N-CSR 1 f25977d1.htm COLUMBIA FUND SERIES TRUST I Columbia Fund 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:  May 31 

  

Date of reporting period:  May 31, 2023 

  

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

  

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

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

  

Item 1. Reports to Stockholders. 


Annual Report
May 31, 2023 
Columbia Multi Strategy Alternatives 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 Columbia Multi Strategy Alternatives Fund (the Fund) in paper, mailed to you, the Fund mails one shareholder report to each shareholder address, unless such shareholder elects to receive shareholder reports from the Fund electronically via e-mail or by having a paper notice mailed to you (Postcard Notice) that your Fund’s shareholder report is available at the Columbia funds’ website (columbiathreadneedleus.com/investor/). If you would like more than one report in paper to be mailed to you, or would like to elect to receive reports via e-mail or access them through Postcard Notice, please call shareholder services at 800.345.6611 and additional reports will be sent to you.
Proxy voting policies and procedures
The policy of the Board of Trustees is to vote the proxies of the companies in which the Fund holds investments consistent with the procedures as stated in the Statement of Additional Information (SAI). You may obtain a copy of the SAI without charge by calling 800.345.6611; contacting your financial intermediary; visiting columbiathreadneedleus.com/investor/; or searching the website of the Securities and Exchange Commission (SEC) at sec.gov. Information regarding how the Fund voted proxies relating to portfolio securities is filed with the SEC by August 31st for the most recent 12-month period ending June 30th of that year, and is available without charge by visiting columbiathreadneedleus.com/investor/, or searching the website of the SEC at sec.gov.
Quarterly schedule of investments
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT filings are available on the SEC’s website at sec.gov. The Fund’s complete schedule of portfolio holdings, as filed on Form N-PORT, 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
Columbia Multi Strategy Alternatives Fund  |  Annual Report 2023

Fund at a Glance
(Unaudited)
Investment objective
The Fund seeks to provide shareholders with absolute (positive) returns over a complete market cycle.
Portfolio management
Columbia Management Investment Advisers, LLC
Marc Khalamayzer, CFA
Joshua Kutin, CFA
Matthew Ferrelli, CFA
Dan Boncarosky, CFA
Brian Virginia
Corey Lorenzen, CFA
Jason Callan
Tom Heuer, CFA
Ryan Osborn, CFA
AQR Capital Management, LLC
Jordan Brooks, Ph.D.
Jonathan Fader
Lars Nielsen*
Yao Hua Ooi
* Lars Nielsen has announced his intention to retire from AQR Capital Management, LLC (AQR), effective December 31, 2023. As a result of this retirement, effective January 1, 2024, Clifford Asness and John Liew will join the AQR portfolio management team.
PGIM Quantitative Solutions LLC
Marco Aiolfi, Ph.D.
Edward Tostanoski III, CFA
Average annual total returns (%) (for the period ended May 31, 2023)
    Inception 1 Year 5 Years Life
Class A Excluding sales charges 01/28/15 -1.38 -4.03 -3.73
  Including sales charges   -7.06 -5.16 -4.42
Advisor Class 01/28/15 -1.09 -3.77 -3.49
Class C Excluding sales charges 01/28/15 -2.11 -4.75 -4.45
  Including sales charges   -3.09 -4.75 -4.45
Institutional Class 01/28/15 -1.15 -3.78 -3.51
Institutional 2 Class 01/28/15 -1.11 -3.73 -3.43
Institutional 3 Class 01/28/15 -1.05 -3.66 -3.37
Class R 01/28/15 -1.61 -4.25 -3.97
FTSE One-Month U.S. Treasury Bill Index   3.32 1.45 1.06
HFRX Global Hedge Fund Index   -1.26 1.52 1.41
Returns for Class A shares are shown with and without the maximum initial sales charge of 5.75%. Returns for Class C shares are shown with and without the 1.00% contingent deferred sales charge for the first year only. The Fund’s other share classes are not subject to sales charges and have limited eligibility. Please see the Fund’s prospectus for details. Performance for different share classes will vary based on differences in sales charges and fees associated with each share class. 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 Fund’s performance prior to October 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different.
The FTSE One-Month U.S. Treasury Bill Index is an unmanaged index that represents the performance of one-month Treasury bills and reflects reinvestment of all distributions and changes in market prices.
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe.
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.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
3

Fund at a Glance   (continued)
(Unaudited)
Performance of a hypothetical $10,000 investment (January 28, 2015 — May 31, 2023)
The chart above shows the change in value of a hypothetical $10,000 investment in Class A shares of Columbia Multi Strategy Alternatives Fund during the stated time period, and does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on the redemption of Fund shares.
Portfolio breakdown (%) (at May 31, 2023)
Asset-Backed Securities — Non-Agency 3.7
Call Option Contracts Purchased 0.4
Commercial Mortgage-Backed Securities - Agency 0.1
Commercial Mortgage-Backed Securities - Non-Agency 2.3
Money Market Funds(a) 35.0
Put Option Contracts Purchased 0.0(b)
Residential Mortgage-Backed Securities - Agency 27.6
Residential Mortgage-Backed Securities - Non-Agency 12.9
Treasury Bills 18.0
Total 100.0
    
(a) Includes investments in Money Market Funds, including investing for the purpose of covering obligations relating to the Fund’s investment in derivatives. 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.
(b) Rounds to zero.
Percentages indicated are based upon total investments including option contracts purchased 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 May 31, 2023)(a)
  Long Short Net
Fixed Income Derivative Contracts 305.1 (379.3) (74.2)
Commodities Derivative Contracts 38.4 (46.9) (8.5)
Equity Derivative Contracts 53.2 (67.8) (14.6)
Foreign Currency Derivative Contracts 488.7 (491.4) (2.7)
Total Notional Market Value of Derivative Contracts 885.4 (985.4) (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 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Manager Discussion of Fund Performance
(Unaudited)
Columbia Management Investment Advisers, LLC (CMIA) serves as the investment manager for the Fund and attempts to achieve the Fund’s objective by managing a portion of the Fund’s assets and selecting one or more subadvisers to manage other sleeves independently of each other and CMIA. Portions of the Fund’s assets are subadvised by AQR Capital Management, LLC (AQR) and PGIM Quantitative Solutions LLC (PGIM Quantitative Solutions). As of May 31, 2023, CMIA, AQR and PGIM Quantitative Solutions managed approximately 50.7%, 25.0% and 24.3% of the portfolio, respectively.
For the 12-month period that ended May 31, 2023, Class A shares of Columbia Multi Strategy Alternatives Fund returned -1.38% excluding sales charges. To compare, the FTSE One-Month U.S. Treasury Bill Index returned 3.32% and the HFRX Global Hedge Fund Index returned -1.26% over the same time period. As an absolute return fund, it employs a benchmark agnostic strategy and therefore comparisons to the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index are for informational purposes only.
Market overview
During the reporting period, the global economy grew despite elevated fears of a possible recession in many developed economies. Fears of a future economic slowdown in the United States were amplified by the aggressive policy tightening of the U.S. Federal Reserve (Fed), which hiked its policy rate by 4.25% over the reporting period as U.S. inflation accelerated to a four decade high of 9.1% by June 2022.  Through May 2023, the rate of year-over-year U.S. inflation had decelerated to 4.9%, a meaningful reduction, though still considerably higher than the Fed’s 2% inflation target. With the exception of Japan, inflation pressures in developed markets outside the United States also prompted aggressive monetary tightening, heightening fears that such tightening would contribute to an economic slowdown or recession.
Global markets during the reporting period were largely driven by the rapidly evolving monetary policy environment and the outlook for when central bank interest rate increases might give way to a pause in tightening or possibly an easing of policy if inflation decelerated enough or a recession ensued, or both. Global equity markets, as measured by the MSCI World Index (Net), advanced by 2.65% over the reporting period, with an 8.52% gain in the first five months of 2023 more than offsetting a 5.95% decline in the final seven months of 2022. Global government bond yields rose materially over the reporting period with the largest increases in yield occurring on the front end of the yield curve. The rapid rise in short rates and more modest increases in longer rates resulted in a sharply inverted U.S. yield curve.
The Bloomberg Commodity Index Total Return declined by 22.48% over the reporting period as a surge in commodity prices in the first five months of 2022, gave way to a bear market, led by a sharp selloff in energy commodities.  During the reporting period, the U.S. dollar advanced as much as 12% through late September 2022 before declining through much of the rest of the reporting period as expectations for further tightening by the Fed were dialed back and eventual easing priced in. 
The Fund experienced an increase in portfolio turnover during the period. The Fund introduced a new sleeve at the end of March 2023 that contributed to the increase in turnover.
CMIA
We employ the following strategies in separate sleeves to manage our portion of the Fund’s portfolio: G10 Currency (this strategy typically invests in short-term debt obligations and currency-linked derivatives); Global Tactical Asset Allocation (GTAA) (this strategy typically invests in stocks and bonds across traditional asset classes and markets through the use of derivatives such as futures and swaps); Mortgage Opportunities (this strategy typically invests in mortgage- and other asset-backed securities); as well as a Liquidity sleeve (this strategy typically invests in U.S. government securities, high-quality short-term debt instruments, ETFs and futures). An additional sleeve, the Commodity Futures Long/Short strategy, was added in March 2023. This strategy typically invests in derivatives, using long and short strategy exposures to commodity markets.
Notable detractors in the CMIA portion of the Fund during the period
The most significant detractor during the period came from the Mortgage Opportunities non-traditional bond strategy held within our portion of the portfolio, as the past 12-months have been one of the worst periods on record for the Mortgage Opportunities strategy as well as the overall agency mortgage-backed securities (MBS) sector.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
5

