Cohen & Steers Alternative Income Fund N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number:    811-21668                                 

Cohen & Steers Alternative Income Fund, Inc.

(Exact name of registrant as specified in charter)

280 Park Avenue, New York, NY 10017

(Address of principal executive offices) (Zip code)

Dana A. DeVivo

Cohen & Steers Capital Management, Inc.

280 Park Avenue

New York, New York 10017

(Name and address of agent for service)

Registrant’s telephone number, including area code:    (212) 832-3232                                         

Date of fiscal year end:    October 31                                         

Date of reporting period:    October 31, 2021                                        

Item 1. Reports to Stockholders.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

To Our Shareholders:

We would like to share with you our report for the year ended October 31, 2021. The total returns for Cohen & Steers Alternative Income Fund, Inc. (the Fund) and its comparative benchmarks were:

	Six Months Ended October 31, 2021			Year Ended October 31, 2021
Cohen & Steers Alternative Income Fund:
Class A		5.58	%		32.91	%
Class C		5.19	%		31.96	%
Class I		5.67	%		33.27	%
Class R		5.41	%		32.64	%
Class Z		5.67	%		33.27	%
Linked Blended Benchmarka		4.13	%		28.31	%
S&P 500 Indexa		10.91	%		42.91	%

The performance data quoted represent past performance. Past performance is no guarantee of future results. The investment return and the principal value of an investment will fluctuate and shares, if redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Current total returns of the Fund can be obtained by visiting our website at cohenandsteers.com. All share class returns assume the reinvestment of all dividends and distributions at net asset value (NAV). Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower. Performance quoted does not reflect the deduction of the maximum 4.50% initial sales charge on Class A shares or the 1.00% maximum contingent deferred sales charge on Class C shares. The 1.00% maximum contingent deferred sales charge on Class C shares applies if redemption occurs on or before the one year anniversary date of their purchase. If such charges were included, returns would have been lower. Index performance does not reflect the deduction of any fees, taxes or expenses. An investor cannot invest directly in an index. Performance figures for periods shorter than one year are not annualized.

The Fund makes regular monthly distributions at a level rate (the Policy). Distributions paid by the Fund are subject to recharacterization for tax purposes and are taxable up to the amount of the Fund’s investment company taxable income and net realized gains. As a result of the Policy, the Fund may pay distributions in excess of the Fund’s investment company taxable income and net realized gains. This excess would be a return of capital distributed from the Fund’s assets. Distributions of capital decrease the Fund’s total assets and, therefore, could have the effect of increasing the Fund’s expense ratio. In addition, in order to make these distributions, the Fund may have to sell portfolio securities at a less than opportune time.

^a  For benchmark descriptions, see page 8.

1

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Fund Strategy Shift

Effective as of close of business April 30, 2021, the investment objectives, principal investment strategies and principal risks of the Fund were modified. The current investment objectives of the Fund are to seek a high level of current income and capital appreciation (previously were to seek a high level of current income and secondarily, capital appreciation). The number of strategies in the strategic allocation was also reduced to three: Preferred/Corporate Debt (40-60%), Global Listed Real Estate (10-30%) and Global Listed Infrastructure (20-40%).

Market Review

The 12-month period ended October 31, 2021 was positive for real assets such as real estate and infrastructure stocks as well credit-sensitive fixed income assets like preferreds. These groups benefited from the widespread implementation of COVID-19 vaccinations amid a continuation of stimulative monetary and fiscal policies globally, although market momentum slowed at times due in part to uncertainty about new virus variants. Bond yields rose in this environment from near historical lows, with the yield on the 10-year U.S. Treasury increasing from 0.9% to 1.6% by period end. However, longer-duration high-quality bonds and preferred securities had positive returns as the improving credit outlook more than countered interest-rate concerns in terms of investor sentiment.

Fund Performance

The Fund had a positive total return in the period and outperformed its linked blended benchmark.

Preferred Securities

Banks, the leading issuers of preferreds, reported results that mostly indicated continued strong asset quality and lower-than-anticipated loan losses—allowing for the continued release of loan-loss reserves. With capital in excess of regulatory requirements, loan losses in check and overall earnings solid, banks increased dividends and common stock buybacks in the period.

In this environment, the banking sector performed well in absolute terms and compared with the broader preferreds market. Security selection in banking aided the Fund’s relative performance in the period compared with the linked blended benchmark. Top contributors included several out-of-benchmark positions in contingent capital securities (CoCos), which are a type of preferred that can write down in value or be converted to equity in the event an issuer’s capital level deteriorates materially.

The insurance sector had a positive but lesser gain. Property & casualty insurance companies had significant premium growth with the recovering economy; life insurers benefited from a declining overall Covid impact and from solid results in their investment portfolios. Security selection in insurance helped the portfolio’s relative performance, as it did in the utilities and telecommunications sectors as well.

