N-CSR 1 f23448d1.htm COLUMBIA FUNDS SERIES TRUST I Columbia Funds Series Trust I

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

  

FORM N-CSR 

  

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES 

  

Investment Company Act file number 811-04367 

  

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, 2022 

  

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

  

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

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

Item 1. Reports to Stockholders. 


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

Table of Contents
If you elect to receive the shareholder report for Multi-Manager 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, is available on columbiathreadneedleus.com/investor/ or 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 2022

Fund at a Glance
(Unaudited)
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
Crabel Capital Management, LLC
Michael Pomada
Grant Jaffarian
Manulife Investment Management (US) LLC*
Daniel Janis III
Christopher Chapman, CFA
Thomas Goggins
Bradley Lutz, CFA**
Kisoo Park
*Effective March 15, 2023, Daniel Janis III, Senior Managing Director and Senior Portfolio Manager of Manulife Investment Management (US) LLC (Manulife), has announced that he will retire from Manulife.
**Effective March 31, 2022, Bradley Lutz was added as a portfolio Manager.
TCW Investment Management Company LLC
Stephen Kane, CFA
Laird Landmann
Bryan Whalen, CFA
Water Island Capital, LLC
Roger Foltynowicz, CFA, CAIA
Gregg Loprete
Todd Munn
Average annual total returns (%) (for the period ended August 31, 2022)
    Inception 1 Year 5 Years 10 Years
Institutional Class* 01/03/17 2.60 2.84 1.98
FTSE Three-Month U.S. Treasury Bill Index   0.44 1.10 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.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
3

Fund at a Glance   (continued)
(Unaudited)
Performance of a hypothetical $10,000 investment (August 31, 2012 — August 31, 2022)
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.
4 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Fund at a Glance   (continued)
(Unaudited)
Portfolio breakdown — long positions (%) (at August 31, 2022)
Asset-Backed Securities — Non-Agency 3.1
Commercial Mortgage-Backed Securities - Agency 0.4
Commercial Mortgage-Backed Securities - Non-Agency 2.6
Common Stocks 22.3
Convertible Bonds 0.6
Convertible Preferred Stocks 0.5
Corporate Bonds & Notes 16.4
Foreign Government Obligations 5.4
Limited Partnerships 0.1
Municipal Bonds 0.1
Options Purchased Calls 0.0(a)
Options Purchased Puts 0.0(a)
Preferred Debt 0.0(a)
Preferred Stocks 0.1
Residential Mortgage-Backed Securities - Agency 4.3
Residential Mortgage-Backed Securities - Non-Agency 6.3
Rights 0.0(a)
Senior Loans 1.5
Treasury Bills 1.0
U.S. Government & Agency Obligations 0.1
U.S. Treasury Obligations 1.3
Money Market Funds(b) 35.0
Total 101.1
    
(a) Rounds to zero.
(b) Includes investments in Money Market Funds which have been segregated to cover obligations relating to the Fund’s investment in derivatives as part of its principal investment strategies. For a description of the Fund’s investments in derivatives, see Investments in derivatives following the Consolidated Portfolio of Investments and the derivative instruments discussion in 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, 2022)
Common Stocks (1.0)
Exchange-Traded Equity Funds (0.1)
Total (1.1)
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, 2022)(a)
  Long Short Net
Fixed Income Derivative Contracts 8.5 (78.0) (69.5)
Commodities Derivative Contracts 3.8 (3.9) (0.1)
Equity Derivative Contracts 4.7 (3.4) 1.3
Foreign Currency Derivative Contracts 42.6 (74.3) (31.7)
Total Notional Market Value of Derivative Contracts 59.6 (159.6) (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.
 
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
5

Manager Discussion of Fund Performance
(Unaudited)
The Fund is currently managed by five independent money management firms and each invests a portion of the portfolio’s assets. Effective January 2022, AQR Capital Management, LLC (AQR) was terminated as a subadvisor to the Fund and Crabel Capital Management, LLC (Crabel) assumed responsibility for a portion of the Fund’s assets. As of August 31, 2022, AlphaSimplex Group, LLC (AlphaSimplex), Manulife Investment Management (US) LLC (Manulife), TCW Investment Management Company, LLC (TCW), Water Island Capital, LLC (Water Island) and Crabel managed approximately 16.32%, 18.03%, 27.49%, 25.18% and 12.98% of the portfolio, respectively.
For the 12-month period that ended August 31, 2022, Institutional Class shares of the Fund returned 2.60%. The FTSE Three-Month U.S. Treasury Bill Index returned 0.44% for the same time period.
Market overview
Market concerns towards the latter part of 2021 were marked by emerging inflationary pressures and the continuation of pandemic-related headwinds as the Delta variant of COVID-19 gave way to the more contagious Omicron variant. Notwithstanding the uptick in cases and increased transmissibility of the virus, the economy remained largely resilient with solid non-farm payroll reports and strong retail sales, leading the Federal Open Market Committee (FOMC) to announce (and later accelerate) a tapering timeline through year-end. The November Consumer Price Index (CPI) report highlighted growing price pressures faced by consumers, with essentials such as gas and rent largely contributing to the surging figure, while consumers also bore the brunt of cost pressures passed along by businesses combating supply chain bottlenecks and labor supply issues. Meanwhile, equity markets remained strong after bouncing back from the pandemic lows of 2020, illustrated by a 28% return for the 2021 calendar year by the S&P 500 Index, while Q4 2021 gross domestic product (GDP) also rebounded, posting a nearly 7% annualized increase.
As the calendar turned from 2021 to 2022, the combination of strong economic data and elevated inflation reports gave the FOMC cover to announce its first rate hike since late 2018, effective in March 2022. Markets quickly repriced, with the expectations of a more aggressive Federal Reserve (Fed) dragging down most risk assets while Treasury yields rose across the maturity spectrum in the early months of the year. Investors, already trying to navigate the removal of accommodative policy, lingering COVID-19 variants and elevated prices faced another headwind when Russia invaded Ukraine in February, adding geopolitical tension into the confluence of factors contributing to a difficult environment in the first half of the year. Commodity prices surged as supply and demand technicals became sharply skewed from the war, exacerbating inflationary concerns and leading to a 9.1% year-over-year increase in June’s CPI report – the largest increase since 1981. The FOMC delivered back-to-back 75 basis point (bps) rate hikes in the June and July meetings in an effort to combat this climbing inflation, resulting in a tightening of financial conditions and a drag on risk assets. (A basis point is 1/100 of a percent.) Treasury yields soared, led by more policy-sensitive short rates, which resulted in the inversion of the Treasury yield curve towards the end of the second quarter, with the climb in yields also accompanied by negative GDP reports. Investor sentiment, as measured by the University of Michigan Consumer Sentiment Index, reached a 40-year low amid elevated price pressures and slowing growth, though a brief rally in July (spurred mainly by optimism that financial conditions may loosen as inflation came in slightly below forecast) led to an improved reading during the summer months. Chair Powell’s speech at the FOMC’s annual retreat in Jackson Hole quickly dampened any ideas of less restrictive policy, however, as he reaffirmed the committee’s focus on fighting inflation despite the potential economic pain that may ensue.
Against this backdrop of rising rates, slowing growth, continued COVID-related concerns and sustained geopolitical tension, risk assets declined with both equity and fixed-income markets falling just over 11% for the trailing 1-year period, as measured by the S&P 500 Index and Bloomberg U.S. Aggregate Bond Index, respectively. Further, the Bloomberg U.S. Aggregate Bond Index suffered the largest drawdown since its inception during the second quarter of 2022, emphasizing the toll the challenging economic and financial conditions had on asset prices. Unsurprisingly, all fixed-income sectors posted negative total and excess returns, with asset-backed securities (ABS) the top performer during the past twelve months at “only” negative 32 bps excess returns. Investment-grade corporates fell nearly 15% over the period as rising rates weighed on corporate spreads, while agency mortgage-backed securities (MBS) also suffered amid the sustained rate volatility and prospect of active Fed sales as the announcement of tapering in late 2021 eventually gave way to the most aggressive hiking regime in four decades. Meanwhile, emerging markets were among the worst performers in the fixed-income space as rising rates, slowing growth and the conflict in Eastern Europe weighed on the sector, while the more levered and riskier high-yield corporate sector also severely underperformed.
6 Multi-Manager Alternative Strategies Fund | Annual Report 2022

