Helios High Income Fund 8K/A Results of Operations and Financial Condition | XHIHX 4 Jun 10

Helios High Income Fund (XHIHX) Inactive 8-K/AResults of Operations and Financial Condition

BrookfieldInvestment Management Inc.

Helios Advantage Income Fund, Inc.

Helios High Income Fund, Inc.

Helios Multi-Sector High Income Fund, Inc.

Helios Strategic Income Fund, Inc.

LOGO

Annual Report

March 31, 2010

IN PROFILE

Brookfield Investment Management Inc. (formerly Hyperion Brookfield Asset Management, Inc.) is an SEC-registered investment advisor specializing in core fixed income, high yield, structured products (Commercial MBS, Residential MBS and ABS) as well as global REITs and listed infrastructure securities. Headquartered in New York, the firm had approximately $24 billion of assets under management* as of March 31, 2010. Brookfield Investment Management Inc. is a subsidiary of Brookfield Asset Management Inc., a global asset manager focused on property, power and other infrastructure assets with approximately $100 billion of assets under management as of March 31, 2010.

*	Includes assets managed through AMP Capital Brookfield Pty Limited.


TABLE OF CONTENTS

Letter to Stockholders		1

Helios Advantage Income Fund, Inc.		2

Management Discussion of Fund Performance		2

Portfolio Characteristics		6

Portfolio of Investments		7

Helios High Income Fund, Inc.		11

Management Discussion of Fund Performance		11

Portfolio Characteristics		15

Portfolio of Investments		16

Helios Multi-Sector High Income Fund, Inc.		20

Management Discussion of Fund Performance		20

Portfolio Characteristics		24

Portfolio of Investments		25

Helios Strategic Income Fund, Inc.		29

Management Discussion of Fund Performance		29

Portfolio Characteristics		33

Portfolio of Investments		34

Notes to Portfolios of Investments		38

Statements of Assets and Liabilities		39

Statements of Operations		40

Statements of Changes in Net Assets		41

Statements of Cash Flows		43

Financial Highlights		47

Notes to Financial Statements		51

Report of Independent Registered Public Accounting Firm		66

Tax Information		67

Compliance Certifications		68

Information Concerning Directors and Officers		69

Dividend Reinvestment Plan		73

This report is for stockholder information. This is not a prospectus intended for the use in the purchase or sale of Fund shares.


NOT FDIC INSURED		MAY LOSE VALUE		NOT BANK GUARANTEED

LETTER TO STOCKHOLDERS

Dear Stockholders,

We welcome this opportunity to provide the Annual Report for Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. (each a “Fund” and, collectively, the “Funds”) for the fiscal year ended March 31, 2010.

Over the last 12 months, the repositioning of the Funds’ portfolios was substantially completed. This included a significant increase in exposure to corporate high yield bonds and the elimination of exposure to asset-backed securities (“ABS”) and collateralized debt obligations (“CDOs”). This was a strategic goal for the Funds’ portfolios since taking over management in July 2008.

Importantly, we believe the Funds’ portfolios are now appropriately positioned to deliver high current income with a reduced risk profile. Our past experience suggests that this approach is better suited to generate sustainable yields over the course of an entire market cycle. The high yield market recovery over the trailing 12 months saw lesser quality bonds rebound off significant lows, compared to “up-in-credit” bonds, which had not deteriorated to the same degree. As investors re-embraced risk, CCC-rated securities outperformed the broader high yield market. In line with our long-term investment horizon, the Funds’ portfolios held underweight positions to these lower rated bonds and this contributed to underperformance relative to the benchmark high yield index for the period.

The 2009 calendar year set a new record for the performance of corporate high yield bonds. As investors acknowledged signs of economic recovery, appetite for risk increased significantly. This continued into the first quarter of 2010 and, similarly, the new issue market also remained particularly active with the majority of new issues well over-subscribed.

Importantly, we believe the outlook for the corporate high yield debt market in 2010 remains positive. Current high yield spreads adequately compensate for the likely risks inherent in today’s environment and as credit markets continue to function, credit spreads may tighten further.

In August 2009, the Funds’ Boards of Directors approved a reverse stock split to ensure the Funds were in compliance with the continued listing requirements of the New York Stock Exchange. The Funds are now comfortably within requirements to continue their listings on the exchange.

In addition to performance information, this report provides an overview of market conditions and a discussion of factors affecting the Funds’ investment performance, together with each Fund’s audited financial statements and portfolio of investments as of March 31, 2010.

I would also like to take this opportunity to thank the Board of Directors for their dedication and diligence during the Funds’ repositioning period. Their hard work over the last 12 months has greatly contributed to the solid standing of the Funds’ portfolios today. We welcome your questions and comments, and encourage you to contact our Investor Relations team at (800) 497-3746 or visit us atwww.brookfieldim.com. Thank you for your support.

Sincerely,

LOGO

Kim G. Redding

President


		2010 Annual Report

HELIOS ADVANTAGE INCOME FUND, INC.

OBJECTIVE & STRATEGY

Helios Advantage Income Fund, Inc. seeks a high level of current income. The Fund seeks capital growth as a secondary investment objective when consistent with its primary investment objective. The Fund invests a majority of its total assets in below-investment grade debt securities that offer attractive yield and capital appreciation potential. The Fund also may invest in investment grade debt securities, up to 15% of its total assets in foreign debt and foreign equity securities and up to 25% of its total assets in domestic equity securities, including common and preferred stocks. The Fund invests in a wide range of below-investment grade debt securities, including corporate bonds, mortgage-backed and asset-backed securities and municipal and foreign government obligations, as well as securities of companies in bankruptcy reorganization proceedings or otherwise in the process of debt restructuring. (Below-investment grade debt securities are rated Ba1 or lower by Moody’s Investors Service, Inc., BB+ or lower by Standard & Poor’s Ratings Group, comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Fund’s investment advisor to be of comparable quality.) The Fund may use leverage through bank borrowings, reverse repurchase agreements or other transactions involving indebtedness or through the issuance of preferred shares. The Fund may leverage one third of its total assets (in each case including the amount borrowed.) The Fund may vary its use of leverage in response to changing market conditions.

Investment Risks:Investors in any bond fund should anticipate fluctuations in price. Bond prices and the value of bond funds decline as interest rates rise. Bonds with longer-term maturities generally are more vulnerable to interest rate risk than bonds with shorter-term maturities. Below-investment grade bonds involve greater credit risk, which is the risk that the issuer will not make interest or principal payments when due. An economic downturn or period of rising interest rates could adversely affect the ability of issuers, especially issuers of below-investment grade debt, to service primary obligations and an unanticipated default could cause the Fund to experience a reduction in value of its shares. The Fund’s investments in mortgage-backed or asset-backed securities that are “subordinated” to other interests in the same pool may increase credit risk to the extent that the Fund, as a holder of those securities, may only receive payments after the pool’s obligations to other investors have been satisfied. Below-investment grade bonds also are subject to greater price volatility and are less liquid, especially during periods of economic uncertainty or change, than higher-rated debt securities. The value of U.S. and foreign equity securities in which the Fund invests will change based on changes in a company’s financial condition and in overall market and economic conditions. Leverage creates an opportunity for an increased return to common stockholders, but unless the income and capital appreciation, if any, on securities acquired with leverage proceeds exceed the costs of the leverage, the use of leverage will diminish the investment performance of the Fund’s shares. Use of leverage also may increase the likelihood that the net asset value of the Fund and market value of its common shares will be more volatile, and the yield and total return to common stockholders will tend to fluctuate more in response to changes in interest rates and creditworthiness.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the fiscal year ended March 31, 2010, Helios Advantage Income Fund, Inc. (NYSE: HAV) had a total return of 58.73%, which assumes the reinvestment of dividends and is exclusive of brokerage commissions. Based on the NYSE closing price of $7.00 on March 31, 2010, the Fund’s shares had a dividend yield of 10.29%. The dividend yield is calculated as the annualized amount of the reporting period’s most recent monthly dividend declared divided by the stated stock price.

The table below shows the Fund’s compound returns, based on published net asset values and market prices, for the periods noted as of March 31, 2010, compared with the Fund’s benchmark Index.


Helios Advantage Income Fund, Inc. (NYSE: HAV)	3 Months	6 Months	9 Months	12 Months
Fund — Net asset value return	3.27%	9.67%	23.85%	35.45%
Fund — Total return, including distributions*	9.03%	16.40%	23.18%	58.73%
Barclays Capital U.S. Corporate High Yield Index	4.62%	11.10%	26.90%	56.18%

*	Exclusive of brokerage commissions


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

HIGH YIELD MARKET ENVIRONMENT

The high yield market generated strong returns over the last 12 months. Yield spreads on the broad market¹ tumbled from 1,683 basis points at March 31, 2009 to 581 basis points at March 31, 2010, as investor confidence in the financial markets and the economy strengthened.

During the last 12 months, the high yield new issue market gradually opened as capital markets were more accepting of risk. By the first quarter of 2010, the high yield market was setting records for issuance, with more than $60 billion of bonds issued during the three month period. Many bonds came with security and were used to refinance bank debt which was issued during 2006-2007 to finance leveraged buyouts. One of the market’s primary worries is the “mountain of maturities” many companies face between 2013-2015 as bonds and loans issued in the 2006-2007 timeframe come due. While some commentators view this as a significant risk to future returns, we view it as a “wall of worry” which may fuel a further rally in high yield as companies successfully address these concerns. The record amount of new issuance is evidence that corporate management teams and their equity sponsors are actively looking to manage their capital structures. We view the market to be in a virtuous cycle where new issuance, rather than pushing the market lower, serves to move it higher because it inherently reduces overall credit risk by extending maturities.

The level of defaults peaked in late 2009 and fell dramatically over the period to March 31, 2010. The widely watched 12-month default rate ended the 2009 calendar year at 12.7%² and dropped more than half to 5.2% by the end of March³. Many strategists reduced their forecast default rate for 2010, and we expect it to be around 2% for the 2010 calendar year, representing continued improvement in credit quality.

Investor appetite for risk remained robust during the last 12 months, with CCCs returning 109.7% compared with the overall market which was up 57.2%.

Bonds of companies in the Financial Services and Real Estate industries performed well, as they recovered from poor performance in 2008. The Automotive sector also outperformed as companies restructured and investors grew more confident that the worst was over for the industry. The Technology sector outperformed, as many companies in the industry began to recover in line with the general economic recovery.

Industries which underperformed were generally considered to be defensive in nature, including Telecommunications, Healthcare and Utilities. In 2008, these sectors had been preferred amid a weaker environment. In general, performance of an industry reflected the average credit quality of that industry; with outperforming industries being lower quality and/or more beaten down in the 2008 downturn, and the underperforming industries representing more defensive, better quality issues. (Source: Factset, Merrill Lynch.)

Supply/demand remained positive as the new year commenced despite a record supply of new issues. Credit Suisse estimates $1.2 billion of money flowed into the market in the first quarter of 2010, an extension of the $22.9 billion that flowed in during 2009⁴. The steady flow of money into high yield retail mutual funds put pressure on managers to deploy it quickly which gave a boost to the new issue calendar.

As the high yield market recovered, many of the Fund’s holdings generated significant capital appreciation. Some of the best performers were Sungard Data Systems, U.S. Steel and TRW Automotive. Sungard Data Systems and TRW Automotive benefited from the reopening of credit markets. U.S. Steel rebounded as the prospect of a severe recession diminished. Importantly, our analysis indicated that each company retained balance sheet flexibility to withstand anticipated short-term weakness in the economy.

Detractors included Steers (which was sold during the year), SeaMetric and Charter. SeaMetric is a development-stage energy service company in need of additional capital to complete planned projects. The company filed for bankruptcy in February 2010 and we do not expect any meaningful recovery for these bonds. Charter’s bonds declined subsequent to the company filing for bankruptcy.


		2010 Annual Report

HELIOS ADVANTAGE INCOME FUND, INC.

OUTLOOK

We continue to maintain our positive view of the high yield market despite the hefty returns over the past 12 months. While yield spreads have narrowed nearer to the long-term average, lower defaults, improving credit conditions, and the gradual removal of the maturity mountain should protect investors from a market correction. We believe we are on the right side of the credit cycle for corporate credit and anticipate the yield advantage of high yield will prove attractive in a low-yield world.

We believe that, on balance, the U.S. economy will surprise on the upside, eventually overcoming residual investor fears of continued stagnation. We are encouraged by the record pace of credit refinancing, and are beginning to see signs of renewed IPO activity, both of which will serve to reduce credit risk going forward.

Confidence may receive a second boost should we see a return of merger and acquisition (“M&A”) activity this year after a two-year hiatus. M&A tends to be good for high yield investors on two fronts; first, it gives companies a venue for selling assets and using cash to pay debt, and second, bond investors typically benefit from a change-of-control put in the event their debtor is taken over.

¹ Performance numbers for the Merrill Lynch U.S. High Yield Master II Index, H0A0 retrieved from Bloomberg

² Merrill Lynch, “Situation Room: High Yield in 2010: Year Ahead Outlook,” December 28, 2009, p. 4

³ JP Morgan, High Yield Market Monitor, April 1, 2010, p. 14

⁴ Credit Suisse, “Leveraged Finance Strategy Update,” April 6, 2010, p. 10

Forward-Looking Information

This management discussion contains certain forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended. Forward-looking statements that are based on various assumptions (some of which are beyond our control) may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “may,” “will,” “believe,” “expect,” “anticipate,” “continue,” “should,” “intend,” or similar terms or variations on those terms or the negative of those terms. Although we believe that the expectations contained in any forward-looking statement are based on reasonable assumptions, we can give no assurance that our expectations will be attained. We do not undertake, and specifically disclaim any obligation, to publicly release any update or supplement to any forward-looking statements to reflect the occurrence of anticipated or unanticipated events or circumstances after the date of such statements.

Disclosure

The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation or solicitation for any person to buy, sell or hold any particular security. There is no assurance that the Helios Advantage Income Fund, Inc. currently holds these securities.

The Barclays Capital U.S. Corporate High Yield Index covers the U.S. dollar denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The index excludes emerging markets debt. The Barclays Capital U.S. Corporate High Yield Index is part of the Barclays Capital U.S. Universal and Global High Yield Indices. The index is unmanaged and, unlike the Fund, is not affected by cash flows or trading and other expenses. It is not possible to invest directly in an index. Index performance is shown for illustrative purposes only and does not predict or depict the performance of the Fund.

Performance data quoted represents past performance results and does not guarantee future results. Current performance may be lower or higher than the performance data quoted.


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

These views represent the opinions of Brookfield Investment Management Inc. and are not intended to predict or depict the performance of any investment. These views are as of the close of business on March 31, 2010 and subject to change based on subsequent developments.


		2010 Annual Report

HELIOS ADVANTAGE INCOME FUND, INC.

Portfolio Characteristics (Unaudited)

March 31, 2010

PORTFOLIO STATISTICS


Annualized dividend yield¹		10.29%

Weighted average coupon		11.17%

Average effective maturity		6.83 years

Percentage of leveraged assets		26.90%

Total number of holdings		107

CREDIT QUALITY


A and Above²	1	%

BBB	2	%

BB	40	%

B	38	%

CCC	17	%

Unrated	2	%
Total	100	%

ASSET ALLOCATION³


Investment Grade Corporate Bonds	4	%

High Yield Corporate Bonds	92	%

Common Stocks	3	%

Short-term Investments	1	%
Total	100	%

¹	Dividends may include net investment income, capital gains and/or return of capital. The dividend yield referenced above is calculated as the annualized amount of the most recent monthly dividend declared divided by March 31, 2010 stock price.

²	Includes short-term investments.

³	Includes only invested assets; excludes cash.


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
INVESTMENT GRADE CORPORATE BONDS – 5.3%
Services Cyclical – 1.1%
Allied Waste North America Inc.² (Cost $491,930)	6.88	%	06/01/17	$	500	$	545,000

Telecommunications – 4.2%
Qwest Corp.²	6.88		09/15/33		1,225		1,182,125
Rogers Communications Inc.²	6.80		08/15/18		750		853,162

Total Telecommunications (Cost $1,656,494)							2,035,287
Total INVESTMENT GRADE CORPORATE BONDS (Cost $2,148,424)							2,580,287
HIGH YIELD CORPORATE BONDS – 124.6%
Basic Industry – 20.2%
AK Steel Corp.²	7.75		06/15/12		1,250		1,256,250
Appleton Papers Inc.^3,4	10.50		06/15/15		340		338,300
Arch Western Finance LLC²	6.75		07/01/13		900		903,375
Cascades Inc.^3,4	7.75		12/15/17		175		176,313
Domtar Corp.²	10.75		06/01/17		600		729,000
Edgen Murray Corp.^3,4	12.25		01/15/15		535		500,894
Freeport McMoRan Copper & Gold²	8.38		04/01/17		900		1,001,250
Georgia-Pacific LLC	7.25		06/01/28		230		227,700
Georgia-Pacific LLC	7.38		12/01/25		270		268,650
Millar Western Forest Products Limited	7.75		11/15/13		650		554,125
Steel Dynamics Inc.²	6.75		04/01/15		1,000		1,007,500
U.S. Steel Corp.²	7.00		02/01/18		1,400		1,379,000
Verso Paper Holdings LLC / Verso Paper Inc.^3,4	11.50		07/01/14		750		810,000
Westlake Chemical Corp.²	6.63		01/15/16		750		731,250

Total Basic Industry (Cost $8,816,132)							9,883,607

Capital Goods – 13.0%
BE Aerospace Inc.	8.50		07/01/18		675		720,562
CNH America LLC.²	7.25		01/15/16		500		507,500
Crown Americas LLC²	7.75		11/15/15		275		286,000
L-3 Communications Corp.²	6.13		01/15/14		1,000		1,017,500
Mueller Water Products Inc.	7.38		06/01/17		900		812,250
Owens-Illinois Inc.	7.80		05/15/18		575		593,688
Solo Cup Co./Solo Cup Operating Corp.	10.50		11/01/13		500		527,500
Terex Corp.²	7.38		01/15/14		950		964,250
Terex Corp.	8.00		11/15/17		250		243,125
Texas Industries Inc.	7.25		07/15/13		370		363,525
Trimas Corp.^3,4	9.75		12/15/17		345		357,075

Total Capital Goods (Cost $6,142,120)							6,392,975

Consumer Cyclical – 26.5%
ACE Hardware Corp.^2,3,4	9.13		06/01/16		500		536,250
American Axle & Manufacturing Inc.	7.88		03/01/17		700		652,750