2

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Global Real Estate

Global real estate stocks had a large gain in the period and modestly outpaced the broader global equity market. Strong performers included companies that struggled the most in the early stages of the COVID pandemic, such as retail and hotel landlords. The rally was broad-based by region, with the U.S. and most European and Asia Pacific markets posting double-digit returns. Although government bond yields rose in the period amid increased inflation concerns, real estate generally benefited from investor optimism around economic recovery prospects. The Fund’s average underweight in real estate stocks detracted from relative performance compared with the linked blended benchmark.

Global Listed Infrastructure

Infrastructure companies had a solid absolute return but trailed global stocks. Performance was positive but mixed by sector. Top performers included economically sensitive sectors such as midstream energy, airports and toll roads. More defensive or secular growth companies like electric utilities and communications had relatively modest gains. Stock selection in the portfolio’s infrastructure allocation aided performance, led by the electric utilities sector. Stock selection in midstream energy and gas distribution further contributed to performance.

Midstream Energy and Natural Resource Equities

As the Fund invested in both midstream energy and natural resource equities in the first six months of the period, those holdings affected its performance compared with the linked blended benchmark. Midstream energy securities had a sizable return as they continued to rebound from their early-2020 lows along with oil prices. The Fund’s average overweight in midstream energy companies helped its performance, although stock selection in the allocation partly offset the effect. Natural resource equities also had a strong gain amid an upturn in their underlying commodities such as oil, industrial metals and grains. An average overweight and stock selection in natural resources contributed to relative performance.

Impact of Derivatives on Fund Performance

The Fund used derivatives in the form of forward foreign currency exchange contracts for managing currency risk on certain Fund positions denominated in foreign currencies. The currency exchange contracts did not have a material effect on the Fund’s total return for the 12 months ended October 31, 2021.

The Fund also used “swaptions,” which are options to enter into interest-rate swap contracts with the intention of managing interest-rate risk. In addition, the Fund utilized an options overlay strategy in which calls are written on a portion of the portfolio’s holdings. The swaptions and options strategy did not have a material effect on the Fund’s total return for the 12 months ended October 31, 2021.

3

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Sincerely,

JON CHEIGH	VINCENT L. CHILDERS
Portfolio Manager	Portfolio Manager

BEN MORTON	WILLIAM F. SCAPELL
Portfolio Manager	Portfolio Manager

ELAINE ZAHARIS-NIKAS

Portfolio Manager

The views and opinions in the preceding commentary are subject to change without notice and are as of the date of the report. There is no guarantee that any market forecast set forth in the commentary will be realized. This material represents an assessment of the market environment at a specific point in time, should not be relied upon as investment advice and is not intended to predict or depict performance of any investment.

Visit Cohen & Steers online at cohenandsteers.com

For more information about the Cohen & Steers family of mutual funds, visit cohenandsteers.com. Here you will find fund net asset values, fund fact sheets and portfolio highlights, as well as educational resources and timely market updates.

Our website also provides comprehensive information about Cohen & Steers, including our most recent press releases, profiles of our senior investment professionals and their investment approach to each asset class. The Cohen & Steers family of mutual funds invests in major real asset categories including real estate securities, listed infrastructure, commodities and natural resource equities, as well as preferred securities and other income solutions.

4

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Performance Review (Unaudited)

Class A—Growth of a $10,000 Investment   Class C—Growth of a $10,000 Investment  

Class I—Growth of a $100,000 Investment   Class R—Growth of a $10,000 Investment  

5

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Performance Review (Unaudited)—(Continued)

Class Z—Growth of a $10,000 Investment

Average Annual Total Returns–For Periods Ended October 31, 2021

	Class A Shares			Class C Shares			Class I Shares			Class R Shares			Class Z Shares
1 Year (with sales charge)		26.93	%a		30.96	%c		—			—			—
1 Year (without sales charge)		32.91	%		31.96	%		33.27	%		32.64	%		33.27	%
5 Years (with sales charge)		8.41	%a		8.69	%		—			—			—
5 Years (without sales charge)		9.41	%		8.69	%		9.78	%		9.23	%		9.78	%
10 Years (with sales charge)		10.08	%a		9.87	%		—			—			—
10 Years (without sales charge)		10.58	%		9.87	%		10.97	%		—			—
Since Inception (with sales charge)d		6.85	%a		6.46	%		—			—			—
Since Inception (without sales charge)d		7.16	%		6.46	%		7.54	%		7.34	%		7.88	%

The Fund changed its investment objectives and principal investment strategies on July 1, 2019 and further modified the investment objectives, principal investment strategies and benchmark effective after the close of business on April 30, 2021. The performance above reflects returns achieved pursuant to different investment objectives and principal investment strategies than the investment objectives and strategies currently employed by the Fund. If the Fund’s current strategies had been in place prior to July 1, 2019 and April 30, 2021, as applicable, results shown would have been different.

6

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Performance Review (Unaudited)—(Continued)

The performance data quoted represent past performance. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate and shares, if redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. Performance information current to the most recent month end can be obtained by visiting our website at cohenandsteers.com. All share class returns assume the reinvestment of all dividends and distributions at NAV. The performance graphs and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. During the periods presented above, the investment advisor waived fees and/or reimbursed expenses. Without this arrangement, performance would have been lower.