Manager Discussion of Fund Performance  (continued)
(Unaudited)
AlphaSimplex
Our portion of the Fund is compared to the SG Trend Index, which it outperformed over the 12-month period that ended August 31, 2022. Our strategy is designed to emphasize absolute risk and return and, as such, is not managed relative to a benchmark. The SG Trend Index, which reflects a peer group of diversified, primarily trend-following investment managers, may be used as a benchmark for performance analysis.
Notable contributors in our portion of the Fund during the period
Positive returns in our portion of the Fund during the period primarily came from short positions in fixed income and long positions in energies.
Additional gains came from short positions in foreign currencies (long USD).
In fixed income, gains came from short positions in both U.S. and international markets.
Short-term rates also contributed positively.
In commodities, gains came primarily from long positions in energy markets, with additional gains from long positions in base metals and agricultural commodities.
Currency gains were driven by short positions in developed markets, especially the Japanese yen and the euro.
Within the different model types used in our strategy, we saw positive performance from all model types, with adaptive and basic multi-trend models outperforming the short-horizon models.
Top individual contributors to performance included the Japanese Yen, the Euro, and the U.S. 2-Year Treasury Note.
Notable detractors in our portion of the Fund during the period
Long positions in equities detracted from performance.
In equities, losses came from long positions in the U.S. and international developed markets.
The largest losses came from the S&P 500 and NASDAQ 100.
Long positions in fixed income and currencies, as well as some commodity markets, also detracted.
While the strategy’s short positions in fixed income led to gains, long positions led to losses over the period, both in international and U.S. markets.
Similarly, short positions in certain currencies provided gains, but most currencies detracted over the period.
The largest losses came from the Canadian and Australian dollars.
Commodities were more mixed, with gains from long positions in energies outweighing losses from short positions in agricultural commodities, long positions in precious metals, and the strategy’s livestock exposures.
Top individual detractors from performance included the S&P 500 Index, the Canadian Dollar and the NASDAQ 100.
Derivative usage in our portion of the Fund
Derivatives are used to pursue the investment objectives in our portion 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.
Multi-Manager Alternative Strategies Fund | Annual Report 2022
7

Manager Discussion of Fund Performance  (continued)
(Unaudited)
AQR
From the start of the reporting period until December 17, 2021 (our reporting period), our portion of the Fund underperformed the FTSE Three-Month Treasury Bill Index. The majority of the positions in our portion of the Fund were liquidated on December 17, 2021.
Notable detractors in our portion of the Fund during our reporting period
The largest detractors in our portion of the Fund during our reporting period were the Swedish krona, Polish zloty, and Hungarian forint.
Overall, trend following in currencies drove losses over the period. Losses were concentrated in September and November, when news of central banks’ plans to withdraw stimulus and the Omicron coronavirus variant caused significant reversals and depreciation of emerging market and commodity-producer currencies.
Trend following in equities also detracted over the reporting period. Net short positioning in US markets hurt performance as these equities rallied on average. However, markets such as China and Hong Kong sold off, providing some partially offsetting gains.
Notable contributors in our portion of the Fund during our reporting period
The largest positive contributors during our reporting period were the short euro currency, long Eurodollar, and long heating oil positions.
At an asset class level, trend following in commodities contributed positively to performance. Performance benefited from net long positioning in the asset class over the period as commodities rallied on average over our reporting period.
Trend following in fixed income also generated positive returns over our reporting period as net short exposures across longer duration fixed income and short-term rate futures benefited performance as these assets declined on inflation data and news that central banks planned to begin withdrawing pandemic-era stimulus.
Derivative usage in our portion of the Fund
The strategy employed in our portion of the Fund invests in a diverse portfolio of futures and forwards across global equity, fixed income, currency, and commodity markets. Our strategy utilizes 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 more innovative signals that help identify trends in markets based on economic data and other factors.
Manulife
Our portion of the Fund outperformed the Bloomberg Multiverse Index, the benchmark against which our performance is compared.
Notable contributors in our portion of the Fund during the period
The key factors behind outperformance in our portion of the Fund versus the Bloomberg Multiverse Index were duration profile and currency positioning relative to the benchmark.
Our portion of the Fund had a significantly shorter duration (a measure of interest-rate sensitivity) than our benchmark across developed market economies where interest rates rose sharply higher over the period, which limited the negative impact of rising interest rates on performance.
In addition, broad-based U.S. dollar strength over the period helped relative performance given our underweight exposure to other major developed market currencies. From a foreign exchange (FX) and currency management perspective, underweight exposure to the euro, Japanese yen, and British pound were the largest contributors.
Security selection was a modest contributor, particularly positioning within our emerging market credit allocation.
8 Multi-Manager Alternative Strategies Fund | Annual Report 2022

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Relative to the Bloomberg Multiverse Index, our portion of the Fund benefited from an overweight position in bank loans and from a modest underweight to investment-grade corporate bonds.
From a local rate and country allocation perspective, the top contributors were relative underweights to local markets in Europe and the United Kingdom and overweight local positions in Indonesia, Malaysia, and Norway where higher energy prices helped and interest rates outperformed other developed market economies.
Notable detractors in our portion of the Fund during the period
Sector and country allocation overall was a detractor from relative performance due largely to our underweight bias to developed market government bonds and overweight to corporate credit and spread sectors in general.
The largest detractors to relative performance were overweight sector allocations to high-yield corporate bonds, equities, convertible bonds, and emerging market credit combined with an underweight to U.S. Treasuries.
In addition, negative security selection within our developed market high-yield and investment-grade credit allocations weighed on relative performance.
Overweight currency exposure to the Canadian dollar, Norwegian krone, Mexican peso, and Malaysian ringgit which depreciated against the U.S. dollar over the period also weighed on performance.
From a local rate and country allocation perspective, top detractors were our overweight to the domestic U.S. market and underweight exposure to local markets in Japan and China where government-related holdings outperformed as monetary policy remained more accommodative and interest rates outperformed on a relative basis.
Derivative usage in our portion of the Fund
We used FX forwards and interest rate futures during the period for hedging and investment purposes. The strategy may employ a variety of hedging strategies with respect to specific portfolio holdings, or to the entire portfolio, or to both. 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. We also used interest rate futures on U.S. and Italian treasuries and German bunds to help manage portfolio duration.
TCW
Our portion of the Fund underperformed the FTSE Three-Month U.S. Treasury Bill Index during the period.
Notable detractors in our portion of the Fund during the period
With rates higher over the period, the positive duration position in our portion of the Fund was the most significant drag on relative performance during the period.
While our portion of the Fund was defensively positioned across spread sectors, higher yield premiums across the fixed-income space weighed on performance.
Corporate credit allocations contributed early in the period, particularly the small position in high yield, which was a top performing fixed-income sector in Q3 2021, while issue selection among investment-grade credit also rewarded returns. However, as volatility picked up and yields widened in the first half of 2022, both investment-grade and high-yield corporate bonds trailed U.S. Treasuries on a duration-adjusted basis.
A small exposure to emerging markets debt proved to be a negative, as the asset class was under pressure from more aggressive central bank tightening, high inflation and slower global growth.
The emphasis on securitized products also weighed on returns.
Non-agency mortgage-backed securities (MBS), which have generally been a steady source of incremental return since the housing crisis, detracted during the period as broader market volatility and reduced trading in the space weighed on pricing in the first half of 2022.
Multi-Manager Alternative Strategies Fund | Annual Report 2022
9

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Agency MBS also underperformed during the period as the sector struggled from continued rate volatility, aggressive Fed policy, and concern of outright sales from the Fed’s balance sheet.
Finally, the small positions in asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) detracted on the margin as yield spreads in both sectors widened in sympathy with broader markets.
Notable contributors in our portion of the Fund during the period
While nearly all elements of attribution in our portion of the Fund were negative for the period, defensive positioning (higher quality, higher in the capital structure focus) across spread sectors helped to mitigate losses during the period of significant volatility in the first half of 2022.
In accordance with our value-oriented process, our portion of the Fund had been selective in exposure across credit markets that were generally trading through historical average spread ranges through the first half of the period, with valuations generally not compelling enough to warrant a substantial underwriting of risk.
As economic conditions became increasingly strained throughout 2022, especially in 2Q 2022, we believe that a combination of wider yield spread levels, improving valuations and market dislocations provided an opportunity to add exposure at favorable levels.
Purchases were focused on longer tenor bonds from high quality issuers across a variety of sectors including banking, communications, consumer non-cyclicals, and insurance. While those additions were made amid yield spread widening and resulted in a headwind, they set the stage for better prospective returns when spreads remediate, with increased income and an enhanced yield profile helping to cushion performance in the meantime.
Derivative usage in our portion of the Fund
Derivative instruments in our portion of the Fund are used primarily to manage duration and curve exposure. Throughout the reporting period, we used Treasury futures to manage duration and interest rate swaps for curve exposure. The Treasury futures position contributed to performance in absolute terms, while the swap exposure was a slight drag on performance.
Water Island
Our portion of the Fund outperformed the Fund’s benchmark, the FTSE Three-Month U.S. Treasury Bill Index, during the period. As an absolute return strategy, our goal for our portion of the Fund is to generate a level of positive return above the risk-free rate regardless of market conditions. Our sleeve’s successful outperformance relative to the risk-free benchmark can primarily be attributed to event selection – both in choosing the correct events in which to invest and, perhaps more importantly, avoiding those events whose catalysts are unlikely to occur or are likely to encounter trouble.
Notable contributors in our portion of the Fund during the period
During the period, both of the sub-strategy sleeves in our portion of the Fund – merger arbitrage and credit opportunities – generated positive returns. The merger arbitrage sleeve comprised the bulk of our portion of the Fund for the period and was thus responsible for most of the performance.
The portfolio’s top performing sectors were health care, industrials, 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 Xilinx Inc by Advanced Micro Devices Inc. In October 2020, Xilinx – a US-based semiconductor manufacturer – agreed to be acquired by local peer Advanced Micro Devices for $35.7 billion in stock. This transaction experienced ongoing volatility in the deal spread, in large part due to its lengthy timeline stemming from continued delays in receiving regulatory approval from China (a required condition to complete the deal, where antitrust reviews are a notoriously opaque process). The companies ultimately received approval from China in February 2022 and the merger subsequently closed successfully, leading to gains for our portion of the Fund.
Other top contributors included the pending acquisition of Change Healthcare Inc. by UnitedHealth Group Inc. and the merger of Coherent Inc and II-VI.
10 Multi-Manager Alternative Strategies Fund | Annual Report 2022