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS ADVANTAGE INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Collective Brands Inc.	8.25	%	08/01/13	$	444	$	452,880
Couche-Tard U.S. LP	7.50		12/15/13		675		685,125
Easton-Bell Sports Inc.^3,4	9.75		12/01/16		650		684,125
FireKeepers Development Authority^3,4	13.88		05/01/15		500		578,750
Ford Motor Co.	6.50		08/01/18		650		617,500
GameStop Corp.²	8.00		10/01/12		1,000		1,037,500
Harrah’s Operating Escrow LLC/Harrah’s Escrow Corp	11.25		06/01/17		600		646,500
KAR Auction Services Inc.	10.00		05/01/15		525		551,250
Levi Strauss & Co.	9.75		01/15/15		900		942,750
Limited Brands Inc.	8.50		06/15/19		300		334,500
MGM Mirage, Inc.	5.88		02/27/14		675		568,687
Motors Liquidation Co.¹	7.13		07/15/13		250		91,250
MTR Gaming Group Inc.	12.63		07/15/14		650		641,875
Phillips-Van Heusen Corp.²	7.25		02/15/11		800		802,000
Pokagon Gaming Authority^3,4	10.38		06/15/14		500		525,000
Seneca Gaming Corp.	7.25		05/01/12		675		666,562
Tenneco Inc.	8.63		11/15/14		600		609,000
The Neiman Marcus Group Inc.	10.38		10/15/15		650		671,125
TRW Automotive Inc.^3,4	7.25		03/15/17		750		723,750

Total Consumer Cyclical (Cost $12,001,643)							13,019,129

Consumer Non-Cyclical – 7.3 %
ACCO Brands Corp.^3,4	10.63		03/15/15		250		273,125
Bumble Bee Foods LLC^3,4	7.75		12/15/15		360		364,500
Constellation Brands Inc.²	7.25		05/15/17		1,050		1,076,250
Deluxe Corp.	7.38		06/01/15		600		600,000
Jarden Corp.	7.50		05/01/17		675		684,281
Rite Aid Corp.	8.63		03/01/15		675		577,125

Total Consumer Non-Cyclical (Cost $3,333,390)							3,575,281

Energy – 20.8%
Chesapeake Energy Corp.²	6.88		01/15/16		1,150		1,135,625
Crosstex Energy/Crosstex Energy Finance Corp.^3,4	8.88		02/15/18		675		696,094
El Paso Corp.²	6.88		06/15/14		500		510,201
Frontier Oil Corp.²	6.63		10/01/11		800		806,000
Hercules Offshore LLC^3,4	10.50		10/15/17		650		648,375
Hexion Finance Escrow LLC / Hexion Escrow Corp.^3,4	8.88		02/01/18		500		492,500
Linn Energy LLC/Linn Energy Finance Corp.^3,4	8.63		04/15/20		200		200,250
McJunkin Red Man Corp.^3,4	9.50		12/15/16		650		663,812
Newfield Exploration Co.²	6.63		09/01/14		500		513,750
Niska Gas Storage US LLC/ Niska Gas Storage Canada ULC^3,4	8.88		03/15/18		290		296,525
Pioneer Natural Resource Co²	6.65		03/15/17		500		499,890
Quicksilver Resources Inc.	11.75		01/01/16		450		515,250
Range Resources Corp.²	7.50		05/15/16		500		515,000
SeaMetric International AS^1,3,4,5,7,8	11.63		05/25/12		1,527		15,265
SESI LLC	6.88		06/01/14		600		588,000

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


		Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Southwestern Energy Co.²		7.50	%	02/01/18	$	550	$	596,750
The Williams Companies Inc. Credit Linked Certificate Trust V^3,4		6.38		10/01/10		1,000		1,018,483
Whiting Petroleum Corp.		7.25		05/01/13		475		480,938

Total Energy (Cost $11,122,573)								10,192,708

Finance & Investment – 1.2 %
Ford Motor Credit Company LLC (Cost $470,877)		7.00		10/01/13		575		594,973

Media – 5.9%
Cablevision Systems Corp.^2,3,4		8.63		09/15/17		800		846,000
Charter Communications Operating LLC^3,4,6		8.38		04/30/14		425		436,687
Lamar Media Corp.		6.63		08/15/15		500		485,625
Mediacom Broadband LLC		8.50		10/15/15		1,075		1,099,188

Total Media (Cost $2,684,587)								2,867,500

Services Cyclical – 9.1%
AMC Entertainment Inc.		8.75		06/01/19		875		918,750
ARAMARK Corp.		8.50		02/01/15		900		920,250
Iron Mountain Inc.²		8.75		07/15/18		700		733,250
Maxim Crane Works LP^3,4	��	12.25		04/15/15		500		486,450
RSC Equipment Rental Inc.		9.50		12/01/14		650		643,500
United Rentals North America Inc.		9.25		12/15/19		500		510,000
Universal City Development Partners Limited^3,4		10.88		11/15/16		250		261,250

Total Services Cyclical (Cost $4,350,067)								4,473,450

Services Non-Cyclical – 3.5%
HCA Inc.²		9.25		11/15/16		700		744,187
Service Corp. International²		6.75		04/01/16		1,000		980,000

Total Services Non-Cyclical (Cost $1,548,101)								1,724,187

Technology & Electronics – 4.6%
First Data Corp.		9.88		09/24/15		650		560,625
Flextronics International Limited²		6.25		11/15/14		583		590,287
Sungard Data Systems Inc.		10.25		08/15/15		1,050		1,103,813

Total Technology & Electronics (Cost $2,092,704)								2,254,725

Telecommunications – 12.5%
American Tower Corp.²		7.00		10/15/17		1,250		1,396,875
Cincinnati Bell Inc.		8.75		03/15/18		675		680,906
Frontier Communications Corp.		7.13		03/15/19		1,300		1,235,000
Global Crossing Limited^3,4		12.00		09/15/15		650		721,500
PAETEC Holding Corp.		9.50		07/15/15		500		506,250
TW Telecom Holdings Inc.^3,4		8.00		03/01/18		400		409,000

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS ADVANTAGE INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Windstream Corp.²	7.00	%	03/15/19	$	1,250	$	1,165,625

Total Telecommunications (Cost $5,835,357)							6,115,156
Total HIGH YIELD CORPORATE BONDS (Cost $58,397,551)							61,093,691

				Shares		Value (Note 2)
COMMON STOCKS – 4.6%
Consumer Products – 0.2%
B&G Foods Inc. (Cost $52,436)					6,785		71,107

Energy – 0.9%
Southern Union Co. (Cost $264,235)					17,850		452,855

Industrials – 1.3%
General Electric Co.					21,500		391,300
United States Steel Corp.					4,000		254,080

Total Industrials (Cost $477,911)							645,380

Telecommunications – 2.2%
AT&T Inc.					11,250		290,700
Frontier Communications Corp.					19,400		144,336
Qwest Communications International Inc.					31,900		166,518
Verizon Communications Inc.					9,350		290,037
Windstream Corp.					16,750		182,408

Total Telecommunications (Cost $1,098,283)							1,073,999
Total COMMON STOCKS (Cost $1,892,865)							2,243,341

	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
SHORT TERM INVESTMENT – 1.7%
State Street Euro Dollar Time Deposit (Cost $829,984)	0.01	%	04/01/10	$	830	$	829,984
Total Investments – 136.2% (Cost $63,268,824)							66,747,303
Liabilities in Excess of Other Assets – (36.2)%							(17,730,531	)

NET ASSETS – 100.0%						$	49,016,772

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS HIGH INCOME FUND, INC.

OBJECTIVE & STRATEGY

Helios High Income Fund, Inc. seeks a high level of current income. The Fund seeks capital growth as a secondary investment objective when consistent with its primary investment objective. The Fund invests a majority of its total assets in below-investment grade debt securities that offer attractive yield and capital appreciation potential. The Fund also may invest in investment grade debt securities, up to 15% of its total assets in foreign debt and foreign equity securities and up to 25% of its total assets in domestic equity securities, including common and preferred stocks. The Fund invests in a wide range of below-investment grade debt securities, including corporate bonds, mortgage-backed and asset-backed securities and municipal and foreign government obligations, as well as securities of companies in bankruptcy reorganization proceedings or otherwise in the process of debt restructuring. (Below-investment grade debt securities are rated Ba1 or lower by Moody’s Investors Service, Inc., BB+ or lower by Standard & Poor’s Ratings Group, comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Fund’s investment advisor to be of comparable quality.) The Fund may use leverage through bank borrowings, reverse repurchase agreements or other transactions involving indebtedness or through the issuance of preferred shares. The Fund may leverage one third of its total assets (in each case including the amount borrowed.) The Fund may vary its use of leverage in response to changing market conditions.

Investment Risks: Investors in any bond fund should anticipate fluctuations in price. Bond prices and the value of bond funds decline as interest rates rise. Bonds with longer-term maturities generally are more vulnerable to interest rate risk than bonds with shorter-term maturities. Below-investment grade bonds involve greater credit risk, which is the risk that the issuer will not make interest or principal payments when due. An economic downturn or period of rising interest rates could adversely affect the ability of issuers, especially issuers of below-investment grade debt, to service primary obligations and an unanticipated default could cause the Fund to experience a reduction in value of its shares. The Fund’s investments in mortgage-backed or asset-backed securities that are “subordinated” to other interests in the same pool may increase credit risk to the extent that the Fund as a holder of those securities may only receive payments after the pool’s obligations to other investors have been satisfied. Below-investment grade bonds also are subject to greater price volatility and are less liquid, especially during periods of economic uncertainty or change, than higher-rated debt securities. The value of U.S. and foreign equity securities in which the Fund invests will change based on changes in a company’s financial condition and in overall market and economic conditions. Leverage creates an opportunity for an increased return to common stockholders, but unless the income and capital appreciation, if any, on securities acquired with leverage proceeds exceed the costs of the leverage, the use of leverage will diminish the investment performance of the Fund’s shares. Use of leverage also may increase the likelihood that the net asset value of the Fund and market value of its common shares will be more volatile, and the yield and total return to common stockholders will tend to fluctuate more in response to changes in interest rates and creditworthiness.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the fiscal year ended March 31, 2010, Helios High Income Fund, Inc. (NYSE: HIH) had a total return of 64.29%, which assumes the reinvestment of dividends and is exclusive of brokerage commissions. Based on the NYSE closing price of $7.19 on March 31, 2010, the Fund’s shares had a dividend yield of 10.01%. The dividend yield is calculated as the annualized amount of the reporting period’s most recent monthly dividend declared divided by the stated stock price.

The table below shows the Fund’s compound returns, based on published net asset values and market prices, for the periods noted as of March 31, 2010, compared with the Fund’s benchmark Index.


Helios High Income Fund, Inc. (NYSE: HIH)	3 Months	6 Months	9 Months	12 Months
Fund — Net asset value return	4.18%	10.86%	24.49%	37.09%
Fund — Total return, including distributions*	9.44%	16.79%	24.33%	64.29%
Barclays Capital U.S. Corporate High Yield Index	4.62%	11.10%	26.90%	56.18%

*	Exclusive of brokerage commissions


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.

HIGH YIELD MARKET ENVIRONMENT

Investor appetite for risk remained robust during the last 12 months, with CCCs returning 109.7% compared with the overall market which was up 57.2%.

As the high yield market recovered, many of the Fund’s holdings generated significant capital appreciation. Among the best performers were Sungard Data Systems, U.S. Steel and TRW Automotive. Sungard Data Systems and TRW Automative benefited from the reopening of credit markets. U.S. Steel rebounded as the prospects of a severe recession diminished. Importantly, our analysis indicated that each company retained balance sheet flexibility to withstand anticipated short-term weakness in the economy.

Detractors included SASC 2003-BC1, Steers and Charter. SASC 2003-BC1 and Steers were sold during the year. Charter’s bonds declined subsequent to the company filing for bankruptcy.


Brookfield Investment Management Inc.

HELIOS HIGH INCOME FUND, INC.

OUTLOOK

¹ Performance numbers for the Merrill Lynch U.S. High Yield Master II Index, H0A0 retrieved from Bloomberg

² Merrill Lynch, “Situation Room: High Yield in 2010: Year Ahead Outlook,” December 28, 2009, p. 4

³ JP Morgan, High Yield Market Monitor, April 1, 2010, p. 14

⁴ Credit Suisse, “Leveraged Finance Strategy Update,” April 6, 2010, p. 10

Forward-Looking Information

Disclosure

The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation or solicitation for any person to buy, sell or hold any particular security. There is no assurance that the Helios High Income Fund, Inc. currently holds these securities.

Performance data quoted represents past performance results and does not guarantee future results. Current performance may be lower or higher than the performance data quoted.


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.


Brookfield Investment Management Inc.

HELIOS HIGH INCOME FUND, INC.

Portfolio Characteristics (Unaudited)

March 31, 2010

PORTFOLIO STATISTICS


Annualized dividend yield¹		10.01%

Weighted average coupon		10.76%

Average effective maturity		6.93 years

Percentage of leveraged assets		24.99%

Total number of holdings		103

CREDIT QUALITY


A and Above²	2	%

BBB	1	%

BB	36	%

B	42	%

CCC	17	%

Unrated	2	%
Total	100	%

ASSET ALLOCATION³


Investment Grade Corporate Bonds	4	%

High Yield Corporate Bonds	92	%

Common Stocks	3	%

Short-term Investments	1	%
Total	100	%

¹	Dividends may include net investment income, capital gains and/or return of capital. The dividend yield referenced above is calculated as the annualized amount of the most recent monthly dividend declared divided by the March 31, 2010 stock price.

²	Includes short-term investments.

³	Includes only invested assets; excludes cash.


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
INVESTMENT GRADE CORPORATE BONDS – 4.7%
Services Cyclical – 1.5%
Allied Waste North America Inc.² (Cost $491,931)	6.88	%	06/01/17	$	500	$	545,000

Telecommunications – 3.2%
Qwest Corp.² (Cost $923,843)	6.88		09/15/33		1,225		1,182,125
Total INVESTMENT GRADE CORPORATE BONDS (Cost $1,415,774)							1,727,125
HIGH YIELD CORPORATE BONDS – 120.6%
Basic Industry – 19.1%
AK Steel Corp.²	7.75		06/15/12		900		904,500
Appleton Papers Inc.^3,4	10.50		06/15/15		250		248,750
Arch Western Finance LLC²	6.75		07/01/13		750		752,812
Cascades Inc.^3,4	7.75		12/15/17		125		125,937
Domtar Corp.²	10.75		06/01/17		450		546,750
Edgen Murray Corp.^3,4	12.25		01/15/15		175		163,844
Freeport McMoRan Copper & Gold²	8.38		04/01/17		750		834,375
Georgia-Pacific LLC.	7.25		06/01/28		220		217,800
Georgia-Pacific LLC.²	7.38		12/01/25		255		253,725
Millar Western Forest Products Limited	7.75		11/15/13		475		404,938
Steel Dynamics Inc.²	6.75		04/01/15		500		503,750
U.S. Steel Corp.²	7.00		02/01/18		1,000		985,000
Verso Paper Holdings LLC / Verso Paper Inc.^3,4	11.50		07/01/14		475		513,000
Westlake Chemical Corp.²	6.63		01/15/16		625		609,375

Total Basic Industry (Cost $6,275,591)							7,064,556

Capital Goods – 12.2%
BE Aerospace Inc.	8.50		07/01/18		500		533,750
CNH America LLC.²	7.25		01/15/16		250		253,750
Crown Americas LLC²	7.75		11/15/15		200		208,000
L-3 Communications Corp.²	6.13		01/15/14		500		508,750
Mueller Water Products Inc.	7.38		06/01/17		675		609,188
Owens-Illinois Inc.	7.80		05/15/18		425		438,813
Solo Cup Co./Solo Cup Operating Corp.	10.50		11/01/13		450		474,750
Terex Corp.²	7.38		01/15/14		675		685,125
Terex Corp.	8.00		11/15/17		250		243,125
Texas Industries Inc.	7.25		07/15/13		315		309,488
Trimas Corp.^3,4	9.75		12/15/17		260		269,100

Total Capital Goods (Cost $4,336,009)							4,533,839

Consumer Cyclical – 26.0%
ACE Hardware Corp.^2,3,4	9.13		06/01/16		500		536,250
American Axle & Manufacturing Inc.	7.88		03/01/17		550		512,875
ArvinMeritor Inc.	10.63		03/15/18		100		103,500
Collective Brands Inc.	8.25		08/01/13		222		226,440
Couche-Tard U.S. LP	7.50		12/15/13		500		507,500

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Easton-Bell Sports Inc.^3,4	9.75	%	12/01/16	$	475	$	499,937
FireKeepers Development Authority^3,4	13.88		05/01/15		500		578,750
Ford Motor Co.	6.50		08/01/18		475		451,250
GameStop Corp.²	8.00		10/01/12		225		233,438
Harrah’s Operating Escrow LLC/Harrah’s Escrow Corp	11.25		06/01/17		450		484,875
KAR Auction Services Inc.	10.00		05/01/15		400		420,000
Levi Strauss & Co.	9.75		01/15/15		650		680,875
Limited Brands Inc.	8.50		06/15/19		250		278,750
MGM Mirage, Inc.	5.88		02/27/14		500		421,250
Motors Liquidation Co.¹	7.13		07/15/13		250		91,250
MTR Gaming Group Inc.	12.63		07/15/14		475		469,062
Phillips-Van Heusen Corp.²	7.25		02/15/11		500		501,250
Pokagon Gaming Authority^3,4	10.38		06/15/14		500		525,000
Seneca Gaming Corp.	7.25		05/01/12		500		493,750
Tenneco Inc.	8.63		11/15/14		500		507,500
The Neiman Marcus Group Inc.	10.38		10/15/15		475		490,438
TRW Automotive Inc.^3,4	7.25		03/15/17		625		603,125

Total Consumer Cyclical (Cost $8,821,378)							9,617,065

Consumer Non-Cyclical – 7.4 %
ACCO Brands Corp.^3,4	10.63		03/15/15		250		273,125
Bumble Bee Foods LLC^3,4	7.75		12/15/15		270		273,375
Constellation Brands Inc.²	7.25		05/15/17		750		768,750
Deluxe Corp.	7.38		06/01/15		500		500,000
Jarden Corp.	7.50		05/01/17		500		506,875
Rite Aid Corp.	8.63		03/01/15		500		427,500