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Wary of recession risk, we had meaningfully increased allocations to agency MBS, preferring long duration and higher quality credit risk in response to already elevated interest rates and deteriorating economic data.  MBS cash flows (and duration) continued to extend as mortgage rates skyrocketed during the period in response to the Fed’s unprecedented hiking campaign. This rapid rise in mortgage rates caused prepayments and refinancing to grind to a halt. Markets also experienced a historic increase in interest rate volatility. Unfortunately, these dynamics drove both relative and absolute underperformance within the sleeve.
Within our G10 Currency strategy, long positions in the Swedish Krona (SEK), British Pound (GBP), Canadian Dollar (CAD), Norwegian Krone (NOK), and New Zealand Dollar (NZD) and short positions in the Swiss Franc (CHF) detracted from performance.
The GTAA strategy, which invests on a long/short basis across both equity and fixed-income markets, experienced another challenging year, as both equity and fixed-income positioning hurt performance in our portion of the Fund during the period.
Relative overweights (long positions) in emerging market equity and underweights to UK equities hurt performance in the period.
Relative long positions in United Kingdom and short positions in European fixed-income-related markets detracted from returns.
Within the Commodity Futures Long/Short strategy, losses came from grains, industrial metals and soft commodities. Within grains, longs in soybean meal and corn detracted most as grain markets sold off due to the extension of the Ukrainian Grain Corridor and better than expected production out of South America.
Notable contributors in the CMIA portion of the Fund during the period
Within our G10 Currency strategy sleeve, short positions in foreign currencies, notably the Japanese Yen (JPY), Euro (EUR) and Australian Dollar (AUD), contributed to performance during the period and offset some of the detraction from the strategy’s long currency positions.
During this period, the G10 Currency strategy was generally positively correlated to risk assets and commodities, and negatively correlated to the U.S. Dollar and U.S. interest rates.
Within the Commodity Futures Long/Short strategy sleeve, short positioning in natural gas was the largest positive contributor within the sleeve as the natural gas market sold off due to plentiful storage and weak weather induced demand.
AQR
Our portion of the Fund’s portfolio delivered positive results during the period, surpassing the returns of the FTSE One-Month U.S. Treasury Bill Index and the HFRX Global Hedge Fund Index.
The Global Macro strategy we use to manage our portion of the Fund’s portfolio aims to determine appropriate positioning based on a broad set of inputs, encompassing both systematic analysis of large quantities of economic and financial data as well as discretionary analysis of qualitative information. The strategy is implemented using derivative instruments, as we believe derivatives offer the most liquid, lowest cost and efficient way to gain diversified exposure across asset classes. The strategy primarily invests in liquid derivatives including global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts, and interest rate swaps across four major asset classes: commodities, currencies, fixed income (including government bonds and interest rates) and equities. Our portion of the Fund also invests in cash and cash-related securities.
Notable contributors in the AQR portion of the Fund during the period
For systematic views, positions in fixed income and commodities contributed positively over the reporting period. Notably, directional strategies in fixed income and commodities were profitable over the period.
6 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Within fixed income, directional short positions in bonds and interest rates, as well as a yield curve flattener, benefited our portion of the Fund over the period as inflationary concerns led to global rate hikes and rising yields, particularly at the front end of the yield curve.
In commodities, directional positioning was profitable across commodity sectors. In particular, short positions in agricultural commodities such as wheat profited. Wheat supply remained high following Russia’s invasion of Ukraine due to the Black Sea grain export agreement.
Short positions in industrial metals, such as aluminum and zinc, also drove gains in recent months as prices fell in conjunction with poor industrial production data out of China.
For discretionary views, positive performance was driven by fixed income. Directional discretionary fixed-income positioning generally aligned with systematic positioning over the period, also benefiting from rising yields.
At the country level, exposures to the United Kingdom, United States and Canada were the top three contributors.
Notable detractors in the AQR portion of the Fund during the period
For systematic views, equities and currencies detracted from our portion of the Fund. Notable detractors among these asset classes include emerging equity index selection and developed currency selection. From a factor perspective, momentum in equities and value in currencies detracted.
Within emerging equity index selection, time varying exposure to Brazil and a long position in Taiwan drove losses.
A short position in Brazil during the third quarter of 2022 detracted as markets began to price an end to the central bank’s rate hiking cycle, leading to a decrease in bond yields.
A long position in Brazil in the fourth quarter of 2022 detracted as President Lula da Silva signaled that he would prioritize social spending over fiscal austerity.
A long position in Taiwan detracted in 2022 as semiconductor companies underperformed amid a slowdown in demand.
Within developed currency selection, losses primarily came from a long position in the Australian dollar and a short position in the Swiss Franc.
The country positions that detracted the most from the strategy were Australia, Germany and Switzerland.
PGIM Quantitative Solutions
Our portion of the Fund underperformed the FTSE One-Month U.S. Treasury Bill Index during the reporting period. We believe that persistent return opportunities are generated by risk premia and mis-pricings. Further, we believe that a systematic framework using a mix of fundamental and market-based factors can identify those investment opportunities. We utilize a fundamental understanding of the drivers of returns to determine the most suitable set of factors for each asset class. In our Global Macro strategy, we have developed six independent absolute return strategies to harvest these investment opportunities, employing approximately 60 macroeconomic, valuation and market-based inputs to inform our positioning. We believe our approach is sustainable and robust consistent with the regular variation in prices relative to fundamentals that occur over a business cycle.
Notable detractors in the PGIM Quantitative Solutions portion of the Fund during the period
The largest detractor from performance in our portion of the Fund was our relative value positioning within the equity country selection. Over the period, we had losses from our underweights in Poland and Taiwan and overweight in South Korea. Our strategy suffered from the weak macro factor performance.
Currency selection also detracted, primarily driven by an overweight in the South African Rand and an underweight in the Polish Zloty.
From a country allocation perspective, the largest detracting positions over the period were long positioning of the South African Rand, the Norwegian Krone and the Canadian Dollar.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
7