Manager Discussion of Fund Performance  (continued)
(Unaudited)
The Change HealthCare/UnitedHealth deal encountered opposition from the Department of Justice (DOJ) based on competition concerns. While the deal spread has experienced intermittent volatility, as of this writing, investors have driven the spread tighter based on UnitedHealth’s commitment to the deal combined with general consensus holding that the companies are succeeding in disproving the DOJ’s arguments in court.
II-VI, which won a bidding war for Coherent in 2021, successfully closed the deal in July after an unexpectedly lengthy regulatory review.
Notable detractors in our portion of the Fund during the period
On a sector basis, the worst performers in our portion of the Fund were communication services, financials, and information technology.
The top detractor was our position in the failed merger of Momentive Global Inc and Zendesk Inc. In October 2021, Zendesk, a U.S.-based developer of software for customer support and customer communications, agreed to acquire Momentive Global, a U.S.-based developer of software for conducting web-based surveys, for $4.1 billion in stock after an activist investor in Momentive pushed for a sale process. In January, however, yet another activist investor, this time at Zendesk, began to push Zendesk’s board of directors and management to reject the acquisition, believing the company should instead be put up for sale itself. The very next month, Zendesk management rejected an offer from a private equity consortium that would have valued the company at $17 billion, yet Zendesk shareholders appear to have agreed with the activist, as they overwhelmingly rejected the Momentive deal mere days later. Subsequent share price volatility has led to mark-to-market losses for our portion of the Fund. We are maintaining our Momentive exposure, however, as not only has its activist reemerged, but the proxy background of the Zendesk merger indicated there were at least two other interested parties who put forth bids for the company before Zendesk won the initial sale process. We believe there is more left to this story.
Other top detractors for the period included Elon Musk’s bid for Twitter Inc and the failed acquisition of Magnachip Semiconductor Corp by Wise Road Capital.
Musk’s commitment to acquiring Twitter seemingly wavered nearly as swiftly his public pursuit of the company began. While his attempt to back out of the deal has led to volatility in the share price, we believe the merger agreement and related litigation are favoring Twitter thus far. We believe the case will end in Twitter’s favor.
Magnachip is a South-Korea-based semiconductor designer and manufacturer that agreed to be acquired by Wise Road, a private equity firm with ties to China, in 2021. Despite both parties being based outside of U.S. borders with little to no domestic presence, the Committee on Foreign Investment in the United States (CFIUS) requested the parties undergo a formal review. CFIUS ultimately rejected the merger based on U.S. national security concerns, forcing the companies to terminate their agreement.
Derivative usage in our portion of the Fund
Our portion of the Fund invests in derivatives in the form of total return equity swaps, equity options, and currency forwards. We use derivatives to hedge currency risk, to invest outside the U.S. more efficiently, to limit liabilities due to foreign stamp or dividend withholding taxes when investing in jurisdictions such as Australia, the United Kingdom or Canada, and to create income and optionality. Upon the announcement or anticipated announcement of many events, it is not unusual to see a large gain in the security price of the underlying company. This optimism can quickly fade when the timelines lack additional near-term catalysts and the securities become somewhat range-bound until the event transpires, perhaps months later. In these cases, it is not unusual for us to employ equity derivatives to earn additional income, while still positioning ourselves for the longer term event and minimizing the amount of additional risk taken. 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. Over the 12-month reporting period, derivatives contributed returns in our portion of the portfolio.
Crabel
We began managing a portion of the Fund on January 12, 2022. From January 12, 2022 through the close of the reporting period (our reporting period), our portion of the Fund underperformed the SG Trend Index, the benchmark against which our portion of the Fund is compared.
Multi-Manager Alternative Strategies Fund | Annual Report 2022
11

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Notable detractors in our portion of the Fund during our reporting period
The equities sector was the strongest detractor from performance in our portion of the Fund during our reporting period.
Coming into 2022, many equity markets were at or near all-time equity highs. The bear market that followed initially wrong-footed most equity positions. Further, strong risk-on reversals were littered through the year despite the overall risk-off environment. The twists and turns created difficulty for our strategy as our portion of the Fund was not able to hang on to either a pervasively long or short exposure to equities.
Non-U.S. equity markets were particularly challenging as the Nikkei 225 Index, TOPIX Index, and the DAX Index were among the most difficult markets.
While U.S. equity markets were also challenging, our strategy’s diversification by geography caused the equity sector losses to be slightly larger than they might have been with a purely U.S. focus.
While the foreign exchange sector was very valuable overall, several smaller non-G7 currency pairs saw sharp reversals from long-term trends and were challenging.
In contrast to some trend programs, our strategy seeks to diversify exposure usefully beyond the G7.
The Mexican Peso, Chinese Yuan Renminbi, Australian Dollar/Canadian Dollar cross, South African Rand, and Israeli Shekel all experienced challenges despite the program’s overall success in foreign exchange.
None of the above, however, indicate statistical abnormalities. Both the positive and negative attributions, along with the risk level of the portfolio throughout the year, are all well within operational norms.
Notable contributors in our portion of the Fund during our reporting period
The foreign exchange sector provided the largest positive attribution, followed closely by strong performance from the fixed income sector.
The commodities sector was also strongly positive, particularly in the first five months of the year, on the heels of strong increases in prices across commodity markets. Several individual markets stood out for our strategy:
The energy sub-sector within commodities was very strong. Four of the ten most positive contributors were found in the sector.
In foreign exchange trading, crosses against the Japanese Yen tended to find strong opportunity. The Yen against the U.S. Dollar was the top contributor to performance in the period.
With yields moving dramatically higher, triggered by inflationary concerns and global monetary policy moves, many markets in the sector provided strong opportunity.
With yields moving higher and the yield curve flattening, the 2-Year U.S. Treasury Note was particularly strong, as were several non-U.S. fixed-income markets including the Euro-OAT French Government Bond and the Long Gilt.
Our strategy seeks to target equal risk across all four market sectors. However, with heightened opportunity as a function of inflation and the war in Ukraine, many pieces of position-modifying logic were able to position the portfolio with slightly more risk in fixed income and commodities. This helped produce further strong returns.
While volatility overall was high, the timeframe posture of our strategy also proved advantageous as more medium-term strategies dominated trading in commodities and long-term trend strategies were more prevalent in the fixed-income sector. Both postures allowed the portfolio to position itself directionally in a favorable way. The timeframe utilized is part of the systematic process inherent in our strategy’s construction, which has proved useful in volatile years such as 2020 and 2022.
Derivative usage in our portion of the Fund
Derivative instruments are the only instruments we trade for our portion of the Fund. We used futures contracts, foreign exchange spots and forwards, and foreign exchange non-deliverable forwards (NDFs) in the portfolio and traded those derivatives in a speculative manner.
12 Multi-Manager Alternative Strategies Fund | Annual Report 2022

Manager Discussion of Fund Performance  (continued)
(Unaudited)
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. As a non-diversified fund, fewer investments could have a greater effect on performance. 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 2022
13