Total Consumer Non-Cyclical (Cost $2,563,274)							2,749,625

Energy – 19.0%
Chesapeake Energy Corp.²	6.88		01/15/16		750		740,625
Crosstex Energy/Crosstex Energy Finance Corp.^3,4	8.88		02/15/18		500		515,625
El Paso Corp.²	6.88		06/15/14		500		510,201
Frontier Oil Corp.²	6.63		10/01/11		750		755,625
Hercules Offshore LLC^3,4	10.50		10/15/17		475		473,812
Hexion Finance Escrow LLC / Hexion Escrow Corp.^3,4	8.88		02/01/18		365		359,525
Linn Energy LLC/Linn Energy Finance Corp.^3,4	8.63		04/15/20		145		145,181
McJunkin Red Man Corp.^3,4	9.50		12/15/16		475		485,094
Newfield Exploration Co.²	6.63		09/01/14		500		513,750
Niska Gas Storage US LLC/Niska Gas Storage Canada ULC^3,4	8.88		03/15/18		210		214,725
Pioneer Natural Resource Co²	6.65		03/15/17		350		349,923
Quicksilver Resources Inc.	11.75		01/01/16		350		400,750
Range Resources Corp.²	7.50		05/15/16		500		515,000
SESI LLC	6.88		06/01/14		450		441,000
Southwestern Energy Co.²	7.50		02/01/18		250		271,250
Whiting Petroleum Corp.²	7.25		05/01/13		350		354,375

Total Energy (Cost $6,685,115)							7,046,461

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Finance & Investment – 1.4%
Ford Motor Credit Company LLC (Cost $394,304)	7.00	%	10/01/13	$	500	$	517,368

Media – 7.6%
Cablevision Systems Corp.^2,3,4	8.63		09/15/17		750		793,125
Charter Communications Operating LLC^3,4,6	8.38		04/30/14		900		924,750
Lamar Media Corp.	6.63		08/15/15		350		339,937
Mediacom Broadband LLC	8.50		10/15/15		750		766,875

Total Media (Cost $2,648,319)							2,824,687

Services Cyclical – 9.2%
AMC Entertainment Inc.	8.75		06/01/19		800		840,000
ARAMARK Corp.	8.50		02/01/15		750		766,875
Iron Mountain Inc.²	8.75		07/15/18		525		549,937
RSC Equipment Rental Inc.	9.50		12/01/14		475		470,250
RSC Equipment Rental Inc./RSC Holdings III LLC^3,4	10.25		11/15/19		250		250,625
United Rentals North America Inc.	9.25		12/15/19		500		510,000

Total Services Cyclical (Cost $3,276,066)							3,387,687

Services Non-Cyclical – 3.5%
HCA Inc.²	9.25		11/15/16		525		558,141
Service Corp. International²	6.75		04/01/16		750		735,000

Total Services Non-Cyclical (Cost $1,208,868)							1,293,141

Technology & Electronics – 4.4%
First Data Corp.	9.88		09/24/15		475		409,687
Flextronics International Limited²	6.25		11/15/14		407		412,087
Sungard Data Systems Inc.	10.25		08/15/15		775		814,719

Total Technology & Electronics (Cost – $1,538,094)							1,636,493

Telecommunications – 10.8%
American Tower Corp.²	7.00		10/15/17		600		670,500
Cincinnati Bell Inc.	8.75		03/15/18		500		504,375
Frontier Communications Corp.	7.13		03/15/19		950		902,500
Global Crossing Limited^3,4	12.00		09/15/15		475		527,250
PAETEC Holding Corp.	9.50		07/15/15		475		480,938
Windstream Corp.²	7.00		03/15/19		1,000		932,500

Total Telecommunications (Cost $3,851,102)							4,018,063
Total HIGH YIELD CORPORATE BONDS (Cost $41,598,120)							44,688,985

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


				Shares		Value (Note 2)
COMMON STOCKS – 4.1%
Consumer Products – 0.1%
B&G Foods Inc. (Cost $38,992)					5,045		52,872

Energy – 0.9%
Southern Union Co. (Cost $181,038)					12,785		324,355

Industrials – 1.1%
General Electric Co.					7,500		136,500
United States Steel Corp.					4,000		254,080

Total Industrials (Cost $274,238)							390,580

Telecommunications – 2.0%
AT&T Inc.					7,000		180,880
Frontier Communications Corp.					13,900		103,416
Qwest Communications International Inc.					25,000		130,500
Verizon Communications Inc.					6,700		207,834
Windstream Corp.					10,000		108,900

Total Telecommunications (Cost $792,844)							731,530
Total COMMON STOCKS (Cost $1,287,112)							1,499,337

	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
SHORT TERM INVESTMENT – 2.0%
State Street Euro Dollar Time Deposit (Cost $750,985)	0.01	%	04/01/10	$	751	$	750,985

Total Investments – 131.4% (Cost $45,051,991)							48,666,432
Liabilities in Excess of Other Assets – (31.4)%							(11,626,202	)

NET ASSETS – 100.0%						$	37,040,230

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

OBJECTIVE & STRATEGY

Helios Multi-Sector High Income Fund, Inc seeks a high level of current income. The Fund seeks capital growth as a secondary investment objective when consistent with its primary investment objective. The Fund invests in a diversified portfolio consisting primarily of debt securities that offer attractive yield and capital appreciation potential. Under normal market conditions, the Fund invests a majority of its total assets in below-investment grade debt securities, including up to 20% of the Fund’s total assets in distressed securities. The Fund maintains the flexibility to invest up to 50% of its total assets in investment grade debt securities. The Fund invests up to 30% of its total assets in equity securities of both domestic and foreign issuers and up to 15% of its total assets in a combination of foreign debt and foreign equity securities. The Fund invests in a wide range of debt securities including, corporate bonds, mortgage-backed and asset-backed securities, convertible debt securities, distressed securities, including securities of companies in bankruptcy reorganization proceedings or otherwise in the process of debt restructuring, U.S. government and municipal obligations and foreign government obligations. (Below-investment grade debt securities are rated Ba1 or lower by Moody’s Investors Service, Inc., BB+ or lower by Standard & Poor’s Ratings Group, comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Fund’s investment advisor to be of comparable quality.)

Investment Risks:Investors in any bond fund should anticipate fluctuations in price. Bond prices and the value of bond funds decline as interest rates rise. Bonds with longer-term maturities generally are more vulnerable to interest rate risk than bonds with shorter-term maturities. Below-investment grade bonds involve greater credit risk, which is the risk that the issuer will not make interest or principal payments when due. An economic downturn or period of rising interest rates could adversely affect the ability of issuers, especially issuers of below investment-grade debt, to service primary obligations and an unanticipated default could cause the Fund to experience a reduction in value of its shares. The Fund’s investments in mortgage-backed or asset-backed securities that are “subordinated” to other interests in the same pool may increase credit risk to the extent that the Fund as a holder of those securities may only receive payments after the pool’s obligations to other investors have been satisfied. Below-investment grade bonds also are subject to greater price volatility and are less liquid, especially during periods of economic uncertainty or change, than higher-rated debt securities. The value of U.S. and foreign equity securities in which the Fund invests will change based on changes in a company’s financial condition and in overall market and economic conditions. Leverage creates an opportunity for an increased return to common stockholders, but unless the income and capital appreciation, if any, on securities acquired with leverage proceeds exceed the costs of the leverage, the use of leverage will diminish the investment performance of the Fund’s shares. Use of leverage also may increase the likelihood that the net asset value of the Fund and market value of its common shares will be more volatile, and the yield and total return to common stockholders will tend to fluctuate more in response to changes in interest rates and creditworthiness.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the fiscal year ended March 31, 2010, Helios Multi-Sector High Income Fund, Inc. (NYSE: HMH) had a total return of 58.59%, which assumes the reinvestment of dividends and is exclusive of brokerage commissions. Based on the NYSE closing price of $5.00 on March 31, 2010, the Fund’s shares had a dividend yield of 9.60%. The dividend yield is calculated as the annualized amount of the reporting period’s most recent monthly dividend declared divided by the stated stock price.

The table below shows the Fund’s compound returns, based on published net asset values and market prices, for the periods noted as of March 31, 2010, compared with the Fund’s benchmark Index.


Helios Multi-Sector High Income Fund, Inc. (NYSE: HMH)	3 Months	6 Months	9 Months	12 Months
Fund — Net asset value return	3.62%	10.18%	23.18%	35.87%
Fund — Total return, including distributions*	11.42%	17.96%	24.83%	58.59%
Barclays Capital U.S. Corporate High Yield Index	4.62%	11.10%	26.90%	56.18%

*	Exclusive of brokerage commissions


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

HIGH YIELD MARKET ENVIRONMENT

Investor appetite for risk remained robust during the last 12 months, with CCCs returning 109.7% compared with the overall market which was up 57.2%.

Detractors included SeaMetric, Steers (which was sold during the year) and Charter. SeaMetric is a development-stage energy service company in need of additional capital to complete planned projects. The company filed for bankruptcy in February 2010 and we do not expect any meaningful recovery for these bonds. Charter’s bonds declined subsequent to the company filing for bankruptcy.


		2010 Annual Report

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

OUTLOOK

¹ Performance numbers for the Merrill Lynch U.S. High Yield Master II Index, H0A0 retrieved from Bloomberg

² Merrill Lynch, “Situation Room: High Yield in 2010: Year Ahead Outlook,” December 28, 2009, p. 4

³ JP Morgan, High Yield Market Monitor, April 1, 2010, p. 14

⁴ Credit Suisse, “Leveraged Finance Strategy Update,” April 6, 2010, p. 10

Forward-Looking Information

Disclosure

The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation or solicitation for any person to buy, sell or hold any particular security. There is no assurance that the Helios Multi-Sector High Income Fund, Inc. currently holds these securities.

Performance data quoted represents past performance results and does not guarantee future results. Current performance may be lower or higher than the performance data quoted.


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.


		2010 Annual Report

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Portfolio Characteristics (Unaudited)

March 31, 2010

PORTFOLIO STATISTICS


Annualized dividend yield¹		9.60%

Weighted average coupon		10.93%

Average effective maturity		6.85 years

Percentage of leveraged assets		25.86%

Total number of holdings		105

CREDIT QUALITY


A and Above²	1	%

BBB	1	%

BB	39	%

B	41	%

CCC	17	%

Unrated	1	%
Total	100	%

ASSET ALLOCATION³


Investment Grade Corporate Bonds	3	%

High Yield Corporate Bonds	92	%

Common Stocks	3	%

Short-term Investments	2	%
Total	100	%

¹	Dividends may include net investment income, capital gains and/or return of capital. The dividend yield referenced above is calculated as the annualized amount of the most recent monthly dividend declared divided by the March 31, 2010 stock price.

²	Includes short-term investments.

³	Includes only invested assets; excludes cash.


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
INVESTMENT GRADE CORPORATE BONDS – 3.7%
Services Cyclical – 1.3%
Allied Waste North America Inc.² (Cost $491,930)	6.88	%	06/01/17	$	500	$	545,000

Telecommunications – 2.4%
Qwest Corp.² (Cost $716,398)	6.88		09/15/33		1,000		965,000
Total INVESTMENT GRADE CORPORATE BONDS (Cost $1,208,328)							1,510,000
HIGH YIELD CORPORATE BONDS – 123.6%
Basic Industry – 19.8%
AK Steel Corp.²	7.75		06/15/12		1,025		1,030,125
Appleton Papers Inc.^3,4	10.50		06/15/15		275		273,625
Arch Western Finance LLC²	6.75		07/01/13		750		752,812
Cascades Inc.^3,4	7.75		12/15/17		150		151,125
Domtar Corp.²	10.75		06/01/17		500		607,500
Edgen Murray Corp.^3,4	12.25		01/15/15		550		514,937
Freeport McMoRan Copper & Gold²	8.38		04/01/17		750		834,375
Georgia-Pacific LLC	7.25		06/01/28		240		237,600
Georgia-Pacific LLC²	7.38		12/01/25		285		283,575
Millar Western Forest Products Limited	7.75		11/15/13		525		447,563
Solutia Inc.	8.75		11/01/17		250		263,750
Steel Dynamics Inc.²	6.75		04/01/15		500		503,750
U.S. Steel Corp.²	7.00		02/01/18		1,150		1,132,750
Verso Paper Holdings LLC / Verso Paper Inc.^3,4	11.50		07/01/14		525		567,000
Westlake Chemical Corp.²	6.63		01/15/16		500		487,500

Total Basic Industry (Cost $7,176,891)							8,087,987

Capital Goods – 14.4%
BE Aerospace Inc.	8.50		07/01/18		550		587,125
CNH America LLC.²	7.25		01/15/16		500		507,500
Crown Americas LLC²	7.75		11/15/15		225		234,000
L-3 Communications Corp.²	6.13		01/15/14		1,000		1,017,500
Mueller Water Products Inc.	7.38		06/01/17		750		676,875
Owens-Illinois Inc.	7.80		05/15/18		475		490,438
Solo Cup Co./Solo Cup Operating Corp.	10.50		11/01/13		500		527,500
Terex Corp.²	7.38		01/15/14		1,000		1,015,000
Terex Corp.	8.00		11/15/17		250		243,125
Texas Industries Inc.	7.25		07/15/13		315		309,488
Trimas Corp.^3,4	9.75		12/15/17		285		294,975

Total Capital Goods (Cost $5,648,783)							5,903,526

Consumer Cyclical – 25.3%
ACE Hardware Corp.^2,3,4	9.13		06/01/16		500		536,250
American Axle & Manufacturing Inc.	7.88		03/01/17		550		512,875

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Collective Brands Inc.	8.25	%	08/01/13	$	444	$	452,880
Couche-Tard U.S. LP	7.50		12/15/13		500		507,500
Easton-Bell Sports Inc.^3,4	9.75		12/01/16		525		552,562
FireKeepers Development Authority^3,4	13.88		05/01/15		500		578,750
Ford Motor Co.	6.50		08/01/18		525		498,750
GameStop Corp.²	8.00		10/01/12		500		518,750
Harrah’s Operating Escrow LLC/Harrah’s Escrow Corp.	11.25		06/01/17		500		538,750
KAR Auction Services Inc.	10.00		05/01/15		425		446,250
Levi Strauss & Co.	9.75		01/15/15		750		785,625
Limited Brands Inc.²	8.50		06/15/19		250		278,750
MGM Mirage, Inc.	5.88		02/27/14		550		463,375
Motors Liquidation Co.¹	7.13		07/15/13		250		91,250
MTR Gaming Group Inc.	12.63		07/15/14		525		518,438
Phillips-Van Heusen Corp.²	7.25		02/15/11		750		751,875
Seneca Gaming Corp.	7.25		05/01/12		550		543,125
Tenneco Inc.	8.63		11/15/14		500		507,500
The Neiman Marcus Group Inc.	10.38		10/15/15		525		542,063
TRW Automotive Inc.^3,4	7.25		03/15/17		725		699,625

Total Consumer Cyclical (Cost $9,481,118)							10,324,943

Consumer Non-Cyclical – 8.0%
ACCO Brands^3,4	10.63		03/15/15		250		273,125
B&G Foods Inc.	7.63		01/15/18		250		254,688
Bumble Bee Foods LLC^3,4	7.75		12/15/15		295		298,687
Constellation Brands Inc.²	7.25		05/15/17		875		896,875
Deluxe Corp.	7.38		06/01/15		500		500,000
Jarden Corp.	7.50		05/01/17		550		557,562
Rite Aid Corp.	8.63		03/01/15		550		470,250

Total Consumer Non-Cyclical (Cost $3,039,905)							3,251,187

Energy – 20.3%
Chesapeake Energy Corp.²	6.88		01/15/16		950		938,125
Consol Energy Inc.^3,4	8.25		04/01/20		250		256,875
Crosstex Energy/Crosstex Energy Finance Corp.^3,4	8.88		02/15/18		550		567,187
El Paso Corp.²	6.88		06/15/14		625		637,751
Frontier Oil Corp.²	6.63		10/01/11		750		755,625
Hercules Offshore LLC^3,4	10.50		10/15/17		525		523,688
Hexion Finance Escrow LLC / Hexion Escrow Corp.^3,4	8.88		02/01/18		400		394,000
Linn Energy LLC/Linn Energy Finance Corp.^3,4	8.63		04/15/20		160		160,200
McJunkin Red Man Corp.^3,4	9.50		12/15/16		525		536,156
Newfield Exploration Co.²	6.63		09/01/14		500		513,750
Niska Gas Storage US LLC/ Niska Gas Storage Canada ULC^3,4	8.88		03/15/18		230		235,175
Pioneer Natural Resource Co²	6.65		03/15/17		400		399,912
Quicksilver Resources Inc.	11.75		01/01/16		375		429,375
Range Resources Corp.²	7.50		05/15/16		500		515,000

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
SeaMetric International AS^1,3,4,5,7,8	11.63	%	05/25/12	$	718	$	7,184
SESI LLC	6.88		06/01/14		500		490,000
Southwestern Energy Co.²	7.50		02/01/18		500		542,500
Whiting Petroleum Corp.²	7.25		05/01/13		375		379,688

Total Energy (Cost $8,518,336)							8,282,191

Finance & Investment – 1.2%
Ford Motor Credit Company LLC (Cost $386,917)	7.00		10/01/13		475		491,500

Media – 6.8%
Cablevision Systems Corp.^2,3,4	8.63		09/15/17		750		793,125
Charter Communications Operating LLC^3,4,6	8.38		04/30/14		675		693,562
Lamar Media Corp.	6.63		08/15/15		400		388,500
Mediacom Broadband LLC	8.50		10/15/15		875		894,688

Total Media (Cost $2,584,086)							2,769,875

Services Cyclical – 8.5%
AMC Entertainment Inc.	8.75		06/01/19		800		840,000
ARAMARK Corp.	8.50		02/01/15		750		766,875
Iron Mountain Inc.²	8.75		07/15/18		575		602,312
RSC Equipment Rental Inc.	9.50		12/01/14		525		519,750
Teekay Corp.	8.50		01/15/20		250		261,250
United Rentals North America Inc.	9.25		12/15/19		500		510,000

Total Services Cyclical (Cost $3,369,369)							3,500,187

Services Non-Cyclical – 3.3%
HCA Inc.²	9.25		11/15/16		575		611,297
Service Corp. International²	6.75		04/01/16		750		735,000

Total Services Non-Cyclical (Cost $1,230,968)							1,346,297

Technology & Electronics – 4.5%
First Data Corp.	9.88		09/24/15		525		452,812
Flextronics International Limited²	6.25		11/15/14		488		494,100
Sungard Data Systems Inc.	10.25		08/15/15		850		893,563

Total Technology & Electronics (Cost $1,702,810)							1,840,475

Telecommunications – 11.5%
American Tower Corp.²	7.00		10/15/17		1,000		1,117,500
Cincinnati Bell Inc.	8.75		03/15/18		550		554,812
Frontier Communications Corp.	7.13		03/15/19		1,050		997,500
Global Crossing Limited^3,4	12.00		09/15/15		525		582,750
PAETEC Holding Corp.	9.50		07/15/15		500		506,250

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Windstream Corp.²	7.00	%	03/15/19	$	1,000	$	932,500

Total Telecommunications (Cost $4,471,901)							4,691,312
Total HIGH YIELD CORPORATE BONDS (Cost $47,611,084)							50,489,480

				Shares		Value (Note 2)
COMMON STOCKS – 4.6%
Consumer Products – 0.2%
B&G Foods Inc. (Cost $42,930)					5,555		58,216

Energy – 0.9%
Southern Union Co. (Cost $211,262)					14,625		371,036

Industrials – 1.4%
General Electric Co.					17,650		321,230
United States Steel Corp.					4,000		254,080

Total Industrials (Cost $424,873)							575,310

Telecommunications – 2.1%
AT&T Inc.					9,200		237,728
Frontier Communications Corp.					15,900		118,296
Qwest Communications International Inc.					25,000		130,500
Verizon Communications Inc.					7,680		238,234
Windstream Corp.					13,700		149,193

Total Telecommunications (Cost $915,162)							873,951
Total COMMON STOCKS (Cost $1,594,227)							1,878,513

	Interest Rate		Maturity	Principal Amount (000s)		Value
SHORT TERM INVESTMENT – 1.9%
State Street Euro Dollar Time Deposit (Cost $792,757)	0.01	%	04/01/10	$	793	$	792,757

Total Investments – 133.8% (Cost $51,206,396 )							54,670,750
Liabilities in Excess of Other Assets – (33.8)%							(13,818,472	)

NET ASSETS – 100.0 %						$	40,852,278

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS STRATEGIC INCOME FUND, INC.

