,583    81    1.11%
Under Armour Inc   (3,794)   (81)   (1.11)%
Activision Blizzard Inc   (966)   (80)   (1.11)%
Daifuku Co Ltd   (1,578)   (80)   (1.11)%
AIA Group Ltd   (8,994)   (80)   (1.11)%
Marubeni Corp   8,773    80    1.11%
Vistra Energy Corp   3,225    80    1.11%
Vertex Pharmaceuticals Inc   (414)   (80)   (1.10)%
Encana Corp   (6,076)   (80)   (1.10)%
Parsley Energy Inc   (2,720)   (80)   (1.10)%
SoftBank Group Corp   (788)   (80)   (1.10)%
Ono Pharmaceutical Co Ltd   (2,810)   (79)   (1.10)%
Under Armour Inc   (4,077)   (79)   (1.09)%
Juniper Networks Inc   2,645    79    1.09%
Apache Corp   (1,661)   (79)   (1.09)%
Porsche Automobil Holding SE   1,175    79    1.09%
Symantec Corp   (3,712)   (79)   (1.09)%
Baker Hughes a GE Co   (2,334)   (79)   (1.09)%
Alkermes PLC   (1,856)   (79)   (1.09)%
Netflix Inc   (210)   (79)   (1.09)%
ConocoPhillips   1,017    79    1.09%
Kakaku.com Inc   4,020    79    1.08%
Keyence Corp   (135)   (78)   (1.08)%
TechnipFMC PLC   (2,511)   (78)   (1.08)%
Sprint Corp   (11,992)   (78)   (1.08)%
Mitsui & Co Ltd   4,412    78    1.08%
Cooper Cos Inc/The   283    78    1.08%
Oracle Corp   (1,517)   (78)   (1.08)%
Occidental Petroleum Corp   952    78    1.08%
Reckitt Benckiser Group PLC   (9)   (78)   (1.08)%
Nintendo Co Ltd   (214)   (78)   (1.08)%
Liberty Global PLC   (2,698)   (78)   (1.08)%
Fortinet Inc   845    78    1.08%
Lululemon Athletica Inc   480    78    1.08%
Computershare Ltd   5,405    78    1.07%
Electronic Arts Inc   (646)   (78)   (1.07)%
Methanex Corp   985    78    1.07%
Broadcom Inc   (315)   (78)   (1.07)%
Autodesk Inc   (497)   (78)   (1.07)%
Brookfield Property REIT Inc   3,704    78    1.07%

 

(y)Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Cash          
US DOLLAR   2,992    100.00%

 

See notes to unaudited consolidated schedule of investments.

 

 18 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(z)Global developed markets equity strategy designed to allocate to rewarding style factors in a risk-controlled framework. Rule based market-neutral long/short index strategy combining equity value, quality, size, low volatility, and momentum factor exposures using a conditional risk parity allocation framework.

 