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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
March 1, 2022 — August 31, 2022
  Account value at the
beginning of the
period ($)
Account value at the
end of the
period ($)
Expenses paid during
the period ($)
Fund’s annualized
expense ratio (%)
  Actual Hypothetical Actual Hypothetical Actual Hypothetical Actual
Institutional Class 1,000.00 1,000.00 1,036.00 1,018.70 6.62 6.56 1.29
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 recordkeeping platforms that have an agreement with (i) Columbia Management Investment Distributors, Inc. or an affiliate thereof that specifically authorizes the group retirement plan recordkeeper to offer and/or service Institutional 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 recordkeeper’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.
14 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments
August 31, 2022
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 3.1%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
AGL CLO Ltd.(a),(b)
Series 2021-13A Class A1
3-month USD LIBOR + 1.160%
Floor 1.160%
10/20/2034
3.870%   500,000 486,524
AIMCO CLO Ltd.(a),(b)
Series 2020-11A Class AR
3-month USD LIBOR + 1.130%
Floor 1.130%
10/17/2034
3.870%   400,000 390,310
Aligned Data Centers Issuer LLC(a)
Series 2021-1A Class A2
08/15/2046 1.937%   388,000 342,000
Allegro CLO XII Ltd.(a),(b)
Series 2020-1A Class B
3-month USD LIBOR + 1.700%
Floor 1.700%
01/21/2032
4.432%   250,000 241,427
American Express Credit Account Master Trust
Series 2022-2 Class A
05/17/2027 3.390%   250,000 247,244
AMMC CLO 24 Ltd.(a),(b)
Series 2021-24A Class B
3-month USD LIBOR + 1.750%
Floor 1.750%
01/20/2035
4.460%   350,000 334,698
AREIT Trust(a),(c)
Subordinated Series 2019-CRE3 Class AS
09/14/2036 3.711%   500,000 489,136
BlueMountain CLO XXX Ltd.(a),(b)
Series 2020-30A Class AR
3-month USD LIBOR + 1.370%
Floor 1.370%
04/15/2035
3.698%   450,000 436,940
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
4.210%   375,000 358,527
Conseco Finance Corp.(c)
Series 2096-9 Class M1
08/15/2027 7.630%   170,278 171,666
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
4.314%   434,528 430,066
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
DB Master Finance LLC(a)
Series 2019-1A Class A2II
05/20/2049 4.021%   97,000 90,814
Dryden CLO Ltd.(a),(b)
Series 2020-85A Class AR
3-month USD LIBOR + 1.150%
Floor 1.150%
10/15/2035
3.662%   800,000 780,777
Dryden Senior Loan Fund(a),(b)
Series 2013-30A Class AR
3-month USD LIBOR + 0.820%
Floor 0.820%
11/15/2028
3.725%   222,346 219,611
Eaton Vance CLO Ltd.(a),(b)
Series 2013-1A Class A13R
3-month USD LIBOR + 1.250%
Floor 1.250%
01/15/2034
3.762%   625,000 612,051
ECMC Group Student Loan Trust(a),(b)
Series 2016-1A Class A
1-month USD LIBOR + 1.350%
07/26/2066
3.794%   641,756 633,865
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
4.362%   450,000 435,379
HPS Loan Management Ltd.(a),(b)
Series 2010-A16 Class A1RR
3-month USD LIBOR + 1.140%
Floor 1.140%
04/20/2034
3.850%   450,000 437,509
Jack in the Box Funding LLC(a)
Series 2019-1A Class A2II
08/25/2049 4.476%   123,125 115,719
JG Wentworth XXII LLC(a)
Series 2010-3A Class A
12/15/2048 3.820%   310,132 304,877
LCM XXI LP(a),(b)
Series 20 18-21A Class AR
3-month USD LIBOR + 0.880%
04/20/2028
3.590%   141,666 140,475
MVW Owner Trust(a)
Series 2018-1A Class A
01/21/2036 3.450%   30,193 29,600
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
15

Consolidated Portfolio of Investments  (continued)
August 31, 2022
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
2.769%   397,588 390,218
Nelnet Student Loan Trust(a),(b)
Series 2012-1A Class A
1-month USD LIBOR + 0.800%
Floor 0.800%
12/27/2039
3.244%   265,968 261,561
OCP CLO Ltd.(a),(b)
Series 2021-21A Class B
3-month USD LIBOR + 1.700%
Floor 1.700%
07/20/2034
4.410%   300,000 286,523
OHA Credit Funding Ltd.(a),(b)
Series 2020-7A Class AR
3-month USD LIBOR + 1.300%
Floor 1.300%
02/24/2037
3.853%   475,000 466,829
Option One Mortgage Loan Trust(b)
Series 2006-3 Class 1A1
1-month USD LIBOR + 0.140%
Floor 0.140%
02/25/2037
2.584%   980,344 664,194
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
4.460%   250,000 239,487
Ready Capital Mortgage Financing LLC(a),(b)
Series 2020-FL4 Class AS
1-month USD LIBOR + 3.100%
Floor 3.100%
02/25/2035
5.544%   250,000 248,379
Sabey Data Center Issuer LLC(a)
Series 2020-1 Class A2
04/20/2045 3.812%   470,000 450,442
Saxon Asset Securities Trust(b)
Series 2007-2 Class A2D
1-month USD LIBOR + 0.300%
Floor 0.300%
05/25/2047
2.744%   605,729 453,644
SLM Student Loan Trust(b)
Series 2008-2 Class B
3-month USD LIBOR + 1.200%
Floor 1.200%
01/25/2083
3.983%   740,000 582,558
Series 2008-4 Class A4
3-month USD LIBOR + 1.650%
Floor 1.650%
07/25/2023
4.433%   297,616 296,217
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2008-5 Class A4
3-month USD LIBOR + 1.700%
Floor 1.700%
07/25/2023
4.483%   190,681 189,334
Series 2008-6 Class A4
3-month USD LIBOR + 1.100%
Floor 1.100%
07/25/2023
3.883%   256,187 250,185
Series 2008-7 Class B
3-month USD LIBOR + 1.850%
Floor 1.850%
07/26/2083
4.633%   500,000 449,782
Series 2008-9 Class A
3-month USD LIBOR + 1.500%
Floor 1.500%
04/25/2023
4.283%   169,650 168,804
Series 2012-1 Class A3
1-month USD LIBOR + 0.950%
Floor 0.950%
09/25/2028
3.394%   403,262 388,615
Subordinated Series 2004-10 Class B
3-month USD LIBOR + 0.370%
Floor 0.370%
01/25/2040
3.153%   310,079 284,591
Subordinated Series 2012-7 Class B
1-month USD LIBOR + 1.800%
Floor 1.800%
09/25/2043
4.244%   550,000 521,875
Taco Bell Funding LLC(a)
Series 2016-1A Class A23
05/25/2046 4.970%   364,787 361,465
TAL Advantage VII LLC(a)
Series 2020-1A Class A
09/20/2045 2.050%   367,425 331,398
Textainer Marine Containers VII Ltd.(a)
Series 2021-2A Class A
04/20/2046 2.230%   692,333 611,327
Textainer Marine Containers VIII Ltd.(a)
Series 2020-2A Class A
09/20/2045 2.100%   253,320 226,075
Series 2020-3A Class A
09/20/2045 2.110%   297,210 265,294
Tif Funding II LLC(a)
Series 2020-1A Class A
08/20/2045 2.090%   185,900 165,590
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
16 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Vantage Data Centers LLC(a)
Series 2020-1A Class A2
09/15/2045 1.645%   395,000 352,657
Total Asset-Backed Securities — Non-Agency
(Cost $17,286,537)
16,636,259
Commercial Mortgage-Backed Securities - Agency 0.4%
Federal Home Loan Mortgage Corp. Multifamily Pass-Through REMIC Trust(c),(d)
Series 2019-P002 Class X
07/25/2033 1.138%   705,000 62,051
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates(c),(d)
CMO Series K057 Class X1
07/25/2026 1.305%   3,738,847 135,915
Series 2018-K732 Class X3
05/25/2046 2.244%   1,350,000 76,944
Series K025 Class X3
11/25/2040 1.804%   2,400,000 24
Series K035 Class X3
12/25/2041 1.849%   3,000,000 48,557
Series K039 Class X3 (FHLMC)
08/25/2042 2.177%   1,520,000 67,613
Series K043 Class X3
02/25/2043 1.690%   3,951,044 139,041
Series K051 Class X3
10/25/2043 1.668%   2,100,000 89,980
Series K060 Class X3
12/25/2044 1.961%   1,350,000 90,403
Series K0728 Class X3
11/25/2045 2.017%   1,975,000 80,817
Series KC07 Class X1
09/25/2026 0.847%   3,929,777 81,627
Series KL05 Class X1HG
12/25/2027 1.368%   2,400,000 132,734
Series KLU3 Class X1
01/25/2031 2.079%   1,595,915 187,949
Series KS06 Class X
08/25/2026 1.177%   2,656,407 75,987
Series Q004 Class XFL
05/25/2044 1.334%   1,617,124 50,476
Federal National Mortgage Association(c),(d)
Series 2016-M11B Class X2
07/25/2039 2.960%   707,602 17,342
Series 2016-M4 Class X2
01/25/2039 2.704%   354,462 6,212
Series 2019-M29 Class X4
03/25/2029 0.700%   4,300,000 143,583
Commercial Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Freddie Mac Multifamily Structured Pass-Through Certificates(c),(d)
Series K096 Class X3 (FHLMC)
07/25/2029 2.112%   3,390,000 369,062
FREMF Mortgage Trust(a),(b)
Subordinated Series 2019-KF71 Class B
1-month USD LIBOR + 2.300%
Floor 2.300%
10/25/2029
4.662%   314,373 305,885
Government National Mortgage Association(c),(d)
CMO Series 2014-103 Class IO
05/16/2055 0.195%   1,078,711 9,834
Series 2012-4 Class IO
05/16/2052 0.000%   2,083,717 21
Total Commercial Mortgage-Backed Securities - Agency
(Cost $2,700,188)
2,172,057
Commercial Mortgage-Backed Securities - Non-Agency 2.6%
225 Liberty Street Trust(a),(c),(d)
Series 2016-225L Class X
02/10/2036 1.030%   5,000,000 127,857
AREIT Trust(a),(b)
Subordinated Series 2020-CRE4 Class B
30-day Average SOFR + 4.264%
Floor 4.150%
04/15/2037
6.247%   365,000 354,656
BAMLL Commercial Mortgage Securities Trust(a),(c)
Series 2018-PARK Class A
08/10/2038 4.227%   95,000 90,549
BDS Ltd.(a),(b)
Series 2020-FL6 Class D
30-day Average SOFR + 2.865%
Floor 2.750%
09/15/2035
4.847%   302,000 290,629
Series 2021-FL8 Class A
1-month USD LIBOR + 0.920%
Floor 0.920%
01/18/2036
3.076%   505,221 492,764
BFLD Trust(a),(b)
Series 2020-EYP Class A
1-month USD LIBOR + 1.150%
Floor 1.150%
10/15/2035
3.541%   480,000 466,386
Series 2021-FPM Class A
1-month USD LIBOR + 1.600%
Floor 1.600%
06/15/2038
3.991%   288,000 278,915
BOCA Commercial Mortgage Trust(a),(b)
Subordinated Series 2022-BOCA Class B
1-month Term SOFR + 2.319%
Floor 2.319%
05/15/2039
4.627%   100,000 97,645
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
17

