N-CSR 1 f10072d1.htm COLUMBIA FUNDS SERIES TRUST I Columbia Funds Series Trust I

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 

FORM N-CSR 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES 

Investment Company Act file number811-04367 

Columbia Funds Series Trust I 

(Exact name of registrant as specified in charter) 

290 Congress Street 

Boston, MA 02210

(Address of principal executive offices) (Zip code)
 

Daniel J. Beckman 

c/o Columbia Management Investment Advisers, LLC 

290 Congress Street 

Boston, MA 02210 

  

Ryan C. Larrenaga, Esq. 

c/o Columbia Management Investment Advisers, LLC 

290 Congress Street 

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

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

Date of fiscal year end:  August 31 

Date of reporting period:  August 31, 2021 

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

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

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

Item 1. Reports to Stockholders. 


Annual Report
August 31, 2021
Multi-Manager Alternative Strategies Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports like this one are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on the Fund’s website (columbiathreadneedleus.com/investor/), and each time a report is posted you will be notified by mail and provided with a website address to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically at any time by contacting your financial intermediary (such as a broker-dealer or bank) or, for Fund shares held directly with the Fund, by calling 800.345.6611 or by enrolling in “eDelivery” by logging into your account at columbiathreadneedleus.com/investor/.
You may elect to receive all future shareholder reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue receiving paper copies of your shareholder reports. If you invest directly with the Fund, you can call 800.345.6611 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive paper reports will apply to all Columbia Funds held in your account if you invest through a financial intermediary or all Columbia Funds held with the fund complex if you invest directly with the Fund.
Not Federally Insured • No Financial Institution Guarantee • May Lose Value

Table of Contents
If you elect to receive the shareholder report for Multi-Manager Alternative Strategies Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website (columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, can also be obtained without charge, upon request, by calling 800.345.6611.
Additional Fund information
For more information about the Fund, please visit columbiathreadneedleus.com/investor/ or call 800.345.6611. Customer Service Representatives are available to answer your questions Monday through Friday from 8 a.m. to 7 p.m. Eastern time.
You may obtain the current net asset value (NAV) of Fund shares at no cost by calling 800.345.6611 or by sending an e-mail to serviceinquiries@columbiathreadneedle.com.
Fund investment manager
Columbia Management Investment Advisers, LLC (the Investment Manager)
290 Congress Street
Boston, MA 02210
Fund distributor
Columbia Management Investment Distributors, Inc.
290 Congress Street
Boston, MA 02210
Fund transfer agent
Columbia Management Investment Services Corp.
P.O. Box 219104
Kansas City, MO 64121-9104
Multi-Manager Alternative Strategies Fund  |  Annual Report 2021

Fund at a Glance
Investment objective
The Fund seeks capital appreciation with an emphasis on absolute (positive) returns.
Portfolio management
AlphaSimplex Group, LLC
Alexander Healy, Ph.D.
Kathryn Kaminski, Ph.D., CAIA
Philippe Lüdi, Ph.D., CFA
John Perry, Ph.D.
Robert Rickard
AQR Capital Management, LLC
Clifford Asness, Ph.D., M.B.A.
John Liew, Ph.D., M.B.A.
Yao Hua Ooi
Ari Levine, M.S.
Manulife Investment Management (US) LLC
Daniel Janis III
Christopher Chapman, CFA
Thomas Goggins
Kisoo Park
TCW Investment Management Company LLC
Stephen Kane, CFA
Laird Landmann
Tad Rivelle*
Bryan Whalen, CFA
Mr. Rivelle has announced his intention to retire from TCW Investment Management Company LLC on or about December 31, 2021.
Water Island Capital, LLC
Roger Foltynowicz, CFA, CAIA
Gregg Loprete
Todd Munn
Average annual total returns (%) (for the period ended August 31, 2021)
    Inception 1 Year 5 Years Life
Institutional Class* 01/03/17 4.12 1.45 1.87
FTSE Three-Month U.S. Treasury Bill Index   0.06 1.13 0.64
All results shown assume reinvestment of distributions during the period. Returns do not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares. Performance results reflect the effect of any fee waivers or reimbursements of Fund expenses by Columbia Management Investment Advisers, LLC and/or any of its affiliates. Absent these fee waivers or expense reimbursement arrangements, performance results would have been lower.
The performance information shown represents past performance and is not a guarantee of future results. The investment return and principal value of your investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance information shown. You may obtain performance information current to the most recent month-end by contacting your financial intermediary, visiting columbiathreadneedleus.com/investor/ or calling 800.345.6611.
* The returns shown for periods prior to the share class inception date (including returns for the Life of the Fund, if shown, which are since Fund inception) include the returns of the Fund’s oldest share class. Returns shown for periods prior to the inception date of the Fund’s Institutional Class shares include the returns of the Fund’s Class A shares for the period from April 23, 2012 (the inception date of the Fund) through January 2, 2017. Class A shares were offered prior to the Fund’s Institutional Class shares but have since been merged into the Fund’s Institutional Class shares. These returns are adjusted to reflect any higher class-related operating expenses of the newer share classes, as applicable. Please visit columbiathreadneedleus.com/investor/investment-products/mutual-funds/appended-performance for more information.
The FTSE Three-Month U.S. Treasury Bill Index, an unmanaged index, is representative of the performance of three-month Treasury bills.
Indices are not available for investment, are not professionally managed and do not reflect sales charges, fees, brokerage commissions, taxes or other expenses of investing. Securities in the Fund may not match those in an index.
Fund performance may be significantly negatively impacted by the economic impact of the COVID-19 pandemic. The COVID-19 pandemic has adversely impacted economies and capital markets around the world in ways that will likely continue and may change in unforeseen ways for an indeterminate period. The COVID-19 pandemic may exacerbate pre-existing political, social and economic risks in certain countries and globally.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
3

Fund at a Glance   (continued)
Performance of a hypothetical $10,000 investment (April 23, 2012 — August 31, 2021)
The chart above shows the change in value of a hypothetical $10,000 investment in Institutional Class shares of Multi-Manager Alternative Strategies Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares.
Portfolio breakdown — long positions (%) (at August 31, 2021)
Asset-Backed Securities — Non-Agency 4.2
Commercial Mortgage-Backed Securities - Agency 1.0
Commercial Mortgage-Backed Securities - Non-Agency 2.5
Common Stocks 24.1
Convertible Bonds 1.4
Convertible Preferred Stocks 0.9
Corporate Bonds & Notes 20.2
Foreign Government Obligations 6.3
Inflation-Indexed Bonds 0.1
Municipal Bonds 0.3
Options Purchased Calls 0.1
Preferred Debt 0.1
Preferred Stocks 0.1
Residential Mortgage-Backed Securities - Agency 3.7
Residential Mortgage-Backed Securities - Non-Agency 7.8
Senior Loans 1.4
Treasury Bills 6.2
U.S. Treasury Obligations 1.1
Short-Term Investments Segregated in Connection with Open Derivatives Contracts(a) 29.6
Total 111.1
    
(a) Includes investments in Money Market Funds (amounting to $140.8 million) which have been segregated to cover obligations relating to the Fund’s investment in derivatives which provide exposure to multiple markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and Note 2 to the Notes to Consolidated Financial Statements.
Percentages indicated are based upon total investments including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Portfolio breakdown — short positions (%) (at August 31, 2021)
Common Stocks (11.0)
Exchange-Traded Equity Funds (0.1)
Total (11.1)
Percentages indicated are based upon total investments including options purchased, net of investments sold short and excluding all other investments in derivatives, if any. The Fund’s portfolio composition is subject to change.
Market exposure through derivatives investments (% of notional exposure) (at August 31, 2021)(a)
  Long Short Net
Fixed Income Derivative Contracts 311.2 (235.1) 76.1
Commodities Derivative Contracts 32.7 (8.8) 23.9
Equity Derivative Contracts 67.9 (2.7) 65.2
Foreign Currency Derivative Contracts 147.2 (212.4) (65.2)
Total Notional Market Value of Derivative Contracts 559.0 (459.0) 100.0
(a) The Fund has market exposure (long and/or short) to fixed income, commodity and equity asset classes and foreign currency through its investments in derivatives. The notional exposure of a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument and/or changes in value for the instrument. The notional exposure is a hypothetical underlying quantity upon which payment obligations are computed. Notional exposures provide a gauge for how the Fund may behave given changes in individual markets. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments, and Note 2 of the Notes to Consolidated Financial Statements.
 