Top Underlying Components  Shares   Notional   Percentage
of Notional		 
Cash               
US DOLLAR        5,863    100.97%
Common Stock               
Sempra Energy   (1,337)   (152)   (2.62)%
Liberty Global PLC   (5,222)   (147)   (2.53)%
Liberty Global PLC   (5,060)   (146)   (2.52)%
Tesla Inc   (548)   (145)   (2.50)%
PG&E Corp   (3,127)   (144)   (2.48)%
ABIOMED Inc   317    143    2.46%
Barrick Gold Corp   (12,337)   (137)   (2.35)%
RioCan Real Estate Investment   6,526    125    2.15%
Crown Castle International Cor   (1,118)   (124)   (2.14)%
H&R Real Estate Investment Tru   8,081    124    2.14%
Nektar Therapeutics   2,034    124    2.14%
Valero Energy Corp   1,025    117    2.01%
Liberty Media Corp-Liberty For   (3,099)   (115)   (1.98)%
Interpublic Group of Cos Inc/T   5,038    115    1.98%
MercadoLibre Inc   (323)   (110)   (1.90)%
Brookfield Property REIT Inc   5,223    109    1.88%
United Therapeutics Corp   850    109    1.87%
Western Union Co/The   5,638    107    1.85%
Arconic Inc   (4,881)   (107)   (1.85)%
Seagate Technology PLC   2,220    105    1.81%
H&R Block Inc   4,066    105    1.80%
General Electric Co   (9,164)   (103)   (1.78)%
American Express Co   (966)   (103)   (1.77)%
Concho Resources Inc   (653)   (100)   (1.72)%
Alnylam Pharmaceuticals Inc   (1,108)   (97)   (1.67)%
Equinix Inc   (223)   (97)   (1.67)%
Vistra Energy Corp   (3,881)   (97)   (1.66)%
Cadence Design Systems Inc   2,119    96    1.65%
Facebook Inc   (583)   (96)   (1.65)%
Robert Half International Inc   1,318    93    1.60%
Charles Schwab Corp/The   (1,881)   (92)   (1.59)%
Walmart Inc   (978)   (92)   (1.58)%
Phillips 66   799    90    1.55%
Coca-Cola Co/The   (1,945)   (90)   (1.55)%
DENTSPLY SIRONA Inc   (2,375)   (90)   (1.54)%
SmartCentres Real Estate Inves   3,781    89    1.54%
HollyFrontier Corp   1,272    89    1.53%
eBay Inc   (2,686)   (89)   (1.53)%
Arrow Electronics Inc   1,200    88    1.52%
Philip Morris International In   (1,078)   (88)   (1.51)%
First Capital Realty Inc   5,749    87    1.50%
Honeywell International Inc   (530)   (84)   (1.45)%
Xerox Corp   3,078    83    1.43%
Keyera Corp   3,080    83    1.42%
Inter Pipeline Ltd   4,752    82    1.42%
Under Armour Inc   (4,229)   (82)   (1.42)%
Jack Henry & Associates Inc   511    82    1.41%
Metro Inc   2,604    81    1.40%
DXC Technology Co   863    81    1.39%

 

(aa)Dynamic strategy designed to provide a hedge in times of equity market stress. The strategy buys VIX futures when risk-off signal is triggered with the size dependent on the magnitude of the risk-off signal.

 

Top Underlying Components   Notional   Percentage
of Notional		 
Cash               
US DOLLAR        2,400    100.00%

 

See notes to unaudited consolidated schedule of investments.

 

 19 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(bb)Seeks to provide directional exposure that is short Wilshire US Large Cap Growth Equities.

 