Manager Discussion of Fund Performance  (continued)
(Unaudited)
Notable contributors in the PGIM Quantitative Solutions portion of the Fund during the period
Our sovereign bond relative value strategy was the largest positive contributor to performance over the period. Within the strategy, we particularly benefited from positions in German, Canadian, and UK bonds. Risk and value factors drove gains.
Our top performing country allocation over the period was short positioning in the New Zealand Dollar, followed by positioning in the Turkey country equity and Swedish Krona.
Market risk may affect a single issuer, sector of the economy, industry or the market as a whole. Alternative investments cover a broad range of strategies and structures designed to be low or non-correlated to traditional equity and fixed-income markets and involve substantial risks and are more volatile than traditional investments, making them more suitable for investors with an above average-tolerance for risk. The Fund’s use of leverage allows for investment exposure in excess of net assets, thereby magnifying volatility of returns and risk of loss. Commodity investments may be affected by the overall market and industry- and commodity-specific factors, and may be more volatile and less liquid than other investments. Investing in derivatives is a specialized activity that involves special risks that subject the Fund to significant loss potential, including when used as leverage, and may result in greater fluctuation in fund value. Foreign investments subject the Fund to risks, including political, economic, market, social and others within a particular country, as well as to currency instabilities and less stringent financial and accounting standards generally applicable to U.S. issuers. The sales price the Fund (or its underlying investments) could receive for any particular investment may differ from the Fund’s (or underlying investments’) valuation of the investment. See the Fund’s prospectus for more information on these and other risks. 
The views expressed in this report reflect the current views of the respective parties who have contributed to this report. These views are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict, so actual outcomes and results may differ significantly from the views expressed. These views are subject to change at any time based upon economic, market or other conditions and the respective parties disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Columbia fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any particular Columbia fund. References to specific securities should not be construed as a recommendation or investment advice.
8 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Understanding Your Fund’s Expenses
(Unaudited)
As an investor, you incur two types of costs. There are shareholder transaction costs, which generally include sales charges on purchases and 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 $1,000 = 8.6), then multiply the results by the expenses paid during the period under the “Actual” column. The amount listed in the “Hypothetical” column assumes a 5% annual rate of return before expenses (which is not the Fund’s actual return) and then applies the Fund’s actual expense ratio for the period to the hypothetical return. You should not use the hypothetical account values and expenses to estimate either your actual account balance at the end of the period or the expenses you paid during the period. See “Compare with other funds” below for details on how to use the hypothetical data.
Compare with other funds
Since all mutual funds are required to include the same hypothetical calculations about expenses in shareholder reports, you can use this information to compare the ongoing cost of investing in the Fund with other funds. To do so, compare the hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. As you compare hypothetical examples of other funds, it is important to note that hypothetical examples are meant to highlight the ongoing costs of investing in a fund only and do not reflect any transaction costs, such as sales charges, or redemption or exchange fees. Therefore, the hypothetical calculations are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. If transaction costs were included in these calculations, your costs would be higher.
December 1, 2022 — May 31, 2023
  Account value at the
beginning of the
period ($)
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
Class A 1,000.00 1,000.00 981.30 1,018.30 6.57 6.69 1.33
Advisor Class 1,000.00 1,000.00 982.50 1,019.55 5.34 5.44 1.08
Class C 1,000.00 1,000.00 977.80 1,014.61 10.21 10.40 2.07
Institutional Class 1,000.00 1,000.00 982.60 1,019.55 5.34 5.44 1.08
Institutional 2 Class 1,000.00 1,000.00 982.70 1,019.80 5.09 5.19 1.03
Institutional 3 Class 1,000.00 1,000.00 982.90 1,020.04 4.84 4.94 0.98
Class R 1,000.00 1,000.00 980.30 1,017.15 7.70 7.85 1.56
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.
Had Columbia Management Investment Advisers, LLC and/or certain of its affiliates not waived/reimbursed certain fees and expenses, account value at the end of the period would have been reduced.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
9

Consolidated Portfolio of Investments
May 31, 2023
(Percentages represent value of investments compared to net assets)
Investments in securities
Asset-Backed Securities — Non-Agency 4.4%
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
ACHV ABS Trust(a)
Subordinated Series 2023-1PL Class C
03/18/2030 7.420%   200,000 199,914
Affirm Asset Securitization Trust(a)
Series 2023-A Class 1A
01/18/2028 6.610%   1,000,000 999,224
ARES XLIV CLO Ltd.(a),(b)
Series 2017-44A Class DR
3-month USD LIBOR + 6.870%
Floor 6.870%
04/15/2034
12.130%   1,500,000 1,332,795
Bain Capital Credit CLO Ltd.(a),(b)
Series 2020-4A Class E
3-month USD LIBOR + 7.950%
Floor 7.950%
10/20/2033
13.200%   400,000 384,771
Consumer Loan Underlying Bond Credit Trust(a),(c),(d)
Subordinated Series 2018-P1 Class CERT
07/15/2025 0.000%   100,000 95,500
Subordinated Series 2018-P2 Class CERT
10/15/2025 0.000%   100,000 260,000
Exeter Automobile Receivables Trust(a)
Subordinated Series 2021-2A Class E
07/17/2028 2.900%   900,000 820,854
GLS Auto Receivables Issuer Trust(a)
Subordinated Series 2022-1A-B Class B
05/15/2026 2.840%   450,000 437,897
LendingClub Receivables Trust(a),(c),(d)
Series 2020-2 Class R
02/15/2046 0.000%   85,000 191,250
Lendingpoint Asset Securitization Trust(a)
Series 2022-C Class A
02/15/2030 6.560%   539,182 538,241
LendingPoint Asset Securitization Trust(a),(d),(e)
Subordinated Series 2021-1 Class D
04/15/2027 7.226%   1,000,000 995,000
LendingPoint Asset Securitization Trust(a)
Subordinated Series 2021-A Class C
12/15/2028 2.750%   2,000,000 1,937,624
LL ABS Trust(a)
Series 2021-1A Class A
05/15/2029 1.070%   818,296 797,515
LP LMS Asset Securitization Trust(a)
Series 2021-2A Class A
01/15/2029 1.750%   303,964 296,107
LP LMS Asset Securitization Trust(a),(d),(e)
Subordinated Series 2021-2A Class B
01/15/2029 2.330%   500,000 472,695
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Marlette Funding Trust(a)
Series 2021-1A Class D
06/16/2031 2.470%   100,000 92,949
Subordinated Series 2022-3A Class B
11/15/2032 5.950%   2,000,000 1,984,561
Netcredit Combined Receivables LLC(a),(d)
Series 2023-A Class A
12/20/2027 7.780%   1,108,278 1,097,195
Octagon Investment Partners 47 Ltd.(a),(b)
Series 2020-1A Class ER
3-month USD LIBOR + 6.250%
Floor 6.250%
07/20/2034
11.500%   750,000 666,343
Pagaya AI Debt Selection Trust(a),(d)
Series 2020-2 Class NOTE
12/15/2027 7.500%   17,694 17,562
Pagaya AI Debt Selection Trust(a),(c),(d)
Series 2020-3 Class CERT
05/17/2027 0.000%   3,200,000 315,200
Series 2021-1 Class CERT
11/15/2027 0.000%   696,200 18,797
Subordinated Series 2021-5 Class
08/15/2029 0.000%   865,000 112,450
Pagaya AI Debt Selection Trust(a)
Series 2021-2 Class NOTE
01/25/2029 3.000%   321,579 303,595
Series 2021-5 Class A
08/15/2029 1.530%   132,000 129,254
Pagaya AI Debt Trust(a)
Series 2022-1 Class A
10/15/2029 2.030%   983,201 951,899
Series 2023-1 Class A
07/15/2030 7.556%   999,441 995,436
Subordinated Series 2022-2 Class B
01/15/2030 6.630%   399,976 379,842
Subordinated Series 2022-3 Class B
03/14/2030 8.050%   799,922 800,483
Subordinated Series 2022-5 Class B
06/17/2030 10.310%   440,000 442,372
Subordinated Series 2023-1 Class B
07/15/2030 9.435%   2,850,000 2,827,117
Palmer Square Loan Funding Ltd.(a),(b)
Series 2020-4A Class D
3-month USD LIBOR + 7.050%
Floor 7.050%
11/25/2028
12.446%   1,000,000 959,674
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
10 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Asset-Backed Securities — Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Prosper Pass-Through Trust(a),(d)
Series 2019-ST2 Class A
11/15/2025 3.750%   8,254 8,254
Research-Driven Pagaya Motor Asset Trust IV(a)
Series 2021-2A Class A
03/25/2030 2.650%   636,011 562,367
RR 16 Ltd.(a),(b)
Series 2021-16A Class D
3-month USD LIBOR + 6.250%
Floor 6.250%
07/15/2036
11.510%   266,667 242,044
Santander Drive Auto Receivables Trust
Series 2023-2 Class A2
03/16/2026 5.870%   950,000 948,986
Theorem Funding Trust(a)
Series 2020-1A Class C
10/15/2026 6.250%   823,958 821,707
Series 2023-1A Class A
04/15/2029 7.580%   1,922,771 1,926,551
Subordinated Series 2021-1A Class B
12/15/2027 1.840%   1,000,000 953,515
Subordinated Series 2022-1A Class B
02/15/2028 3.100%   2,000,000 1,882,014
Upstart Pass-Through Trust(a)
Series 2021-ST1 Class A
02/20/2027 2.750%   198,960 192,052
Series 2021-ST7 Class A
09/20/2029 1.850%   130,559 124,998
Upstart Securitization Trust(a)
Subordinated Series 2021-4 Class B
09/20/2031 1.840%   800,000 749,671
Subordinated Series 2023-1 Class B
02/20/2033 8.350%   1,500,000 1,470,575
US Auto Funding(a)
Subordinated Series 2021-1A Class D
03/15/2027 4.360%   1,125,000 818,373
Total Asset-Backed Securities — Non-Agency
(Cost $35,675,200)
32,555,223
Commercial Mortgage-Backed Securities - Agency 0.1%
Government National Mortgage Association(f),(g)
Series 2019-102 Class IB
03/16/2060 0.834%   1,337,852 76,031
Series 2019-109 Class IO
04/16/2060 0.803%   2,430,387 133,823
Series 2019-131 Class IO
07/16/2061 0.802%   2,687,027 145,906
Series 2020-19 Class IO
12/16/2061 0.694%   1,741,522 90,986
Commercial Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Series 2020-3 Class IO
02/16/2062 0.615%   1,972,723 91,075
Total Commercial Mortgage-Backed Securities - Agency
(Cost $1,425,953)
537,821
Commercial Mortgage-Backed Securities - Non-Agency 2.8%
BAMLL Commercial Mortgage Securities Trust(a),(f)
Subordinated Series 2013-WBRK Class E
03/10/2037 3.534%   500,000 328,175
BAMLL Commercial Mortgage Securities Trust(a),(b)
Subordinated Series 2018-DSNY Class D
1-month USD LIBOR + 1.700%
Floor 1.700%
09/15/2034
6.808%   2,065,000 2,023,832
Subordinated Series 2019-RLJ Class C
1-month USD LIBOR + 1.600%
Floor 1.600%
04/15/2036
6.707%   1,250,000 1,224,148
BBCMS Trust(a),(b)
Series 2018-BXH Class A
1-month USD LIBOR + 1.000%
Floor 1.000%
10/15/2037
6.107%   64,589 62,942
BFLD Trust(a),(b)
Series 2019-DPLO Class G
1-month USD LIBOR + 3.190%
Floor 3.190%
10/15/2034
8.297%   1,000,000 973,793
BHMS Mortgage Trust(a),(b)
Series 2018-ATLS Class A
1-month USD LIBOR + 1.250%
Floor 1.250%
07/15/2035
6.358%   1,000,000 970,048
Braemar Hotels & Resorts Trust(a),(b)
Series 2018-PRME Class E
1-month USD LIBOR + 2.400%
Floor 2.400%
06/15/2035
7.508%   1,000,000 910,891
BXP Trust(a),(f)
Subordinated Series 2021-601L Class E
01/15/2044 2.776%   1,500,000 804,172
CLNY Trust(a),(b)
Subordinated Series 2019-IKPR Class E
1-month USD LIBOR + 2.721%
Floor 2.721%
11/15/2038
7.895%   300,000 270,932
Subordinated Series 2019-IKPR Class F
1-month USD LIBOR + 3.417%
Floor 3.417%
11/15/2038
8.591%   1,350,000 1,214,198
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
11