4 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Manager Discussion of Fund Performance
The Fund is currently managed by five independent money management firms and each invests a portion of the portfolio’s assets. As of August 31, 2021, AlphaSimplex Group, LLC (AlphaSimplex), AQR Capital Management, LLC (AQR), Manulife Investment Management (US) LLC (Manulife), TCW Investment Management Company, LLC (TCW) and Water Island Capital, LLC (Water Island) managed approximately 13.98%, 10.23%, 20.37%, 30.06% and 25.36% of the portfolio, respectively.
For the 12-month period that ended August 31, 2021, the Fund’s Institutional Class shares returned 4.12%. The Fund outperformed its benchmark, the FTSE Three-Month U.S. Treasury Bill Index, which returned 0.06% over the same time period.
Market overview
Over the 12-month period, the U.S. Federal Reserve and other world central banks maintained emergency measures put in place following the outbreak of COVID-19, with ultra-low interest rate policies and aggressive quantitative easing. This period also saw the U.S. presidential election, with more expansionary fiscal policy and spending plans from the new administration, as well as a combination of hope sparked by the global rollout of vaccines for COVID-19 and uncertainty and fear caused by another rise in COVID-19 cases. Markets gained momentum throughout the first half of 2021, as the prospect for a gradual resumption of normal business conditions led to a pronounced improvement in both economic growth and corporate earnings and a sharp increase in energy prices. A combination of factors resulted in disruptions to global supply chains and labor markets and added to concerns of more persistent inflation over the longer term. Over the last few months of the period, the spread of the COVID-19 Delta variant renewed concerns over what the impact of further government measures to combat the spread of the virus might have on economic reopening and consumer sentiment more broadly.
In this low-yield environment, the Fund benefited from positive market sentiment and investor demand for yield, as well as from higher energy prices and general consumer optimism around economic reopening and a return to normality.
AlphaSimplex
Our portion of the Fund is compared to the SG Trend Index, which it underperformed over the 12-month that ended August 31, 2021. The SG Trend Index does not have published weights. However, our research indicates that the underperformance may be due to short-term market turbulence that affected the strategy’s performance in fixed income and currencies.
Derivatives are used to pursue the investment objectives of the Fund, to manage overall market exposure and for alpha generation. The derivatives employed in our portion of the Fund are primarily exchange-traded futures contracts, which are used to gain liquid exposure to and rotate among a broad array of markets. Derivatives may be used to obtain long or short exposure to a particular asset class, region, currency, commodity, or index. With the exception of returns generated by the portfolio’s short-term cash portfolio, the performance results described above are entirely due to the performance of the Fund’s derivative instruments.
Notable detractors in our portion of the Fund
Fixed income and currencies detracted from performance in our portion of the Fund during the reporting period.
Within fixed income, losses came from the U.S. and international developed markets, especially towards the end of the period as yields began to rise.
Currency losses were driven by developed market currencies, especially the Swiss franc and euro.
The portfolio also saw some losses from precious metals and livestock.
The top individual detractors from performance over the period were the Swiss Franc, gold, and the Euro.
Notable contributors in our portion of the Fund
Long positions in commodities and equities contributed to returns within our portion of the Fund during the period.
Within commodities, gains came primarily from agricultural commodities (especially the soy complex and corn), with base metals (especially copper) and energies also contributing positively.
Multi-Manager Alternative Strategies Fund | Annual Report 2021
5

Manager Discussion of Fund Performance  (continued)
In equities, the strategy had gains across the board, especially from long positions in U.S. and international developed markets.
Within the different model types, our portion of the Fund saw positive performance from all model types, with adaptive models outperforming the short-horizon and basic multi-trend models.
The top individual contributors to performance over the period were copper, soybeans, and the S&P 500 Index.
AQR
Our portion of the Fund underperformed the benchmark during the 12-month period ending August 31, 2021.
Our portion of the Fund pursues an active managed futures strategy that invests in a diverse portfolio of futures and forwards across global equity, fixed income, currency, and commodity markets. The strategy uses both short-term and long-term trend-following signals to attempt to profit from different types of trends that occur in these markets. Trend following can simply be described as going long markets that have been rising in price and going short markets that have been falling in price. In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies. Implementing a systematic trend following strategy, we make decisions for our portion of the Fund based on signals which use futures and forward market returns as their primary input. As such, it is designed to position itself to exploit the behavioral biases of market participants.
Our portion of the Fund is primarily implemented through derivative instruments, as we believe derivatives offer the most liquid, cost-effective and efficient way to gain diversified exposure across asset classes.
Notable detractors in our portion of the Fund
The largest detractors during the period were the Polish zloty, gold and the Pound sterling.
More broadly, reversals in currencies drove losses as the U.S. dollar experienced whipsaw relative to other developed and emerging market currencies.
Trend following in fixed income also detracted during the period, as positive news regarding the COVID-19 vaccines caused global fixed-income markets to self-off in late-2020, resulting in losses from long exposures and causing positioning to turn short. This was initially profitable in early-2021 but detracted late in the period as sovereign bond markets rallied.
Notable contributors in our portion of the Fund
The largest positive contributors during the period were soybeans, copper and corn.
More broadly, trend following in commodities contributed positively to performance during the period.
Net long exposures in agricultural commodities, base metals and energies benefited as commodities across sectors rallied on expectations of general economic reopening for much of the period.
Trend following in equities also generated positive returns over the period, benefiting from sustained rallies in global equities.
Manulife
Our portion of the Fund’s portfolio outperformed the benchmark during the period.
Our portion of the Fund used foreign currency exchange forwards and interest rate futures during the period for hedging and investment purposes. The strategy may also engage in exchange-traded interest rate futures for investment or hedging purposes. These strategies are used to manage the inherent interest rate risk in the underlying bond portfolio and can be implemented with respect to specific portfolio holdings, or to the entire portfolio, or to both.
6 Multi-Manager Alternative Strategies Fund | Annual Report 2021

Manager Discussion of Fund Performance  (continued)
Notable contributors in our portion of the Fund
Sector allocation was the largest contributor overall in our portion of the portfolio, led by broad-based spread sector exposure, particularly within high-yield and investment-grade credit, convertible bonds, equities, emerging market credit and sovereign bonds.
From an industry perspective, the three largest contributors were allocations to banking, communications, and consumer cyclical names.
From a security selection perspective, American Airlines, Bank of America, and Broadcom were the largest contributors.
Currency management was the second largest contributor in our portion of the Fund’s portfolio.
With respect to individual FX contributors, overweight exposure to the Canadian dollar, New Zealand dollar, Indonesian rupiah, and Brazilian real all helped.
From a country allocation perspective, the top three contributors in our portion of the Fund’s portfolio were local market positions in the Eurozone, Indonesia, and Japan due to favorable interest rate movement relative to the domestic U.S. market.
Notable detractors in our portion of the Fund
Relative to the benchmark, duration and curve positioning was the largest detractor in our portion of the Fund. As yields rose in the United States, particularly towards the longer end of the curve, our average duration of three years hurt.
A small allocation to real estate investment trusts (REITS) within our portion of the Fund also weighed on results during the period.
From a security selection perspective, the top three detractors were U.S. Treasuries broadly, Uber, and GM.
With respect to currencies, overweight exposure to the euro, Australian dollar, and Norwegian krone detracted.
In terms of country allocations, the top three detractors were in local markets of Brazil, Mexico, and Malaysia where rates moved higher in response to elevated inflation concerns.
TCW
Our portion of the Fund outperformed the benchmark during the 12-month period that ended August 31, 2021.
Our portion of the Fund held Treasury futures during the year as a method of managing duration. The Fund had a position in Japanese government-issued T-bills, with the Yen exposure fully hedged out using a U.S. Dollar-Yen cross currency swap, given an attractive yield premium. As the value proposition became less appealing in our view, the position was exited.
Notable contributors in our portion of the Fund
Outperformance was largely driven by corporate credit exposure given ongoing yield compression, with most sectors having fully remediated to (and even through in many cases) pre-COVID-19 levels.
Contributions were led by finance companies and midstream energy names.
The small allocation to high-yield corporates was also additive, as it was one of the best performing fixed-income sectors with an over 10% return and 1,080 bps of positive excess return over Treasuries.
Outside of credit, securitized products holdings boosted performance, led by legacy non-agency MBS, which was supported by a strong fundamental backdrop of housing strength (i.e., robust demand and scarce inventory).
Multi-Manager Alternative Strategies Fund | Annual Report 2021
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Manager Discussion of Fund Performance  (continued)
Notable detractors in our portion of the Fund
The most significant detractor from performance was the duration position as rates rose across the yield curve year-over-year (despite some retracement in recent months, the 10-Year yield was still nearly 60 bps higher during the period).
Meanwhile, though favorable issue selection was positive, overall sector exposure to agency MBS detracted given negative excess returns for the trailing year.
Water Island Capital
Our portion of the Fund outperformed the benchmark during the 12-month period that ended August 31, 2021. Our portion of the Fund’s successful outperformance relative to the risk-free benchmark can primarily be attributed to event selection in our merger arbitrage sleeve – both in choosing the correct events in which to invest and, perhaps more importantly, avoiding those merger arbitrage investments whose catalysts we believe were unlikely to occur or were likely to encounter trouble.
The first eight months of 2021 were notable as they represented a remarkable turnaround for announced mergers and acquisitions activity from one year prior, when deal flow had essentially ground to a halt after the start of the COVID-19 pandemic. The activity has been broad-based across sectors, although the level of consolidation in the technology space has been particularly impressive. In addition, private equity buyers continued to put cash to work, with the level of financial sponsor activity also setting records. Despite short-term interest rates hovering near zero, plentiful deal flow and ongoing volatility have conspired to maintain deal spreads at what we believed to be attractive levels.
The Fund invests in derivatives in the form of total return equity swaps, equity options, and currency forwards. Derivatives serve four core purposes in our management of the portfolio. First is to hedge currency risk. Next is to invest outside the U.S. more efficiently. At times, we may also utilize derivatives to create income and optionality. Lastly, and perhaps most importantly, we utilize derivatives in an attempt to limit volatility and correlation, employing derivatives such as options to hedge events and certain positions when appropriate.
Notable contributors in our portion of the Fund
Both of our sub-strategy sleeves – merger arbitrage and credit opportunities – generated positive returns for our portion of the Fund during the period. The merger arbitrage sleeve comprised the bulk of the portfolio for the period and was thus responsible for most of the positive performance in our portion of the Fund.
Top performing sectors were information technology, health care, and real estate, each driven primarily by the successful completion of idiosyncratic merger arbitrage investments in deals within those sectors.
The top performing investment overall was our position in the acquisition of Acacia Communications Inc. by Cisco Systems Inc. In July 2019, Cisco Systems – a U.S.-based provider of communications and networking equipment – reached an agreement to acquire Acacia Communications – a US-based manufacturer of fiber-optic transmission hardware – for $3.1 billion in cash.
Due to a lengthy review process in China, the deal arrived at its termination date in early January 2021 without having received all required regulatory approvals. Acacia, who had seen its business improve significantly in the time since the deal’s announcement, attempted to exercise its right to terminate the transaction.
Cisco was clearly committed to acquiring the asset, however, as it sought an injunction preventing Acacia from terminating the deal and – just three days later – the companies announced they had arrived at an amended merger agreement. Cisco’s revised offer was worth $5.0 billion, more than 60% higher than the original terms. The deal received all remaining regulatory approvals and completed successfully in March, leading to gains for our portion of the Fund.
Our portion of the portfolio also experienced positive returns in successful merger arbitrage investments targeted in the United Kingdom, Continental Europe, and Asia-Pacific regions.
8 Multi-Manager Alternative Strategies Fund | Annual Report 2021