Top Underlying Components  Shares   Notional   Percentage
of Notional		 
Common Stock               
Apple Inc   (6,678)   (1,507)   (5.47)%
Amazon.com Inc   (737)   (1,477)   (5.36)%
Alphabet Inc   (1,117)   (1,333)   (4.84)%
Berkshire Hathaway Inc   (5,684)   (1,217)   (4.42)%
Facebook Inc   (5,585)   (918)   (3.33)%
Bank of America Corp   (24,706)   (728)   (2.64)%
Visa Inc   (4,423)   (664)   (2.41)%
UnitedHealth Group Inc   (2,217)   (590)   (2.14)%
Home Depot Inc/The   (2,718)   (563)   (2.04)%
Mastercard Inc   (2,305)   (513)   (1.86)%
Citigroup Inc   (6,748)   (484)   (1.76)%
Boeing Co/The   (1,298)   (483)   (1.75)%
Walt Disney Co/The   (3,759)   (440)   (1.60)%
Comcast Corp   (10,980)   (389)   (1.41)%
NVIDIA Corp   (1,333)   (375)   (1.36)%
Netflix Inc   (819)   (306)   (1.11)%
Honeywell International Inc   (1,898)   (302)   (1.10)%
Adobe Inc   (1,086)   (293)   (1.06)%
NIKE Inc   (3,039)   (257)   (0.93)%
Costco Wholesale Corp   (1,055)   (248)   (0.90)%
Thermo Fisher Scientific Inc   (966)   (236)   (0.86)%
Gilead Sciences Inc   (3,030)   (234)   (0.85)%
salesforce.com Inc   (1,457)   (232)   (0.84)%
Goldman Sachs Group Inc/The   (975)   (219)   (0.79)%
Lockheed Martin Corp   (630)   (218)   (0.79)%
Booking Holdings Inc   (105)   (208)   (0.75)%
Lowe's Cos Inc   (1,808)   (208)   (0.75)%
PayPal Holdings Inc   (2,266)   (199)   (0.72)%
United Parcel Service Inc   (1,691)   (197)   (0.72)%
Starbucks Corp   (3,376)   (192)   (0.70)%
EOG Resources Inc   (1,362)   (174)   (0.63)%
Celgene Corp   (1,937)   (173)   (0.63)%
TJX Cos Inc/The   (2,996)   (168)   (0.61)%
Anthem Inc   (594)   (163)   (0.59)%
Walgreens Boots Alliance Inc   (2,106)   (154)   (0.56)%
Biogen Inc   (430)   (152)   (0.55)%
Danaher Corp   (1,379)   (150)   (0.54)%
Charles Schwab Corp/The   (3,042)   (150)   (0.54)%
American Tower Corp   (1,024)   (149)   (0.54)%
Charter Communications Inc   (445)   (145)   (0.53)%
Aetna Inc   (702)   (142)   (0.52)%
Colgate-Palmolive Co   (2,074)   (139)   (0.50)%
BlackRock Inc   (288)   (136)   (0.49)%
FedEx Corp   (559)   (135)   (0.49)%
Activision Blizzard Inc   (1,576)   (131)   (0.48)%
Bank of New York Mellon Corp/T   (2,504)   (128)   (0.46)%
S&P Global Inc   (618)   (121)   (0.44)%
Express Scripts Holding Co   (1,237)   (118)   (0.43)%
Intuitive Surgical Inc   (203)   (117)   (0.42)%
Cigna Corp   (559)   (116)   (0.42)%

 

See notes to unaudited consolidated schedule of investments.

 

 20 

 

  

FS Multi-Strategy Alternatives Fund

Unaudited Consolidated Schedule of Investments (continued)

As of September 30, 2018

(dollar values in thousands, except share and per share amounts)

 

 

(cc)Seeks to provide directional exposure that is long Wilshire US Large Cap Value Equities.

 

Top Underlying Components  Shares   Notional   Percentage
of Notional		 
Common Stock               
Microsoft Corp   22,325    2,553    6.79%
JPMorgan Chase & Co   10,216    1,153    3.07%
Johnson & Johnson   8,042    1,111    2.96%
Exxon Mobil Corp   12,648    1,075    2.86%
Pfizer Inc   17,336    764    2.03%
Cisco Systems Inc   14,727    716    1.91%
Chevron Corp   5,734    701    1.86%
Wells Fargo & Co   12,923    679    1.81%
Intel Corp   13,503    639    1.70%
Verizon Communications Inc   11,881    634    1.69%
Procter & Gamble Co/The   7,301    608    1.62%
AT&T Inc   17,607    591    1.57%
Merck & Co Inc   7,909    561    1.49%
Coca-Cola Co/The   11,127    514    1.37%
Oracle Corp   9,592    495    1.32%
DowDuPont Inc   7,419    477    1.27%
PepsiCo Inc   3,974    444    1.18%
Walmart Inc   4,570    429    1.14%
AbbVie Inc   4,143    392    1.04%
McDonald's Corp   2,336    391    1.04%
International Business Machine   2,548    385    1.02%
3M Co   1,751    369    0.98%
Abbott Laboratories   4,957    364    0.97%
Philip Morris International In   4,454    363    0.97%
Union Pacific Corp   2,196    358    0.95%
Amgen Inc   1,715    355    0.95%
Altria Group Inc   5,428    327    0.87%
United Technologies Corp   2,291    320    0.85%
Bristol-Myers Squibb Co   4,745    295    0.78%
General Electric Co   25,614    289    0.77%
Eli Lilly & Co   2,640    283    0.75%
Texas Instruments Inc   2,628    282    0.75%
QUALCOMM Inc   3,866    278    0.74%
ConocoPhillips   3,521    273    0.72%
Caterpillar Inc   1,693    258    0.69%
US Bancorp   4,671    247    0.66%
CVS Health Corp   2,971    234    0.62%
Schlumberger Ltd   3,769    230    0.61%
American Express Co   2,059    219    0.58%
NextEra Energy Inc   1,285    215    0.57%
Allergan PLC   1,015    193    0.51%
PNC Financial Services Group I   1,402    191    0.51%
Automatic Data Processing Inc   1,253    189    0.50%
Mondelez International Inc   4,344    187    0.50%
Occidental Petroleum Corp   2,251    185    0.49%
Becton Dickinson and Co   668    174    0.46%
Simon Property Group Inc   982    174    0.46%
Raytheon Co   818    169    0.45%
CSX Corp   2,253    167    0.44%
Duke Energy Corp   2,083    167    0.44%