OBJECTIVE & STRATEGY

Helios Strategic Income Fund, Inc. seeks a high level of current income. The Fund seeks capital growth as a secondary investment objective when consistent with its primary investment objective. The Fund invests in a diversified portfolio of securities that offers attractive yield and capital appreciation potential and consists primarily of debt securities and secondarily of equity securities. The Advisor will continually analyze the markets for income-producing securities and will periodically reallocate the Fund’s investments among various fixed-income and equity asset classes and between investment grade and below-investment grade debt securities to pursue its investment objectives. As a result, a majority of the Fund’s total assets may be invested in investment grade debt securities at some times and in below-investment grade debt securities at other times. The Fund invests in a wide range of debt securities, including corporate bonds, mortgage-backed and asset-backed securities, and municipal and foreign government obligations, as well as securities of companies in bankruptcy reorganization proceedings or otherwise in the process of debt restructuring. The Fund also invests in other securities providing the potential for high income or a combination of high income and capital growth. (Below-investment grade debt securities are rated Ba1 or lower by Moody’s Investors Service, Inc., BB+ or lower by Standard & Poor’s Ratings Group, comparably rated by another nationally recognized statistical rating organization or, if unrated, determined by the Fund’s investment advisor to be of comparable quality.) The Fund may use leverage through bank borrowings, reverse repurchase agreements or other transactions involving indebtedness or through the issuance of preferred shares. The Fund may leverage up to one third of its total assets (in each case including the amount borrowed.) The Fund may vary its use of leverage in response to changing market conditions.

Investment Risks: Investors in any bond fund should anticipate fluctuations in price. Bond prices and the value of bond funds decline as interest rates rise. Bonds with longer-term maturities generally are more vulnerable to interest rate risk than bonds with shorter-term maturities. Below-investment grade bonds involve greater credit downturn or period of rising interest rates could adversely affect the ability of issuers, especially issuers of below-investment grade debt, to service primary obligations and an unanticipated default could cause the Fund to experience a reduction in value of its shares. The Fund’s investments in mortgage-backed or asset-backed securities that are “subordinated” to other interests in the same pool may increase credit risk to the extent that the Fund, as a holder of those securities, may only receive payments after the pools’ obligations to other investors have been satisfied. Below-investment grade bonds are subject to greater price volatility and are less liquid, especially during periods of economic uncertainty or change, than higher-rated debt securities. The value of U.S. and foreign equity securities in which the Fund invests will change based on changes in a company’s financial condition and in overall market and economic conditions. Leverage creates an opportunity for an increased return to common stockholders, but unless the income and capital appreciation, if any, on securities acquired with leverage proceeds exceed the costs of the leverage, the use of leverage will diminish the net investment performance of the Fund’s shares. Use of leverage also may increase the likelihood that the net asset value of the Fund and market value of its common shares will be more volatile, and the yield and total return to common stockholders will tend to fluctuate more in response to changes in interest rates and creditworthiness.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

For the fiscal year ended March 31, 2010, Helios Strategic Income Fund, Inc. (NYSE: HSA) had a total return of 51.23%, which assumes the reinvestment of dividends and is exclusive of brokerage commissions. Based on the NYSE closing price of $5.46 on March 31, 2010, the Fund’s shares had a dividend yield of 8.79%. The dividend yield is calculated as the annualized amount of the reporting period’s most recent monthly dividend declared divided by the stated stock price.

The table below shows the Fund’s compound returns, based on published net asset values and market prices, for the periods noted as of March 31, 2010, compared with the Fund’s benchmark Index.


Helios Strategic Income Fund, Inc. (NYSE: HSA)	3 Months	6 Months	9 Months	12 Months
Fund — Net asset value return	3.11%	8.63%	22.37%	31.59%
Fund — Total return, including distributions^*	6.75%	15.18%	8.71%	51.23%
Barclays Capital U.S. Corporate High Yield Index	4.62%	11.10%	26.90%	56.18%

*	Exclusive of brokerage commissions


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.

HIGH YIELD MARKET ENVIRONMENT

Investor appetite for risk remained robust during the last 12 months, with CCCs returning 109.7% compared with the overall market which was up 57.2%.

As the high yield market recovered, many of the Fund’s holdings generated significant capital appreciation. The best performers included bonds of Firekeepers Development Authority and TRW Automotive as well as the common stock of U.S. Steel. Sungard Data Systems and TRW Automotive benefited from the reopening of credit markets. U.S. Steel rebounded as the prospect of a severe recession diminished. Importantly, our analysis indicated that each company retained balance sheet flexibility to withstand anticipated short-term weakness in the economy.


Brookfield Investment Management Inc.

HELIOS STRATEGIC INCOME FUND, INC.

OUTLOOK

¹ Performance numbers for the Merrill Lynch U.S. High Yield Master II Index, H0A0 retrieved from Bloomberg

² Merrill Lynch, “Situation Room: High Yield in 2010: Year Ahead Outlook,” December 28, 2009, p. 4

³ JP Morgan, High Yield Market Monitor, April 1, 2010, p. 14

⁴ Credit Suisse, “Leveraged Finance Strategy Update,” April 6, 2010, p. 10

Forward-Looking Information

Disclosure

The Fund’s portfolio holdings are subject to change without notice. The mention of specific securities is not a recommendation or solicitation for any person to buy, sell or hold any particular security. There is no assurance that the Helios Strategic Income Fund, Inc. currently holds these securities.

Performance data quoted represents past performance results and does not guarantee future results. Current performance may be lower or higher than the performance data quoted.


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.


Brookfield Investment Management Inc.

HELIOS STRATEGIC INCOME FUND, INC.

Portfolio Characteristics (Unaudited)

March 31, 2010

PORTFOLIO STATISTICS


Annualized dividend yield¹		8.79%

Weighted average coupon		10.52%

Average effective maturity		6.61 years

Percentage of leveraged assets		24.67%

Total number of holdings		96

CREDIT QUALITY


A and Above²	1	%

BBB	28	%

BB	27	%

B	31	%

CCC	12	%

Unrated	1	%
Total	100	%

ASSET ALLOCATION³


Investment Grade Corporate Bonds	26	%

High Yield Corporate Bonds	67	%

Common Stocks	6	%

Short-term Investments	1	%
Total	100	%

¹	Dividends may include net investment income, capital gains and/or return of capital. The dividend yield referenced above is calculated as the annualized amount of the most recent monthly dividend declared divided by the March 31, 2010 stock price.

²	Includes short-term investments.

³	Includes only invested assets; excludes cash.


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
INVESTMENT GRADE CORPORATE BONDS – 33.7%
Basic Industry – 11.7%
Alcoa Inc.²	5.55	%	02/01/17	$	1,000	$	1,004,540
ArcelorMittal	6.13		06/01/18		500		524,854
Newmont Mining Corp.²	5.13		10/01/19		1,000		1,005,962
Packaging Corp of America²	5.75		08/01/13		500		532,051
The Dow Chemical Co.	5.70		05/15/18		1,000		1,037,363

Total Basic Industry (Cost $3,682,064)							4,104,770

Consumer Cyclical – 3.1%
Yum! Brands Inc.² (Cost $1,041,963)	8.88		04/15/11		1,000		1,072,488

Consumer Non-Cyclical – 10.8%
Altria Group Inc.²	9.70		11/10/18		1,000		1,229,629
Anheuser-Busch InBev Worldwide Inc.^2,3,4	7.75		01/15/19		1,000		1,189,382
Covidien International Finance SA²	6.00		10/15/17		500		548,322
CVS Caremark Corp.²	5.75		06/01/17		500		539,196
McKesson Corp.²	5.25		03/01/13		250		266,803

Total Consumer Non-Cyclical (Cost $3,396,783)							3,773,332

Industrials – 1.6%
Tyco Electronics Group S.A. (Cost $461,961)	6.55		10/01/17		500		550,093

Services Cyclical – 1.6%
Allied Waste North America Inc.² (Cost $491,930)	6.88		06/01/17		500		545,000

Telecommunications – 4.9%
Rogers Communications Inc.²	6.38		03/01/14		1,000		1,109,767
Time Warner Cable Inc.²	8.25		04/01/19		500		605,044

Total Telecommunications (Cost $1,483,137)							1,714,811
Total INVESTMENT GRADE CORPORATE BONDS (Cost $10,557,838)							11,760,494
HIGH YIELD CORPORATE BONDS – 87.1%
Basic Industry – 11.5%
AK Steel Corp.	7.75		06/15/12		600		603,000
Appleton Papers Inc.^3,4	10.50		06/15/15		240		238,800
Domtar Corp.	10.75		06/01/17		250		303,750
Edgen Murray Corp.^3,4	12.25		01/15/15		170		159,162
Freeport McMoRan Copper & Gold²	8.38		04/01/17		750		834,375
LBI Escrow Corp.^3,4	8.00		11/01/17		100		103,750
Millar Western Forest Products Limited	7.75		11/15/13		450		383,625
PE Paper Escrow GmbH^3,4	12.00		08/01/14		150		169,500
Solutia Inc.	8.75		11/01/17		250		263,750
Verso Paper Holdings LLC / Verso Paper Inc.^3,4	11.50		07/01/14		450		486,000
Westlake Chemical Corp.²	6.63		01/15/16		500		487,500

Total Basic Industry (Cost $3,765,287)							4,033,212

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS STRATEGIC INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Capital Goods – 9.5%
BE Aerospace Inc.	8.50	%	07/01/18	$	475	$	507,063
Bombardier Inc.^3,4	7.75		03/15/20		200		209,000
Crown Americas LLC	7.75		11/15/15		200		208,000
L-3 Communications Corp.²	6.13		01/15/14		500		508,750
Mueller Water Products Inc.	7.38		06/01/17		500		451,250
Owens-Illinois Inc.	7.80		05/15/18		400		413,000
Solo Cup Co./Solo Cup Operating Corp.	10.50		11/01/13		250		263,750
Terex Corp.²	7.38		01/15/14		500		507,500
Trimas Corp.^3,4	9.75		12/15/17		245		253,575

Total Capital Goods (Cost $3,199,051)							3,321,888

Consumer Cyclical – 16.9%
ACE Hardware Corp.^3,4	9.13		06/01/16		500		536,250
American Axle & Manufacturing Inc.	7.88		03/01/17		500		466,250
Collective Brands Inc.	8.25		08/01/13		222		226,440
Couche-Tard U.S. LP	7.50		12/15/13		475		482,125
FireKeepers Development Authority^3,4	13.88		05/01/15		500		578,750
Ford Motor Co.	6.50		08/01/18		450		427,500
Harrah’s Escrow LLC/Harrah’s Escrow Corp.	11.25		06/01/17		225		242,438
KAR Auction Services Inc.	10.00		05/01/15		375		393,750
MGM Mirage, Inc.	5.88		02/27/14		475		400,187
Motors Liquidation Co.¹	7.13		07/15/13		250		91,250
MTR Gaming Group Inc.	12.63		07/15/14		450		444,375
Pokagon Gaming Authority^3,4	10.38		06/15/14		500		525,000
Seneca Gaming Corp.	7.25		05/01/12		500		493,750
TRW Automotive Inc.^3,4	7.25		03/15/17		625		603,125

Total Consumer Cyclical (Cost $5,423,397)							5,911,190

Consumer Non-Cyclical – 4.0%
Constellation Brands Inc.²	7.25		05/15/17		500		512,500
Jarden Corp.	7.50		05/01/17		475		481,531
Rite Aid Corp.	8.63		03/01/15		475		406,125

Total Consumer Non-Cyclical (Cost $1,240,744)							1,400,156

Energy – 19.1%
Chesapeake Energy Corp.²	6.88		01/15/16		750		740,625
Crosstex Energy/Crosstex Energy Finance Corp.^3,4	8.88		02/15/18		475		489,844
El Paso Corp.	6.88		06/15/14		625		637,751
Hercules Offshore LLC^3,4	10.50		10/15/17		450		448,875
Hexion Finance Escrow LLC / Hexion Escrow Corp.^3,4	8.88		02/01/18		345		339,825
McJunkin Red Man Corp.^3,4	9.50		12/15/16		450		459,562
Linn Energy LLC/Linn Energy Finance Corp.^3,4	8.63		04/15/20		140		140,175
Newfield Exploration Co.²	6.63		09/01/14		500		513,750
Niska Gas Storage US LLC/Niska Gas Storage Canada ULC^3,4	8.88		03/15/18		200		204,500
Quicksilver Resources Inc.	11.75		01/01/16		325		372,125

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
HIGH YIELD CORPORATE BONDS (continued)
Range Resources Corp.²	7.50	%	05/15/16	$	500	$	515,000
SeaMetric International AS^1,3,4,5,7,8	11.63		05/25/12		1,347		13,469
SESI LLC	6.88		06/01/14		425		416,500
The Williams Companies Inc. Credit Linked Certificate Trust V^2,3,4	6.38		10/01/10		1,035		1,054,130
Whiting Petroleum Corp.²	7.25		05/01/13		325		329,063

Total Energy (Cost $7,687,056)							6,675,194

Finance & Investment – 0.7%
Ford Motor Credit Company LLC (Cost $242,014)	7.00		10/01/13		250		258,684

Media – 4.0%
Charter Communications Operating LLC^3,4,6	8.38		04/30/14		525		539,438
Lamar Media Corp.	6.63		08/15/15		350		339,937
Mediacom Broadband LLC	8.50		10/15/15		500		511,250

Total Media (Cost $1,252,849)							1,390,625

Services Cyclical – 6.2%
AMC Entertainment Inc.	8.75		06/01/19		600		630,000
ARAMARK Corp.	8.50		02/01/15		500		511,250
Iron Mountain Inc.²	8.75		07/15/18		500		523,750
United Rentals North America Inc.	9.25		12/15/19		500		510,000

Total Services Cyclical (Cost $2,079,811)							2,175,000

Services Non-Cyclical – 1.5%
HCA Inc. (Cost $513,238)	9.25		11/15/16		500		531,562

Technology & Electronics – 3.0%
First Data Corp.	9.88		09/24/15		450		388,125
Sungard Data Systems Inc.	10.25		08/15/15		625		657,031

Total Technology & Electronics (Cost $1,043,386)							1,045,156

Telecommunications – 10.7%
American Tower Corp.²	7.00		10/15/17		1,000		1,117,500
Frontier Communications Corp.	7.13		03/15/19		900		855,000
Global Crossing Limited^3,4	12.00		09/15/15		450		499,500
PAETEC Holding Corp.	9.50		07/15/15		500		506,250
TW Telecom Holdings Inc.^3,4	8.00		03/01/18		285		291,412
Windstream Corp.²	7.00		03/15/19		500		466,250

Total Telecommunications (Cost $3,536,150)							3,735,912
Total HIGH YIELD CORPORATE BONDS (Cost $29,982,983)							30,478,579

See Notes to Portfolio of Investments and Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS STRATEGIC INCOME FUND, INC.

Portfolio of Investments

March 31, 2010


				Shares		Value (Note 2)
COMMON STOCKS – 8.3%
Consumer Products – 0.1%
B&G Foods Inc. (Cost $37,874)					4,900	$	51,352

Energy – 1.0%
Southern Union Co. (Cost $189,498)					13,300		337,421

Industrials – 2.5%
General Electric Co.					20,850		379,470
United States Steel Corp.					7,700		489,104

Total Industrials (Cost $582,111)							868,574

Telecommunications – 4.7%
AT&T Inc.					16,225		419,254
Frontier Communications Corp.					39,500		293,880
Global Crossing Limited					9,000		136,350
PAETEC Holding Corp.					15,000		70,200
Qwest Communications International Inc.					47,800		249,516
Verizon Communications Inc.					7,000		217,140
Windstream Corp.					23,250		253,193

Total Telecommunications (Cost $1,649,039)							1,639,533
Total COMMON STOCKS (Cost $2,458,522)							2,896,880

	Interest Rate		Maturity	Principal Amount (000s)		Value (Note 2)
SHORT TERM INVESTMENT – 0.4%
State Street Euro Dollar Time Deposit (Cost $159,909)	0.01	%	04/01/10	$	160	$	159,909

Total Investments – 129.5% (Cost $43,159,252)						$	45,295,862
Liabilities in Excess of Other Assets – (29.5)%							(10,326,071	)

NET ASSETS – 100.0%						$	34,969,791

See Notes to Portfolio of Investments and Notes to Financial Statements.


		2010 Annual Report

HELIOS FUNDS

Notes to Portfolios of Investments

March 31, 2010

The following notes should be read in conjunction with the accompanying Portfolios of Investments.


1	—	Issuer is currently in default on its regularly scheduled interest payment.
2	—	Portion or entire principal amount delivered as collateral for reverse repurchase agreement (Note 6).
3	—	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. As of March 31, 2010, the total values of all such investments were as follows:


Fund	Value		% of Net Assets
Helios Advantage Income Fund, Inc.	$	13,060,273	26.64	%
Helios High Income Fund, Inc.		9,299,905	25.11
Helios Multi-Sector High Income Fund, Inc.		9,490,563	23.23
Helios Strategic Income Fund, Inc.		9,533,024	27.26


4	—	Private Placement.
5	—	Security is valued in good faith pursuant to the fair value procedures adopted by the Board of Directors. As of March 31, 2010, the total values of all such securities were as follows:


Fund	Value		% of Net Assets
Helios Advantage Income Fund, Inc	$	15,265	0.03	%
Helios Multi-Sector High Income Fund, Inc		7,184	0.02
Helios Strategic Income Fund, Inc		13,469	0.04


6		—		Company filed for Chapter 11 bankruptcy protection and has defaulted on regularly scheduled interest payments on subordinated debt. The Funds own senior debt issued by this company that continues to receive income payments.