The annualized gross and net expense ratios, respectively, for each class of shares as disclosed in the March 1, 2021 prospectus were as follows: Class A—1.67% and 1.00%; Class C—2.32% and 1.65%; Class I—1.38% and 0.65%; Class R—1.82% and 1.15%; and Class Z—1.32% and 0.65%. Through June 30, 2023, the investment advisor has contractually agreed to waive its fee and/or reimburse expenses so that the Fund’s total annual operating expenses (excluding acquired fund fees and expenses, taxes and extraordinary expenses) do not exceed 1.00% for Class A shares, 1.65% for Class C shares, 0.65% for Class I shares, 1.15% for Class R shares and 0.65% for Class Z shares. This contractual agreement can only be amended or terminated by agreement of the Fund’s Board of Directors and the investment advisor and will terminate automatically in the event of termination of the investment advisory agreement between the investment advisor and the Fund.

^a  Reflects a 4.50% front-end sales charge.

^b  The comparative indexes are not adjusted to reflect expenses or other fees that the U.S. Securities and Exchange Commission (SEC) requires to be reflected in the Fund’s performance. Index performance does not reflect the deduction of any fees, taxes or expenses. An investor cannot invest directly in an index. The Fund’s performance assumes the reinvestment of all dividends and distributions at NAV. For more information, including charges and expenses, please read the prospectus carefully before you invest.

^c  Reflects a contingent deferred sales charge of 1.00%.

^d Inception date of August 31, 2005 for Class A, C and I shares and October 1, 2014 for Class R and Z shares.

7

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Performance Review (Unaudited)—(Continued)

Benchmark Descriptions

The Fund changed its investment objectives and principal investment strategies on July 1, 2019 and further modified the investment objectives, principal investment strategies and benchmark effective after the close of business on April 30, 2021. The Linked Blended Benchmark consists of the Russell 1000 Value Index through June 30, 2019 and the blended benchmark consisting of 15% FTSE EPRA Nareit Developed Real Estate Index (Net), 15% Alerian MLP Index, 15% Dow Jones Brookfield Global Infrastructure Index, 10% S&P Global Natural Resource Index (Net), and 45% Preferred Blended Benchmark (consists of 60% ICE BofA US IG Institutional Capital Securities Index, 20% ICE BofA Core Fixed Rate Preferred Securities Index and 20% Bloomberg Developed Market USD Contingent Capital Index) through April 30, 2021 and the Blended Benchmark consisting of 50% Preferred Blended Benchmark (consists of 60% ICE BofA US IG Institutional Capital Securities Index, 20% ICE BofA Core Fixed Rate Preferred Securities Index and 20% Bloomberg Developed Market USD Contingent Capital Index), 30% Dow Jones Brookfield Global Infrastructure Index, and 20% FTSE EPRA Nareit Developed Real Estate Index (Net) thereafter. The Russell 1000 Value Index measures the performance of the large-capitalization value segment of the U.S. equity universe in the Russell 1000 Index that have lower price-to-book ratios and lower expected growth values. The FTSE EPRA Nareit Developed Real Estate Index (Net) is an unmanaged market-capitalization-weighted total-return index, which consists of publicly traded equity REITs and listed property companies from developed markets and is net of dividend withholding taxes. The Alerian MLP Index (Total Return) is a capped, float- adjusted, capitalization-weighted index, whose constituents represent approximately 85% of total Master Limited Partnership (MLP) float-adjusted market capitalization. The Dow Jones Brookfield Global Infrastructure Index is a float-adjusted market-capitalization-weighted index that measures performance of globally domiciled companies that derive more than 70% of their cash flows from infrastructure lines of business. The S&P Global Natural Resources Index (Net) includes the largest publicly-traded companies in natural resources and commodities businesses that meet specific investability requirements and is net of dividend withholding taxes. The ICE BofA US IG Institutional Capital Securities Index tracks the performance of US dollar denominated investment grade hybrid capital corporate and preferred securities publicly issued in the US domestic market. The ICE BofA Core Fixed Rate Preferred Securities Index tracks the performance of fixed-rate US dollar-denominated preferred securities issued in the US domestic market, excluding $1000 par securities. The Bloomberg Developed Market USD Contingent Capital Index includes hybrid capital securities in developed markets with explicit equity conversion or write down loss absorption mechanisms that are based on an issuer’s regulatory capital ratio or other explicit solvency-based triggers. The S&P 500 Index is an unmanaged index of 500 large-capitalization stocks that is frequently used as a general measure of U.S. stock market performance.

8

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Expense Example (Unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs including investment advisory fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period May 1, 2021—October 31, 2021.