 

(dd) Seeks to monetize the tendency for the equity market to mean revert over short periods of time.

 

Top Underlying Components  Notional   Percentage
of Notional		 
Index          
S&P 500 Index   (54)   (2.67)%

 

F - Federal Funds Effective Rate (As of September 30, 2018, F was 2.18%)

 

LIBOR - London Interbank Offered Rate (As of September 30, 2018, One Month LIBOR was 2.26%)

 

USD—US Dollar, JPY—Japanese Yen, CHF—Swiss Franc, CAD—Canadian Dollar, SEK—Swedish Krona, NOK—Norwegian Krone, IDR—Indonesian Rupiah, INR—India Rupee, KRW—South Korean Won, PLN—Polish Zloty, MXN—Mexican Peso, ZAR—South African Rand, SGD—Singapore Dollar, CNH—Chinese Yuan, PHP—Philippine Peso, ILS—Israeli Shekel, CZK—Czech Koruna, EUR—Euro, HUF—Hungarian Forint, RUB—Russian Ruble, NZD—New Zealand Dollar, GBP—British Pound, TRY—Turkish Lira, TWD—Taiwan Dollar, CLP—Chilean Peso, BRL—Brazilian Real, AUD—Australian Dollar

 

See notes to unaudited consolidated schedule of investments.

 

 21 

 

 

Investment Portfolio

 

The information contained in this section should be read in conjunction with the Fund’s audited financial statements contained in its annual report for the period from May 16, 2017 (Commencement of Operations) to December 31, 2017.

 

The following table summarizes the composition of the Fund’s investment portfolio at cost and fair value as of September 30, 2018:

 

   Amortized Cost(1)   Fair Value   Percentage
of Portfolio		 
Corporate Bonds  $23,238   $23,239    27%
Convertible Bonds   13,971    14,097    17%
Convertible Preferred Stock   1,005    1,010    1%
Common Stock   11    11    0%
Short-Term Investments   47,494    47,494    55%
Put Options Purchased   3    2    0%
   $85,722   $85,853    100%

 

 

(1)Amortized cost represents the original cost adjusted for the amortization of premiums and/or accretion of discounts, as applicable, on investments.

 

In general, under the 1940 Act, the Fund would be presumed to “control” a portfolio company if it owned more than 25% of its voting securities or it had the power to exercise control over the management or policies of such portfolio company, and would be an “affiliated person” of a portfolio company if it owned 5% or more of its voting securities.

 

As of September 30, 2018, the Fund was not deemed to “control” any of its portfolio companies and was not deemed to be an “affiliated person” of any of its portfolio companies, each as defined in the 1940 Act.