Manager Discussion of Fund Performance  (continued)
Top foreign contributors include the acquisition of Finland-based Tikkurila by PPG, which closed successfully in June, and the acquisition of U.K.-based Kaz Minerals by Nova Resources, which was forced to increase its offer after Kaz shareholders agitated for a better price.
Notable detractors in our portion of the Fund
On a sector basis, the financials sector detracted most from our portion of the Fund, while the industrials and utilities sectors also detracted from returns slightly.
The top detractor in the financials sector – and the top detractor in our portion of the Fund overall – was our position in the failed merger of Willis Towers Watson PLC and Aon PLC.
In March 2020, Willis Towers Watson, a U.K.-based provider of insurance brokerage services, agreed to be acquired by Aon, a U.S.-based peer, for $30.3 billion in stock.
The companies had already agreed to remedies with competition regulators in all required jurisdictions but one – the United States – when, following a second request from U.S. regulators, the U.S. Department of Justice (DOJ) sued to block the merger in June 2021. The companies proposed remedies to satisfy most of the DOJ’s concerns and we believed they had a strong case against the DOJ’s final objection, however, in July they announced they had abandoned their planned merger rather than go to court to defend the deal.
We believe Willis Towers Watson ultimately felt its business was being hindered by the lengthy duration of the transaction and the company did not want to wait any longer. The news of the lawsuit and eventual failure of this deal caused widespread volatility across the merger arbitrage universe, which, in turn, led to mark-to-market losses in other unrelated transactions near the end of the period.
The largest international detractor was the acquisition of South Korea-based Magnachip by South Korea-based private equity firm Wise Road Capital, after the deal encountered objections from the Committee on Foreign Investment in the United States, based on national security risks stemming from concerns that financing for the deal had been provided by China.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Social impact investing may increase risk due to the limitations and constraints involved in investment selection and, as a result, the Fund may underperform other funds that do not consider the social impact. Fixed-income securities present issuer default risk. A rise in interest rates may result in a price decline of fixed-income instruments held by the Fund, negatively impacting its performance and NAV. Falling rates may result in the Fund investing in lower yielding debt instruments, lowering the Fund’s income and yield. These risks may be heightened for longer maturity and duration securities. Non-investment-grade (high-yield or junk) securities present greater price volatility and more risk to principal and income than higher rated securities. Prepayment and extension risk exists because the timing of payments on a loan, bond or other investment may accelerate when interest rates fall or decelerate when interest rates rise which may reduce investment opportunities and potential returns. The Fund invests substantially in municipal securities and will be affected by tax, legislative, regulatory, demographic or political changes, as well as changes impacting a state’s financial, economic or other conditions. A relatively small number of tax-exempt issuers may necessitate the Fund investing more heavily in a single issuer and, therefore, be more exposed to the risk of loss than a fund that invests more broadly. The Fund may invest significantly in issuers within a particular sector, which may be negatively affected by market, economic or other conditions, making the Fund more vulnerable to unfavorable developments in the sector. Market or other (e.g., interest rate) environments may adversely affect the liquidity of fund investments, negatively impacting their price. Generally, the less liquid the market at the time the Fund sells a holding, the greater the risk of loss or decline of value to the Fund. See the Fund’s prospectus for more information on these and other risks.
The views expressed in this report reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
Multi-Manager Alternative Strategies Fund | Annual Report 2021
9

Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which may include redemption fees. There are also ongoing fund costs, which generally include management fees, distribution and/or service fees, and other fund expenses. The following information is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to help you compare these costs with the ongoing costs of investing in other mutual funds.
Analyzing your Fund’s expenses
To illustrate these ongoing costs, we have provided examples and calculated the expenses paid by investors in each share class of the Fund during the period. The actual and hypothetical information in the table is based on an initial investment of $1,000 at the beginning of the period indicated and held for the entire period. Expense information is calculated two ways and each method provides you with different information. The amount listed in the “Actual” column is calculated using the Fund’s actual operating expenses and total return for the period. You may use the Actual information, together with the amount invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
March 1, 2021 — August 31, 2021
  Account value at the
beginning of the
period ($)
Account value at the
end of the
period ($)
Expenses paid during
the period ($)
Fund’s annualized
expense ratio (%)
  Actual Hypothetical Actual Hypothetical Actual Hypothetical Actual
Institutional Class 1,000.00 1,000.00 1,006.20 1,018.60 6.90 6.94 1.35
Expenses paid during the period are equal to the annualized expense ratio for each class as indicated above, multiplied by the average account value over the period and then multiplied by the number of days in the Fund’s most recent fiscal half year and divided by 365.
Expenses do not include fees and expenses incurred indirectly by the Fund from its investment in underlying funds, including affiliated and non-affiliated pooled investment vehicles, such as mutual funds and exchange-traded funds.
The Fund is offered only through certain wrap fee programs sponsored and/or managed by Ameriprise Financial, Inc. or its affiliates, and to group retirement plan record keeping platforms that have an agreement with (i) Columbia Management Investment Distributors, Inc. or an affiliate thereof that specifically authorizes the group retirement plan record keeper to offer and/or service Instutional 3 Class shares within such platform, provided also that Fund shares are held in an omnibus account and (ii) Wilshire Associates, appointed or serving as investment manager or consultant to the record keeper’s group retirement plan platform. The Fund does not currently offer Institutional 3 Class shares. Participants in wrap fee programs pay other fees that are not included in the above table. Please refer to the wrap program documents for information about the fees charged.
10 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments
August 31, 2021
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 3.8%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
AIMCO CLO 11 Ltd.(a),(b)
Series 2020-11A Class A
3-month USD LIBOR + 1.380%
Floor 1.380%
10/15/2031
1.506%   400,000 400,315
Allegro CLO XII Ltd.(a),(b)
Series 2020-1A Class B
3-month USD LIBOR + 1.700%
Floor 1.700%
01/21/2032
1.834%   250,000 249,998
AREIT Trust(a),(b)
Subordinated Series 2020-CRE4 Class B
1-month USD LIBOR + 4.150%
Floor 4.150%
04/15/2037
4.243%   365,000 371,440
BDS Ltd.(a),(b)
Series 2020-FL6 Class D
30-day Average SOFR + 2.865%
Floor 2.750%
09/15/2035
2.912%   302,000 306,769
BlueMountain CLO Ltd.(a),(b)
Series 2013-1A Class A1R2
3-month USD LIBOR + 1.230%
Floor 1.230%
01/20/2029
1.364%   227,093 227,114
BlueMountain CLO XXX Ltd.(a),(b)
Series 2020-30A Class A
3-month USD LIBOR + 1.390%
Floor 1.390%
01/15/2033
1.516%   450,000 450,364
BlueMountain Fuji US CLO I Ltd.(a),(b)
Series 2017-1A Class BR
3-month USD LIBOR + 1.500%
Floor 1.500%
07/20/2029
1.634%   375,000 373,502
Cedar Funding XII CLO Ltd.(a),(b)
Series 2020-12A Class A
3-month USD LIBOR + 1.270%
Floor 1.300%
10/25/2032
1.395%   725,000 725,141
Conseco Finance Corp.(c)
Series 2096-9 Class M1
08/15/2027 7.630%   326,823 345,504
Conseco Finance Securitizations Corp.(b)
Series 2001-4 Class M1
1-month USD LIBOR + 1.750%
Floor 1.750%, Cap 15.000%
09/01/2033
1.836%   574,145 574,446
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
DB Master Finance LLC(a)
CMO Series 2017-1A Class A2I
11/20/2047 3.629%   193,000 194,312
Series 2019-1A Class A2I
05/20/2049 3.787%   186,200 187,971
Series 2019-1A Class A2II
05/20/2049 4.021%   98,000 102,848
Dryden Senior Loan Fund(a),(b)
Series 2013-30A Class AR
3-month USD LIBOR + 0.820%
11/15/2028
0.945%   247,376 247,454
Eaton Vance CLO Ltd.(a),(b)
Series 2013-1A Class A13R
3-month USD LIBOR + 1.250%
Floor 1.250%
01/15/2034
1.376%   625,000 625,604
ECMC Group Student Loan Trust(a),(b)
Series 2016-1A Class A
1-month USD LIBOR + 1.350%
07/26/2066
1.434%   687,269 707,838
Education Loan Asset-Backed Trust I(a),(b)
Series 2013-1 Class A2
1-month USD LIBOR + 0.800%
Floor 0.800%
04/26/2032
0.884%   378,259 380,842
Golub Capital Partners CLO 54M LP(a),(b)
Series 2021-54A Class A
3-month USD LIBOR + 1.530%
Floor 1.530%
08/05/2033
1.651%   450,000 450,042
HPS Loan Management Ltd.(a),(b)
Series 2010-A16 Class A1RR
3-month USD LIBOR + 1.140%
Floor 1.140%
04/20/2034
1.274%   450,000 450,293
Jack in the Box Funding LLC(a)
Series 2019-1A Class A2II
08/25/2049 4.476%   124,062 131,619
JG Wentworth XXII LLC(a)
Series 2010-3A Class A
12/15/2048 3.820%   399,885 418,218
LCM XXI LP(a),(b)
Series 20 18-21A Class AR
3-month USD LIBOR + 0.880%
04/20/2028
1.014%   232,031 232,063
MVW Owner Trust(a)
Series 2018-1A Class A
01/21/2036 3.450%   45,827 47,480
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
11