7		—		Restricted Illiquid Security – Security is not actively traded and would be difficult to sell in a current sale thus causing it to be not readily convertible into cash. The details of the acquisition of this security is as follows:


Fund	Acquisition Date	Cost		Value as a % of Net Assets
Helios Advantage Income Fund, Inc.	05/02/07	$	1,519,115	0.03	%
Helios Multi-Sector High Income Fund, Inc.	05/02/07		713,501	0.02
Helios Strategic Income Fund, Inc.	05/02/07		1,340,377	0.04


8		—		Company announced a three month postponement of the interest payment due November 25, 2009 until February 25, 2010. The company also announced as compensation for the postponed interest payment a postponement fee which was converted into new SeaMetric shares. On February 24, 2010, the Company announced it had entered bankruptcy proceedings and defaulted on its February 25, 2010 and November 25, 2009 interest payments.

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS FUNDS

Statements of Assets and Liabilities

March 31, 2010


	Helios Advantage Income Fund, Inc.			Helios High Income Fund, Inc.			Helios Multi- Sector High Income Fund, Inc.			Helios Strategic Income Fund, Inc.
Assets:
Investments in securities, at value (Note 2)	$	65,917,319		$	47,915,447		$	53,877,993		$	45,135,953
Investment in time deposit, at value		829,984			750,985			792,757			159,909

Total investments		66,747,303			48,666,432			54,670,750			45,295,862
Net receivable from advisor (Note 4)		16,159			20,619			4,250			15,191
Interest and dividends receivable		1,355,832			993,610			1,101,707			927,519
Receivable for investments sold		—			—			—			616,890
Prepaid expenses		32,937			35,368			28,020			27,926

Total assets		68,152,231			49,716,029			55,804,727			46,883,388


Liabilities:
Reverse repurchase agreements (Note 6)		18,331,164			12,426,084			14,431,220			11,567,902
Interest payable for reverse repurchase agreements (Note 6)		20,237			13,580			15,864			13,056
Payable for investments purchased		681,554			141,450			406,083			236,573
Administration fee payable (Note 4)		6,244			4,685			5,182			4,466
Accrued expenses		96,260			90,000			94,100			91,600

Total liabilities		19,135,459			12,675,799			14,952,449			11,913,597

Net Assets	$	49,016,772		$	37,040,230		$	40,852,278		$	34,969,791


Composition of Net Assets:
Capital stock, at par value ($0.0001 par value, 1,000,000,000 shares authorized) (Note 8)	$	654		$	484		$	759		$	593
Additional paid-in capital (Note 8)		455,659,089			338,156,826			493,833,641			402,301,696
Accumulated net realized loss on investment transactions		(410,121,450	)		(304,731,521	)		(456,446,476	)		(369,469,108	)
Net unrealized appreciation on investments		3,478,479			3,614,441			3,464,354			2,136,610

Net assets applicable to capital stock outstanding	$	49,016,772		$	37,040,230		$	40,852,278		$	34,969,791


Total investments at cost	$	63,268,824		$	45,051,991		$	51,206,396		$	43,159,252


Shares Outstanding and Net Asset Value Per Share:
Common shares outstanding		6,536,547			4,836,284			7,588,538			5,930,400
Net asset value per share	$	7.50		$	7.66		$	5.38		$	5.90

See Notes to Financial Statements.


		2010 Annual Report

HELIOS FUNDS

Statements of Operations

For the Fiscal Year Ended March 31, 2010


	Helios Advantage Income Fund, Inc.			Helios High Income Fund, Inc.			Helios Multi- Sector High Income Fund, Inc.			Helios Strategic Income Fund, Inc.
Investment Income (Note 2):
Interest	$	5,347,177		$	4,007,307		$	4,399,979		$	3,448,276
Dividends		110,095			74,547			90,690			107,307

Total investment income		5,457,272			4,081,854			4,490,669			3,555,583


Expenses:
Investment advisory fees (Note 4)		395,786			290,833			324,364			278,607
Administration fees (Note 4)		94,673			70,453			78,191			67,632
Legal fees		103,526			27,863			30,594			25,479
Custodian		100,618			100,256			100,508			97,475
Insurance		93,503			72,090			85,624			71,763
Reports to stockholders		57,313			47,999			54,179			53,328
Directors’ fees		47,250			47,250			47,250			47,250
Audit and tax services		44,000			44,000			44,000			44,000
Registration fees		38,750			38,750			38,750			38,750
Transfer agent fees		32,013			33,179			31,592			32,475
Miscellaneous		11,988			10,452			12,118			11,867

Total operating expenses		1,019,420			783,125			847,170			768,626
Interest expense on reverse repurchase agreements (Note 6)		239,560			169,749			193,920			155,350

Total expenses		1,258,980			952,874			1,041,090			923,976
Less expenses waived and reimbursed by the investment advisor (Note 4)		(374,959	)		(337,154	)		(353,979	)		(341,483	)

Net expenses		884,021			615,720			687,111			582,493

Net investment income		4,573,251			3,466,134			3,803,558			2,973,090


Net Realized and Unrealized Gain (Loss) on Investments (Note 2):
Net realized loss on investment transactions		(15,158,570	)		(11,172,746	)		(16,564,235	)		(14,285,712	)
Net change in unrealized appreciation (depreciation) on investments		24,122,239			18,402,142			24,138,210			20,159,035

Net realized and unrealized gain on investments		8,963,669			7,229,396			7,573,975			5,873,323

Net increase in net assets resulting from operations	$	13,536,920		$	10,695,530		$	11,377,533		$	8,846,413

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS FUNDS

Statements of Changes in Net Assets

For the Fiscal Year Ended March 31, 2010


	Helios Advantage Income Fund, Inc.			Helios High Income Fund, Inc.
Increase (Decrease) in Net Assets Resulting from Operations:
Net investment income	$	4,573,251		$	3,466,134
Net realized loss on investment transactions		(15,158,570	)		(11,172,746	)
Net change in unrealized appreciation (depreciation) on investments		24,122,239			18,402,142

Net increase (decrease) in net assets resulting from operations		13,536,920			10,695,530


Dividends and Distributions to Stockholders (Note 2):
Net investment income		(4,573,251	)		(3,466,134	)
Return of capital		(623,304	)		(378,712	)

Total dividends and distributions paid		(5,196,555	)		(3,844,846	)


Capital Stock Transactions (Note 8):
Reinvestment of dividends and distributions		—			—

Total increase (decrease) in net assets		8,340,365			6,850,684

Net Assets:
Beginning of year		40,676,407			30,189,546

End of year	$	49,016,772		$	37,040,230

(including distributions in excess of net investment income of)	$	—		$	—


Share Transactions (Note 7):*
Reinvested shares		—			—

*	Share amounts have been adjusted to reflect the 1:5 reverse stock split that occurred effective September 1, 2009.

See Notes to Financial Statements.


		2010 Annual Report

HELIOS FUNDS

Statements of Changes in Net Assets (continued)

For the Fiscal Year Ended March 31, 2010


	Helios Multi-Sector High Income Fund, Inc.			Helios Strategic Income Fund, Inc.
Increase (Decrease) in Net Assets Resulting from Operations:
Net investment income	$	3,803,558		$	2,973,090
Net realized loss on investment transactions		(16,564,235	)		(14,285,712	)
Net change in unrealized appreciation (depreciation) on investments		24,138,210			20,159,035

Net increase (decrease) in net assets resulting from operations		11,377,533			8,846,413


Dividends and Distributions to Stockholders (Note 2):
Net investment income		(3,803,558	)		(2,973,090	)
Return of capital		(217,600	)		(903,507	)

Total dividends and distributions paid		(4,021,158	)		(3,876,597	)


Capital Stock Transactions (Note 8):
Reinvestment of dividends and distributions		35,678			184,471

Total increase (decrease) in net assets		7,392,053			5,154,287

Net Assets:
Beginning of year		33,460,225			29,815,504

End of year	$	40,852,278		$	34,969,791

(including distributions in excess of net investment income of)	$	—		$	—


Share Transactions (Note 7):*
Reinvested shares		7,672			35,186

*	Share amounts have been adjusted to reflect the 1:5 reverse stock split that occurred effective September 1, 2009.

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

Statement of Cash Flows

For the Fiscal Year Ended March 31, 2010


Increase (Decrease) in Cash:

Cash flows provided by (used for) operating activities:
Net increase in net assets resulting from operations	$	13,536,920
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:
Purchases of long-term portfolio investments		(44,295,457	)
Proceeds from disposition of long-term portfolio investments		26,498,076
Purchases of short-term portfolio investments, net		(371,754	)
Increase in interest and dividends receivable		(336,078	)
Decrease in receivable for investments sold		877,998
Decrease in prepaid expenses		21,898
Increase in interest payable for reverse repurchase agreements		20,237
Increase in payable for investments purchased		485,769
Decrease in receivable from advisor		30,963
Increase in administration fee payable		786
Increase in accrued expenses		12,909
Net amortization on investments		(653,308	)
Unrealized appreciation on investments		(24,122,239	)
Net realized loss on investment transactions		15,158,570


Net cash used for operating activities		(13,134,710	)


Cash flows provided by (used for) financing activities:
Net cash provided by reverse repurchase agreements		18,331,164
Dividends and distributions paid to stockholders, net of reinvestments		(5,196,555	)

Net cash provided by financing activities		13,134,609


Net decrease in cash		(101	)
Cash at beginning of year		101

Cash at end of year	$	—


Supplemental Disclosure of Cash Flow Information:

Interest payments for the year ended March 31, 2010, totaled $219,323.

See Notes to Financial Statements.


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.

Statement of Cash Flows

For the Fiscal Year Ended March 31, 2010


Increase (Decrease) in Cash:

Cash flows provided by (used for) operating activities:
Net increase in net assets resulting from operations	$	10,695,530
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:
Purchases of long-term portfolio investments		(32,260,058	)
Proceeds from disposition of long-term portfolio investments		20,488,087
Sales of short-term portfolio investments, net		476,847
Increase in interest and dividends receivable		(266,647	)
Decrease in receivable for investments sold		3,851
Decrease in prepaid expenses		18,613
Increase in interest payable for reverse repurchase agreements		13,580
Decrease in payable for investments purchased		(54,335	)
Decrease in receivable from advisor		14,444
Increase in administration fee payable		558
Increase in accrued expenses		13,050
Net amortization on investments		(495,463	)
Unrealized appreciation on investments		(18,402,142	)
Net realized loss on investment transactions		11,172,746


Net cash used for operating activities		(8,581,339	)


Cash flows provided by (used for) financing activities:
Net cash provided by reverse repurchase agreements		12,426,084
Dividends and distributions paid to stockholders		(3,844,846	)

Net cash provided by financing activities		8,581,238


Net decrease in cash		(101	)
Cash at beginning of year		101

Cash at end of year	$	—


Supplemental Disclosure of Cash Flow Information:

Interest payments for the year ended March 31, 2010, totaled $156,169.

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Statement of Cash Flows

For the Fiscal Year Ended March 31, 2010


Increase (Decrease) in Cash:

Cash flows provided by (used for) operating activities:
Net increase in net assets resulting from operations	$	11,377,533
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:
Purchases of long-term portfolio investments		(37,869,828	)
Proceeds from disposition of long-term portfolio investments		23,471,781
Sales of short-term portfolio investments, net		658,935
Increase in interest and dividends receivable		(303,391	)
Decrease in receivable for investments sold		438,998
Decrease in prepaid expenses		26,458
Increase in interest payable for reverse repurchase agreements		15,431
Decrease in payable for investments purchased		(43,070	)
Decrease in receivable from the advisor		50,295
Increase in administration fee payable		632
Increase in accrued expenses		14,850
Net amortization on investments		(560,489	)
Unrealized appreciation on investments		(24,138,210	)
Net realized loss on investment transactions		16,564,235


Net cash used for operating activities		(10,295,840	)


Cash flows provided by (used for) financing activities:
Net cash provided by reverse repurchase agreements		14,281,220
Dividends and distributions paid to stockholders, net of reinvestments		(3,985,480	)

Net cash provided by financing activities		10,295,740


Net decrease in cash		(100	)
Cash at beginning of year		100

Cash at end of year	$	—


Supplemental Disclosure of Cash Flow Information:

Interest payments for the year ended March 31, 2010, totaled $178,489.

Non-cash financing activities included reinvestment of dividends of $35,678.

See Notes to Financial Statements.


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.

Statement of Cash Flows

For the Fiscal Year Ended March 31, 2010


Increase (Decrease) in Cash:

Cash flows provided by (used for) operating activities:
Net increase in net assets resulting from operations	$	8,846,413
Adjustments to reconcile net increase in net assets resulting from operations to net cash used for operating activities:
Purchases of long-term portfolio investments		(30,510,567	)
Proceeds from disposition of long-term portfolio investments		17,714,662
Sales of short-term portfolio investments, net		1,908,741
Increase in interest and dividends receivable		(238,986	)
Decrease in receivable for investments sold		268,314
Decrease in prepaid expenses		20,488
Increase in interest payable for reverse repurchase agreements		13,056
Increase in payable for investments purchased		236,573
Decrease in receivable from advisor		29,198
Increase in administration fee payable		348
Increase in accrued expenses		11,850
Net amortization on investments		(302,644	)
Unrealized appreciation on investments		(20,159,035	)
Net realized loss on investment transactions		14,285,712


Net cash used for operating activities		(7,875,877	)


Cash flows provided by (used for) financing activities:
Net cash provided by reverse repurchase agreements		11,567,902
Dividends and distributions paid to stockholders, net of reinvestments		(3,692,126	)

Net cash provided by financing activities		7,875,776


Net decrease in cash		(101	)
Cash at beginning of year		101

Cash at end of year	$	—


Supplemental Disclosure of Cash Flow Information:

Interest payments for the year ended March 31, 2010, totaled $142,294.

Non-cash financing activities included reinvestment of dividends of $184,471.

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS ADVANTAGE INCOME FUND, INC.

Financial Highlights


	For the Fiscal Year Ended March 31, 2010
Per Share Operating Performance:
Net asset value, beginning of year	$	6.20	¹

Net investment income		0.70
Net realized and unrealized gain (loss) on investment transactions		1.40

Net increase (decrease) in net asset value resulting from operations		2.10

Dividends from net investment income		(0.70	)
Distributions from net realized gains		—
Return of capital distributions		(0.10	)

Total dividends and distributions paid		(0.80	)

Net asset value, end of year	$	7.50

Market price, end of year	$	7.00

Total Investment Return^†		58.73	%

Ratios to Average Net Assets/ Supplementary Data:
Net assets, end of year (000s)	$	49,017
Gross operating expenses		2.22	%
Interest expense		0.52	%
Total expenses		2.74	%
Net expenses, including fee waivers and reimbursement and excluding interest expense and extraordinary expenses		1.40	%
Net investment income		9.97	%
Net investment income, excluding the effect of fee waivers and reimbursement		9.15	%
Portfolio turnover rate		45	%

^†	Total investment return is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan.

¹	The Fund had a 1:5 reverse stock split with ex-dividend and payable dates of August 31, 2009 and September 1, 2009 respectively. Beginning net asset value per share has been restated to reflect the impact of the reverse stock split. (See Note 7)

See Notes to Financial Statements.


		2010 Annual Report

HELIOS HIGH INCOME FUND, INC.

Financial Highlights


	For the Fiscal Year Ended March 31, 2010
Per Share Operating Performance:
Net asset value, beginning of year	$	6.25	¹

Net investment income		0.72
Net realized and unrealized gain (loss) on investment transactions		1.49

Net increase (decrease) in net asset value resulting from operations		2.21

Dividends from net investment income		(0.72	)
Distributions from net realized gains		—
Return of capital distributions		(0.08	)

Total dividends and distributions paid		(0.80	)

Net asset value, end of year	$	7.66

Market price, end of year	$	7.19

Total Investment Return^†		64.29	%

Ratios to Average Net Assets/ Supplementary Data:
Net assets, end of year (000s)	$	37,040
Gross operating expenses		2.28	%
Interest expense		0.49	%
Total expenses		2.77	%
Net expenses, including fee waivers and reimbursement and excluding interest expense		1.30	%
Net investment income		10.10	%
Net investment income, excluding the effect of fee waivers and reimbursement		9.12	%
Portfolio turnover rate		48	%

^†	Total investment return is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan.

¹	The Fund had a 1:5 reverse stock split with ex-dividend and payable dates of August 31, 2009 and September 1, 2009 respectively. Beginning net asset value per share has been restated to reflect the impact of the reverse stock split. (See Note 7)

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS MULTI-SECTOR HIGH INCOME FUND, INC.

Financial Highlights


	For the Fiscal Year Ended March 31, 2010
Per Share Operating Performance:
Net asset value, beginning of year	$	4.40	¹

Net investment income		0.50
Net realized and unrealized gain (loss) on investment transactions		1.01

Net increase (decrease) in net asset value resulting from operations		1.51

Dividends from net investment income		(0.50	)
Distributions from net realized gains		—
Return of capital distributions		(0.03	)

Total dividends and distributions paid		(0.53	)

Offering costs charged to additional paid-in capital		—

Net asset value, end of year	$	5.38

Market price, end of year	$	5.00

Total Investment Return^†		58.59	%

Ratios to Average Net Assets/Supplementary Data:
Net assets, end of year (000s)	$	40,852
Gross operating expenses		2.23	%
Interest expense		0.51	%
Total expenses		2.74	%
Net expenses, including fee waivers and reimbursement and excluding interest expense		1.30	%
Net investment income		10.03	%
Net investment income, excluding the effect of fee waivers and reimbursement		9.10	%
Portfolio turnover rate		49	%

^†	Total investment return is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan.

¹	The Fund had a 1:5 reverse stock split with ex-dividend and payable dates of August 31, 2009 and September 1, 2009 respectively. Beginning net asset value per share has been restated to reflect the impact of the reverse stock split. (See Note 7)

See Notes to Financial Statements.


		2010 Annual Report

HELIOS STRATEGIC INCOME FUND, INC.

Financial Highlights


	For the Fiscal Year Ended March 31, 2010
Per Share Operating Performance:
Net asset value, beginning of year	$	5.05	¹

Net investment income		0.51
Net realized and unrealized gain (loss) on investment transactions		1.00

Net increase (decrease) in net asset value resulting from operations		1.51

Dividends from net investment income		(0.51	)
Distributions from net realized gains		—
Return of capital distributions		(0.15	)

Total dividends and distributions paid		(0.66	)

Net asset value, end of year	$	5.90

Market price, end of year	$	5.46

Total Investment Return^†		51.23	%

Ratios to Average Net Assets/Supplementary Data:
Net assets, end of year (000s)	$	34,970
Gross operating expenses		2.34	%
Interest expense		0.47	%
Total expenses		2.81	%
Net expenses, including fee waivers and reimbursement and excluding interest expense		1.30	%
Net investment income		9.05	%
Net investment income, excluding the effect of fee waivers and reimbursement		8.02	%
Portfolio turnover rate		43	%

^†	Total investment return is computed based upon the New York Stock Exchange market price of the Fund’s shares and excludes the effect of brokerage commissions. Dividends and distributions are assumed to be reinvested at the prices obtained under the Fund’s dividend reinvestment plan.