Actual Expenses

The first line of the following table provides information about actual account values and expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the following table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

9

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Expense Example (Unaudited)—(Continued)

	Beginning Account Value May 1, 2021		Ending Account Value October 31, 2021		Expenses Paid During Perioda May 1,  2021— October 31, 2021
Class A
Actual (5.58% return)	$	1,000.00	$	1,055.80	$	5.18
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,020.16	$	5.09
Class C
Actual (5.19% return)	$	1,000.00	$	1,051.90	$	8.53
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,016.89	$	8.39
Class I
Actual (5.67% return)	$	1,000.00	$	1,056.70	$	3.37
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,021.93	$	3.31
Class R
Actual (5.41% return)	$	1,000.00	$	1,054.10	$	5.95
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,019.41	$	5.85
Class Z
Actual (5.67% return)	$	1,000.00	$	1,056.70	$	3.37
Hypothetical (5% annual return before expenses)	$	1,000.00	$	1,021.93	$	3.31

^a  Expenses are equal to the Fund’s Class A, Class C, Class I, Class R and Class Z annualized net expense ratios of 1.00%, 1.65%, 0.65%, 1.15% and 0.65%, respectively, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

10

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

October 31, 2021

Top Ten Holdings^a

(Unaudited)

Security	Value		% of Net Assets
American Tower Corp.	$	2,125,772		2.7
Enbridge, Inc. (Canada)		2,043,315		2.6
Vinci SA (France)		1,137,845		1.5
Anglo American PLC (South Africa)		945,677		1.2
Sempra Energy		862,268		1.1
TC Energy Corp. (Canada)		798,034		1.0
Renewable Energy Group, Inc.		793,216		1.0
ONEOK, Inc.		782,399		1.0
Kayne Anderson MLP Investment Company		727,024		0.9
Essential Utilities, Inc.		724,454		0.9

^a  Top ten holdings (excluding short-term investments and derivative instruments) are determined on the basis of the value of individual securities held. The Fund may also hold positions in other securities issued by the companies listed above. See the Schedule of Investments for additional details on such other positions.

Strategy Breakdown^b

(Unaudited)

^b  The strategy breakdown is expressed as a percentage of the Fund’s total long-term investments and excludes derivative instruments.

11

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS

October 31, 2021

		Shares		Value
CLOSED-END FUNDS	1.8%
MASTER LIMITED PARTNERSHIPS	0.9%
Kayne Anderson MLP Investment Company			85,633	$	727,024
U.S. GENERAL EQUITY	0.9%
Adams Diversified Equity Fund, Inc.			30,653		650,150
TOTAL CLOSED-END FUNDS (Identified cost—$1,305,889)					1,377,174
COMMON STOCK	47.4%
AIRPORTS—FOREIGN	0.6%
Aena SME SA, 144A (Spain)a,b			1,968		322,255
Auckland International Airport Ltd. (New Zealand)b			27,244		155,989
					478,244
COMMUNICATIONS	4.4%
TOWERS	3.6%
American Tower Corp.			7,539		2,125,772
Crown Castle International Corp.			3,845		693,253
					2,819,025
TOWERS—FOREIGN	0.8%
Cellnex Telecom SA, 144A (Spain)a			4,328		266,068
Vantage Towers AG (Germany)			10,177		349,880
					615,948
TOTAL COMMUNICATIONS					3,434,973
ELECTRIC	2.1%
CenterPoint Energy, Inc.			8,260		215,090
Duke Energy Corp.			1,499		152,913
Evergy, Inc.			2,976		189,720
Eversource Energy			3,414		289,849
PG&E Corp.b			24,490		284,084
Portland General Electric Co.			4,100		202,171
Public Service Enterprise Group, Inc.			4,983		317,915
					1,651,742
ELECTRIC—FOREIGN	2.1%
China Longyuan Power Group Corp. Ltd. (China)			131,000		306,096
Elia Group SA/NV (Belgium)			1,794		209,253
Hydro One Ltd., 144A (Canada)a			12,600		301,052

See accompanying notes to financial statements.

12

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
National Grid PLC (United Kingdom)			45,320	$	580,160
West Holdings Corp. (Japan)			4,800		267,006
					1,663,567
ENERGY	2.2%
GAS—DISTRIBUTION—FOREIGN	1.0%
Enn Energy Holdings Ltd. (China)			34,100		590,357
Snam S.p.A. (Italy)			35,831		202,837
					793,194
OIL & GAS	0.4%
EOG Resources, Inc.			3,651		337,571
OIL & GAS—FOREIGN	0.8%
Suncor Energy, Inc. (Canada)			23,285		612,417
TOTAL ENERGY					1,743,182
ENVIRONMENTAL SERVICES	0.4%
Waste Management, Inc.			1,824		292,260
INFRASTRUCTURE	0.5%
Norfolk Southern Corp.			1,285		376,569
MARINE PORTS—FOREIGN	1.0%
China Merchants Port Holdings Co., Ltd. (China)			184,000		307,435
COSCO SHIPPING Ports Ltd. (China)			544,000		453,071
					760,506
MATERIALS—METALS & MINING—FOREIGN	2.5%
Anglo American PLC (South Africa)			24,834		945,677
BHP Group PLC (Australia)			20,399		540,195
Kirkland Lake Gold Ltd. (Canada)			11,807		497,714
					1,983,586
PIPELINES	3.4%
Cheniere Energy, Inc.b			6,147		635,600
DT Midstream, Inc.			11,254		539,742
ONEOK, Inc.			12,298		782,399
Targa Resources Corp.			12,362		675,830
					2,633,571

See accompanying notes to financial statements.