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Navient Student Loan Trust(b)
Series 2014-1 Class A3
1-month USD LIBOR + 0.510%
Floor 0.510%
06/25/2031
0.594%   457,992 448,362
Nelnet Student Loan Trust(a),(b)
Series 2012-1A Class A
1-month USD LIBOR + 0.800%
Floor 0.800%
12/27/2039
0.884%   360,832 360,844
OCP CLO Ltd.(a),(b)
Series 2021-21A Class B
3-month USD LIBOR + 1.700%
Floor 1.700%
07/20/2034
2.000%   300,000 300,277
OHA Credit Funding Ltd.(a),(b)
Series 2020-7A Class A
3-month USD LIBOR + 1.250%
Floor 1.250%
10/19/2032
1.384%   325,000 325,070
Palmer Square Loan Funding Ltd.(a),(b)
Series 2020-2A Class A2
3-month USD LIBOR + 1.550%
Floor 1.550%
04/20/2028
1.684%   200,000 200,077
Park Avenue Institutional Advisers CLO Ltd.(a),(b)
Series 2021-1A Class A2
3-month USD LIBOR + 1.750%
Floor 1.750%
01/20/2034
1.955%   250,000 250,068
PFP Ltd.(a),(b)
Series 2019-6 Class A
1-month USD LIBOR + 1.050%
Floor 1.050%
04/14/2037
1.146%   600,608 600,608
Sabey Data Center Issuer LLC(a)
Series 2020-1 Class A2
04/20/2045 3.812%   470,000 499,612
SLM Student Loan Trust(a),(b)
Series 2003-10A Class A3
3-month USD LIBOR + 0.470%
12/15/2027
0.589%   109,025 108,805
SLM Student Loan Trust(b)
Series 2007-3 Class A4
3-month USD LIBOR + 0.060%
Floor 0.060%
01/25/2022
0.185%   614,198 598,940
Series 2008-2 Class B
3-month USD LIBOR + 1.200%
Floor 1.200%
01/25/2083
1.325%   740,000 661,529
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2008-4 Class A4
3-month USD LIBOR + 1.650%
Floor 1.650%
07/25/2022
1.775%   344,060 347,169
Series 2008-5 Class A4
3-month USD LIBOR + 1.700%
Floor 1.700%
07/25/2023
1.825%   220,959 223,069
Series 2008-6 Class A4
3-month USD LIBOR + 1.100%
07/25/2023
1.225%   289,071 289,806
Series 2008-7 Class B
3-month USD LIBOR + 1.850%
Floor 1.850%
07/26/2083
1.975%   500,000 501,498
Series 2008-9 Class A
3-month USD LIBOR + 1.500%
Floor 1.500%
04/25/2023
1.625%   196,138 197,517
Series 2011-2 Class A2
1-month USD LIBOR + 1.200%
Floor 1.200%
10/25/2034
1.284%   1,040,000 1,063,519
Series 2012-1 Class A3
1-month USD LIBOR + 0.950%
Floor 0.950%
09/25/2028
1.034%   446,221 441,767
Subordinated Series 2004-10 Class B
3-month USD LIBOR + 0.370%
Floor 0.370%
01/25/2040
0.495%   360,111 335,615
Subordinated Series 2007-2 Class B
3-month USD LIBOR + 0.170%
07/25/2025
0.295%   700,000 631,978
Subordinated Series 2007-3 Class B
3-month USD LIBOR + 0.150%
Floor 0.150%
01/25/2028
0.275%   700,000 628,450
Subordinated Series 2012-7 Class B
1-month USD LIBOR + 1.800%
Floor 1.800%
09/25/2043
1.884%   550,000 550,171
Taco Bell Funding LLC(a)
Series 2016-1A Class A23
05/25/2046 4.970%   368,637 396,377
TAL Advantage VII LLC(a)
Series 2020-1A Class A
09/20/2045 2.050%   415,725 419,850
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
12 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
TCI-Flatiron CLO Ltd.(a),(b)
Series 2016-1A Class BR2
3-month USD LIBOR + 1.600%
Floor 1.600%
01/17/2032
1.734%   145,000 145,134
Textainer Marine Containers VIII Ltd.(a)
Series 2020-2A Class A
09/20/2045 2.100%   283,400 287,791
Series 2020-3A Class A
09/20/2045 2.110%   329,970 335,349
Tif Funding II LLC(a)
Series 2020-1A Class A
08/20/2045 2.090%   203,500 205,362
VMC Finance LLC(a),(b)
Series 2021-FL4 Class B
1-month USD LIBOR + 1.800%
Floor 1.800%
06/16/2036
1.889%   299,000 299,172
Total Asset-Backed Securities — Non-Agency
(Cost $19,785,200)
19,854,963
Commercial Mortgage-Backed Securities - Agency 0.9%
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(c),(d)
Series 2019-P002 Class X
07/25/2033 1.138%   705,000 76,085
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(d)
CMO Series K057 Class X1
07/25/2026 1.309%   3,805,262 185,422
Series 2016-KIR1 Class X
03/25/2026 1.194%   4,713,951 192,219
Series 2018-K732 Class X3
05/25/2046 2.248%   1,350,000 99,805
Series K021 Class X3
07/25/2040 2.032%   1,550,000 18,148
Series K022 Class X3
08/25/2040 1.874%   1,550,000 18,508
Series K025 Class X3
11/25/2040 1.812%   2,400,000 46,528
Series K035 Class X3
12/25/2041 1.849%   3,000,000 89,684
Series K039 Class X3 (FHLMC)
08/25/2042 2.177%   1,520,000 97,120
Series K043 Class X3
02/25/2043 1.690%   3,951,044 195,455
Series K051 Class X3
10/25/2043 1.669%   2,100,000 126,233
Series K060 Class X3
12/25/2044 1.959%   1,350,000 119,900
Commercial Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series K0728 Class X3
11/25/2045 2.015%   1,975,000 111,868
Series K717 Class X3
11/25/2042 1.654%   3,500,000 35
Series KC07 Class X1
09/25/2026 0.846%   3,997,059 98,179
Series KL05 Class X1HG
12/25/2027 1.368%   2,400,000 162,939
Series KLU3 Class X1
01/25/2031 2.080%   1,599,376 222,523
Series KS06 Class X
08/25/2026 1.187%   2,703,755 100,852
Series KS11 Class XFX
06/25/2029 1.759%   600,000 60,135
Series Q004 Class XFL
05/25/2044 2.046%   2,008,575 87,472
Subordinated Series K078 Class X3
10/25/2028 2.285%   2,135,000 285,221
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(b)
Series KF51 Class A (FHLMC)
1-month USD LIBOR + 0.400%
Floor 0.400%
08/25/2025
0.489%   162,422 162,904
Series KF75 Class AL
1-month USD LIBOR + 0.510%
Floor 0.510%
12/25/2029
0.601%   333,442 337,590
Series KF85 Class AL
1-month USD LIBOR + 0.300%
Floor 0.300%
08/25/2030
0.391%   485,638 486,488
Series KF86 Class AL (FHLMC)
1-month USD LIBOR + 0.290%
Floor 0.290%
08/25/2027
0.381%   394,763 395,421
Series KF88 Class AL (FHLMC)
1-month USD LIBOR + 0.330%
Floor 0.330%
09/25/2030
0.421%   892,720 894,986
Federal National Mortgage Association(c),(d)
Series 2016-M11B Class X2
07/25/2039 2.969%   878,355 32,239
Series 2016-M4 Class X2
01/25/2039 2.705%   669,982 30,005
Series 2019-M29 Class X4
03/25/2029 0.700%   4,300,000 174,404
Government National Mortgage Association(c),(d)
CMO Series 2014-103 Class IO
05/16/2055 0.259%   1,328,199 20,919
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
13