¹	The Fund had a 1:5 reverse stock split with ex-dividend and payable dates of August 31, 2009 and September 1, 2009 respectively. Beginning net asset value per share has been restated to reflect the impact of the reverse stock split. (See Note 7)

See Notes to Financial Statements.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

1. Organization

Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. (each a “Fund” and, collectively, the “Funds” or the “Helios Funds”) were organized as separate Maryland corporations on September 7, 2004, April 16, 2003, November 14, 2005 and January 16, 2004, respectively. Each Fund is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a diversified, closed-end management investment company with its own investment objective.

Effective July 29, 2008, Brookfield Investment Management Inc. (the “Advisor”), a registered investment advisor and wholly-owned subsidiary of Brookfield Asset Management Inc., became the investment advisor to the Funds. Prior to July 29, 2008, Morgan Asset Management, Inc. served as investment advisor to the Funds.

Each Fund’s primary investment objective is to seek a high level of current income with capital growth as a secondary investment objective.

2. Significant Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Valuation of Investments: Debt securities, including U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities, and unlisted securities and private placement securities, are generally valued at the latest price furnished by an independent pricing service or, if not valued by an independent pricing service, using prices obtained from at least two active and reliable market makers in any such security. A security may, however, be priced using a quote obtained from a single active market maker, as the case may be. Short-term debt securities with remaining maturities of sixty days or less are valued at cost with interest accrued or discount accreted to the date of maturity, unless such valuation, in the judgment of the Advisor’s Valuation Committee, does not represent fair market value.

Investments in equity securities listed or traded on any securities exchange or traded in the over-the-counter market are valued at the last quoted price as of the close of business on the valuation date. Equity securities for which no sales were reported for that date are valued at “fair value” as determined in good faith by the Advisor’s Valuation Committee. Investments in open-end registered investment companies, if any, are valued at the net asset value (“NAV”) as reported by those investment companies.

When price quotations for certain securities are not readily available, or if the available quotations are not believed to be reflective of market value by the Advisor, those securities will be valued at “fair value” as determined in good faith by the Advisor’s Valuation Committee using procedures adopted by, and under the supervision of each Fund’s Board of Directors. There can be no assurance that a Fund could purchase or sell a portfolio security at the price used to calculate a Fund’s NAV.

Fair valuation procedures may be used to value a substantial portion of the assets of the Funds. A Fund may use the fair value of a security to calculate its NAV when, for example, (1) a portfolio security is not traded in a public market or the principal market in which the security trades is closed, (2) trading in a portfolio security is suspended and not resumed prior to the normal market close, (3) a portfolio security is not traded in significant volume for a substantial period, or (4) the Advisor determines that the quotation or price for a portfolio security provided by an independent pricing service, or other source(s) of information for securities valuations (including, but not limited to, broker-dealers, Bloomberg or Reuters) is inaccurate.


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

The “fair value” of securities may be difficult to determine and thus judgment plays a greater role in the valuation process. The fair valuation methodology may include or consider, among other things, the following factors, as appropriate: (1) evaluation of all relevant factors, including but not limited to, pricing history, current market level, supply and demand of the respective security; (2) comparison to the values and current pricing of securities that have comparable characteristics; (3) knowledge of historical market information with respect to the security; (4) other factors relevant to the security which would include, but not be limited to, duration, yield, fundamental analytical data, the Treasury yield curve, and credit quality.

The values assigned to fair valued investments are based on available information and do not necessarily represent amounts that might ultimately be realized, since such amounts depend on future developments inherent in long-term investments. Changes in the fair valuation of portfolio securities may be less frequent and of greater magnitude than changes in the price of portfolio securities valued at their last sale price, by an independent pricing service, or based on market quotations. Imprecision in estimating fair value can also impact the amount of unrealized appreciation or depreciation recorded for a particular portfolio security and differences in the assumptions used could result in a different determination of fair value, and those differences could be material.

The Funds have established methods of fair value measurements in accordance with GAAP. Fair value denotes the price that a Fund would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.


•	Level 1 -	quoted prices in active markets for identical investments
•	Level 2 -	quoted prices in markets that are not active or other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•	Level 3 -	significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used as of March 31, 2010 in valuing the Funds’ investments carried at fair value:


Helios Advantage Income Fund, Inc.
Valuation Inputs	Investment Grade Corporate Bonds		High Yield Corporate Bonds		Common Stocks		Short Term Investments		Total
Level 1 — Quoted Prices	$	—	$	—	$	2,243,341	$	—	$	2,243,341
Level 2 — Quoted Prices in Inactive Markets or Other Significant Observable Inputs		2,580,287		42,524,056		—		829,984		45,934,327
Level 3 — Significant Unobservable Inputs		—		18,569,635		—		—		18,569,635

Total	$	2,580,287	$	61,093,691	$	2,243,341	$	829,984	$	66,747,303


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010


Helios High Income Fund, Inc.
Valuation Inputs	Investment Grade Corporate Bonds		High Yield Corporate Bonds		Common Stocks		Short Term Investments		Total
Level 1 — Quoted Prices	$	—	$	—	$	1,499,337	$	—	$	1,499,337
Level 2 — Quoted Prices in Inactive Markets or Other Significant Observable Inputs		1,727,125		30,806,391		—		750,985		33,284,501
Level 3 — Significant Unobservable Inputs		—		13,882,594		—		—		13,882,594

Total	$	1,727,125	$	44,688,985	$	1,499,337	$	750,985	$	48,666,432


Helios Multi-Sector High Income Fund, Inc.
Valuation Inputs	Investment Grade Corporate Bonds		High Yield Corporate Bonds		Common Stocks		Short Term Investments		Total
Level 1 — Quoted Prices	$	—	$	—	$	1,878,513	$	—	$	1,878,513
Level 2 — Quoted Prices in Inactive Markets or Other Significant Observable Inputs		1,510,000		35,970,290		—		792,757		38,273,047
Level 3 — Significant Unobservable Inputs		—		14,519,190		—		—		14,519,190

Total	$	1,510,000	$	50,489,480	$	1,878,513	$	792,757	$	54,670,750


Helios Strategic Income Fund, Inc.
Valuation Inputs	Investment Grade Corporate Bonds		High Yield Corporate Bonds		Common Stocks		Short Term Investments		Total
Level 1 — Quoted Prices	$	—	$	—	$	2,896,880	$	—	$	2,896,880
Level 2 — Quoted Prices in Inactive Markets or Other Significant Observable Inputs		11,760,494		19,060,000		—		159,909		30,980,403
Level 3 — Significant Unobservable Inputs		—		11,418,579		—		—		11,418,579

Total	$	11,760,494	$	30,478,579	$	2,896,880	$	159,909	$	45,295,862

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:


Helios Advantage Income Fund, Inc.
Investments in Securities	Asset- Backed Securities			Mortgage- Backed Securities			High Yield Corporate Bonds			Common Stocks			Total
Balance as of March 31, 2009	$	1,533,000		$	50,462		$	12,162,356		$	164,002		$	13,909,820
Accrued Discounts		477			—			131,047			—			131,524
Realized Loss		(11,071,713	)		(1,610,899	)		(775,794	)		(3,045,727	)		(16,504,133	)
Change in Unrealized Appreciation (Depreciation)		10,909,636			1,569,129			2,718,638			2,958,849			18,156,252
Net Purchases (Sales)		(1,371,400	)		(8,692	)		8,829,074			(77,124	)		7,371,858
Net transfers out of Level 3		—			—			(4,495,686	)		—			(4,495,686	)

Balance as of March 31, 2010	$	—		$	—		$	18,569,635		$	—		$	18,569,635

Change in unrealized gains or losses relating to assets still held at reporting date	$	—		$	—		$	1,349,709		$	—		$	1,349,709


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010


Helios High Income Fund, Inc.
Investments in Securities	Asset- Backed Securities			Mortgage- Backed Securities			High Yield Corporate Bonds			Common Stocks			Total
Balance as of March 31, 2009	$	1,126,000		$	168,612		$	8,914,945		$	125,412		$	10,334,969
Accrued Discounts		288			—			96,722			—			97,010
Realized Loss		(6,779,753	)		(2,445,454	)		(752,229	)		(1,971,012	)		(11,948,448	)
Change in Unrealized Appreciation (Depreciation)		6,670,440			2,340,908			2,874,570			1,903,066			13,788,984
Net Purchases (Sales)		(1,016,975	)		(64,066	)		6,836,689			(57,466	)		5,698,182
Net transfers out of Level 3		—			—			(4,088,103	)		—			(4,088,103	)

Balance as of March 31, 2010	$	—		$	—		$	13,882,594		$	—		$	13,882,594

Change in unrealized gains or losses relating to assets still held at reporting date	$	—		$	—		$	1,631,621		$	—		$	1,631,621


Helios Multi-Sector High Income Fund, Inc.
Investments in Securities	Asset- Backed Securities			Mortgage- Backed Securities			High Yield Corporate Bonds			Common Stocks			Total
Balance as of March 31, 2009	$	1,223,000		$	100,924		$	9,031,696		$	173,649		$	10,529,269
Accrued Discounts		432			—			105,663			—			106,095
Realized Loss		(11,851,140	)		(1,454,324	)		(840,009	)		(3,601,777	)		(17,747,250	)
Change in Unrealized Appreciation (Depreciation)		11,695,458			1,370,275			2,601,977			3,511,658			19,179,368
Net Purchases (Sales)		(1,067,750	)		(16,875	)		7,993,904			(83,530	)		6,825,749
Net transfers out of Level 3		—			—			(4,374,041	)		—			(4,374,041	)

Balance as of March 31, 2010	$	—		$	—		$	14,519,190		$	—		$	14,519,190

Change in unrealized gains or losses relating to assets still held at reporting date	$	—		$	—		$	1,276,443		$	—		$	1,276,443


Helios Strategic Income Fund, Inc.
Investments in Securities	Asset- Backed Securities			Mortgage- Backed Securities			High Yield Corporate Bonds			Common Stocks			Total
Balance as of March 31, 2009	$	1,480,621		$	50,462		$	8,212,166		$	139,883		$	9,883,132
Accrued Discounts		288			—			115,925			—			116,213
Realized Loss		(9,914,195	)		(1,686,704	)		(924,339	)		(2,314,940	)		(14,840,178	)
Change in Unrealized Appreciation (Depreciation)		9,587,286			1,644,955			2,290,543			2,239,501			15,762,285
Net Purchases (Sales)		(1,154,000	)		(8,713	)		4,569,281			(64,444	)		3,342,124
Net transfers out of Level 3		—			—			(2,844,997	)		—			(2,844,997	)

Balance as of March 31, 2010	$	—		$	—		$	11,418,579		$	—		$	11,418,579

Change in unrealized gains or losses relating to assets still held at reporting date	$	—		$	—		$	1,010,816		$	—		$	1,010,816

Investment Transactions and Investment Income: Securities transactions are recorded on the trade date. Realized gains and losses from securities transactions are calculated on the identified cost basis. Interest income is recorded on the accrual basis. Discounts and premiums on securities are accreted and amortized, respectively on a daily basis, using the effective yield to maturity method adjusted based on management’s assessment of the collectability of such interest. Dividend income is recorded on the ex-dividend date.

Taxes: Each Fund intends to qualify and meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and distribute substantially all of its taxable income to its stockholders. Therefore, no federal income or excise tax provision is required. Each Fund may incur an excise tax to the extent it has not distributed all of its taxable income on a calendar year basis.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

GAAP provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. An evaluation of tax positions taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the taxing authority is required. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be booked as a tax expense in the current year. As of March 31, 2010, the Funds have determined that there are no uncertain tax positions or tax liabilities required to be accrued.

The Funds have reviewed all taxable years that are open for examination (i.e., not barred by the applicable statute of limitations) by taxing authorities of all major jurisdictions, including the Internal Revenue Service. As of March 31, 2010, open taxable years consisted of the taxable years ended March 31, 2007 through March 31, 2010. No examination of any of the Funds’ tax returns is currently in progress.

Expenses: Expenses directly attributable to a Fund are charged directly to that Fund, while expenses which are attributable to more than one Fund are allocated among the respective Funds based upon relative net assets.

Dividends and Distributions: Each Fund declares and pays dividends monthly from net investment income (including net short term capital gains, if any). Each Fund also pays distributions at least annually from its net realized capital gains, if any. Dividends and distributions are recorded on the ex-dividend date. All common shares have equal dividend and other distribution rights. A notice disclosing the source(s) of a distribution will be provided if payment is made from any source other than net investment income. Any such notice would be provided only for informational purposes in order to comply with the requirements of Section 19(a) of the 1940 Act and not for tax reporting purposes. The tax composition of each Fund’s distributions for each calendar year is reported on IRS Form 1099-DIV.

Dividends from net investment income and distributions from realized gains from investment transactions have been determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains recorded by the Fund for financial reporting purposes. These differences which could be temporary or permanent in nature and may result in reclassification of distributions; however, net investment income, net realized gains and losses and net assets are not affected.

Repurchase Agreements: Each Fund may invest in repurchase agreements. A repurchase agreement is an agreement by which the Funds purchase securities from a third party with the commitment that they will be repurchased by the seller at a fixed price on an agreed upon future date. The Funds, through their custodian, receive delivery of the underlying collateral, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. The Advisor is responsible for determining that the value of these underlying securities is sufficient at all times. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings commence with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. The Funds had no repurchase agreements outstanding as of March 31, 2010.

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

Cash Flow Information: Each Fund invests in securities and distributes dividends and distributions which are paid in cash or are reinvested at the discretion of stockholders. These activities are reported in the Statement of Changes in Net Assets. Additional information on cash receipts and cash payments is presented in the Statement of Cash Flows. Cash, as used in the Statement of Cash Flows, is the amount reported as “Cash” in the Statement of Assets and Liabilities, and does not include short-term investments.


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

Accounting practices that do not affect reporting activities on a cash basis include carrying investments at value and accreting discounts and amortizing premiums on debt obligations.

3. Risks of Investing in Asset-Backed Securities and Below-Investment Grade Securities

The value of asset-backed securities may be affected by, among other factors, changes in: interest rates, the market’s assessment of the quality of the underlying assets, the creditworthiness of the servicer for the underlying assets, information concerning the originator of the underlying assets, or the creditworthiness or rating of the entities that provide any supporting letters of credit, surety bonds, derivative instruments, or other credit enhancement. The value of asset-backed securities also will be affected by the exhaustion, termination or expiration of any credit enhancement. The Funds have sold the remainder of their asset-backed securities during the fiscal year ended March 31, 2010.

The Funds have investments in below-investment grade debt securities. Below-investment grade securities involve a higher degree of credit risk than investment grade debt securities. In the event of an unanticipated default, the Funds would experience a reduction in their income, a decline in the market value of the securities so affected and a decline in the NAV of their shares. During an economic downturn or period of rising interest rates, highly leveraged and other below-investment grade issuers frequently experience financial stress that could adversely affect their ability to service principal and interest payment obligations, to meet projected business goals and to obtain additional financing. The market prices of below-investment grade debt securities generally are less sensitive to interest rate changes than higher-rated investments but are more sensitive to adverse economic or political changes or individual developments specific to the issuer than higher-rated investments. Periods of economic or political uncertainty and change can be expected to result in significant volatility of prices for these securities. Rating services consider these securities to be speculative in nature.

Below-investment grade securities may be subject to market conditions, events of default or other circumstances which cause them to be considered “distressed securities.” Distressed securities frequently do not produce income while they are outstanding. The Funds may be required to bear certain extraordinary expenses in order to protect and recover their investments in certain distressed securities. Therefore, to the extent the Funds seek capital growth through investment in such securities, the Funds’ ability to achieve current income for its stockholders may be diminished. The Funds also are subject to significant uncertainty as to when and in what manner and for what value the obligations evidenced by distressed securities will eventually be satisfied (e.g., through a liquidation of the obligor’s assets, an exchange offer or plan of reorganization involving the securities or a payment of some amount in satisfaction of the obligation). In addition, even if an exchange offer is made or a plan of reorganization is adopted with respect to distressed securities held by the Funds, there can be no assurance that the securities or other assets received by the Funds in connection with such exchange offer or plan of reorganization will not have a lower value or income potential than may have been anticipated when the investment was made. Moreover, any securities received by the Funds upon completion of an exchange offer or plan of reorganization may be restricted as to resale. As a result of the Funds’ participation in negotiations with respect to any exchange offer or plan of reorganization with respect to an issuer of such securities, the Funds may be restricted from disposing of distressed securities.

4. Investment Advisory Agreements and Affiliated Transactions

Each Fund has entered into a separate Investment Advisory Agreement (the “Advisory Agreements”) with the Advisor under which the Advisor is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. The Advisory Agreements provide, among other things, that the Advisor will bear all expenses of its employees and overhead incurred in connection with the performance of its duties under the Advisory Agreements, and will pay all salaries of the Funds’ directors and officers who are affiliated persons (as such term is defined in the 1940 Act) of the Advisor. The Advisory Agreements provide that each Fund shall pay the Advisor a monthly fee for its services at an annual rate of 0.65% of each Fund’s average daily total assets minus liabilities (other than aggregate indebtedness entered into for purposes of leverage).


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

Each Fund has entered into a separate expense limitation agreement (the “Expense Limitation Agreements”) under which the Advisor has contractually agreed to waive its fees and/or reimburse each Fund for its expenses to the extent necessary to ensure each Fund’s annual operating expenses (excluding brokerage, interest expenses and taxes, and acquired fund fees and expenses) do not exceed 1.30% of average annual net assets of each Fund. Each contractual waiver will terminate on July 29, 2010. Pursuant to the Expense Limitation Agreements, the Advisor retains its right to receive reimbursement of any payments made by it, or to recoup any fees waived by it during the prior three fiscal years, provided that after giving effect to such repayment or recoupment, such adjusted total annual operating expenses (expressed as a percentage of average net assets) for each Fund would not exceed the percentage limitations listed above.