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
BX Commercial Mortgage Trust(a),(b)
Series 2019-XL Class A
1-month USD LIBOR + 0.920%
Floor 0.921%
10/15/2036
3.311%   430,593 425,487
Series 2021-CIP Class A
1-month USD LIBOR + 0.921%
Floor 0.921%
12/15/2038
3.312%   115,000 111,550
Series 2021-VOLT Class A
1-month USD LIBOR + 0.700%
Floor 0.700%
09/15/2036
3.091%   125,000 120,752
Subordinated Series 2021-VINO Class E
1-month USD LIBOR + 1.952%
Floor 1.952%
05/15/2038
3.951%   165,000 153,862
BX Trust(a)
Series 2019-OC11 Class A
12/09/2041 3.202%   225,000 199,217
BX Trust(a),(b)
Subordinated Series 2021-LBA Class EJV
1-month USD LIBOR + 2.000%
Floor 2.000%
02/15/2036
4.000%   240,000 221,784
CAMB Commercial Mortgage Trust(a),(b)
Series 2019-LIFE Class A
1-month USD LIBOR + 1.070%
Floor 1.071%
12/15/2037
3.461%   100,000 98,751
Citigroup Commercial Mortgage Trust(c),(d)
Series 2016-P3 Class XA
04/15/2049 1.820%   9,053,491 392,459
COMM Mortgage Trust(a),(c),(d)
Series 2013-LC6 Class XB
01/10/2046 0.502%   11,750,000 4,116
Series 2020-CBM Class XCP
02/10/2037 0.722%   3,134,666 40,255
Series 2020-SBX Class X
01/10/2038 0.662%   11,501,000 195,989
Commercial Mortgage Pass-Through Certificates(c),(d)
Series 2012-CR3 Class XA
10/15/2045 1.888%   514,298 5
Commercial Mortgage Trust(c),(d)
Series 2012-CR4 Class XA
10/15/2045 1.745%   1,838,456 9
Series 2013-LC6 Class XA
01/10/2046 1.375%   976,437 281
Series 2014-UBS2 Class XA
03/10/2047 1.235%   3,905,291 43,480
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CoreVest American Finance Trust(a),(c),(d)
Series 2019-1 Class XA
03/15/2052 2.449%   202,352 9,447
Series 2019-3 Class XA
10/15/2052 2.219%   191,426 9,372
Series 2020-1 Class XA
03/15/2050 2.774%   660,034 52,174
Series 2020-3 Class XA
08/15/2053 3.841%   631,639 63,930
Series 2020-3 Class XB
08/15/2053 2.785%   850,000 103,107
CoreVest American Finance Trust(a)
Series 2020-1 Class A2
03/15/2050 2.296%   265,000 228,237
Credit Suisse Mortgage Capital Certificates(a),(b)
Series 2019-ICE4 Class A
1-month USD LIBOR + 0.980%
Floor 0.980%
05/15/2036
3.371%   255,000 252,097
CSAIL Commercial Mortgage Trust(c),(d)
Series 2015-C3 Class XA
08/15/2048 0.836%   9,140,935 142,353
CSMC Trust(a),(c),(d)
Series 2021-980M Class X
07/15/2031 1.109%   6,982,000 239,903
CSMC Trust(a),(c)
Subordinated Series 2021-B33 Class B
10/10/2043 3.766%   423,000 354,852
Del Amo Fashion Center Trust(a),(c)
Subordinated Series 2017-AMO Class C
06/05/2035 3.757%   420,000 340,357
DROP Mortgage Trust(a),(b)
Series 2021-FILE Class B
1-month USD LIBOR + 1.700%
Floor 1.700%
04/15/2026
4.091%   400,000 382,001
FirstKey Homes Trust(a)
Series 2020-SFR2 Class A
10/19/2037 1.266%   99,219 91,347
Fontainebleau Miami Beach Trust(a)
Subordinated Series 2019-FBLU Class B
12/10/2036 3.447%   435,810 413,708
Fontainebleau Miami Beach Trust(a),(c)
Subordinated Series 2019-FBLU Class E
12/10/2036 3.963%   310,000 288,128
Grace Trust(a)
Subordinated Series 2020-GRCE Class B
12/10/2040 2.600%   500,000 411,184
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
18 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
GS Mortgage Securities Trust(a),(c),(d)
Series 2012-GC6 Class XB
01/10/2045 1.039%   2,122,857 21
Series 2020-UPTN Class XA
02/10/2037 0.446%   1,750,000 13,402
Home Partners of America Trust(a)
Series 2019-1 Class B
09/17/2039 3.157%   81,289 75,885
Hudson Yards Mortgage Trust(a),(c)
Series 2019-55HY Class F
12/10/2041 3.041%   85,000 64,100
INTOWN Mortgage Trust(a),(b)
Subordinated Series 2022-STAY Class B
1-month Term SOFR + 3.286%
Floor 3.286%
08/15/2037
5.536%   150,000 148,498
JPMBB Commercial Mortgage Securities Trust(c),(d)
Series 2014-C21 Class XA
08/15/2047 1.100%   857,077 10,520
Series 2014-C23 Class XA
09/15/2047 0.748%   2,560,965 23,731
Series 2014-C26 Class XA
01/15/2048 1.087%   5,111,019 83,758
JPMorgan Chase Commercial Mortgage Securities Trust(c),(d)
Series 2012-LC9 Class XA
12/15/2047 1.380%   1,023,322 763
JPMorgan Chase Commercial Mortgage Securities Trust(a)
Series 2019-OSB Class A
06/05/2039 3.397%   375,000 341,648
JPMorgan Chase Commercial Mortgage Securities Trust(a),(b)
Subordinated Series 2022-NLP Class H
1-month Term SOFR + 5.010%
Floor 5.010%
04/15/2037
7.290%   230,000 214,517
Life Mortgage Trust(a),(b)
Series 2022-BMR2 Class A1
1-month Term SOFR + 1.295%
Floor 1.295%
05/15/2039
3.575%   285,000 279,660
Series 2022-BMR2 Class B
1-month Term SOFR + 1.794%
Floor 1.794%
05/15/2039
4.074%   270,000 263,262
Series 2022-BMR2 Class D
1-month Term SOFR + 2.542%
Floor 2.542%
05/15/2039
4.822%   215,000 206,943
Morgan Stanley Bank of America Merrill Lynch Trust(c),(d)
Series 2016-C31 Class XA
11/15/2049 1.417%   2,174,819 86,790
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Morgan Stanley Capital I Trust(a),(c)
Series 2018-MP Class A
07/11/2040 4.419%   315,000 293,250
MSCG Trust(a),(b)
Subordinated Series 2018-SELF Class E
1-month USD LIBOR + 2.150%
Floor 2.150%
10/15/2037
4.541%   375,000 359,063
MSDB Trust(a),(c)
Series 2017-712F Class A
07/11/2039 3.427%   285,000 258,676
Natixis Commercial Mortgage Securities Trust(a),(c),(d)
Series 2020-2PAC Class XA
12/15/2038 1.387%   2,665,000 65,201
Series 2020-2PAC Class XB
12/15/2038 0.948%   2,665,000 49,352
Natixis Commercial Mortgage Securities Trust(a),(c)
Subordinated Series 2018-ALXA Class E
01/15/2043 4.460%   60,000 51,578
Progress Residential Trust(a)
Subordinated Series 2021-SFR9 Class E1
11/17/2040 2.811%   910,000 739,551
SFAVE Commercial Mortgage Securities Trust(a),(c)
Series 2015-5AVE Class A2A
01/05/2043 3.659%   425,000 336,655
Series 2015-5AVE Class A2B
01/05/2043 4.144%   35,000 27,654
Subordinated Series 2015-5AVE Class C
01/05/2043 4.534%   345,000 238,384
SMRT Commercial Mortgage Trust(a),(b)
Subordinated Series 2022-MINI Class E
1-month Term SOFR + 2.700%
Floor 2.700%
01/15/2039
5.008%   350,000 324,624
STWD FL1 Ltd.(a),(b)
Series 2019 Class AS
1-month USD LIBOR + 1.515%
Floor 1.400%
07/15/2038
3.811%   398,000 393,304
Tricon American Homes Trust(a)
Subordinated Series 2017-SFR2 Class E
01/17/2036 4.216%   375,000 368,306
VMC Finance LLC(a),(b)
Series 2021-FL4 Class B
1-month USD LIBOR + 1.800%
Floor 1.800%
06/16/2036
4.177%   299,000 284,146
Wells Fargo Commercial Mortgage Trust(a),(c)
Subordinated Series 2019-JDWR Class D
09/15/2031 3.437%   425,000 376,175
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
19