13

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
PIPELINES—FOREIGN	4.2%
Enbridge, Inc. (Canada)			48,781	$	2,043,315
Gibson Energy, Inc. (Canada)			7,023		141,527
TC Energy Corp. (Canada)			14,752		798,034
Tidewater Renewables Ltd. (Canada)b			21,678		267,997
					3,250,873
RAILWAYS—FOREIGN	0.2%
West Japan Railway Co. (Japan)			3,000		141,163
REAL ESTATE	15.9%
DATA CENTERS	1.1%
CyrusOne, Inc.			5,068		415,677
Digital Realty Trust, Inc.			2,856		450,705
Equinix, Inc.			36		30,135
					896,517
DIVERSIFIED—FOREIGN	2.7%
Activia Properties, Inc. (Japan)			21		86,045
British Land Co., PLC/The (United Kingdom)			7,684		51,980
Castellum AB (Sweden)			8,643		229,863
Charter Hall Group (Australia)			11,959		155,903
City Developments Ltd. (Singapore)			8,700		47,226
CK Asset Holdings Ltd. (Hong Kong)			14,500		89,548
Dexus (Australia)			9,871		80,715
Hysan Development Co., Ltd. (Hong Kong)			22,000		76,486
ICADE (France)			1,209		94,757
LaSalle Logiport REIT (Japan)			53		88,167
Merlin Properties Socimi SA (Spain)			5,476		59,302
Mirvac Group (Australia)			54,809		116,269
Mitsui Fudosan Co., Ltd. (Japan)			13,300		303,225
Nomura Real Estate Master Fund, Inc. (Japan)b			40		59,908
NSI NV (Netherlands)			1,551		62,215
Sumitomo Realty & Development Co., Ltd. (Japan)			3,900		140,636
Sun Hung Kai Properties Ltd. (Hong Kong)			9,500		126,374
Tokyu Fudosan Holdings Corp. (Japan)			7,500		43,365
United Urban Investment Corp. (Japan)			133		165,703
					2,077,687

See accompanying notes to financial statements.

14

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
HEALTH CARE	1.5%
Healthcare Trust of America, Inc., Class A			2,278	$	76,062
Healthpeak Properties, Inc.			8,384		297,716
Ventas, Inc.			4,970		265,249
Welltower, Inc.			6,452		518,741
					1,157,768
HEALTH CARE—FOREIGN	0.3%
Assura PLC (United Kingdom)			112,190		111,929
HealthCo REIT (Australia)b			28,737		46,045
Parkway Life Real Estate Investment Trust (Singapore)			28,026		96,849
					254,823
HOTEL	0.4%
Host Hotels & Resorts, Inc.b			4,507		75,853
Ryman Hospitality Properties, Inc.b			3,030		259,186
					335,039
HOTEL—FOREIGN	0.1%
Invincible Investment Corp. (Japan)			118		46,589
INDUSTRIALS	1.3%
Americold Realty Trust			3,128		92,182
Duke Realty Corp.			9,984		561,500
Prologis, Inc.			2,312		335,148
					988,830
INDUSTRIALS—FOREIGN	0.8%
Catena AB (Sweden)			2,133		129,897
CTP NV, 144A (Netherlands)a,b			2,276		48,412
Frasers Logistics & Commercial Trust (Singapore)			111,200		125,342
Goodman Group (Australia)			2,145		35,337
LondonMetric Property PLC (United Kingdom)			11,894		42,550
Segro PLC (United Kingdom)			9,220		163,088
Tritax Big Box REIT PLC (United Kingdom)			29,695		91,438
					636,064
NET LEASE	0.6%
NETSTREIT Corp.			12,596		305,327
VICI Properties, Inc.			5,081		149,128
					454,455

See accompanying notes to financial statements.