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Cold Storage Trust(a),(b)
Subordinated Series 2020-ICE5 Class F
1-month USD LIBOR + 3.492%
Floor 3.492%
11/15/2037
8.600%   294,897 287,708
COMM Mortgage Trust(a),(f)
Subordinated Series 2020-CBM Class F
02/10/2037 3.633%   2,200,000 1,919,045
Credit Suisse Mortgage Capital Certificates OA LLC(a)
Subordinated Series 2014-USA Class E
09/15/2037 4.373%   4,600,000 2,434,136
CSMC Trust(a),(f)
Subordinated Series 2019-UVIL Class E
12/15/2041 3.283%   600,000 422,884
Hilton USA Trust(a),(f)
Series 2016-HHV Class F
11/05/2038 4.194%   3,000,000 2,675,195
Hilton USA Trust(a)
Subordinated Series 2016-SFP Class F
11/05/2035 6.155%   1,700,000 1,124,391
Home Partners of America Trust(a)
Series 2019-2 Class F
10/19/2039 3.866%   330,205 278,137
Morgan Stanley Capital I Trust(a),(f)
Series 2019-MEAD Class E
11/10/2036 3.177%   600,000 526,346
Progress Residential Trust(a)
Series 2020-SFR1 Class F
04/17/2037 3.431%   575,000 527,555
Subordinated Series 2020-SFR2 Class F
06/17/2037 6.152%   500,000 481,188
Wells Fargo Commercial Mortgage Trust(a),(b)
Series 2017-SMP Class A
1-month USD LIBOR + 0.875%
Floor 0.875%
12/15/2034
5.982%   1,000,000 954,893
Total Commercial Mortgage-Backed Securities - Non-Agency
(Cost $23,819,713)
20,414,609
Residential Mortgage-Backed Securities - Agency 32.6%
Fannie Mae REMICS(b),(g)
CMO Series 2017-81 Class SM
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
10/25/2047
1.062%   2,078,020 228,579
Federal Home Loan Mortgage Corp.
08/01/2052 3.500%   2,946,980 2,708,899
09/01/2052 4.500%   4,833,174 4,684,854
Residential Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Federal Home Loan Mortgage Corp.(b),(g)
CMO Series 2013-101 Class HS
-1.0 x 1-month USD LIBOR + 6.500%
Cap 6.500%
10/25/2043
1.362%   719,687 88,730
CMO Series 4987 Class KS
-1.0 x 1-month USD LIBOR + 6.080%
Cap 6.080%
06/24/2050
0.942%   1,290,857 193,069
CMO Series 4993 Class MS
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
07/25/2050
0.912%   1,883,231 293,445
Federal Home Loan Mortgage Corp.(g)
CMO Series 390 Class C29
06/15/2052 2.000%   19,646,608 2,525,334
Federal Home Loan Mortgage Corp. REMICS(b),(g)
CMO Series 4606 Class SL
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
12/15/2044
0.893%   3,653,398 371,482
Federal Home Loan Mortgage Corp. REMICS(g)
CMO Series 5105 Class ID
05/25/2051 3.000%   2,752,779 502,591
CMO Series 5183 Class IO
01/25/2052 3.000%   4,710,861 777,294
Federal National Mortgage Association
05/01/2052 3.500%   3,769,604 3,465,561
Federal National Mortgage Association(b),(g)
CMO Series 2016-53 Class AS
-1.0 x 1-month USD LIBOR + 6.000%
Cap 6.000%
08/25/2046
0.862%   13,715,989 2,116,306
CMO Series 2020-38 Class WS
-1.0 x 1-month USD LIBOR + 5.000%
Cap 5.000%
06/25/2050
0.000%   3,006,436 280,126
Federal National Mortgage Association REMICS(b),(g)
CMO Series 2020-34 Class S
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
06/25/2050
0.912%   3,270,664 409,262
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
12 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CMO Series 2020-54 Class AS
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
08/25/2050
1.012%   2,140,785 275,733
Freddie Mac STACR REMIC Trust(a),(b)
Subordinated CMO Series 2021-HQA2 Class B2
30-day Average SOFR + 5.450%
12/25/2033
10.423%   800,000 686,835
Government National Mortgage Association(b),(g)
CMO Series 2019-103 Class SA
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
08/20/2049
0.902%   2,162,967 240,973
CMO Series 2019-120 Class CS
-1.0 x 1-month USD LIBOR + 3.400%
Cap 3.400%
09/20/2049
0.000%   19,782,709 268,337
CMO Series 2019-92 Class SD
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
07/20/2049
0.952%   2,680,888 314,643
CMO Series 2019-98 Class SB
-1.0 x 1-month USD LIBOR + 6.100%
Cap 6.100%
08/20/2049
0.952%   7,963,977 864,207
CMO Series 2020-104 Class SA
-1.0 x 1-month USD LIBOR + 6.200%
Cap 6.200%
07/20/2050
1.052%   1,392,247 166,500
CMO Series 2020-133 Class DS
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
09/20/2050
1.152%   5,571,514 631,827
CMO Series 2020-160 Class AS
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
10/20/2050
1.152%   8,094,010 1,146,829
CMO Series 2020-34 Class SA
-1.0 x 1-month USD LIBOR + 6.050%
Cap 6.050%
03/20/2050
0.902%   2,084,573 246,710
Residential Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CMO Series 2020-78 Class SD
-1.0 x 1-month USD LIBOR + 6.150%
Cap 6.150%
06/20/2050
1.002%   2,387,301 259,855
CMO Series 2021-117 Class HS
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
07/20/2051
1.152%   2,389,557 287,195
CMO Series 2021-119 Class SC
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
07/20/2051
1.152%   3,243,539 424,905
CMO Series 2021-122 Class SB
-1.0 x 1-month USD LIBOR + 2.600%
Cap 2.600%
07/20/2051
0.000%   7,621,468 101,241
CMO Series 2021-122 Class SG
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
07/20/2051
1.152%   3,882,815 441,822
CMO Series 2021-142 Class SL
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
08/20/2051
1.152%   5,056,987 634,379
CMO Series 2021-156 Class SA
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
09/20/2051
1.152%   3,791,739 509,869
CMO Series 2021-160 Class S
-1.0 x 30-day Average SOFR + 2.650%
Cap 2.650%
09/20/2051
0.000%   5,867,163 75,977
CMO Series 2021-161 Class SL
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
09/20/2051
1.152%   3,433,536 464,048
CMO Series 2021-193 Class ES
30-day Average SOFR + 1.700%
11/20/2051
0.000%   21,023,527 125,216
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
13