The amount of investment advisory fees waived and expenses reimbursed available to be recouped and the year of expiration for each Fund are listed in the table below:


Fund	March 31, 2012		March 31, 2013
Helios Advantage Income Fund, Inc.	$	314,001	$	374,959
Helios High Income Fund, Inc.		283,797		337,154
Helios Multi-Sector High Income Fund, Inc.		337,309		353,979
Helios Strategic Income Fund, Inc.		304,331		341,483

During the fiscal year ended March 31, 2010, the Advisor earned the following in investment advisory fees under the Advisory Agreements. Further, under the Expense Limitation Agreements, the Advisor was required to waive its investment advisory fees and/or reimburse the following costs to the Funds:


Fund	Investment Advisory Fees		Waiver and/or Expense Reimbursement
Helios Advantage Income Fund, Inc.	$	395,786	$	(374,959	)
Helios High Income Fund, Inc.		290,833		(337,154	)
Helios Multi-Sector High Income Fund, Inc.		324,364		(353,979	)
Helios Strategic Income Fund, Inc.		278,607		(341,483	)

	$	1,289,590	$	(1,407,575	)

The Funds have entered into an Administration Agreement with the Advisor. The Advisor entered into a sub-administration agreement with State Street Bank and Trust Company (the “Sub-Administrator”). The Advisor and Sub-Administrator perform administrative services necessary for the operation of the Funds, including maintaining certain books and records of the Funds and preparing reports and other documents required by federal, state, and other applicable laws and regulations, and providing the Funds with administrative office facilities. For these services, each Fund pays to the Advisor a monthly fee at an annual rate of 0.15% of each Fund’s average daily total assets minus liabilities (other than the aggregate indebtedness entered into for purposes of leverage). The Advisor is responsible for any fees due the Sub-Administrator, except for N-Q filing fees.


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

During the fiscal year ended March 31, 2010, the Advisor earned the following in Administration fees:


Fund	Administration Fee
Helios Advantage Income Fund, Inc.	$	91,335
Helios High Income Fund, Inc.		67,115
Helios Multi-Sector High Income Fund, Inc.		74,853
Helios Strategic Income Fund, Inc.		64,294

	$	297,597

The Administration fees shown in the Statement of Operations includes expenses incurred and paid to the Sub-Administrator for the N-Q filing, which amounted to $3,338 for each of the Funds.

Certain officers and/or directors of the Funds are officers and/or directors of the Advisor.

5. Purchases and Sales of Investments

Purchases and sales of investments, excluding short-term securities and U.S. Government securities, for the fiscal year ended March 31, 2010 were as follows:


Fund	Purchases		Sales
Helios Advantage Income Fund, Inc.	$	44,295,457	$	26,498,076
Helios High Income Fund, Inc.		32,260,058		20,488,087
Helios Multi-Sector High Income Fund, Inc.		37,869,828		23,471,781
Helios Strategic Income Fund, Inc.		30,510,567		17,714,662

For the fiscal year ended March 31, 2010 there were no transactions in U.S. Government securities.

6. Borrowings

Reverse Repurchase Agreements: The Funds may enter into reverse repurchase agreements with the same parties with whom it may enter into repurchase agreements. Under a reverse repurchase agreement, the Funds sell securities and agree to repurchase them at a mutually agreed upon date and price. Under the 1940 Act, reverse repurchase agreements will be regarded as a form of borrowing by each Fund unless, at the time it enters into a reverse repurchase agreement, it establishes and maintains a segregated account with its custodian containing securities from its portfolio having a value not less than the repurchase price (including accrued interest). Each Fund has established and maintained such an account for each of its reverse repurchase agreements.

Reverse repurchase agreements involve the risk that the market value of the securities retained in lieu of sale by the Funds may decline below the price of the securities a Fund has sold but is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, such buyer or its Trustee or receiver may receive an extension of time to determine whether to enforce the Funds’ obligation to repurchase the securities, and the Funds’ use of the proceeds of the reverse repurchase agreement may effectively be restricted pending such decision. Also, the Funds would bear the risk of loss to the extent that the proceeds of the reverse repurchase agreements are less than the value of the securities subject to such agreements.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

At March 31, 2010, Helios Advantage Income Fund, Inc. had the following reverse repurchase agreements outstanding:


Face Value	Description	Maturity Amount
$8,061,785	JP Morgan Chase, 0.95%, dated 02/16/10, maturity date 05/18/10	$	8,081,144
2,817,550	JP Morgan Chase, 0.95%, dated 02/17/10, maturity date 05/19/10		2,824,316
6,228,892	JP Morgan Chase, 0.95%, dated 02/18/10, maturity date 05/20/10		6,243,850
315,562	JP Morgan Chase, 0.95%, dated 02/23/10, maturity date 05/19/10		316,270
319,375	JP Morgan Chase, 0.95%, dated 02/23/10, maturity date 05/20/10		320,100
588,000	JP Morgan Chase, 0.95%, dated 03/22/10, maturity date 05/20/10		588,915

$18,331,164	Maturity Amount, Including Interest Payable	$	18,374,595

	Market Value of Assets Sold Under Agreements	$	25,905,228

	Weighted Average Interest Rate		0.95	%

At March 31, 2010, Helios High Income Fund, Inc. had the following reverse repurchase agreements outstanding:


Face Value	Description	Maturity Amount
$4,972,788	JP Morgan Chase, 0.95%, dated 02/16/10, maturity date 05/18/10	$	4,984,730
1,994,375	JP Morgan Chase, 0.95%, dated 02/17/10, maturity date 05/19/10		1,999,164
4,588,296	JP Morgan Chase, 0.95%, dated 02/18/10, maturity date 05/20/10		4,599,315
319,375	JP Morgan Chase, 0.95%, dated 02/23/10, maturity date 05/20/10		320,100
551,250	JP Morgan Chase, 0.95%, dated 03/22/10, maturity date 05/20/10		552,108

$12,426,084	Maturity Amount, Including Interest Payable	$	12,455,417

	Market Value of Assets Sold Under Agreements	$	17,696,827

	Weighted Average Interest Rate		0.95	%

At March 31, 2010, Helios Multi-Sector High Income Fund, Inc. had the following reverse repurchase agreements outstanding:


Face Value	Description	Maturity Amount
$5,993,336	JP Morgan Chase, 0.95%, dated 02/16/10, maturity date 05/18/10	$	6,007,728
2,298,562	JP Morgan Chase, 0.95%, dated 02/17/10, maturity date 05/19/10		2,304,082
5,268,697	JP Morgan Chase, 0.95%, dated 02/18/10, maturity date 05/20/10		5,281,349
319,375	JP Morgan Chase, 0.95%, dated 02/23/10, maturity date 05/20/10		320,100
551,250	JP Morgan Chase, 0.95%, dated 03/22/10, maturity date 05/20/10		552,108

$14,431,220	Maturity Amount, Including Interest Payable	$	14,465,367

	Market Value of Assets Sold Under Agreements	$	20,547,747

	Weighted Average Interest Rate		0.95	%


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

At March 31, 2010, Helios Strategic Income Fund, Inc. had the following reverse repurchase agreements outstanding:


Face Value	Description	Maturity Amount
$3,296,203	JP Morgan Chase, 0.95%, dated 02/16/10, maturity date 05/18/10	$	3,304,118
6,351,887	JP Morgan Chase, 0.95%, dated 02/17/10, maturity date 05/19/10		6,367,140
1,341,375	JP Morgan Chase, 0.95%, dated 02/18/10, maturity date 05/20/10		1,344,596
188,437	JP Morgan Chase, 0.95%, dated 02/25/10, maturity date 05/18/10		188,845
390,000	JP Morgan Chase, 0.95%, dated 02/25/10, maturity date 05/19/10		390,854

$11,567,902	Maturity Amount, Including Interest Payable	$	11,595,553

	Market Value of Assets Sold Under Agreements	$	15,339,564

	Weighted Average Interest Rate		0.95	%

The average daily balances of reverse repurchase agreements outstanding during the fiscal year ended March 31, 2010, was approximately $15,213,284, $10,579,468, $12,122,432 and $10,066,253 at a weighted average interest rate of 1.57%, 1.60%, 1.60% and 1.54% for Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc., and Helios Strategic Income Fund, Inc., respectively.

The maximum amount of reverse repurchase agreements outstanding at any time during the fiscal year ended March 31, 2010, was $18,532,204, $12,604,681, $14,634,020 and $11,650,560, which was 28.10%, 26.22%, 27.15% and 25.26% of total assets for Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc., and Helios Strategic Income Fund, Inc., respectively.

7. Reverse Stock Split

Effective September 1, 2009, each Fund effected a 1 for 5 reverse stock split for its respective shares. All share transactions in capital stock and per share data prior to September 1, 2009, have been restated to give effect to the reverse stock split. The reverse stock split had no impact on the overall value of a stockholder’s investment in each Fund.

8. Capital Stock

Each Fund is authorized to issue 1,000,000,000 shares of capital stock with a par value of $0.0001 per share. The Funds’ Boards of Directors are authorized to classify and reclassify any unissued shares of capital stock from time to time by setting or changing the preferences, conversion or other rights, voting powers, restrictions, limitations as to dividends or terms and conditions of redemption of such shares by the Funds. The common shares have no preemptive, conversion, exchange or redemption rights. All common shares have equal voting, dividend, distribution and liquidation rights. The common shares, when issued, will be fully paid and non-assessable. Common stockholders are entitled to one vote per share and all voting rights for the election of directors are non-cumulative. The Funds have no present intentions of offering additional shares, except as described in the Dividend Reinvestment Plan.

9. Federal Income Tax Information

Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

The tax character of distributions paid for the fiscal year ended March 31, 2010 were as follows:


	Helios Advantage Income Fund, Inc.		Helios High Income Fund, Inc.		Helios Multi- Sector High Income Fund, Inc.		Helios Strategic Income Fund, Inc.
Ordinary income⁽¹⁾	$	4,573,251	$	3,466,134	$	3,803,558	$	2,973,090
Return of capital		623,304		378,712		217,600		903,507

Total distributions	$	5,196,555	$	3,844,846	$	4,021,158	$	3,876,597

At March 31, 2010, each Fund’s most recently completed tax year-end, the components of net assets (excluding paid-in capital) on a tax basis were as follows:


	Helios Advantage Income Fund, Inc.			Helios High Income Fund, Inc.			Helios Multi- Sector High Income Fund, Inc.			Helios Strategic Income Fund, Inc.
Capital loss carryforward⁽¹⁾	$	(410,121,450	)	$	(304,731,521	)	$	(456,420,567	)	$	(369,469,108	)
Unrealized appreciation		3,478,479			3,614,441			3,438,445			2,136,610

	$	(406,642,971	)	$	(301,117,080	)	$	(452,982,122	)	$	(367,332,498	)

⁽¹⁾	To the extent that future capital gains are offset by capital loss carryforwards, such gains will not be distributed.

As of March 31, 2010, the Funds’ capital loss carryforwards were as follows:


Fund	Expiring in 2014		Expiring in 2015		Expiring in 2016		Expiring in 2017		Expiring in 2018
Helios Advantage Income Fund, Inc.	$	—	$	—	$	63,416,568	$	175,931,140	$	170,773,742
Helios High Income Fund, Inc.		—		—		47,702,451		130,227,458		126,801,612
Helios Multi-Sector High Income Fund, Inc.		—		—		67,821,037		205,725,325		182,874,205
Helios Strategic Income Fund, Inc.		5,339,876		193,592		59,889,208		152,878,553		151,167,879

Federal Income Tax Basis: The federal income tax basis of the Funds’ investments at March 31, 2010 was as follows:


Fund	Cost of Investments		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation
Helios Advantage Income Fund, Inc.	$	63,268,824	$	5,173,990	$	(1,695,511	)	$	3,478,479
Helios High Income Fund, Inc.		45,051,991		3,809,304		(194,863	)		3,614,441
Helios Multi-Sector High Income Fund, Inc		51,232,305		4,337,736		(899,291	)		3,438,445
Helios Strategic Income Fund, Inc.		43,159,252		3,658,588		(1,521,978	)		2,136,610

Capital Account Reclassifications: Because federal income tax regulations differ in certain respects from GAAP, income and capital gain distributions, if any, determined in accordance with tax regulations may differ from net investment income and realized gains recognized for financial reporting purposes. These differences are primarily due to differing treatments for wash sales and return of capital. Permanent book and tax differences, if any, relating to stockholder distributions will result in reclassifications to paid-in-capital or to undistributed capital gains. These reclassifications have no effect on net assets or NAV per share. Any undistributed net income and realized gain remaining at fiscal year-end is distributed in the following year. There were no such reclassifications required as of March 31, 2010.


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

10. Indemnification

Under each Fund’s organizational documents, its officers and directors are indemnified against certain liabilities arising out of the performance of their duties to each Fund. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide for indemnification. The Funds’ maximum exposure under these arrangements is unknown, since this would involve the resolution of certain claims, as well as future claims that may be made, against the Funds. Thus, an estimate of the financial impact, if any, of these arrangements cannot be made at this time.

11. New Accounting Pronouncements

In June 2009, an accounting standards codification (“Codification”) was established as the source of authoritative accounting principles recognized by the Financial Accounting Standards Board (“FASB”) to be applied by nongovernmental entities in the preparation of financial statements in conformity with GAAP. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under federal securities laws are also sources of authoritative GAAP for SEC registrants. All guidance contained in the Codification carries an equal level of authority. As of the effective date, the Codification has superseded all then-existing non-SEC accounting and reporting standards. Concurrently, all nongrandfathered, non-SEC accounting literature not included in the Codification has been deemed nonauthoritative. This Codification is effective for financial statements issued for interim and annual periods ending after September 15, 2009. Management has evaluated this new statement and has determined that it did not have a significant impact on the determination or reporting of the Funds’ financial statements.

In January 2010, the FASB issued Accounting Standards Update (“ASU”) No. 2010-06 “Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 clarifies existing disclosures and requires additional disclosures regarding fair value measurements. Effective for interim and annual reporting periods beginning after December 15, 2009, entities will be required to disclose significant transfers into and out of Level 1 and 2 measurements in the fair value hierarchy and the reasons for those transfers. Effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years, entities will need to disclose information about purchases, sales, issuances and settlements of Level 3 securities on a gross basis, rather than as a net number as currently required. Management is currently evaluating the impact ASU No. 2010-06 will have on the Funds’ financial statement disclosures.

12. Pending Litigation

Beginning in late 2007, lawsuits were filed in state and federal courts in Tennessee, Alabama, Arkansas, Indiana, Mississippi, Louisiana, New York and Texas relating to certain fixed income funds managed by the Advisor, including the Funds. Certain of the cases were filed as putative class actions on behalf of investors who purchased shares of the Funds from December 2004 through February 2008 and other cases were filed as actions on behalf of one or more individuals or trusts. The complaints name various entities and individuals as defendants including, among others, the Funds, the former advisor, Morgan Asset Management, Inc. (“MAM”), Morgan Keegan & Company, Inc. (“Morgan Keegan”), Regions Financial Corporation and several affiliates (“Regions”), certain former directors and former officers of the Funds and the Funds’ former portfolio managers. The complaints generally allege that the defendants misrepresented or failed to disclose material facts relating to portfolio composition, fair valuation, liquidity and risk in Fund registration statements and other documents. The plaintiffs seek damages in amounts to be determined at trial and reasonable costs and, in some cases, attorneys’ fees. Each of the cases is at a preliminary stage. An answer was filed in a state court case,Burke v. Citigroup Global Markets, Inc. pending in the circuit court of Jefferson County, Alabama, on behalf of Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. which was later settled. Other than the Burke case and the motions to dismiss filed in the derivative action discussed below, no responses to the complaints have been filed in the actions pending against the Funds, and no classes have been certified in any of the putative class actions filed against the Funds.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

On March 13, 2008, a derivative action was filed in the United States District Court for the Western District of Tennessee seeking damages on behalf of Helios Multi-Sector High Income Fund, Inc. against MAM and certain former directors of the Fund. The complaint in this action alleged, among other things, that defendants MAM and certain former directors of the Fund breached their fiduciary duties and mismanaged the Fund in connection with portfolio composition, fair valuation, liquidity, risk management and disclosure. The complaint sought damages in an amount to be determined at trial and reasonable costs and attorneys’ fees. Motions to dismiss the complaint were filed by the respective defendants. The Board of the Fund is currently undertaking an investigation of the underlying allegations in the complaint to determine whether pursuit of such claims is in the best interest of the Fund. The Fund has moved to dismiss the action without prejudice, or alternatively, to stay the action pending the completion of the Board’s investigation of the underlying allegations and its determination as to proceeding on behalf of the Fund. On March 10, 2010, the court granted the defendants’ motions to dismiss and dismissed the action without prejudice to the Fund’s right to seek remuneration for any perceived wrongs on the completion of its Board’s investigation.

Subsequently, on March 18, 2010, four derivative actions were filed on behalf of each of the Funds. The complaints in these actions allege, among other things, that defendants MAM, and certain former officers and directors of the Funds breached their fiduciary duties and mismanaged the Funds in connection with portfolio composition, fair valuation, liquidity, risk management and disclosure. The complaints seek equitable relief, damages in an amount to be determined at trial and reasonable costs and attorneys’ fees. The proceedings are at a preliminary stage and no responses to the complaints have been filed by the respective defendants. The Boards of the Funds are currently undertaking an investigation of the underlying allegations in the complaints to determine whether pursuit of such claims is in the best interest of the Funds.

Claims substantially similar to those described above have been made in lawsuits filed in the United States Federal and state courts concerning certain open-end funds formerly managed by the Advisor.

On September 23, 2008, most of the cases pending in federal court in the Western District of Tennessee in which the Funds are defendants, and other cases pending in that court involving the same or similar claims against other defendants, were consolidated into a single proceeding encaptionedIn re Regions Morgan Keegan Closed End Fund Litigation.

On February 12, 2009, the Judicial Panel on Multidistrict Litigation (“Judicial Panel”) issued an order transferring related actions pending in other federal courts to the United States District Court for the Western District of Tennessee and directing that the transferred cases be coordinated or consolidated with the above-described actions relating to the Funds.

No estimate of the effect, if any, of these lawsuits on the Funds can be made at this time.

13. Contingencies

Helios Advantage Income Fund, Inc. is the holder of certain 2000-1 Class C Notes issued by the NextCard Credit Card Master Note Trust (the “NextCard Trust”) in one of a series of securitization transactions with NextBank, N.A. (“NextBank”). The NextCard Trust held credit card receivables sold to it by NextBank and in order to issue notes to finance the purchase of such receivables. The notes were asset-backed, pass-through notes under which the timing and amounts of payment was initially dependent on collections, and eventually on each series of notes reaching their stated maturity dates. NextBank, which issued credit cards over the internet, was placed into receivership by the FDIC on February 7, 2002.

After years of litigating in Federal District Court in Washington, D.C. whether NextBank’s receivership triggered a “redemption event” under the securitization agreements, the right to the remaining funds held by the NextCard Trust, which are currently believed to be in excess of $50.0 million, shifted to New York after the Indenture Trustee brought an interpleader action. The FDIC, in its statutory capacity as receiver, and various note holders (including Helios Advantage Income Fund, Inc.) asserted mutually exclusive claims to the NextCard Trust’s remaining funds.