15

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
NET LEASE—FOREIGN	0.1%
ARGAN SA (France)			896	$	112,485
OFFICE—FOREIGN	0.4%
Alstria Office REIT AG (Germany)			2,232		41,696
Cofinimmo SA (Belgium)			408		65,795
Daiwa Office Investment Corp. (Japan)			17		109,629
Keppel REIT (Singapore)			98,400		82,456
Workspace Group PLC (United Kingdom)			4,388		49,363
					348,939
RESIDENTIAL	2.7%
APARTMENT	1.3%
Apartment Income REIT Corp.			5,482		293,890
AvalonBay Communities, Inc.			1,617		382,711
UDR, Inc.			5,441		302,139
					978,740
APARTMENT—FOREIGN	1.0%
Aedifica SA (Belgium)			491		65,444
Daiwa House REIT Investment Corp. (Japan)			34		97,547
LEG Immobilien SE (Germany)			552		82,093
Tricon Residential, Inc. (Canada)			9,150		133,224
Vonovia SE (Germany)			5,039		305,584
Wharf Real Estate Investment Co., Ltd. (Hong Kong)			19,000		107,204
					791,096
SINGLE FAMILY	0.4%
Invitation Homes, Inc.			7,402		305,333
TOTAL RESIDENTIAL					2,075,169
RETAIL—FOREIGN	0.8%
CapitaLand Integrated Commercial Trust (Singapore)			84,796		135,196
Eurocommercial Properties NV (Netherlands)			2,214		51,674
Japan Retail Fund Investment Corp. (Japan)			62		56,846
Klepierre SA (France)b			7,297		173,430
Link REIT (Hong Kong)			13,483		119,571
SmartCentres Real Estate Investment Trust (Canada)			4,024		101,413
					638,130

See accompanying notes to financial statements.

16

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
SELF STORAGE	1.3%
CubeSmart			6,031	$	331,765
Public Storage			2,033		675,322
					1,007,087
SELF STORAGE—FOREIGN	0.6%
National Storage REIT (Australia)			39,047		70,202
Safestore Holdings PLC (United Kingdom)			8,638		142,095
Sumitomo Warehouse Co., Ltd./The (Japan)			18,400		294,787
					507,084
SHOPPING CENTERS	1.0%
COMMUNITY CENTER	0.5%
Federal Realty Investment Trust			3,191		384,037
REGIONAL MALL	0.5%
Simon Property Group, Inc.			2,886		423,030
TOTAL SHOPPING CENTERS					807,067
SPECIALTY	0.2%
Lamar Advertising Co., Class A			1,043		118,068
TOTAL REAL ESTATE					12,461,801
RENEWABLE ENERGY	1.5%
Clearway Energy, Inc.			10,060		356,929
Renewable Energy Group, Inc.b			12,394		793,216
					1,150,145
TOLL ROADS—FOREIGN	2.3%
Transurban Group (Australia)			52,371		529,483
Vinci SA (France)			10,656		1,137,845
Zhejiang Expressway Co., Ltd., Class H (China)			180,000		159,861
					1,827,189
UTILITIES	4.1%
ELECTRIC	1.1%
Sempra Energy			6,756		862,268
GAS	1.1%
Atmos Energy Corp.			3,074		283,177
NiSource, Inc.			21,330		526,211
					809,388

See accompanying notes to financial statements.

17

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
GAS—FOREIGN	0.1%
China Suntien Green Energy Corp. Ltd. (China)			109,000	$	86,858
WATER	0.9%
Essential Utilities, Inc.			15,391		724,455
WATER—FOREIGN	0.9%
Guangdong Investment Ltd. (China)			16,421		20,683
Pennon Group PLC (United Kingdom)			20,683		330,045
United Utilities Group PLC (United Kingdom)			25,690		365,117
					715,845
TOTAL UTILITIES					3,198,814
TOTAL COMMON STOCK (Identified cost—$31,962,356)					37,048,185
MASTER LIMITED PARTNERSHIPSAND RELATED COMPANIES	0.4%
NextDecade Corp.b			77,478		284,344
MASTER LIMITED PARTNERSHIPSAND RELATED COMPANIES (Identified cost—$241,055)					284,344
PREFERRED SECURITIES—$25 PAR VALUE	7.3%
BANKS	0.8%
Dime Community Bancshares, Inc., 5.50%, Series Ac			5,287		137,991
First Horizon Corp., 4.70%, Series Fc			4,000		104,000
First Republic Bank/CA, 4.00%, Series Mc			4,000		97,520
JPMorgan Chase & Co., 4.20%, Series MMc			2,345		58,977
Signature Bank/New York NY, 5.00%, Series ac			2,952		76,457
Wells Fargo & Co., 4.25%, Series DDc			2,363		58,980
Wells Fargo & Co., 4.75%, Series Zc			1,870		48,433
Western Alliance Bancorp, 4.25% to 9/30/26, Series Ac,d			2,998		78,727
					661,085
ELECTRIC	0.3%
CMS Energy Corp., 4.20%, Series Cc			3,890		96,472
SCE Trust V, 5.45% to 3/15/26, Series Kc,d			6,561		169,799
					266,271
ELECTRIC—FOREIGN	0.4%
Brookfield Infrastructure Finance ULC, 5.00%, due 5/24/81 (Canada)			1,861		48,088

See accompanying notes to financial statements.