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Commercial Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2011-53 Class IO
05/16/2051 0.000%   1,103,088 32
Series 2012-4 Class IO
05/16/2052 0.036%   4,026,151 3,333
Total Commercial Mortgage-Backed Securities - Agency
(Cost $5,491,167)
4,932,652
Commercial Mortgage-Backed Securities - Non-Agency 2.2%
225 Liberty Street Trust(a),(c),(d)
Series 2016-225L Class X
02/10/2036 1.030%   5,000,000 175,943
BAMLL Commercial Mortgage Securities Trust(a),(c)
Series 2018-PARK Class A
08/10/2038 4.227%   95,000 109,358
BBCMS Mortgage Trust(a),(b)
Series 2020-BID Class A
1-month USD LIBOR + 2.140%
Floor 1.840%
10/15/2037
2.236%   340,000 342,351
BBCMS Trust(a)
Series 2015-SRCH Class A2
08/10/2035 4.197%   150,000 170,838
BFLD Trust(a),(b)
Series 2020-EYP Class A
1-month USD LIBOR + 1.150%
Floor 1.150%
10/15/2035
1.251%   480,000 482,649
Series 2021-FPM Class A
1-month USD LIBOR + 1.600%
Floor 1.600%
06/15/2038
1.696%   288,000 288,548
BX Commercial Mortgage Trust(a),(b)
Series 2019-XL Class A
1-month USD LIBOR + 0.921%
Floor 0.921%
10/15/2036
1.016%   397,683 398,181
BX Trust(a)
Series 2019-OC11 Class A
12/09/2041 3.202%   225,000 244,538
CALI Mortgage Trust(a)
Series 2019-101C Class A
03/10/2039 3.957%   395,000 452,273
Citigroup Commercial Mortgage Trust(a),(b)
Subordinated Series 2020-WSS Class B
1-month USD LIBOR + 2.000%
Floor 2.000%
02/15/2039
2.096%   390,655 395,946
COMM Mortgage Trust(a),(c),(d)
Series 2013-LC6 Class XB
01/10/2046 0.508%   11,750,000 57,083
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2020-SBX Class X
01/10/2038 0.662%   11,501,000 270,870
COMM Mortgage Trust(a),(d)
Series 2020-CBM Class XCP
02/10/2037 0.493%   3,134,666 61,080
Commercial Mortgage Pass-Through Certificates(c),(d)
Series 2012-CR3 Class XA
10/15/2045 1.995%   1,646,239 20,061
Commercial Mortgage Trust(c),(d)
Series 2012-CR4 Class XA
10/15/2045 1.840%   3,328,459 47,560
Series 2013-LC6 Class XA
01/10/2046 1.430%   1,281,850 14,549
Series 2014-UBS2 Class XA
03/10/2047 1.288%   4,311,903 98,170
Commercial Mortgage Trust(a),(c),(d)
Series 2012-LC4 Class XA
12/10/2044 2.288%   2,297,991 1,541
CoreVest American Finance Trust(a),(c),(d)
Series 2019-1 Class XA
03/15/2052 2.334%   966,238 58,472
Series 2019-3 Class XA
10/15/2052 2.203%   254,797 17,438
Series 2020-1 Class XA
03/15/2050 2.838%   931,938 103,063
Series 2020-3 Class XA
08/15/2053 3.809%   898,917 136,369
Series 2020-3 Class XB
08/15/2053 2.753%   850,000 141,498
CoreVest American Finance Trust(a)
Series 2020-1 Class A2
03/15/2050 2.296%   265,000 273,186
Credit Suisse First Boston Mortgage Securities Corp.(c),(d)
Series 98-C1 Class AX
05/17/2040 2.432%   116,195 531
CSAIL Commercial Mortgage Trust(c),(d)
Series 2015-C3 Class XA
08/15/2048 0.845%   9,341,353 212,301
CSMC Trust(a),(c),(d),(e),(f)
Series 2021-980M Class X
07/15/2026 1.109%   6,982,000 319,510
DROP Mortgage Trust(a),(b)
Series 2021-FILE Class B
1-month USD LIBOR + 1.700%
Floor 1.700%
04/15/2026
1.800%   400,000 401,222
Eleven Madison Trust Mortgage Trust(a),(c)
Series 2015-11MD Class A
09/10/2035 3.673%   300,000 325,992
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
14 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
FirstKey Homes Trust(a)
Series 2020-SFR2 Class A
10/19/2037 1.266%   99,779 100,078
GS Mortgage Securities Corp. II(a)
Series 2012-ALOH Class A
04/10/2034 3.551%   285,000 287,086
GS Mortgage Securities Trust(a),(c),(d)
Series 2012-GC6 Class XB
01/10/2045 0.319%   10,641,592 8,930
Series 2020-UPTN Class XA
02/10/2037 0.446%   1,750,000 20,402
Home Partners of America Trust(a)
Series 2019-1 Class B
09/17/2039 3.157%   89,924 91,268
Home Partners of America Trust(a),(b)
Subordinated Series 2018-1 Class D
1-month USD LIBOR + 1.450%
Floor 1.450%
07/17/2037
1.546%   120,000 119,933
Hudson Yards Mortgage Trust(a),(c)
Series 2019-55HY Class F
12/10/2041 3.041%   85,000 82,654
InTown Hotel Portfolio Trust(a),(b)
Subordinated Series 2018-STAY Class B
1-month USD LIBOR + 1.050%
Floor 1.050%
01/15/2033
1.396%   400,000 401,153
Invitation Homes Trust(a),(b)
Subordinated Series 2018-SFR3 Class C
1-month USD LIBOR + 1.300%
Floor 1.300%
07/17/2037
1.396%   699,935 701,119
JPMBB Commercial Mortgage Securities Trust(c),(d)
Series 2014-C21 Class XA
08/15/2047 1.122%   939,202 22,731
Series 2014-C23 Class XA
09/15/2047 0.757%   2,662,055 42,936
Series 2014-C26 Class XA
01/15/2048 1.101%   2,810,337 72,687
JPMorgan Chase Commercial Mortgage Securities Trust(c),(d)
Series 2012-LC9 Class XA
12/15/2047 1.544%   2,267,972 29,192
JPMorgan Chase Commercial Mortgage Securities Trust(a)
Series 2019-OSB Class A
06/05/2039 3.397%   375,000 417,311
MKT Mortgage Trust(a)
Series 2020-525M Class A
02/12/2040 2.694%   185,000 195,850
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Morgan Stanley Bank of America Merrill Lynch Trust(c),(d)
Series 2016-C31 Class XA
11/15/2049 1.466%   2,402,814 119,952
Morgan Stanley Capital I Trust(a),(c),(d)
Series 2012-C4 Class XA
03/15/2045 2.120%   1,539,224 1,447
Morgan Stanley Capital I Trust(a),(c)
Series 2018-MP Class A
07/11/2040 4.419%   315,000 357,380
MSCG Trust(a),(b)
Subordinated Series 2018-SELF Class E
1-month USD LIBOR + 2.150%
Floor 2.150%
10/15/2037
2.246%   375,000 375,467
MSDB Trust(a),(c)
Series 2017-712F Class A
07/11/2039 3.427%   285,000 305,961
Natixis Commercial Mortgage Securities Trust(a),(c),(d)
Series 2020-2PAC Class XA
01/15/2025 1.387%   2,665,000 101,689
Series 2020-2PAC Class XB
04/15/2025 0.948%   2,665,000 73,550
Natixis Commercial Mortgage Securities Trust(a),(c)
Subordinated Series 2018-ALXA Class E
01/15/2043 4.460%   60,000 61,866
One Market Plaza Trust(a)
Series 2017-1MKT Class A
02/10/2032 3.614%   300,000 304,894
Progress Residential Trust(a)
Subordinated Series 2019-SFR2 Class E
05/17/2036 4.142%   320,000 326,412
SFAVE Commercial Mortgage Securities Trust(a),(c)
Series 2015-5AVE Class A2A
01/05/2043 3.659%   425,000 474,428
Series 2015-5AVE Class A2B
01/05/2043 4.144%   35,000 38,709
Subordinated Series 2015-5AVE Class C
01/05/2043 4.534%   345,000 317,238
Tricon American Homes Trust(a)
Subordinated Series 2017-SFR1 Class D
09/17/2034 3.414%   300,000 299,916
Subordinated Series 2017-SFR2 Class E
01/17/2036 4.216%   375,000 385,809
UBS Commercial Mortgage Trust(a),(c),(d)
Series 2012-C1 Class XA
05/10/2045 2.200%   1,867,936 6,110
WF-RBS Commercial Mortgage Trust(a),(c),(d)
Series 2012-C8 Class XA
08/15/2045 1.937%   1,521,816 11,131
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
15