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
WF-RBS Commercial Mortgage Trust(a),(c),(d)
Series 2012-C9 Class XA
11/15/2045 1.842%   132,464 1
WF-RBS Commercial Mortgage Trust(c),(d)
Series 2014-C24 Class XA
11/15/2047 0.988%   2,380,692 33,898
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $14,740,841)
13,602,911
    
Common Stocks 22.3%
Issuer Shares Value ($)
Communication Services 2.2%
Entertainment 0.9%
Activision Blizzard, Inc. 58,681 4,605,872
Interactive Media & Services 0.5%
Twitter, Inc.(e) 70,369 2,726,799
Media 0.8%
Intelsat Jackson Holdings SA(e),(f),(g) 362,000 0
Intelsat Jackson Holdings SA(e),(f),(g) 248,000 0
Intelsat Jackson Series A, CVR(e),(f),(g) 612
Intelsat Jackson Series B, CVR(e),(f),(g) 612
Shaw Communications, Inc. 16,870 432,620
TEGNA, Inc.(h),(i) 188,436 4,032,531
Total   4,465,151
Total Communication Services 11,797,822
Consumer Discretionary 1.7%
Auto Components 0.4%
Tenneco, Inc.(e) 105,417 1,988,165
Automobiles 0.0%
General Motors Co. 2,667 101,906
Diversified Consumer Services 0.9%
Houghton Mifflin Harcourt Co.(e),(f),(g) 180,721 3,795,141
Terminix Global Holdings, Inc.(e) 23,372 996,816
Total   4,791,957
Household Durables 0.4%
iRobot Corp.(e) 37,537 2,210,178
Total Consumer Discretionary 9,092,206
Common Stocks (continued)
Issuer Shares Value ($)
Consumer Staples 0.2%
Food & Staples Retailing —%
Fresh Market Escrow(e),(f),(g) 90,477 0
Tobacco 0.2%
Swedish Match AB 89,494 898,443
Total Consumer Staples 898,443
Financials 2.2%
Banks 0.6%
First Horizon Corp.(h),(i) 145,516 3,291,572
U.S. Bancorp 2,925 133,409
Total   3,424,981
Capital Markets 0.3%
Brewin Dolphin Holdings PLC 123,222 732,913
Cowen, Inc., Class A 16,099 619,006
Total   1,351,919
Diversified Financial Services 0.0%
Intelsat Emergence SA(e) 5,853 168,762
Insurance 1.3%
Alleghany Corp.(e) 6,549 5,508,888
Willis Towers Watson PLC 7,602 1,572,322
Total   7,081,210
Total Financials 12,026,872
Health Care 4.9%
Biotechnology 1.4%
Biohaven Pharmaceutical Holding Co., Ltd.(e),(h),(i) 15,340 2,291,029
ChemoCentryx, Inc.(e) 37,044 1,888,503
Global Blood Therapeutics, Inc.(e) 40,090 2,722,111
Swedish Orphan Biovitrum AB(e) 35,768 789,823
Total   7,691,466
Health Care Providers & Services 1.6%
1Life Healthcare, Inc.(e) 144,759 2,491,302
Covetrus, Inc.(e) 69,597 1,452,489
Hanger, Inc.(e) 45,561 848,802
LHC Group, Inc.(e) 18,964 3,062,117
Mediclinic International PLC 143,824 835,750
Total   8,690,460
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
20 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Health Care Technology 1.6%
Change Healthcare, Inc.(e) 271,156 6,662,303
Inovalon Holdings, Inc., Class A(e),(f),(g) 38,146 1,563,986
Total   8,226,289
Pharmaceuticals 0.3%
Aerie Pharmaceuticals, Inc.(e) 97,242 1,468,354
Total Health Care 26,076,569
Industrials 2.6%
Aerospace & Defense 0.5%
Aerojet Rocketdyne Holdings, Inc.(e) 45,886 1,976,310
Boeing Co. (The)(e) 1,186 190,056
Meggitt PLC(e) 42,276 391,816
Total   2,558,182
Air Freight & Logistics 0.4%
Atlas Air Worldwide Holdings, Inc.(e) 22,598 2,257,992
Airlines 0.0%
Delta Air Lines, Inc.(e) 2,848 88,487
Commercial Services & Supplies 0.1%
HomeServe PLC 44,697 615,825
Construction & Engineering 0.2%
Infrastructure and Energy Alternatives, Inc.(e) 63,929 908,431
Electrical Equipment 0.1%
Siemens Gamesa Renewable Energy SA(e) 23,212 418,232
Professional Services 1.1%
Intertrust NV(e) 65,081 1,272,724
Mantech International Corp., Class A 11,344 1,088,003
Nielsen Holdings PLC 126,079 3,510,039
Total   5,870,766
Transportation Infrastructure 0.2%
Atlantia SpA 42,531 973,895
Total Industrials 13,691,810
Information Technology 6.3%
Communications Equipment 0.5%
Sierra Wireless, Inc.(e) 92,214 2,838,347
Electronic Equipment, Instruments & Components 0.6%
Rogers Corp.(e) 12,317 3,085,655
Common Stocks (continued)
Issuer Shares Value ($)
IT Services 0.8%
Evo Payments, Inc., Class A(e) 45,477 1,515,294
Switch, Inc., Class A 79,170 2,687,821
Total   4,203,115
Semiconductors & Semiconductor Equipment 0.4%
MagnaChip Semiconductor Corp.(e) 40,326 471,814
Silicon Motion Technology Corp., ADR 19,818 1,528,166
Total   1,999,980
Software 4.0%
Anaplan, Inc.(e),(f),(g) 60,584 3,862,230
Avalara, Inc.(e) 29,514 2,703,187
Black Knight, Inc.(e) 6,199 410,126
Citrix Systems, Inc. 35,205 3,618,018
Micro Focus International PLC 101,779 612,794
Momentive Global, Inc.(e) 143,016 1,013,983
Ping Identity Holding Corp.(e) 82,270 2,315,078
VMware, Inc., Class A(h),(i) 21,774 2,526,437
Zendesk, Inc.(e) 59,288 4,551,540
Total   21,613,393
Total Information Technology 33,740,490
Materials 0.5%
Construction Materials 0.3%
Forterra, Inc.(e),(f),(g) 55,377 1,388,911
Paper & Forest Products 0.2%
Resolute Forest Products, Inc.(e) 65,281 1,322,593
Total Materials 2,711,504
Real Estate 0.5%
Equity Real Estate Investment Trusts (REITS) 0.5%
Americold Realty Trust, Inc. 2,907 85,524
Duke Realty Corp. 40,530 2,385,191
Total   2,470,715
Total Real Estate 2,470,715
Utilities 1.2%
Electric Utilities 0.7%
Electricite de France SA 80,031 956,869
PNM Resources, Inc.(h),(i) 58,595 2,779,161
Total   3,736,030
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
21