		2010 Annual Report

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

By decision dated February 24, 2009, the United States District Court for the Southern District of New York granted summary judgment in the note holders’ favor. The FDIC appealed this ruling to the Court of Appeals for the Second Circuit, which held oral argument on March 4, 2010. On June 1, 2010 the United States Court of Appeals for the Second Circuit issued its opinion affirming the District Court’s decision.

If Helios Advantage Income Fund, Inc. were ultimately to prevail in this matter, it would be entitled to a distribution in excess of $1.0 million. Presently management is unable to assess the likelihood of a positive outcome on behalf of the Fund in this matter and it is uncertain as to whether the Fund will receive any distribution upon the conclusion of this litigation.

14. Subsequent Events

GAAP requires recognition in the financial statements of the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the Statement of Assets and Liabilities. For non-recognized subsequent events that must be disclosed to keep the financial statements from being misleading, the Funds’ are required to disclose the nature of the event as well as an estimate of their financial effect, or a statement that such an estimate cannot be made.

Dividend: The Funds’ Boards of Directors declared the following monthly dividends:


Fund	Dividend Per Share		Record Date	Payable Date
Helios Advantage Income Fund, Inc.	$	0.06	April 23, 2010	April 29, 2010
Helios High Income Fund, Inc.	$	0.06	April 23, 2010	April 29, 2010
Helios Multi-Sector High Income Fund, Inc.	$	0.04	April 23, 2010	April 29, 2010
Helios Strategic Income Fund, Inc.	$	0.04	April 23, 2010	April 29, 2010

Fund	Dividend Per Share		Record Date	Payable Date
Helios Advantage Income Fund, Inc.	$	0.06	May 21, 2010	May 27, 2010
Helios High Income Fund, Inc.	$	0.06	May 21, 2010	May 27, 2010
Helios Multi-Sector High Income Fund, Inc.	$	0.04	May 21, 2010	May 27, 2010
Helios Strategic Income Fund, Inc.	$	0.04	May 21, 2010	May 27, 2010

The Administrative Proceeding: On April 7, 2010, after an investigation by the Division of Enforcement, the Securities and Exchange Commission (“Commission”) issued an order (“Order”) instituting administrative and cease-and-desist proceedings (the “Administrative Proceeding”) pursuant to the federal securities laws and the Commission’s rules of practice against Morgan Asset Management, Inc. (“Morgan Asset”), Morgan Keegan & Company, Inc., James C. Kelsoe, Jr. and Joseph Thompson Weller, CPA (collectively, “Respondents”). Prior to July 29, 2008, Morgan Asset served as investment advisor to the Funds.

Non-Reliance on Financial Statements: If certain allegations in the Order against the Respondents are found to be true at the conclusion of the Administrative Proceeding or otherwise, the financial statements and financial highlights for each Fund’s four fiscal years ended March 31, 2009, March 31, 2008, March 31, 2007 and March 31, 2006 may be impacted. The Funds are currently undertaking an investigation of the underlying allegations in the Order. It is unclear at this time, however, whether each Fund’s financial statements and financial highlights covering these fiscal periods are impacted and, if so, whether the impact is material.

By correspondence dated May 27, 2010, PricewaterhouseCoopers LLP (“PwC”), the Funds’ independent registered public accounting firm for the fiscal years ended March 31, 2008, 2007 and 2006, informed the Funds that PwC’s audit reports dated May 29, 2008, May 21, 2007 and May 22, 2006, on the Funds’ financial statements should no longer be relied upon. Certain of the Funds’ authorized officers have discussed the foregoing matters with PwC.


Brookfield Investment Management Inc.

HELIOS FUNDS

Notes to Financial Statements

March 31, 2010

In addition, by correspondence dated May 28, 2010, BBD, LLP (“BBD”), the Funds’ independent registered public accounting firm for the six-month period ended September 30, 2008 and the fiscal year ended March 31, 2009, informed the Funds that BBD’s audit reports dated November 26, 2008 and May 28, 2009, on the Funds’ financial statements should no longer be relied upon in view of PwC’s May 27, 2010 correspondence regarding non-reliance on its previously issued audit reports because BBD relied upon PwC’s audit report on the March 31, 2008 financial statements. The Funds’ Audit Committees, Boards of Directors and authorized officers have discussed the foregoing matters with BBD.

Based upon the actions of PwC and BBD, the financial statements and financial highlights covering these fiscal periods should not be relied upon until such time that the Funds’ investigation of the underlying allegations in the Order has been completed and the issues surrounding the audit reports have been resolved.

Termination of Expense Limitation Agreements: On May 25, 2010, the Boards of Directors of the Funds received written notice of the Advisor’s determination not to extend the Expense Limitation Agreements, after their termination on July 29, 2010.

Management has evaluated subsequent events in the preparation of the Funds’ financial statements and has determined that other than the items listed herein, there are no events that require recognition or disclosure in the financial statements.


		2010 Annual Report

Report of Independent Registered Public Accounting Firm

To the Stockholders and Board of Directors of

Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc.,

Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc.

We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. as of March 31, 2010, and the related statements of operations, changes in net assets and cash flows and the financial highlights for the year then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2010, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. as of March 31, 2010, the results of their operations, changes in their net assets, their cash flows and their financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

/s/ BBD, LLP

BBD, LLP

Philadelphia, Pennsylvania

June 1, 2010


Brookfield Investment Management Inc.

HELIOS FUNDS

Tax Information (Unaudited)

March 31, 2010

For the fiscal year ended March 31, 2010, 11.99%, 9.84%, 5.41% and 23.31% of the distributions to stockholders declared from net investment income for the Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc., respectively, were reclassified as return of capital and are reflected as such in each Fund’s Statement of Changes and Financial Highlights.


		2010 Annual Report

HELIOS FUNDS

Compliance Certifications (Unaudited)

March 31, 2010

On August 3, 2009, the Funds submitted a CEO annual certification to the New York Stock Exchange (“NYSE”) on which the Funds’ principal executive officer certified that he was not aware, as of that date, of any violation by the Funds of the NYSE’s Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, the Funds’ principal executive and principal financial officers have made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q relating to, among other things, the Funds’ disclosure controls and procedures and internal control over financial reporting, as applicable.


Brookfield Investment Management Inc.

HELIOS FUNDS

Information Concerning Directors and Officers (Unaudited)

The following tables provide information concerning the directors and officers of Helios Advantage Income Fund, Inc., Helios High Income Fund, Inc., Helios Multi-Sector High Income Fund, Inc. and Helios Strategic Income Fund, Inc. (the “Funds”).

Directors of the Funds *


Name, Address and Age	Position(s) Held with Funds and Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years and Other Directorships Held by Director	Number of Portfolios in Fund Complex Overseen by Director

Disinterested Directors
Class I Directors to serve until 2012 Annual Meeting of Stockholders:

Robert F. Birch c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 74	Director, Member of the Audit Committee, Member of Nominating and Compensation Committee Elected since July 2008	Director/Trustee of several investment companies advised by the Advisor (1998-Present); President and Director of New America High Income Fund (1992-Present); Director of Brandywine Funds (3) (2001-2008).	8

Stuart A. McFarland c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 63	Director, Member of the Audit Committee, Member of the Nominating and Compensation Committee Elected since July 2008	Director/Trustee of several investment companies advised by the Advisor (2006-Present); Director of Brandywine Funds (2003-Present); Director of New Castle Investment Corp. (2000-Present); Chairman and Chief Executive Officer of Federal City Bancorp, Inc. (2005-2007); Managing Partner of Federal City Capital Advisors (1997-Present).	8

Disinterested Director
Class II Director to serve until 2010 Annual Meeting of Stockholders:

Rodman L. Drake c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 67	Director and Chairman of the Board, Member of the Audit Committee, Member of Nominating and Compensation Committee Elected since July 2008	Chairman (since 2003) and Director/Trustee of several investment companies advised by the Advisor (1989-Present); Interim President and Chief Executive Officer of Crystal River Capital, Inc. (August 2009-Present); Director and/or Lead Director of Crystal River Capital, Inc. (2005-Present); Director of Celgene Corporation (2006-Present); Director of Student Loan Corporation (2005-Present); Director of Apex Silver Mines Limited (2007-2009); General Partner of Resource Capital Fund II & III CIP L.P. (1998-2006); Co-founder, Baringo Capital LLC (2002-Present); Director of Jackson Hewitt Tax Services Inc. (2004-Present); Director of Animal Medical Center (2002-Present); Director and/or Lead Director of Parsons Brinckerhoff, Inc. (1995-2008); Trustee and Chairman of Excelsior Funds (1994-2007); Trustee of Columbia Atlantic Funds (2007-Present).	8


		2010 Annual Report

HELIOS FUNDS

Information Concerning Directors and Officers (Unaudited)

Directors of the Funds (continued)


Name, Address and Age	Position(s) Held with Funds and Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years and Other Directorships Held by Director	Number of Portfolios in Fund Complex Overseen by Director

Disinterested Director
Class II Director to serve until 2010 Annual Meeting of Stockholders:

Diana H. Hamilton c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 53	Director, Member of the Audit Committee, Member of the Nominating and Compensation Committee Elected since September 2009	Trustee of one other investment company advised by the Advisor (2004-Present); President, Sycamore Advisors, LLC, a municipal finance advisory firm (2004-Present); Director of Public Finance, State of Indiana (1997-2003).	5

Disinterested Director
Class III Director to serve until 2011 Annual Meeting of Stockholders:

Louis P. Salvatore c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 63	Director, Chairman of the Audit Committee, Member of the Nominating and Compensation Committee Elected since July 2008	Director/Trustee of several investment companies advised by the Advisor (2005-Present); Director of Crystal River Capital, Inc. (2005-Present); Director of Turner Corp. (2003-Present); Director of Jackson Hewitt Tax Services, Inc. (2004-Present); Employee of Arthur Andersen LLP (2002-Present); Partner of Arthur Andersen LLP (1977-2002).	8

John J. Feeney, Jr. was an Interested Director, as that term is defined by the Investment Company Act of 1940, as amended (the “1940 Act”) because of affiliations with Brookfield Investment Management Inc., the Funds’ Advisor, from May 2009-February 2010. The vacancy caused by Mr. Feeney’s retirement has not yet been filled by the Funds’ Board of Directors.


Brookfield Investment Management Inc.

HELIOS FUNDS

Information Concerning Directors and Officers (Unaudited)

Officers of the Funds


Name, Address and Age	Position(s) Held with Funds	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years

Kim G. Redding* c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 54	President	Elected Annually Since February 2010	President of several investment companies advised by the Advisor (February 2010-Present); Chief Executive Officer and Chief Investment Officer of the Advisor (February 2010-Present); Co-Chief Executive Officer and Chief Investment Officer of the Advisor (October 2009-February 2010); Founder and Chief Executive Officer of Brookfield Redding LLC (2001-2009); Founder and President of RREEF Real Estate Securities (1993-2000).

Dana E. Erikson* c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 44	Vice President	Elected Annually Since July 2008	Vice President of one other investment company advised by the Advisor (August 2009-Present); Senior Portfolio Manager/Managing Director of the Advisor (2006-Present); Senior Portfolio Manager/Managing Director of Evergreen Investment Management Company, LLC (1996-2006).

Steven M. Pires* c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 53	Treasurer	Elected Annually Since April 2009	Treasurer of several investment companies advised by the Advisor (April 2009-Present); Vice President of Brookfield Operations and Management Services LLC (2008-Present); Assistant Vice President of Managers Investment Group LLC (2004-2008).

Jonathan C. Tyras* c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York, 10281-1010 Age 41	Secretary	Elected Annually Since March 2009	Director, General Counsel and Secretary of the Advisor (2006-Present); Vice President and General Counsel (2006-Present) and Secretary (2007-Present) of Crystal River Capital, Inc.; Secretary of several investment companies advised by the Advisor (2006-Present); Attorney at Paul, Hastings, Janofsky & Walker LLP (1998-2006).

Seth Gelman* c/o Three World Financial Center, 200 Vesey Street, 10^th Floor, New York, New York 10281-1010 Age 34	Chief Compliance Officer (“CCO”)	Elected Annually Since May 2009	Director and CCO of the Advisor (May 2009-Present); CCO of several investment companies advised by the Advisor (May 2009-Present); Vice President, Oppenheimer Funds (2004- May 2009).


		2010 Annual Report

HELIOS FUNDS

Information Concerning Directors and Officers (Unaudited)

Officers of the Funds (continued)

*	Interested person as defined by the Investment Company Act of 1940, as amended (the “1940 Act”) because of affiliations with Brookfield Investment Management Inc., Advisor of the Helios Funds.

The Funds’ Statement of Additional Information includes additional information about the directors and is available, without charge, upon request by calling 1-800-497-3746.


Brookfield Investment Management Inc.

HELIOS FUNDS

Dividend Reinvestment Plan (Unaudited)

The Funds offer a dividend reinvestment plan (the “Plan”) pursuant to which stockholders, unless they elect otherwise, automatically have dividends and other distributions reinvested in common shares of the Fund by Computershare Trust Company, N.A. and Computershare Shareholder Services, Inc. (together, the “Plan Agent”). Stockholders who elect not to participate in the Plan receive all distributions in cash paid by wire or check mailed directly to the recordholder by the Plan Agent.

How the Plan Works

After a Fund declares a dividend or determines to make other distributions, the Plan Agent will acquire shares for the participants’ accounts, depending upon the circumstances described below, either (i) through receipt of newly-issued shares of the Fund or (ii) by open-market purchases as follows:

•

If, on the payment date, the NAV is equal to or less than the market price per share plus estimated brokerage commissions, the Plan Agent will invest the distribution amount in newly-issued shares on behalf of the participants. The number of newly-issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the distribution by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the payment date, the dollar amount of the distribution will be divided by 95% of the market price on the payment date. Because common shares may be issued at less than their market price, Plan participants may get a benefit that non-participants do not.

•

If, on the payment date, the NAV is greater than the market value per share plus estimated brokerage commissions, the Plan Agent will invest the distribution amount in shares acquired on behalf of the participants in open-market purchases, which may be made on the New York Stock Exchange (“NYSE”), in the over-the-counter market or in negotiated transactions and may be on such terms as to price, delivery and otherwise as the Plan Agent shall determine. It is possible that the market price for the shares may increase before the Plan Agent has completed its purchases. Therefore, the average purchase price per share the Plan Agent pays may exceed the market price thereof on the payment date. If the market price per share increases so that it equals or exceeds the NAV per share (minus estimated brokerage commissions), the Plan Agent will cease its purchases. Otherwise, the Plan Agent will use all distributions received in cash to purchase shares in the open market on or shortly after the payment date, but in no event more than thirty (30) days after the payment date, except where temporary curtailment or suspension of purchases is necessary to comply with applicable provisions of the federal securities laws. If the Plan Agent is unable to invest the full amount through open-market purchases during the purchase period, the Plan Agent will request that, with respect to the uninvested portion of such amount, the Fund issue new shares at the close of business on the earlier of the last day of the purchase period or the first day during the purchase period on which the NAV per share (minus estimated brokerage commissions) equals or is less than the market price per share.

Costs of the Plan

The Plan Agent’s fees for the handling of the reinvestment of dividends and other distributions will be paid by the Funds. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Plan Agent’s open-market purchases in connection with the reinvestment of dividends and other distributions. If a participant elects to have the Plan Agent sell part or all of his or her shares and remit the proceeds, the participant will be subject to a $15.00 service fee and a $0.12 per share sold processing fee (which includes applicable brokerage commissions the Plan Agent is required to pay). The participant will not be charged any other fees for this service. However, each Fund reserves the right to amend the Plan to include a service fee payable by the participant.

Tax-Implications

The automatic reinvestment of dividends or other distributions does not relieve participants of any taxes that may be payable on such distributions. Participants will receive tax information annually for their personal records and to help them prepare their federal income tax returns. For further information as to the tax consequences of participation in the Plan, participants should consult with their own tax advisors.


		2010 Annual Report

HELIOS FUNDS

Dividend Reinvestment Plan (Unaudited)

Right to Withdraw

Participants may withdraw from the Plan by calling the Plan Agent at 800-426-5523, writing to the Plan Agent at 250 Royall Street, Canton, Massachusetts 02021 or completing and returning the transaction form attached to each Plan statement. The withdrawal will be effective immediately if the participant’s notice is received by the Plan Agent not less than ten days prior to any dividend or other distribution record date. Otherwise, the withdrawal will be effective the first trading day after the payment date for the dividend or other distribution with respect to any subsequent dividend or other distribution.


Brookfield Investment Management Inc.

CORPORATE INFORMATION

Investment Advisor and Administrator

Brookfield Investment Management Inc.

Three World Financial Center

200 Vesey Street, 10th Floor

New York, New York 10281-1010

www.brookfieldim.com

Please direct your inquiries to:

Investor Relations

Phone: 1-800-497-3746

E-mail: funds@brookfield.com

Transfer Agent

Stockholder inquiries relating to distributions, address changes and stockholder account information should be directed to the Funds’ transfer agent:

Computershare Shareholder Services, Inc.

250 Royall Street

Canton, Massachusetts 02021

1-800-426-5523

Sub-Administrator

State Street Bank and Trust Company

801 Pennsylvania Avenue

Kansas City, Missouri 64105

Independent Registered Public Accounting Firm

BBD, LLP

1835 Market Street, 26th Floor

Philadelphia, Pennsylvania 19103

Legal Counsel

Paul, Hastings, Janofsky and Walker LLP

75 East 55th Street

New York, New York 10022

Custodian and Fund Accounting Agent

State Street Bank and Trust Company

2 Avenue De Lafayette

Lafayette Corporate Center

Boston, Massachusetts 02116

The Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Form N-Q will be available on the SEC’s website at www.sec.gov. In addition, the Funds’ Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

You may obtain a description of the Funds’ proxy voting policies and procedures, and information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request by calling 1-800-497-3746, or go to the SEC’s website at www.sec.gov.

Brookfield Investment Management Inc.

Three World Financial Center

200 Vesey Street, 10^th Floor

New York, New York 10281-1010

1-800-497-3746

Name, Address and Age

Position(s)
Held with Funds

Term of Office and
Length of Time Served

Principal Occupation(s) During Past 5 Years

Lily Tjioe*
c/o Three World
Financial Center,
200 Vesey Street,
10^th Floor,
New York, New York 10281-1010
Age 31

Assistant Secretary

Elected Annually Since September 2009

Assistant Secretary (September 2009-Present) and Interim CCO (March-May 2009) of several investment companies advised by the Advisor. Vice President (March 2010-Present), Assistant Vice President (2009-March 2010) and Associate (2007-2009) of the Advisor; Juris Doctor, Boston University School of Law (2004-2007).