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CMO Series 2021-42 Class SD
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
11/20/2050
1.152%   3,604,432 495,719
CMO Series 2021-96 Class US
-1.0 x 30-day Average SOFR + 3.250%
Cap 3.250%
06/20/2051
0.000%   3,547,559 49,519
CMO Series 2021-97 Class CS
-1.0 x 1-month USD LIBOR + 6.300%
Cap 6.300%
06/20/2051
1.152%   3,477,862 418,276
CMO Series 2022-46 Class SE
-1.0 x 30-day Average SOFR + 3.450%
Cap 3.450%
03/20/2052
0.000%   3,268,432 69,058
Government National Mortgage Association(g)
CMO Series 2020-104 Class IY
07/20/2050 3.000%   2,493,041 360,681
CMO Series 2020-129 Class GI
09/20/2050 3.000%   2,514,795 386,204
CMO Series 2020-129 Class YI
09/20/2050 2.500%   3,105,787 406,593
CMO Series 2020-138 Class JI
09/20/2050 2.500%   4,634,051 652,856
CMO Series 2020-146 Class NI
10/20/2050 2.000%   19,474,357 2,274,544
CMO Series 2020-153 Class CI
10/20/2050 2.500%   3,074,240 422,001
CMO Series 2020-164 Class CI
11/20/2050 3.000%   2,239,790 332,315
CMO Series 2020-175 Class KI
11/20/2050 2.500%   3,247,579 447,156
CMO Series 2020-191 Class UC
12/20/2050 4.000%   2,233,069 381,191
CMO Series 2021-158 Class VI
09/20/2051 3.000%   2,523,020 403,818
CMO Series 2021-160 Class CI
09/20/2051 2.500%   5,040,679 672,528
CMO Series 2021-24 Class MI
02/20/2051 3.000%   2,082,732 314,703
CMO Series 2021-25 Class GI
02/20/2051 2.500%   4,243,997 643,905
CMO Series 2021-7 Class IT
01/16/2051 3.000%   1,800,340 357,166
Residential Mortgage-Backed Securities - Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Government National Mortgage Association TBA(h)
06/20/2053 4.500%   20,000,000 19,433,984
Uniform Mortgage-Backed Security TBA(h)
06/13/2053 3.000%   34,000,000 30,176,992
06/13/2053 3.500%   28,700,000 26,367,004
06/13/2053 4.000%   46,500,000 43,927,969
06/13/2053 4.500%   62,000,000 60,051,602
06/13/2053 5.000%   25,000,000 24,626,465
Total Residential Mortgage-Backed Securities - Agency
(Cost $252,598,860)
240,484,882
Residential Mortgage-Backed Securities - Non-Agency 15.2%
510 Asset Backed Trust(a),(f)
CMO Series 2021-NPL2 Class A1
06/25/2061 2.116%   691,257 636,129
Ajax Mortgage Loan Trust(a),(f)
CMO Series 2021-C Class A
01/25/2061 2.115%   288,889 271,885
Angel Oak Mortgage Trust(a),(f)
CMO Series 2021-5 Class A3
07/25/2066 1.311%   370,293 306,497
Angel Oak Mortgage Trust I LLC(a),(f)
Subordinated CMO Series 2019-2 Class B2
03/25/2049 6.286%   2,700,000 2,598,957
Arroyo Mortgage Trust(a)
CMO Series 2020-1 Class M1
03/25/2055 4.277%   1,870,000 1,615,404
Bellemeade Re Ltd.(a),(b)
CMO Series 2019-4A Class M1C
1-month USD LIBOR + 2.500%
Floor 2.500%
10/25/2029
7.638%   132,549 132,908
CMO Series 2020-3A Class M2
1-month USD LIBOR + 4.850%
Floor 4.850%
10/25/2030
9.988%   650,000 664,224
CMO Series 2020-4A Class M2B
1-month USD LIBOR + 3.600%
Floor 3.600%
06/25/2030
8.738%   168,654 168,429
Subordinated CMO Series 2019-4A Class B1
1-month USD LIBOR + 3.850%
Floor 3.850%
10/25/2029
8.988%   950,000 953,370
Subordinated CMO Series 2020-4A Class B1
1-month USD LIBOR + 5.000%
Floor 5.000%
06/25/2030
10.138%   800,000 820,054
BRAVO Residential Funding Trust(a),(f)
CMO Series 2020-NQM1 Class B1
05/25/2060 5.086%   300,000 268,985
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
14 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CMO Series 2020-NQM1 Class B2
05/25/2060 5.762%   430,000 400,897
CMO Series 2021-A Class A1
10/25/2059 1.991%   2,082,979 1,976,887
Subordinated CMO Series 2021-NQM2 Class B1
03/25/2060 3.044%   200,000 155,791
Subordinated CMO Series 2021-NQM2 Class B2
03/25/2060 4.099%   300,000 229,210
BRAVO Residential Funding Trust(a),(b)
CMO Series 2021-HE2 Class B1
30-day Average SOFR + 2.400%
11/25/2069
6.088%   338,000 320,863
Subordinated CMO Series 2021-HE2 Class B2
30-day Average SOFR + 3.400%
11/25/2069
8.215%   353,000 340,689
BVRT Financing Trust(a),(b),(d)
CMO Series 2021-3F Class M2
30-day Average SOFR + 2.900%
Floor 2.900%
07/12/2033
4.187%   3,000,000 3,000,000
CMO Series 2021-CRT1 Class M4
1-month USD LIBOR + 3.500%
Floor 3.500%
07/10/2032
3.589%   1,875,000 1,804,069
CHNGE Mortgage Trust(a),(f)
Subordinated CMO Series 2023-1 Class B1
03/25/2058 8.413%   223,000 207,368
Subordinated CMO Series 2023-1 Class B2
03/25/2058 8.413%   300,000 259,077
CIM Trust(a),(f)
CMO Series 2021-NR1 Class A1
07/25/2055 2.569%   854,016 817,056
CMO Series 2021-NR4 Class A1
10/25/2061 2.816%   457,536 426,479
COLT Mortgage Loan Trust(a),(f)
CMO Series 2020-2 Class M1
03/25/2065 5.250%   200,000 192,763
CMO Series 2021-3 Class A3
09/27/2066 1.419%   571,188 448,549
Subordinated CMO Series 2021-4 Class B1
10/25/2066 3.764%   400,000 265,888
Subordinated Series 2021-3 Class B1
09/27/2066 3.059%   200,000 108,119
Connecticut Avenue Securities Trust(a),(b)
Subordinated CMO Series 2021-R03 Class 1B2
30-day Average SOFR + 5.500%
Floor 5.500%
12/25/2041
10.473%   1,200,000 1,106,247
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Subordinated CMO Series 2022-R01 Class 1B2
30-day Average SOFR + 6.000%
12/25/2041
10.973%   3,500,000 3,274,692
Subordinated CMO Series 2022-R02 Class 2B2
30-day Average SOFR + 7.650%
01/25/2042
12.623%   2,600,000 2,475,979
Subordinated CMO Series 2022-R07 Class 1B2
30-day Average SOFR + 12.000%
06/25/2042
16.973%   550,000 591,472
Credit Suisse Mortgage Trust(a),(f)
CMO Series 2022-JR1 Class A1
10/25/2066 4.267%   1,624,778 1,551,202
CSMC Trust(a),(f)
CMO Series 2020-RPL2 Class A12
02/25/2060 3.483%   1,383,289 1,386,783
CMO Series 2021-JR2 Class A1
11/25/2061 2.215%   354,983 337,777
CMO Series 2022-RPL3 Class A1
03/25/2061 3.613%   888,454 851,683
Eagle Re Ltd.(a),(b)
CMO Series 2019-1 Class M1B
1-month USD LIBOR + 1.800%
04/25/2029
6.938%   481,252 480,617
CMO Series 2019-1 Class M2
1-month USD LIBOR + 3.300%
04/25/2029
8.438%   1,500,000 1,516,601
Fannie Mae Connecticut Avenue Securities(a),(b)
Subordinated CMO Series 2021-R02 Class 2B2
30-day Average SOFR + 6.200%
11/25/2041
11.173%   1,100,000 1,039,144
Freddie Mac STACR(b)
CMO Series 2020-CS02 Class M4
1-month USD LIBOR + 0.000%
06/25/2033
4.617%   3,100,000 2,942,712
Freddie Mac STACR REMIC Trust(a),(b)
CMO Series 2022-HQA1 Class M2
30-day Average SOFR + 5.250%
03/25/2042
10.223%   800,000 808,418
CMO Series 2023-HQA1 Class M2
30-day Average SOFR + 5.500%
05/25/2043
10.423%   350,000 353,063
Subordinated CMO Series 2020-DNA6 Class B2
30-day Average SOFR + 5.650%
12/25/2050
10.623%   1,000,000 955,728
Subordinated CMO Series 2020-HQA1 Class B1
1-month USD LIBOR + 2.350%
01/25/2050
7.488%   1,942,000 1,870,919
Subordinated CMO Series 2020-HQA3 Class B1
1-month USD LIBOR + 5.750%
07/25/2050
10.888%   932,177 1,000,575
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
15