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2012-C9 Class XA
11/15/2045 2.019%   1,480,495 19,500
WF-RBS Commercial Mortgage Trust(c),(d)
Series 2014-C24 Class XA
11/15/2047 0.998%   2,436,842 56,145
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $11,844,668)
11,852,055
    
Common Stocks 21.8%
Issuer Shares Value ($)
Communication Services 0.1%
Entertainment 0.1%
Score Media and Gaming, Inc., Class A(g),(h),(i) 11,622 414,557
Total Communication Services 414,557
Consumer Discretionary 0.5%
Auto Components 0.1%
Veoneer, Inc.(g),(h),(i) 16,167 578,779
Automobiles 0.0%
General Motors Co.(g) 5,535 271,270
Internet & Direct Marketing Retail 0.4%
Stamps.com, Inc.(g),(h),(i) 6,327 2,080,950
Total Consumer Discretionary 2,930,999
Consumer Staples 0.2%
Food Products 0.2%
Sanderson Farms, Inc.(h),(i) 4,642 912,153
Total Consumer Staples 912,153
Energy 0.3%
Oil, Gas & Consumable Fuels 0.3%
Cimarex Energy Co.(h),(i) 25,647 1,647,050
Total Energy 1,647,050
Financials 1.7%
Banks 0.2%
CIT Group, Inc. 3,950 218,909
Credit Agricole SA, ADR 30,620 219,239
Societe Generale SA, ADR 34,055 215,057
Synovus Financial Corp. 4,390 189,209
U.S. Bancorp 4,848 278,227
Total   1,120,641
Common Stocks (continued)
Issuer Shares Value ($)
Capital Markets 0.0%
Credit Suisse Group AG, ADR 14,363 151,817
Insurance 1.5%
Willis Towers Watson PLC 35,654 7,869,551
Total Financials 9,142,009
Health Care 2.4%
Biotechnology 0.2%
Translate Bio, Inc.(g) 10,103 377,852
Trillium Therapeutics, Inc.(g) 22,547 388,485
Total   766,337
Health Care Technology 1.2%
Change Healthcare, Inc.(g) 232,755 5,081,042
Inovalon Holdings, Inc., Class A(g) 28,496 1,164,061
Total   6,245,103
Life Sciences Tools & Services 1.0%
PPD, Inc.(g),(h),(i) 116,298 5,385,761
Total Health Care 12,397,201
Industrials 6.9%
Aerospace & Defense 0.7%
Aerojet Rocketdyne Holdings, Inc. 73,071 3,033,908
Boeing Co. (The)(g) 2,000 439,000
Total   3,472,908
Airlines 0.0%
Delta Air Lines, Inc.(g) 5,568 225,170
Commercial Services & Supplies 0.3%
Covanta Holding Corp.(h),(i) 81,252 1,629,103
Construction & Engineering 0.3%
Aegion Corp.(e),(f),(g) 43,761 1,330,334
Industrial Conglomerates 0.3%
Raven Industries, Inc.(g),(h),(i) 28,476 1,661,575
Machinery 1.2%
Lydall, Inc.(g),(h),(i) 37,792 2,342,348
Metso OYJ 15,337 237,230
Welbilt, Inc.(g) 161,378 3,776,245
Total   6,355,823
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
16 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Common Stocks (continued)
Issuer Shares Value ($)
Professional Services 1.9%
51job, Inc., ADR(g),(h),(i) 17,133 1,315,814
IHS Markit Ltd. 70,714 8,528,109
Total   9,843,923
Road & Rail 1.6%
Kansas City Southern 30,763 8,634,251
Trading Companies & Distributors 0.5%
CAI International, Inc. 44,887 2,512,325
Transportation Infrastructure 0.1%
Sydney Airport(g) 71,305 413,936
Total Industrials 36,079,348
Information Technology 7.3%
Electronic Equipment, Instruments & Components 1.0%
Coherent, Inc.(g),(h),(i) 22,001 5,558,993
IT Services 0.1%
Afterpay Ltd., ADR(g),(h),(i) 7,036 684,779
Semiconductors & Semiconductor Equipment 3.2%
Analog Devices, Inc.(h),(i) 47,553 7,748,761
DSP Group, Inc.(g) 17,620 385,878
MagnaChip Semiconductor Corp.(g),(h),(i) 69,326 1,265,199
Xilinx, Inc.(h),(i) 46,223 7,191,837
Total   16,591,675
Software 3.0%
Cornerstone OnDemand, Inc.(g),(h),(i) 26,623 1,525,498
Five9, Inc.(g),(h),(i) 26,690 4,223,159
Medallia, Inc.(g),(h),(i) 11,330 382,614
MINDBODY, Inc., Class A(e),(f),(g) 47,120 1,719,880
Nuance Communications, Inc.(g),(h),(i) 105,251 5,794,067
Pluralsight, Inc., Class A(e),(f),(g) 84,676 1,905,210
Total   15,550,428
Total Information Technology 38,385,875
Materials 0.9%
Chemicals 0.7%
Ferro Corp.(g) 123,180 2,562,144
Recticel SA 44,677 785,092
Total   3,347,236
Common Stocks (continued)
Issuer Shares Value ($)
Construction Materials 0.2%
Forterra, Inc.(g) 54,103 1,246,533
Total Materials 4,593,769
Real Estate 1.2%
Equity Real Estate Investment Trusts (REITS) 1.2%
Americold Realty Trust 7,777 285,727
MGM Growth Properties LLC, Class A(h),(i) 10,369 429,899
Monmouth Real Estate Investment Corp.(h),(i) 110,680 2,100,706
QTS Realty Trust Inc., Class A 47,111 3,673,716
Total   6,490,048
Total Real Estate 6,490,048
Utilities 0.3%
Multi-Utilities 0.3%
Suez 67,186 1,558,832
Total Utilities 1,558,832
Total Common Stocks
(Cost $112,785,888)
114,551,841
    
Convertible Bonds(j) 1.2%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Airlines 0.2%
Air Canada
07/01/2025 4.000%   110,000 163,886
American Airlines Group, Inc.
07/01/2025 6.500%   290,000 433,927
Southwest Airlines Co.
05/01/2025 1.250%   205,000 298,787
Total 896,600
Banking 0.4%
Banco Santander SA(k)
12/31/2049 4.750%   200,000 204,755
Barclays PLC(k)
12/31/2049 4.375%   200,000 202,319
BNP Paribas SA(a),(k)
12/31/2049 4.500%   200,000 203,415
Credit Suisse Group AG(a),(k)
12/31/2049 4.500%   200,000 198,406
Intesa Sanpaolo SpA(a),(k)
12/31/2049 7.700%   200,000 229,137
Lloyds Banking Group PLC(k)
12/31/2049 7.500%   200,000 231,398
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
17