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Common Stocks (continued)
Issuer Shares Value ($)
Gas Utilities 0.5%
South Jersey Industries, Inc.(h),(i) 79,903 2,704,716
Total Utilities 6,440,746
Total Common Stocks
(Cost $122,037,996)
118,947,177
    
Convertible Bonds 0.6%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Airlines 0.2%
Air Canada
07/01/2025 4.000%   110,000 122,848
American Airlines Group, Inc.
07/01/2025 6.500%   375,000 405,750
Southwest Airlines Co.
05/01/2025 1.250%   205,000 256,148
Total 784,746
Banking 0.3%
Banco Santander SA(j)
12/31/2049 4.750%   200,000 159,476
Barclays PLC(j)
12/31/2049 4.375%   200,000 150,288
Deutsche Bank AG(j)
12/31/2049 6.000%   200,000 164,557
ING Groep NV(j)
12/31/2049 5.750%   220,000 204,177
Intesa Sanpaolo SpA(a),(j)
12/31/2049 7.700%   200,000 180,500
Lloyds Banking Group PLC(j)
12/31/2049 7.500%   200,000 195,971
Societe Generale SA(a),(j)
12/31/2049 6.750%   205,000 184,924
UBS Group AG(a),(j)
12/31/2049 4.375%   200,000 151,321
Total 1,391,214
Cable and Satellite 0.1%
Liberty Broadband Corp.(a)
09/30/2050 1.250%   270,000 255,825
09/30/2050 2.750%   180,000 174,323
Liberty Media Corp.(a)
12/01/2050 0.500%   105,000 121,629
Total 551,777
Convertible Bonds (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Consumer Cyclical Services 0.0%
Uber Technologies, Inc.(k)
12/15/2025 0.000%   225,000 192,843
Retailers 0.0%
Burlington Stores, Inc.
04/15/2025 2.250%   225,000 233,156
Total Convertible Bonds
(Cost $3,580,512)
3,153,736
    
Convertible Preferred Stocks 0.5%
Issuer   Shares Value ($)
Communication Services 0.1%
Diversified Telecommunication Services 0.1%
2020 Cash Mandatory Exchangeable Trust(a) 5.250% 320 381,306
Media 0.0%
ViacomCBS, Inc. 5.750% 2,100 79,864
Total Communication Services 461,170
Financials 0.0%
Capital Markets 0.0%
KKR & Co., Inc. 6.000% 1,200 74,688
Total Financials 74,688
Health Care 0.1%
Health Care Equipment & Supplies 0.0%
Becton Dickinson and Co. 6.000% 2,200 111,100
Life Sciences Tools & Services 0.1%
Danaher Corp. 5.000% 205 288,059
Total Health Care 399,159
Information Technology 0.0%
IT Services 0.0%
Sabre Corp. 6.500% 500 47,450
Total Information Technology 47,450
Utilities 0.3%
Electric Utilities 0.2%
American Electric Power Co., Inc. 6.125% 6,600 360,756
NextEra Energy, Inc. 5.279% 14,000 726,740
NextEra Energy, Inc. 6.219% 3,800 199,006
Total     1,286,502
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
22 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Convertible Preferred Stocks (continued)
Issuer   Shares Value ($)
Independent Power and Renewable Electricity Producers 0.1%
AES Corp. (The) 6.375% 3,400 329,902
Multi-Utilities 0.0%
Algonquin Power & Utilities Corp. 7.750% 5,650 251,007
Total Utilities 1,867,411
Total Convertible Preferred Stocks
(Cost $2,936,097)
2,849,878
    
Corporate Bonds & Notes(l) 16.3%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Aerospace & Defense 0.2%
Airbus SE(a)
06/09/2030 1.625% EUR 100,000 91,350
Boeing Co. (The)
02/04/2024 1.433%   300,000 287,651
05/01/2027 5.040%   300,000 299,095
05/01/2030 5.150%   550,000 541,160
TransDigm, Inc.
01/15/2029 4.625%   125,000 105,845
Total 1,325,101
Airlines 0.5%
American Airlines Pass-Through Trust
Series 2016-2 Class AA
06/15/2028 3.200%   185,500 165,594
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(a)
04/20/2026 5.500%   215,000 204,686
04/20/2029 5.750%   270,000 243,895
Delta Air Lines Pass-Through Trust
06/10/2028 2.500%   98,314 84,664
Delta Air Lines, Inc.
10/28/2024 2.900%   105,000 98,494
01/15/2026 7.375%   80,000 81,561
Delta Air Lines, Inc./SkyMiles IP Ltd.(a)
10/20/2025 4.500%   100,000 97,992
10/20/2028 4.750%   734,000 702,341
JetBlue Pass-Through Trust
Series 2020-1 Class A
11/15/2032 4.000%   360,738 329,099
Singapore Airlines Ltd.(a)
01/19/2029 3.375%   200,000 183,150
U.S. Airways Pass-Through Trust
04/22/2023 6.250%   144,924 142,831
United Airlines, Inc. Pass-Through Trust
10/15/2027 5.875%   85,954 85,332
Total 2,419,639
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Automotive 0.7%
BMW Finance NV(a)
11/14/2024 1.000% EUR 75,000 73,580
Ford Motor Co.
02/12/2032 3.250%   135,000 105,453
Ford Motor Credit Co. LLC
06/14/2024 2.748% GBP 100,000 108,942
08/01/2026 4.542%   200,000 186,989
05/28/2027 4.950%   200,000 187,886
08/17/2027 4.125%   200,000 180,287
02/16/2028 2.900%   200,000 166,995
06/17/2031 3.625%   275,000 222,592
General Motors Financial Co., Inc.
10/15/2024 1.200%   265,000 247,731
11/07/2024 3.500%   105,000 102,876
Meritor, Inc.(a)
12/15/2028 4.500%   544,000 558,321
Tenneco, Inc.(a)
04/15/2029 5.125%   1,603,000 1,573,556
Total 3,715,208
Banking 2.7%
American Express Co.(j)
12/31/2049 3.550%   85,000 73,262
Banco Actinver SA/Grupo GICSA SAB de CV(a)
12/18/2032 9.500% MXN 3,000,000 94,980
Bank of America Corp.(j)
10/01/2025 3.093%   345,000 334,285
01/20/2028 3.824%   110,000 105,264
06/14/2029 2.087%   50,000 42,541
04/22/2032 2.687%   50,000 41,537
10/20/2032 2.572%   700,000 573,670
12/31/2049 4.375%   80,000 68,647
Capital One Financial Corp.(j)
11/02/2027 1.878%   215,000 189,175
Citigroup, Inc.(j)
02/24/2028 3.070%   80,000 74,069
11/05/2030 2.976%   100,000 87,090
01/29/2031 2.666%   80,000 67,863
03/31/2031 4.412%   355,000 337,764
06/03/2031 2.572%   95,000 79,419
11/03/2032 2.520%   220,000 177,316
01/25/2033 3.057%   415,000 351,594
Comerica, Inc.(j)
12/31/2049 5.625%   95,000 96,599
Credit Suisse Group AG(a),(j)
02/02/2027 1.305%   450,000 379,810
05/14/2032 3.091%   200,000 151,185
08/12/2033 6.537%   265,000 253,616
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
23