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Subordinated CMO Series 2020-HQA4 Class B1
1-month USD LIBOR + 5.250%
09/25/2050
10.388%   2,290,682 2,430,746
Subordinated CMO Series 2021-DNA1 Class B2
30-day Average SOFR + 4.750%
01/25/2051
9.723%   1,750,000 1,516,846
Subordinated CMO Series 2021-DNA5 Class B2
30-day Average SOFR + 5.500%
01/25/2034
10.473%   3,250,000 2,829,547
Subordinated CMO Series 2021-DNA6 Class B2
30-day Average SOFR + 7.500%
10/25/2041
12.473%   900,000 847,922
Subordinated CMO Series 2022-DNA1 Class B2
30-day Average SOFR + 7.100%
01/25/2042
12.073%   1,650,000 1,487,779
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b),(d),(e)
CMO Series 2019-CS02 Class M2
1-month USD LIBOR + 0.000%
02/25/2032
4.506%   6,000,000 5,733,750
Freddie Mac Structured Agency Credit Risk Debt Notes(b)
CMO Series 2020-CS02 Class M3
1-month USD LIBOR + 0.000%
06/25/2033
4.506%   490,605 488,864
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(b)
Subordinated CMO Series 2020-HQA5 Class B2
30-day Average SOFR + 7.400%
11/25/2050
12.373%   1,800,000 1,831,074
Subordinated CMO Series 2021-DNA7 Class B2
30-day Average SOFR + 7.800%
11/25/2041
12.615%   2,950,000 2,838,322
Subordinated CMO Series 2022-DNA2 Class B2
30-day Average SOFR + 8.500%
02/25/2042
13.473%   1,560,000 1,463,899
GCAT Trust(a),(f)
CMO Series 2019-NQM3 Class M1
11/25/2059 3.450%   600,000 511,937
Genworth Mortgage Insurance Corp.(a),(b)
CMO Series 2021-3 Class M1B
30-day Average SOFR + 2.900%
Floor 2.900%
02/25/2034
7.715%   2,000,000 1,974,325
Subordinated CMO Series 2021-3 Class B1
30-day Average SOFR + 4.950%
Floor 4.950%
02/25/2034
9.765%   500,000 471,549
Glebe Funding Trust (The)(a),(d)
CMO Series 2021-1 Class PT
10/27/2023 3.000%   563,292 522,453
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Home Re Ltd.(a),(b)
CMO Series 2018-1 Class M2
1-month USD LIBOR + 3.000%
10/25/2028
8.138%   456,816 460,353
CMO Series 2020-1 Class M2
1-month USD LIBOR + 5.250%
Floor 5.250%
10/25/2030
10.388%   1,091,809 1,102,643
Homeward Opportunities Fund I Trust(a),(f)
Subordinated CMO Series 2020-2 Class B1
05/25/2065 5.450%   250,000 221,125
Homeward Opportunities Fund Trust(a),(f)
CMO Series 2020-BPL1 Class A2
08/25/2025 5.438%   375,817 366,142
Imperial Fund Mortgage Trust(a),(f)
Subordinated CMO Series 2021-NQM3 Class B1
11/25/2056 4.184%   500,000 347,754
Legacy Mortgage Asset Trust(a),(f)
CMO Series 2021-GS1 Class A1
10/25/2066 1.892%   382,731 352,280
CMO Series 2021-SL2 Class A
10/25/2068 1.875%   673,998 603,689
loanDepot GMSR Master Trust(a),(b)
Series 2018-GT1 Class A
1-month USD LIBOR + 2.800%
Floor 2.800%
10/16/2023
7.905%   850,000 710,661
Mortgage Acquisition Trust I LLC(a),(d)
CMO Series 2021-1 Class PT
11/29/2023 3.500%   539,937 488,643
New Residential Mortgage Loan Trust(a),(f)
CMO Series 2022-NQM2 Class A2
03/27/2062 3.699%   2,570,000 1,994,725
Oaktown Re V Ltd.(a),(b)
CMO Series 2020-2A Class M2
1-month USD LIBOR + 5.250%
Floor 5.250%
10/25/2030
10.388%   847,769 864,932
Oaktown Re VI Ltd.(a),(b)
CMO Series 2021-1A Class M2
30-day Average SOFR + 3.950%
Floor 3.950%
10/25/2033
8.923%   500,000 492,718
PMT Credit Risk Transfer Trust(a),(b)
Series 2019-2R Class A
1-month USD LIBOR + 2.750%
Floor 2.750%
05/25/2025
8.910%   678,537 673,043
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
16 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
PNMAC GMSR Issuer Trust(a),(b)
CMO Series 2018-FT1 Class A
1-month USD LIBOR + 2.350%
04/25/2025
7.488%   500,000 494,738
CMO Series 2018-GT1 Class A
1-month USD LIBOR + 2.850%
Floor 2.850%
02/25/2025
7.988%   2,750,000 2,739,928
CMO Series 2018-GT2 Class A
1-month USD LIBOR + 2.650%
08/25/2025
7.788%   4,250,000 4,193,346
Point Securitization Trust(a),(f)
CMO Series 2021-1 Class A1
02/25/2052 3.228%   921,040 868,983
Preston Ridge Partners Mortgage(a),(f)
CMO Series 2021-2 Class A2
03/25/2026 3.770%   1,000,000 882,674
CMO Series 2021-4 Class A2
04/25/2026 3.474%   400,000 338,901
Preston Ridge Partners Mortgage LLC(a),(f)
CMO Series 2020-6 Class A2
11/25/2025 4.703%   200,000 175,050
Preston Ridge Partners Mortgage Trust(a),(f)
CMO Series 2021-1 Class A1
01/25/2026 2.115%   650,313 623,273
CMO Series 2021-1 Class A2
01/25/2026 3.720%   3,250,000 2,867,892
CMO Series 2021-10 Class A1
10/25/2026 2.487%   861,523 799,062
CMO Series 2021-3 Class A1
04/25/2026 1.867%   616,171 572,856
CMO Series 2021-5 Class A2
06/25/2026 3.721%   700,000 567,916
CMO Series 2021-7 Class A1
08/25/2026 1.867%   1,183,613 1,109,728
Pretium Mortgage Credit Partners(a),(f)
CMO Series 2022-NPL1 Class A1
01/25/2052 2.981%   734,475 684,881
Pretium Mortgage Credit Partners LLC(a),(f)
CMO Series 2021-NPL6 Class A2
07/25/2051 5.071%   400,000 356,427
CMO Series 2021-RN2 Class A1
07/25/2051 1.744%   411,213 373,449
PRKCM Trust(a),(f)
CMO Series 2021-AFC1 Class M1
08/25/2056 3.114%   2,000,000 1,218,900
PRPM Trust(a),(f)
CMO Series 2023-NQM1 Class M1
01/25/2068 6.419%   1,780,000 1,639,355
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
Subordinated CMO Series 2023-NQM1 Class B1
01/25/2068 6.419%   300,000 263,748
Residential Mortgage Loan Trust(a),(f)
CMO Series 2019-3 Class M1
09/25/2059 3.257%   700,000 656,878
Stanwich Mortgage Loan Co. LLC(a),(f)
CMO Series 2021-NPB1 Class A1
10/16/2026 2.735%   1,711,813 1,562,109
Starwood Mortgage Residential Trust(a),(f)
CMO Series 2020-3 Class B1
04/25/2065 4.750%   250,000 217,359
CMO Series 2021-3 Class A1
06/25/2056 1.127%   323,400 263,044
Stonnington Mortgage Trust(a),(d),(f)
CMO Series 2020-1 Class A
07/28/2024 3.500%   138,996 136,911
Toorak Mortgage Corp., Ltd.(a),(f)
CMO Series 2021-1 Class A1
06/25/2024 2.240%   800,000 772,156
Triangle Re Ltd.(a),(b)
Subordinated CMO Series 2021-1 Class B1
1-month USD LIBOR + 4.500%
Floor 4.500%
08/25/2033
9.638%   1,500,000 1,517,184
Subordinated CMO Series 2021-2 Class B1
1-month USD LIBOR + 7.500%
Floor 7.500%
10/25/2033
12.638%   650,000 666,017
VCAT Asset Securitization LLC(a),(f)
CMO Series 2021-NPL3 Class A2
05/25/2051 3.967%   300,000 253,748
CMO Series 2021-NPL6 Class A1
09/25/2051 1.917%   869,094 797,209
Vericrest Opportunity Loan Transferee(a),(f)
CMO Series 2021-NPL4 Class A1
03/27/2051 2.240%   605,847 570,232
Verus Securitization Trust(a)
CMO Series 2020-INV1 Class M1
03/25/2060 5.500%   550,000 543,042
CMO Series 2021-R2 Class M1
02/25/2064 2.244%   500,000 400,737
Subordinated CMO Series 2020-INV1 Class B1
03/25/2060 5.750%   150,000 138,243
Subordinated CMO Series 2020-INV1 Class B2
03/25/2060 6.000%   150,000 138,266
Verus Securitization Trust(a),(f)
CMO Series 2023-1 Class M1
12/25/2067 7.005%   2,500,000 2,431,862
 