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Convertible Bonds(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Natwest Group PLC(k)
12/31/2049 4.600%   200,000 204,594
12/31/2049 6.000%   200,000 223,914
Societe Generale SA(a),(k)
12/31/2049 6.750%   205,000 233,107
UBS Group AG(a),(k)
12/31/2049 3.875%   200,000 202,590
12/31/2049 4.375%   200,000 205,356
Total 2,338,991
Cable and Satellite 0.1%
DISH Network Corp.
Subordinated
08/15/2026 3.375%   80,000 83,448
Liberty Broadband Corp.(a)
09/30/2050 1.250%   270,000 285,364
09/30/2050 2.750%   180,000 199,661
Liberty Media Corp.(a)
12/01/2050 0.500%   105,000 121,505
Total 689,978
Consumer Cyclical Services 0.0%
Uber Technologies, Inc.(a),(l)
12/15/2025 0.000%   225,000 209,860
Integrated Energy 0.1%
BP Capital Markets PLC(a)
04/28/2023 1.000% GBP 200,000 280,283
Pharmaceuticals 0.3%
Dermira, Inc.
05/15/2022 3.000%   1,326,000 1,339,260
Retailers 0.1%
Burlington Stores, Inc.
04/15/2025 2.250%   350,000 526,042
Technology 0.0%
Sony Corp.(l)
09/30/2022 0.000% JPY 7,000,000 145,421
Wireless 0.0%
Cellnex Telecom SA(a)
11/20/2031 0.750% EUR 100,000 117,734
Total Convertible Bonds
(Cost $6,165,754)
6,544,169
Convertible Preferred Stocks 0.8%
Issuer   Shares Value ($)
Communication Services 0.0%
Diversified Telecommunication Services 0.0%
2020 Cash Mandatory Exchangeable Trust(a) 5.250% 95 113,128
Total Communication Services 113,128
Health Care 0.1%
Health Care Equipment & Supplies 0.1%
Becton Dickinson and Co. 6.000% 2,200 120,296
Danaher Corp. 4.750% 105 228,041
Total     348,337
Total Health Care 348,337
Industrials 0.0%
Machinery 0.0%
Stanley Black & Decker, Inc. 5.250% 2,300 262,959
Total Industrials 262,959
Information Technology 0.1%
IT Services 0.0%
Sabre Corp. 6.500% 500 71,650
Semiconductors & Semiconductor Equipment 0.1%
Broadcom, Inc. 8.000% 285 450,154
Total Information Technology 521,804
Utilities 0.6%
Electric Utilities 0.4%
American Electric Power Co., Inc. 6.125% 7,700 408,814
NextEra Energy, Inc. 4.872% 7,050 436,113
NextEra Energy, Inc. 5.279% 6,100 325,618
NextEra Energy, Inc. 6.219% 3,800 204,820
Southern Co. (The) 6.750% 8,350 442,132
Total     1,817,497
Multi-Utilities 0.2%
Algonquin Power & Utilities Corp. 7.750% 5,650 281,598
Dominion Energy, Inc. 7.250% 4,400 440,428
DTE Energy Co. 6.250% 8,100 417,798
Total     1,139,824
Total Utilities 2,957,321
Total Convertible Preferred Stocks
(Cost $3,837,790)
4,203,549
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
18 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Corporate Bonds & Notes(j) 18.3%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Aerospace & Defense 0.3%
Airbus SE(a)
06/09/2030 1.625% EUR 100,000 129,797
Boeing Co. (The)
02/04/2024 1.433%   300,000 300,728
05/01/2027 5.040%   200,000 230,665
05/01/2030 5.150%   550,000 652,235
Spirit AeroSystems, Inc.(a)
04/15/2025 7.500%   35,000 37,067
Total 1,350,492
Airlines 0.7%
American Airlines Group, Inc.(a)
06/01/2022 5.000%   180,000 181,204
American Airlines Pass-Through Trust
Series 2016-2 Class AA
06/15/2028 3.200%   196,750 198,795
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a)
04/20/2026 5.500%   215,000 226,161
04/20/2029 5.750%   175,000 188,273
Continental Airlines Pass-Through Trust
04/19/2022 5.983%   61,010 61,910
Delta Air Lines Pass-Through Trust
06/10/2028 2.500%   109,157 109,237
Delta Air Lines, Inc.
10/28/2024 2.900%   105,000 106,888
01/15/2026 7.375%   170,000 200,042
Delta Air Lines, Inc.(a)
05/01/2025 7.000%   120,000 140,413
Delta Air Lines, Inc./SkyMiles IP Ltd.(a)
10/20/2025 4.500%   165,000 176,999
10/20/2028 4.750%   699,000 779,200
JetBlue Pass-Through Trust
Series 2020-1 Class A
11/15/2032 4.000%   386,913 424,182
Mileage Plus Holdings LLC/Intellectual Property Assets Ltd.(a)
06/20/2027 6.500%   185,000 201,224
U.S. Airways Pass-Through Trust
04/22/2023 6.250%   177,204 181,443
United Airlines, Inc. Pass-Through Trust
10/15/2027 5.875%   329,254 366,144
Total 3,542,115
Apartment REIT 0.1%
Mid-America Apartments LP
10/15/2023 4.300%   325,000 347,440
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Automotive 0.6%
BMW Finance NV(a)
11/14/2024 1.000% EUR 75,000 92,069
Daimler Finance North America LLC(a),(b)
3-month USD LIBOR + 0.900%
02/15/2022
1.025%   385,000 386,484
Ford Motor Co.
04/21/2023 8.500%   175,000 193,634
07/16/2031 7.450%   35,000 46,059
Ford Motor Credit Co. LLC(b)
3-month USD LIBOR + 0.880%
10/12/2021
0.999%   200,000 200,080
3-month USD LIBOR + 1.270%
03/28/2022
1.416%   400,000 399,481
3-month USD LIBOR + 1.080%
08/03/2022
1.198%   255,000 254,703
Ford Motor Credit Co. LLC
10/12/2021 3.813%   75,000 75,232
03/28/2022 3.339%   200,000 202,016
11/01/2022 3.350%   200,000 204,256
11/17/2023 3.370%   200,000 206,476
06/14/2024 2.748% GBP 100,000 140,009
08/01/2026 4.542%   200,000 218,065
02/16/2028 2.900%   200,000 199,558
06/17/2031 3.625%   275,000 283,088
General Motors Financial Co., Inc.
09/25/2021 4.375%   45,000 45,115
11/06/2021 4.200%   55,000 55,377
04/10/2022 3.450%   25,000 25,332
06/30/2022 3.150%   80,000 81,583
Total 3,308,617
Banking 2.0%
Banco Actinver SA/Grupo GICSA SAB de CV(a)
12/18/2032 9.500% MXN 3,000,000 108,465
Bank of America Corp.(k)
12/20/2023 3.004%   659,000 680,332
10/01/2025 3.093%   345,000 367,372
01/20/2028 3.824%   110,000 122,453
06/14/2029 2.087%   50,000 50,759
BNP Paribas SA(a),(k)
12/31/2049 4.625%   218,000 227,110
Citigroup, Inc.(a),(b)
3-month EURIBOR + 0.500%
03/21/2023
0.000% EUR 190,000 225,821
Comerica, Inc.(k)
12/31/2049 5.625%   95,000 106,431
Credit Agricole SA(a),(k)
12/31/2049 7.875%   200,000 224,867
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
19

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Credit Suisse Group AG(a),(k)
06/05/2026 2.193%   315,000 323,269
02/02/2027 1.305%   135,000 132,960
Credit Suisse Group Funding Guernsey Ltd.
03/26/2025 3.750%   135,000 146,481
04/17/2026 4.550%   130,000 147,333
First Horizon Bank
Subordinated
05/01/2030 5.750%   255,000 316,077
Goldman Sachs Group, Inc. (The)(a)
05/15/2024 1.375% EUR 186,000 225,221
03/27/2025 3.375% EUR 38,000 50,203
11/01/2028 2.000% EUR 47,000 61,679
Goldman Sachs Group, Inc. (The)(k)
03/09/2027 1.431%   375,000 375,822
09/10/2027 1.542%   225,000 225,965
HSBC Holdings PLC(k)
05/24/2025 0.976%   225,000 225,178
05/24/2027 1.589%   150,000 150,496
09/22/2028 2.013%   365,000 368,453
08/17/2029 2.206%   215,000 216,859
Intesa Sanpaolo SpA(a)
Subordinated
06/01/2032 4.198%   200,000 205,925
JPMorgan Chase & Co.(k)
06/23/2025 0.969%   70,000 70,219
08/09/2025 0.768%   155,000 154,695
03/13/2026 2.005%   125,000 128,907
01/29/2027 3.960%   325,000 361,682
04/22/2027 1.578%   225,000 227,069
Lloyds Banking Group PLC(k)
07/09/2025 3.870%   400,000 432,251
Macquarie Group Ltd.(a),(k)
09/23/2027 1.629%   225,000 225,882
Morgan Stanley(k)
05/04/2027 1.593%   225,000 227,213
07/20/2027 1.512%   450,000 451,856
Nationwide Building Society(a),(k)
03/08/2024 3.766%   170,000 177,818
08/01/2024 4.363%   100,000 106,723
Popular, Inc.
09/14/2023 6.125%   320,000 344,518
Santander UK Group Holdings PLC
01/10/2023 3.571%   200,000 202,243
Santander UK Group Holdings PLC(k)
11/15/2024 4.796%   90,000 97,820
03/15/2025 1.089%   300,000 301,016
Santander UK PLC(a)
Subordinated
11/07/2023 5.000%   115,000 124,979
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Shinhan Financial Group Co., Ltd.(a),(k)
12/31/2049 2.875%   200,000 198,372
U.S. Bancorp
06/07/2024 0.850% EUR 500,000 607,379
Wells Fargo & Co.
04/27/2022 3.250% AUD 300,000 223,857
Wells Fargo & Co.(k)
02/11/2026 2.164%   290,000 300,932
06/02/2028 2.393%   160,000 166,760
Total 10,417,722
Building Materials 0.1%
Cemex SAB de CV(a)
07/11/2031 3.875%   200,000 205,788
Standard Industries, Inc.(a)
01/15/2031 3.375%   60,000 57,754
Total 263,542
Cable and Satellite 1.0%
Cable One, Inc.(a)
11/15/2030 4.000%   325,000 328,332
CCO Holdings LLC/Capital Corp.(a)
05/01/2027 5.125%   300,000 313,441
06/01/2029 5.375%   123,000 134,318
03/01/2030 4.750%   210,000 221,991
08/15/2030 4.500%   265,000 277,134
02/01/2031 4.250%   35,000 35,924
06/01/2033 4.500%   115,000 119,179
Charter Communications Operating LLC/Capital
04/01/2031 2.800%   50,000 51,237
02/01/2032 2.300%   20,000 19,505
05/01/2047 5.375%   65,000 79,946
04/01/2048 5.750%   170,000 219,688
07/01/2049 5.125%   355,000 427,921
CSC Holdings LLC(a)
02/01/2028 5.375%   275,000 291,425
DIRECTV Holdings LLC/Financing Co., Inc.(a)
08/15/2027 5.875%   150,000 156,783
Intelsat Jackson Holdings SA(a),(m)
10/15/2024 0.000%   362,000 195,383
07/15/2025 0.000%   248,000 134,125
LCPR Senior Secured Financing DAC(a)
10/15/2027 6.750%   285,000 304,541
07/15/2029 5.125%   200,000 208,207
Radiate Holdco LLC/Finance, Inc.(a)
09/15/2026 4.500%   255,000 265,464
SES GLOBAL Americas Holdings GP(a)
03/25/2044 5.300%   375,000 442,040
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
20 Multi-Manager Alternative Strategies Fund  | Annual Report 2021