18

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)c			9,106	$	230,291
					278,379
FINANCIAL	1.0%
DIVERSIFIED FINANCIAL SERVICES	0.9%
Carlyle Finance LLC, 4.625%, due 5/15/61			3,015		77,667
Federal Agricultural Mortgage Corp., 4.875%, Series Gc			7,200		188,748
KKR Group Finance Co. IX LLC, 4.625%, due 4/1/61			2,985		77,849
Oaktree Capital Group LLC, 6.55%, Series Bc			3,500		95,550
Synchrony Financial, 5.625%, Series Ac			8,490		226,428
					666,242
INVESTMENT ADVISORY SERVICES	0.1%
Affiliated Managers Group, Inc., 4.20%, due 9/30/61			2,800		69,160
INVESTMENT BANKER/BROKER	0.0%
Morgan Stanley, 4.25%, Series Oc			1,550		38,874
TOTAL FINANCIAL					774,276
INSURANCE	1.5%
LIFE/HEALTH INSURANCE	0.9%
Athene Holding Ltd., 6.375% to 6/30/25, Series Cc,d			3,736		107,896
Athene Holding Ltd., 4.875%, Series Dc			5,275		136,464
Brighthouse Financial, Inc., 5.375%, Series Cc			9,321		247,193
CNO Financial Group, Inc., 5.125%, due 11/25/60			3,737		100,899
Equitable Holdings, Inc., 5.25%, Series Ac			3,613		96,034
					688,486
PROPERTY CASUALTY	0.4%
Assurant, Inc., 5.25%, due 1/15/61			1,613		43,567
Enstar Group Ltd., 7.00% to 9/1/28, Series Dc,d			10,325		302,419
					345,986
REINSURANCE	0.1%
Arch Capital Group Ltd., 4.55%, Series Gc			3,600		93,420
REINSURANCE—FOREIGN	0.1%
RenaissanceRe Holdings Ltd., 4.20%, Series G (Bermuda)c			3,224		81,180
TOTAL INSURANCE					1,209,072

See accompanying notes to financial statements.

19

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
INTEGRATED TELECOMMUNICATIONS SERVICES	1.1%
AT&T, Inc., 4.75%, Series Cc			3,100	$	80,724
Telephone and Data Systems, Inc., 6.625%, Series UUc			6,100		167,323
Telephone and Data Systems, Inc., 6.00%, Series VVc			8,525		223,525
United States Cellular Corp., 5.50%, due 3/1/70			5,814		154,710
United States Cellular Corp., 5.50%, due 6/1/70			4,864		128,799
United States Cellular Corp., 6.25%, due 9/1/69			4,595		126,179
					881,260
PIPELINES	0.2%
Energy Transfer LP, 7.60% to 5/15/24, Series Ec,d			6,122		156,233
PIPELINES—FOREIGN	0.3%
Enbridge, Inc., 5.949% to 6/1/23, Series 1 (Canada)c,d			3,984		94,381
TC Energy Corp., 3.355% to 11/30/25, Series 11 (Canada)c,d			5,951		118,914
					213,295
REAL ESTATE	1.3%
HOTEL	0.1%
Pebblebrook Hotel Trust, 6.375%, Series Gc			4,000		108,000
INDUSTRIALS	0.5%
Monmouth Real Estate Investment Corp., 6.125%, Series Cc			10,700		272,957
Rexford Industrial Realty, Inc., 5.625%, Series Cc			2,700		71,847
					344,804
NET LEASE	0.2%
Spirit Realty Capital, Inc., 6.00%, Series Ac			4,350		113,492
OFFICE	0.2%
Brookfield Property Partners LP, 5.75%, Series Ac			4,462		108,917
Brookfield Property Preferred LP, 6.25%, due 7/26/81			3,000		74,490
					183,407
RESIDENTIAL—SINGLE FAMILY	0.3%
American Homes 4 Rent, 5.875%, Series Gc			9,364		245,337
TOTAL REAL ESTATE					995,040
UTILITIES—GAS	0.3%
South Jersey Industries, Inc., 5.625%, due 9/16/79			7,344		196,379

See accompanying notes to financial statements.

20

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Shares		Value
UTILITIES—FOREIGN	0.1%
Brookfield BRP Holdings Canada, Inc., 4.625% (Canada)c			3,200	$	79,936
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$5,438,697)					5,711,226
		Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	41.2%
BANKS	9.5%
Ally Financial, Inc., 4.70% to 5/15/26, Series Bc,d		$	130,000		135,119
Ally Financial, Inc., 4.70% to 5/15/28, Series Cc,d			280,000		285,600
Bank of America Corp., 5.875% to 3/15/28, Series FFc,d			237,000		265,611
Bank of America Corp., 6.10% to 3/17/25, Series AAc,d			360,000		396,250
Bank of America Corp., 6.25% to 9/5/24, Series Xc,d			403,000		439,522
Bank of America Corp., 6.50% to 10/23/24, Series Zc,d			85,000		94,137
Capital One Financial Corp., 3.95% to 9/1/26, Series Mc,d			139,000		141,474
Citigroup, Inc., 3.875% to 2/18/26c,d			280,000		283,150
Citigroup, Inc., 4.00% to 12/10/25, Series Wc,d			153,000		156,634
Citigroup, Inc., 4.15% to 11/15/26, Series Yc,d			100,000		100,600
Citigroup, Inc., 5.00% to 9/12/24, Series Uc,d			361,000		374,220
Citigroup, Inc., 5.95% to 5/15/25, Series Pc,d			455,000		491,400
Citigroup, Inc., 6.25% to 8/15/26, Series Tc,d			277,000		319,575
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series Fc,d			65,000		71,419
Comerica, Inc., 5.625% to 7/1/25c,d			98,000		108,412
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144Aa,c,d			125,000		136,875
Goldman Sachs Group, Inc./The, 3.65% to 8/10/26, Series Uc,d			182,000		181,090
Goldman Sachs Group, Inc./The, 3.80% to 5/10/26, Series Tc,d			58,000		58,145
Goldman Sachs Group, Inc./The, 4.125% to 11/10/26, Series Vc,d			97,000		97,383
JPMorgan Chase & Co., 3.65% to 6/1/26, Series KKc,d			320,000		319,200
JPMorgan Chase & Co., 4.60% to 2/1/25, Series HHc,d			68,000		69,640
JPMorgan Chase & Co., 5.00% to 8/1/24, Series FFc,d			185,000		191,591
JPMorgan Chase & Co., 6.10% to 10/1/24, Series Xc,d			345,000		371,091
JPMorgan Chase & Co., 6.125% to 4/30/24, Series Uc,d			280,000		300,076
JPMorgan Chase & Co., 6.75% to 2/1/24, Series Sc,d			90,000		98,430
M&T Bank Corp., 3.50% to 9/1/26c,d			108,000		106,380