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
17

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer Coupon
Rate
  Principal
Amount ($)
Value ($)
CMO Series 2023-INV1 Class M1
02/25/2068 7.653%   800,000 794,011
Subordinated CMO Series 2019-4 Class B1
11/25/2059 3.860%   500,000 429,362
Subordinated CMO Series 2020-4 Class B2
05/25/2065 5.600%   327,000 249,001
Subordinated CMO Series 2023-1 Class B1
12/25/2067 7.005%   1,750,000 1,592,823
Subordinated CMO Series 2023-INV1 Class B1
02/25/2068 7.653%   450,000 417,609
Subordinated Series 2021-5 Class B1
09/25/2066 3.037%   300,000 180,045
Subordinated Series 2021-5 Class B2
09/25/2066 3.941%   250,000 151,468
Visio Trust(a),(f)
CMO Series 2019-2 Class M1
11/25/2054 3.260%   200,000 168,879
Subordinated CMO Series 2019-2 Class B1
11/25/2054 3.910%   100,000 85,098
Vista Point Securitization Trust(a),(f)
Subordinated CMO Series 2020-1 Class B1
03/25/2065 5.365%   800,000 769,915
Total Residential Mortgage-Backed Securities - Non-Agency
(Cost $116,226,540)
112,236,195
Treasury Bills 21.2%
Issuer Yield   Principal
Amount ($)
Value ($)
United States 21.2%
U.S. Treasury Bills
07/13/2023 4.850%   89,000,000 88,494,202
Treasury Bills (continued)
Issuer Yield   Principal
Amount ($)
Value ($)
U.S. Treasury Bills(i)
11/02/2023 5.400%   70,000,000 68,431,684
Total 156,925,886
Total Treasury Bills
(Cost $157,059,766)
156,925,886
    
Call Option Contracts Purchased 0.5%
        Value ($)
(Cost $6,155,500) 3,909,158
Put Option Contracts Purchased 0.0%
(Cost $440,000) 281,120
    
Money Market Funds 41.3%
  Shares Value ($)
Columbia Short-Term Cash Fund, 5.241%(j),(k) 305,525,407 305,372,644
Total Money Market Funds
(Cost $305,423,141)
305,372,644
Total Investments in Securities
(Cost: $898,824,673)
872,717,538
Other Assets & Liabilities, Net   (133,813,745)
Net Assets 738,903,793
 
At May 31, 2023, securities and/or cash totaling $104,875,526 were pledged as collateral.
Investments in derivatives
Forward foreign currency exchange contracts
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
21,596,000 NOK 2,023,010 USD Barclays 06/14/2023 76,286
649,895,000 NOK 58,166,370 USD Barclays 06/14/2023 (417,026)
5,063,000 NZD 3,061,683 USD Barclays 06/14/2023 12,400
5,288,553 USD 8,070,000 AUD Barclays 06/14/2023 (36,969)
1,373,882 USD 1,230,000 CHF Barclays 06/14/2023 (21,389)
5,867,442 USD 5,456,000 EUR Barclays 06/14/2023 (31,333)
64,294,427 USD 671,491,000 NOK Barclays 06/14/2023 (3,764,308)
1,833,000 GBP 2,294,316 USD Citi 06/14/2023 13,547
64,238,547 USD 50,724,000 GBP Citi 06/14/2023 (1,123,587)
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
18 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Forward foreign currency exchange contracts (continued)
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
61,250,606 USD 634,763,000 SEK Citi 06/14/2023 (2,716,960)
103,505,750 AUD 69,167,876 USD Citi 06/21/2023 1,792,740
6,488,750 AUD 4,216,023 USD Citi 06/21/2023 (7,708)
36,939,000 BRL 7,334,595 USD Citi 06/21/2023 75,967
129,333,000 BRL 24,329,359 USD Citi 06/21/2023 (1,084,975)
59,849,000 CAD 44,268,082 USD Citi 06/21/2023 157,364
38,446,000 CAD 28,239,494 USD Citi 06/21/2023 (96,495)
1,244,000 CHF 1,373,652 USD Citi 06/21/2023 4,608
61,758,000 CHF 67,070,886 USD Citi 06/21/2023 (894,863)
73,966,000 CNH 10,562,153 USD Citi 06/21/2023 151,806
1,542,013,560 COP 347,278 USD Citi 06/21/2023 2,520
19,233,833,500 COP 4,047,588 USD Citi 06/21/2023 (252,655)
391,500,000 CZK 18,081,050 USD Citi 06/21/2023 456,347
103,389,000 CZK 4,607,838 USD Citi 06/21/2023 (46,569)
63,314,250 EUR 68,344,783 USD Citi 06/21/2023 591,191
34,749,500 EUR 37,109,737 USD Citi 06/21/2023 (76,258)
4,109,000 GBP 5,172,697 USD Citi 06/21/2023 59,147
56,777,625 GBP 69,993,853 USD Citi 06/21/2023 (664,520)
175,000,000 HUF 507,437 USD Citi 06/21/2023 5,345
6,184,026,000 HUF 16,905,775 USD Citi 06/21/2023 (836,795)
89,460,187,851 IDR 5,995,406 USD Citi 06/21/2023 30,291
53,263,671,795 IDR 3,545,572 USD Citi 06/21/2023 (5,996)
38,983,000 ILS 10,764,548 USD Citi 06/21/2023 308,272
359,744,875 INR 4,350,972 USD Citi 06/21/2023 4,716
329,489,750 INR 3,965,789 USD Citi 06/21/2023 (14,939)
10,921,695,000 JPY 82,156,989 USD Citi 06/21/2023 3,529,108
580,000,000 JPY 4,165,714 USD Citi 06/21/2023 (9,844)
41,159,466,000 KRW 31,571,915 USD Citi 06/21/2023 461,450
1,400,000,000 KRW 1,049,332 USD Citi 06/21/2023 (8,861)
14,000,000 MXN 788,545 USD Citi 06/21/2023 409
387,897,000 MXN 21,020,182 USD Citi 06/21/2023 (816,654)
747,000,000 NOK 70,936,589 USD Citi 06/21/2023 3,576,170
97,428,000 NZD 60,190,634 USD Citi 06/21/2023 1,514,686
344,448,000 PHP 6,258,112 USD Citi 06/21/2023 138,872
1,555,000 PLN 369,918 USD Citi 06/21/2023 3,160
69,770,000 PLN 15,777,401 USD Citi 06/21/2023 (678,362)
617,600,500 SEK 59,085,165 USD Citi 06/21/2023 2,111,515
133,166 SEK 12,170 USD Citi 06/21/2023 (114)
5,406,000 SGD 4,050,898 USD Citi 06/21/2023 50,603
3,522,000 SGD 2,605,176 USD Citi 06/21/2023 (1,010)
208,869,000 TWD 6,942,411 USD Citi 06/21/2023 137,019
568,965 USD 875,749 AUD Citi 06/21/2023 1,087
81,806,649 USD 120,344,750 AUD Citi 06/21/2023 (3,470,481)
20,649,220 USD 107,213,332 BRL Citi 06/21/2023 418,530
16,617,437 USD 83,823,000 BRL Citi 06/21/2023 (145,959)
36,486,017 USD 49,704,500 CAD Citi 06/21/2023 147,864
37,589,548 USD 50,675,000 CAD Citi 06/21/2023 (240,376)
15,627,329 USD 14,280,250 CHF Citi 06/21/2023 88,333
36,183,117 USD 32,376,125 CHF Citi 06/21/2023 (552,630)
10,434,191 USD 73,966,000 CNH Citi 06/21/2023 (23,844)
5,708,220 USD 27,170,668,000 COP Citi 06/21/2023 366,517
7,441,772 USD 167,000,000 CZK Citi 06/21/2023 76,300
14,975,417 USD 328,000,000 CZK Citi 06/21/2023 (209,382)
47,767,350 USD 44,826,000 EUR Citi 06/21/2023 201,670
98,517,078 USD 90,502,000 EUR Citi 06/21/2023 (1,669,440)
53,658,722 USD 44,049,375 GBP Citi 06/21/2023 1,159,653
26,574,918 USD 21,244,000 GBP Citi 06/21/2023 (137,276)
16,735,840 USD 6,159,026,000 HUF Citi 06/21/2023 935,003
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
Columbia Multi Strategy Alternatives Fund  | Annual Report 2023
19