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Sirius XM Radio, Inc.(a)
07/01/2030 4.125%   20,000 20,486
Time Warner Cable LLC
09/01/2041 5.500%   125,000 156,545
Virgin Media Finance PLC(a)
07/15/2030 5.000%   200,000 207,051
Virgin Media Secured Finance PLC(a)
05/15/2029 5.500%   440,000 471,368
08/15/2030 4.500%   200,000 202,902
VTR Finance NV(a)
07/15/2028 6.375%   200,000 212,486
Total 5,497,422
Chemicals 0.1%
Braskem Netherlands Finance BV(a)
01/10/2028 4.500%   200,000 216,843
SCIH Salt Holdings, Inc.(a)
05/01/2028 4.875%   210,000 211,727
Total 428,570
Construction Machinery 0.1%
United Rentals North America, Inc.
01/15/2028 4.875%   200,000 211,924
07/15/2030 4.000%   140,000 146,375
02/15/2031 3.875%   235,000 243,348
Total 601,647
Consumer Cyclical Services 0.2%
ANGI Group LLC(a)
08/15/2028 3.875%   135,000 132,995
Atento Luxco 1 SA(a)
02/10/2026 8.000%   106,000 116,942
Match Group, Inc.(a)
08/01/2030 4.125%   150,000 157,152
Prime Security Services Borrower LLC/Finance, Inc.(a)
08/31/2027 3.375%   20,000 19,300
TripAdvisor, Inc.(a)
07/15/2025 7.000%   160,000 169,229
Uber Technologies, Inc.(a)
05/15/2025 7.500%   35,000 37,328
11/01/2026 8.000%   230,000 245,332
Total 878,278
Consumer Products 0.1%
Natura Cosmeticos SA(a)
05/03/2028 4.125%   200,000 205,314
Newell, Inc.
04/01/2026 4.200%   35,000 39,108
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Oriflame Investment Holding PLC(a)
05/04/2026 5.125%   200,000 205,344
Spectrum Brands, Inc.(a)
03/15/2031 3.875%   225,000 222,216
Total 671,982
Diversified Manufacturing 0.0%
General Electric Co.
03/15/2032 6.750%   50,000 69,419
Johnson Controls International PLC/Tyco Fire & Security Finance SCA
09/15/2027 0.375% EUR 100,000 119,351
Total 188,770
Electric 0.6%
AES Corp. (The)(a)
07/15/2030 3.950%   35,000 39,091
DPL, Inc.
07/01/2025 4.125%   270,000 289,389
Duke Energy Progress LLC
12/01/2044 4.150%   300,000 363,050
E.ON SE(a)
09/29/2027 0.375% EUR 65,000 78,264
FirstEnergy Corp.
07/15/2027 3.900%   190,000 213,311
11/15/2031 7.375%   340,000 475,783
FirstEnergy Transmission LLC(a)
09/15/2028 2.866%   229,000 242,314
Inversiones Latin America Power Ltda(a)
06/15/2033 5.125%   200,000 199,642
ITC Holdings Corp.
11/15/2027 3.350%   150,000 164,707
Jersey Central Power & Light Co.(a)
04/01/2024 4.700%   330,000 357,973
NSTAR Electric Co.
05/15/2027 3.200%   520,000 571,475
Southern Co. (The)
07/01/2026 3.250%   184,000 199,322
Total 3,194,321
Environmental 0.0%
GFL Environmental, Inc.(a)
06/15/2029 4.750%   245,000 251,881
Finance Companies 0.4%
AerCap Ireland Capital DAC/Global Aviation Trust
12/16/2021 4.450%   250,000 252,045
07/21/2027 3.650%   30,000 31,915
01/23/2028 3.875%   75,000 80,383
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2021
21

Consolidated Portfolio of Investments  (continued)
August 31, 2021
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Air Lease Corp.
03/01/2025 3.250%   160,000 169,950
Avolon Holdings Funding Ltd.(a)
05/15/2024 5.250%   20,000 21,943
07/01/2024 3.950%   45,000 48,029
02/15/2025 2.875%   195,000 201,045
11/18/2027 2.528%   179,000 177,734
FirstCash, Inc.(a)
09/01/2028 4.625%   70,000 72,895
GE Capital International Funding Co. Unlimited Co.
11/15/2035 4.418%   750,000 910,938
Park Aerospace Holdings Ltd.(a)
03/15/2023 4.500%   45,000 47,205
02/15/2024 5.500%   63,000 69,104
Total 2,083,186
Food and Beverage 1.0%
Anheuser-Busch Companies LLC/InBev Worldwide, Inc.
02/01/2046 4.900%   200,000 255,607
Anheuser-Busch InBev Worldwide, Inc.
04/15/2048 4.600%   75,000 92,584
Aramark Services, Inc.(a)
05/01/2025 6.375%   35,000 37,013
JBS Finance Luxembourg Sarl(a)
01/15/2032 3.625%   200,000 206,896
JBS Investments II GmbH(a)
01/15/2026 7.000%   260,000 273,595
JBS USA LUX SA/Food Co./Finance, Inc.(a)
12/01/2031 3.750%   300,000 316,512
Kraft Heinz Foods Co.
06/01/2026 3.000%   135,000 143,009
05/15/2027 3.875%   70,000 77,120
03/01/2031 4.250%   305,000 352,222
07/15/2035 5.000%   55,000 68,352
01/26/2039 6.875%   265,000 395,252
10/01/2039 4.625%   235,000 280,654
06/01/2046 4.375%   330,000 381,221
10/01/2049 4.875%   40,000 49,845
Kraft Heinz Foods Co.(a)
08/01/2039 7.125%   35,000 53,153
MARB BondCo PLC(a)
01/29/2031 3.950%   200,000 195,209
NBM US Holdings, Inc.(a)
05/14/2026 7.000%   200,000 212,787
Pilgrim’s Pride Corp.(a)
09/30/2027 5.875%   150,000 160,224
04/15/2031 4.250%   150,000 161,592
Corporate Bonds & Notes(j) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Post Holdings, Inc.(a)
03/01/2027 5.750%   375,000 392,353
01/15/2028 5.625%   455,000 478,916
12/15/2029 5.500%   60,000 64,296
04/15/2030 4.625%   150,000 153,299
09/15/2031 4.500%   475,000 480,054
Total 5,281,765
Gaming 0.3%
Boyd Gaming Corp.(a)
06/15/2031 4.750%   180,000 185,948
GLP Capital LP/Financing II, Inc.
06/01/2025 5.250%   130,000 145,879
04/15/2026 5.375%   245,000 280,892
06/01/2028 5.750%   80,000 95,362
01/15/2029 5.300%   130,000 152,394
MGM Growth Properties Operating Partnership LP/Finance Co-Issuer, Inc.
05/01/2024 5.625%   75,000