 

The table below describes investments by industry classification and enumerates the percentage, by fair value, of the total portfolio assets in such industries as of September 30, 2018:

 

 22 

 

 

Industry Classification  Fair Value   Percentage
of Portfolio		 
Short-Term Investments  $47,494    55.3%
Real Estate Investment Trusts   4,792    5.6%
Internet   2,833    3.3%
Media Entertainment   2,690    3.1%
Software   1,970    2.3%
Home Builders   1,926    2.3%
Biotechnology   1,759    2.1%
Semiconductors   1,570    1.8%
Telecommunications   1,424    1.7%
Auto Manufacturers   1,376    1.6%
Aerospace/Defense   1,356    1.6%
Healthcare-Services   1,282    1.5%
Healthcare-Products   1,266    1.5%
Electric   1,010    1.2%
Oil & Gas Services   777    0.9%
Environmental Control   747    0.9%
Distribution/Wholesale   722    0.8%
Entertainment   713    0.8%
IT Services   665    0.8%
Commercial Services   636    0.7%
Advertising   616    0.7%
Lodging   555    0.7%
Insurance   537    0.6%
Pharmaceuticals   537    0.6%
Investment Company Security   502    0.6%
Iron/Steel   501    0.6%
Pipelines   476    0.6%
Electronics   467    0.5%
Engineering & Construction   432    0.5%
Agriculture   418    0.5%
Oil & Gas   379    0.4%
Trucking & Leasing   379    0.4%
Financial Services   360    0.4%
Miscellaneous Manufacturing   356    0.4%
Retail   338    0.4%
Diversified Financial Services   314    0.4%
Real Estate   302    0.4%
Leisure Time   296    0.3%
Packaging & Containers   274    0.3%
Exploration & Production   250    0.3%
Construction Materials   205    0.2%
Gas   203    0.2%
Food   148    0.2%
   $85,853    100.0%

  

Under existing accounting guidance, fair value is defined as the price that the Fund would receive upon selling an investment or pay to transfer a liability in an orderly transaction to a market participant in the principal or most advantageous market for the investment. This accounting guidance emphasizes that valuation techniques maximize the use of observable market inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the Fund. Unobservable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.

 

 23 

 

 

The Fund classifies the inputs used to measure these fair values into the following hierarchy as defined by current accounting guidance:

 

Level 1: Inputs that are quoted prices (unadjusted) in active markets for identical assets or liabilities. 

Level 2: Inputs that are quoted prices for similar assets or liabilities in active markets. 

Level 3: Inputs that are unobservable for an asset or liability.

 

A financial instrument’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.

 

As of September 30, 2018, the Fund’s investments were categorized as follows in the fair value hierarchy:

 

Valuation Inputs    
Level 1—Price quotations in active markets  $1,023 
Level 2—Significant other observable inputs   84,830 
Level 3—Significant unobservable inputs   - 
   $85,853 

 

As of September 30, 2018, the Fund’s investments sold short were categorized as follows in the fair value hierarchy:

 

Valuation Inputs    
Level 1—Price quotations in active markets  $(7,552)
Level 2—Significant other observable inputs   (166)
Level 3—Significant unobservable inputs   - 
   $(7,718)

 

As of September 30, 2018, the Fund’s total return swaps were categorized as follows in the fair value hierarchy (amount shown represents unrealized gain (loss) at period end):

 

Valuation Inputs  Assets   Liabilities 
Level 1—Price quotations in active markets  $-   $- 
Level 2—Significant other observable inputs   658    1,070 
Level 3—Significant unobservable inputs   -    - 
   $658   $1,070 

 

 24 

 

  

Item 2.Controls and Procedures.

 

(a) The Trust’s principal executive officer and principal financial officer have evaluated the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) as of a date within 90 days of the filing of this Form N-Q and have concluded that the Trust’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the Trust in this Form N-Q was recorded, processed, summarized and reported timely.

 

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

 

Item 3.Exhibits.

 

The certifications of the Trust’s principal executive officer and principal financial officer required by Rule 30a-2(a) under the 1940 Act are attached hereto.

 

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SIGNATURES

 

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

 

  FS Series Trust

 

  By: /s/ Michael C. Forman

    Name: Michael C. Forman
    Title: President
    Date: November 29, 2018

 

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

 

  By: /s/ Michael C. Forman

    Name: Michael C. Forman
    Title: President
      (Principal Executive Officer)
    Date: November 29, 2018

 

  By: /s/ William Goebel

    Name: William Goebel
    Title: Chief Financial Officer
      (Principal Financial Officer)
    Date: November 29, 2018