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Forward foreign currency exchange contracts (continued)
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
583,289 USD 200,000,000 HUF Citi 06/21/2023 (9,470)
12,308,734 USD 187,226,407,000 IDR Citi 06/21/2023 175,335
4,221,672 USD 63,000,000,000 IDR Citi 06/21/2023 (20,895)
7,902,762 USD 28,890,000 ILS Citi 06/21/2023 (153,697)
9,594,186 USD 799,881,125 INR Citi 06/21/2023 69,573
3,261,295 USD 268,022,249 INR Citi 06/21/2023 (23,186)
7,051,291 USD 982,923,750 JPY Citi 06/21/2023 25,011
56,916,295 USD 7,570,000,000 JPY Citi 06/21/2023 (2,418,063)
5,838,555 USD 7,729,196,750 KRW Citi 06/21/2023 3,574
19,372,700 USD 25,257,277,375 KRW Citi 06/21/2023 (281,936)
24,927,848 USD 462,986,832 MXN Citi 06/21/2023 1,136,204
225,762 USD 4,000,000 MXN Citi 06/21/2023 (581)
35,756,671 USD 402,365,250 NOK Citi 06/21/2023 526,450
29,206,253 USD 301,539,000 NOK Citi 06/21/2023 (2,015,098)
3,883,662 USD 6,463,833 NZD Citi 06/21/2023 9,178
48,495,196 USD 78,036,500 NZD Citi 06/21/2023 (1,497,766)
3,998,910 USD 222,183,428 PHP Citi 06/21/2023 (51,743)
8,497,664 USD 37,652,000 PLN Citi 06/21/2023 382,835
7,338,136 USD 30,741,000 PLN Citi 06/21/2023 (87,648)
571,671 USD 6,250,000 SEK Citi 06/21/2023 4,892
57,130,489 USD 599,250,000 SEK Citi 06/21/2023 (1,849,673)
6,708,079 USD 8,928,000 SGD Citi 06/21/2023 (101,598)
2,692,477 USD 82,717,250 TWD Citi 06/21/2023 2,626
4,191,667 USD 126,000,000 TWD Citi 06/21/2023 (86,322)
4,969,833 USD 98,538,922 ZAR Citi 06/21/2023 17,929
14,596,972 USD 273,294,923 ZAR Citi 06/21/2023 (763,554)
413,567,390 ZAR 21,921,263 USD Citi 06/21/2023 987,649
1,500,000 ZAR 75,611 USD Citi 06/21/2023 (315)
5,610,545,500 CLP 6,968,061 USD Citi 06/22/2023 61,373
7,410,545,500 CLP 9,058,590 USD Citi 06/22/2023 (63,933)
6,439,618 USD 5,300,000,000 CLP Citi 06/22/2023 84,783
9,658,912 USD 7,730,272,750 CLP Citi 06/22/2023 (142,799)
22,952,083 USD 20,549,000 CHF Citi 06/27/2023 (321,192)
875,750 AUD 574,005 USD Citi 09/20/2023 2,030
875,749 AUD 570,883 USD Citi 09/20/2023 (1,092)
34,474,500 CAD 25,354,361 USD Citi 09/20/2023 (102,552)
3,269,125 CHF 3,660,431 USD Citi 09/20/2023 25,021
29,391,250 CHF 32,642,599 USD Citi 09/20/2023 (41,757)
430,272,750 CLP 526,290 USD Citi 09/20/2023 2,624
1,000,000,000 CLP 1,214,760 USD Citi 09/20/2023 (2,297)
52,656,000 CNH 7,498,229 USD Citi 09/20/2023 28,525
36,983,000 CNH 5,246,083 USD Citi 09/20/2023 (271)
13,000,000 CZK 586,855 USD Citi 09/20/2023 3,713
336,000,000 CZK 15,046,580 USD Citi 09/20/2023 (25,409)
176,000 EUR 190,265 USD Citi 09/20/2023 949
352,000 EUR 377,834 USD Citi 09/20/2023 (798)
459,375 GBP 568,664 USD Citi 09/20/2023 (3,732)
260,000,000 HUF 729,590 USD Citi 09/20/2023 524
1,584,465,000 HUF 4,430,582 USD Citi 09/20/2023 (12,421)
31,481,000 ILS 8,517,263 USD Citi 09/20/2023 31,399
4,011,124 INR 48,277 USD Citi 09/20/2023 15
8,022,250 INR 96,488 USD Citi 09/20/2023 (36)
4,372,923,750 JPY 31,826,517 USD Citi 09/20/2023 (128,659)
14,700,000,000 KRW 11,207,558 USD Citi 09/20/2023 19,256
6,943,795,125 KRW 5,276,592 USD Citi 09/20/2023 (8,393)
37,473,832 MXN 2,062,376 USD Citi 09/20/2023 (8,515)
200,365,250 NOK 17,887,468 USD Citi 09/20/2023 (256,334)
6,947,500 NZD 4,233,611 USD Citi 09/20/2023 51,741
The accompanying Notes to Consolidated Financial Statements are an integral part of this statement.
20 Columbia Multi Strategy Alternatives Fund  | Annual Report 2023

Consolidated Portfolio of Investments  (continued)
May 31, 2023
Forward foreign currency exchange contracts (continued)
Currency to
be sold
Currency to
be purchased
Counterparty Settlement
date
Unrealized
appreciation ($)
Unrealized
depreciation ($)
37,814,833 NZD 22,729,105 USD Citi 09/20/2023 (32,568)
312,183,428 PHP 5,530,088 USD Citi 09/20/2023 7,014
4,487,000 PLN 1,062,545 USD Citi 09/20/2023 9,387
22,250,000 SEK 2,076,164 USD Citi 09/20/2023 13,689
26,250,000 SEK 2,412,786 USD Citi 09/20/2023 (20,471)
14,036,000 SGD 10,411,996 USD Citi 09/20/2023 (14,571)
20,717,250 TWD 680,906 USD Citi 09/20/2023 (1,034)
23,340,248 USD 35,805,750 AUD Citi 09/20/2023 45,442
6,915,403 USD 10,548,750 AUD Citi 09/20/2023 (25,733)
1,532,182 USD 2,084,000 CAD Citi 09/20/2023 6,701
2,199,193 USD 1,800,000,000 CLP Citi 09/20/2023 (8,490)
507,987 USD 2,333,833,500 COP Citi 09/20/2023 3,050
6,332,315 USD 28,642,013,560 COP Citi 09/20/2023 (60,602)
137,039 USD 3,037,000 CZK Citi 09/20/2023 (808)
64,236,496 USD 59,822,500 EUR Citi 09/20/2023 112,174
9,230,504 USD 8,538,250 EUR Citi 09/20/2023 (46,250)
30,531,947 USD 24,657,625 GBP Citi 09/20/2023 192,221
2,975,478 USD 1,064,026,000 HUF Citi 09/20/2023 8,160
14,069 USD 5,000,000 HUF Citi 09/20/2023 (48)
2,945,247 USD 44,263,671,795 IDR Citi 09/20/2023 146
1,963,320 USD 29,460,187,851 IDR Citi 09/20/2023 (2,980)