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Credit Suisse Group Funding Guernsey Ltd.
03/26/2025 3.750%   135,000 129,134
Goldman Sachs Group, Inc. (The)(a)
05/15/2024 1.375% EUR 186,000 185,569
03/27/2025 3.375% EUR 38,000 38,653
11/01/2028 2.000% EUR 147,000 134,464
Goldman Sachs Group, Inc. (The)(j)
04/22/2032 2.615%   970,000 799,004
07/21/2032 2.383%   230,000 185,617
10/21/2032 2.650%   500,000 411,028
HSBC Holdings PLC(j)
05/24/2025 0.976%   225,000 209,930
05/24/2027 1.589%   125,000 108,913
06/09/2028 4.755%   25,000 24,084
09/22/2028 2.013%   365,000 307,760
08/17/2029 2.206%   215,000 178,025
05/24/2032 2.804%   170,000 135,066
08/11/2033 5.402%   200,000 190,129
Intesa Sanpaolo SpA(a),(j)
Subordinated
06/01/2032 4.198%   200,000 145,404
JPMorgan Chase & Co.(j)
11/19/2026 1.045%   235,000 208,922
04/22/2027 1.578%   285,000 254,635
02/24/2028 2.947%   425,000 393,197
10/15/2030 2.739%   105,000 90,938
04/22/2032 2.580%   340,000 281,269
11/08/2032 2.545%   165,000 135,950
12/31/2049 3.650%   85,000 73,725
Lloyds Banking Group PLC(j)
07/09/2025 3.870%   400,000 392,278
08/11/2033 4.976%   330,000 313,641
Macquarie Group Ltd.(a),(j)
06/23/2032 2.691%   195,000 157,214
01/14/2033 2.871%   305,000 244,914
Morgan Stanley(j)
04/28/2032 1.928%   85,000 67,149
07/21/2032 2.239%   400,000 322,586
10/20/2032 2.511%   205,000 168,102
Subordinated
09/16/2036 2.484%   100,000 77,339
04/20/2037 5.297%   690,000 662,655
Nationwide Building Society(a),(j)
03/08/2024 3.766%   660,000 656,831
08/01/2024 4.363%   100,000 99,296
Popular, Inc.
09/14/2023 6.125%   370,000 374,773
Santander UK Group Holdings PLC(j)
11/15/2024 4.796%   90,000 89,538
03/15/2025 1.089%   300,000 280,777
06/14/2027 1.673%   110,000 95,367
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Santander UK PLC(a)
Subordinated
11/07/2023 5.000%   115,000 114,920
Shinhan Financial Group Co., Ltd.(a),(j)
12/31/2049 2.875%   200,000 177,641
U.S. Bancorp
06/07/2024 0.850% EUR 370,000 361,261
US Bancorp(j)
12/31/2049 3.700%   299,000 251,079
Wells Fargo & Co.(j)
06/02/2028 2.393%   160,000 143,123
02/11/2031 2.572%   375,000 319,333
03/02/2033 3.350%   540,000 470,940
07/25/2033 4.897%   195,000 192,141
Total 14,234,000
Brokerage/Asset Managers/Exchanges 0.1%
Charles Schwab Corp. (The)
12/01/2031 1.950%   245,000 199,945
Intercontinental Exchange, Inc.
09/15/2032 1.850%   175,000 138,079
03/15/2033 4.600%   60,000 59,409
Total 397,433
Building Materials 0.1%
Advanced Drainage Systems, Inc.(a)
06/15/2030 6.375%   70,000 69,306
Cemex SAB de CV(a)
07/11/2031 3.875%   205,000 172,565
St. Marys Cement, Inc.(a)
01/28/2027 5.750%   200,000 201,912
Total 443,783
Cable and Satellite 0.9%
Cable One, Inc.(a)
11/15/2030 4.000%   225,000 187,277
CCO Holdings LLC/Capital Corp.(a)
05/01/2027 5.125%   305,000 289,706
03/01/2030 4.750%   295,000 253,485
08/15/2030 4.500%   265,000 223,031
02/01/2031 4.250%   35,000 28,581
02/01/2032 4.750%   175,000 144,936
06/01/2033 4.500%   115,000 90,962
Charter Communications Operating LLC/Capital
04/01/2031 2.800%   50,000 40,513
02/01/2032 2.300%   20,000 15,200
05/01/2047 5.375%   65,000 55,397
04/01/2048 5.750%   320,000 283,218
07/01/2049 5.125%   355,000 289,142
04/01/2053 5.250%   280,000 234,594
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
24 Multi-Manager Alternative Strategies Fund  | Annual Report 2022

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CSC Holdings LLC(a)
02/01/2028 5.375%   275,000 248,550
DIRECTV Holdings LLC/Financing Co., Inc.(a)
08/15/2027 5.875%   150,000 137,265
Globo Comunicacao e Participacoes SA(a)
01/14/2032 5.500%   200,000 164,068
Intelsat Jackson Holdings SA(a)
03/15/2030 6.500%   248,000 225,351
LCPR Senior Secured Financing DAC(a)
07/15/2029 5.125%   200,000 171,937
SES GLOBAL Americas Holdings GP(a)
03/25/2044 5.300%   375,000 311,507
Sirius XM Radio, Inc.(a)
07/01/2030 4.125%   255,000 216,213
09/01/2031 3.875%   107,000 86,531
Time Warner Cable LLC
09/01/2041 5.500%   195,000 168,417
Virgin Media Finance PLC(a)
07/15/2030 5.000%   200,000 158,290
Virgin Media Secured Finance PLC(a)
05/15/2029 5.500%   225,000 201,484
08/15/2030 4.500%   200,000 166,359
VTR Finance NV(a)
07/15/2028 6.375%   200,000 88,793
VZ Secured Financing BV(a)
01/15/2032 5.000%   165,000 134,456
Total 4,615,263
Chemicals 0.1%
Braskem Idesa SAPI(a)
02/20/2032 6.990%   200,000 155,944
Braskem Netherlands Finance BV(a)
01/31/2030 4.500%   200,000 176,812
EverArc Escrow Sarl(a)
10/30/2029 5.000%   190,000 162,641
Unifrax Escrow Issuer Corp.(a)
09/30/2029 7.500%   155,000 115,256
Westlake Corp.
08/15/2024 0.875%   115,000 108,692
Total 719,345
Construction Machinery 0.1%
OT Merger Corp.(a)
10/15/2029 7.875%   240,000 171,787
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
United Rentals North America, Inc.
01/15/2028 4.875%   205,000 191,771
07/15/2030 4.000%   140,000 121,784
02/15/2031 3.875%   235,000 202,912
Total 688,254
Consumer Cyclical Services 0.1%
Atento Luxco 1 SA(a)
02/10/2026 8.000%   106,000 50,946
Match Group, Inc.(a)
08/01/2030 4.125%   150,000 124,809
WASH Multifamily Acquisition, Inc.(a)
04/15/2026 5.750%   145,000 139,852
Total 315,607
Consumer Products 0.2%
Edgewell Personal Care Co.(a)
06/01/2028 5.500%   150,000 138,976
Energizer Holdings, Inc.(a)
12/31/2027 6.500%   150,000 140,500
Natura & Co. Luxembourg Holdings SARL(a)
04/19/2029 6.000%   200,000 177,059
Natura Cosmeticos SA(a)
05/03/2028 4.125%   200,000 166,074
Prestige Brands, Inc.(a)
04/01/2031 3.750%   185,000 148,325
Spectrum Brands, Inc.(a)
07/15/2030 5.500%   165,000 143,267
Valvoline, Inc.(a)
02/15/2030 4.250%   155,000 151,281
Total 1,065,482
Diversified Manufacturing 0.1%
GE Capital International Funding Co. Unlimited Co.
11/15/2035 4.418%   167,000 157,481
General Electric Co.
03/15/2032 6.750%   27,000 30,603
Johnson Controls International PLC/Tyco Fire & Security Finance SCA
09/15/2027 0.375% EUR 100,000 87,289
Total 275,373
Electric 0.6%
AES Corp. (The)(a)
07/15/2030 3.950%   35,000 31,768
Alliant Energy Finance LLC(a)
03/01/2032 3.600%   305,000 276,018
DPL, Inc.
07/01/2025 4.125%   270,000 254,907
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Multi-Manager Alternative Strategies Fund  | Annual Report 2022
25

Consolidated Portfolio of Investments  (continued)
August 31, 2022
Corporate Bonds & Notes(l) (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
DTE Energy Co.
06/01/2025 1.050%   80,000 73,310
Duke Energy Corp.
08/15/2032 4.500%   75,000 72,291
Duke Energy Progress LLC
12/01/2044 4.150%   225,000 199,894
E.ON SE(a)
09/29/2027 0.375% EUR 65,000 57,371
FirstEnergy Corp.(j)
07/15/2027 4.400%   190,000 182,118
FirstEnergy Corp.
11/15/2031 7.375%   260,000 305,306
FirstEnergy Transmission LLC(a)
09/15/2028 2.866%   229,000 203,259
Inversiones Latin America Power Ltda(a)
06/15/2033 5.125%   195,890 108,688
ITC Holdings Corp.
11/15/2027 3.350%   150,000 142,102
Jersey Central Power & Light Co.(a)
04/01/2024 4.700%   330,000 328,087
NSTAR Electric Co.
05/15/2027 3.200%   520,000 501,536
Southern Co. (The)
07/01/2026 3.250%   184,000 175,935
WEC Energy Group, Inc.
03/15/2024 0.800%   77,000 73,373
Total 2,985,963
Environmental 0.0%
Waste Pro USA, Inc.(a)
02/15/2026 5.500%   250,000 228,155
Finance Companies 0.2%
AerCap Ireland Capital DAC/Global Aviation Trust
01/23/2028 3.875%   75,000 68,154
01/30/2032 3.300%   344,000 276,684
Air Lease Corp.
03/01/2025 3.250%   160,000 153,384
Avolon Holdings Funding Ltd.(a)
07/01/2024