See accompanying notes to financial statements.

21

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
PNC Financial Services Group, Inc./The, 3.40% to 9/15/26, Series Tc,d		$	210,000	$	207,637
Regions Financial Corp., 5.75% to 6/15/25, Series Dc,d			50,000		55,312
SVB Financial Group, 4.00% to 5/15/26, Series Cc,d			210,000		210,787
SVB Financial Group, 4.25% to 11/15/26, Series Dc,d			210,000		211,024
SVB Financial Group, 4.70% to 11/15/31, Series Ec,d			110,000		111,994
Truist Financial Corp., 4.95% to 9/1/25, Series Pc,d			88,000		95,722
US Bancorp, 3.70% to 1/15/27c,d			200,000		199,710
Wells Fargo & Co., 3.90% to 3/15/26, Series BBc,d			503,000		512,746
Wells Fargo & Co., 5.875% to 6/15/25, Series Uc,d			170,000		187,637
					7,385,593
BANKS—FOREIGN	14.9%
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)c,d,e,f			200,000		244,436
Banco de Sabadell SA, 5.75% to 3/15/26 (Spain)c,d,e,f			200,000		245,672
Banco Santander SA, 7.50% to 2/8/24 (Spain)c,d,e,f			200,000		216,807
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)c,d,e,f			200,000		269,694
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)c,d			90,000		96,271
Barclays PLC, 5.875% to 9/15/24 (United Kingdom)c,d,e,f			200,000		286,008
Barclays PLC, 6.125% to 12/15/25 (United Kingdom)c,d,f			200,000		219,938
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)c,d,f			200,000		223,125
BNP Paribas SA, 4.50% to 2/25/30, 144A (France)a,c,d,f			200,000		196,625
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)a,c,d,f			200,000		229,639
CaixaBank SA, 3.625% to 9/14/28 (Spain)c,d,e,f			200,000		220,446
Commerzbank AG, 4.25% to 10/9/27 (Germany)c,d,e,f			200,000		229,875
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)a,c,d,f			200,000		220,850
Credit Agricole SA, 7.875% to 1/23/24, 144A (France)a,c,d,f			200,000		221,645
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)a,c,d,f			200,000		240,086
Credit Suisse Group AG, 6.375% to 8/21/26, 144A (Switzerland)a,c,d,f			400,000		436,500
Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)a,c,d,f			200,000		221,998
Deutsche Bank AG, 4.789% to 4/30/25 (Germany)c,d,e,f			400,000		401,836
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)a,c,d			65,000		106,113
HSBC Holdings PLC, 6.00% to 5/22/27 (United Kingdom)c,d,f			200,000		217,624
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)c,d,f			200,000		217,839

See accompanying notes to financial statements.

22

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

	Principal Amount		Value
Iccrea Banca SpA, 4.75% to 10/18/26, due 1/18/32, Series EMTN (Italy)d,e	$	200,000	$	234,670
ING Groep N.V., 3.875% to 5/16/27 (Netherlands)c,d,f		400,000		386,000
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)c,d,f		200,000		217,291
Intesa Sanpaolo SpA, 5.50% to 3/1/28, Series EMTN (Italy)c,d,e,f		250,000		318,458
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)a,c,d,f		200,000		223,750
La Banque Postale SA, 3.00% to 11/20/28 (France)c,d,e,f		200,000		220,494
Lloyds Banking Group PLC, 6.413% to 10/1/35, 144A (United Kingdom)a,c,d		100,000		140,285
Lloyds Banking Group PLC, 6.657% to 5/21/37, 144A (United Kingdom)a,c,d		200,000		286,750
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)c,d,f		400,000		459,250
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)a,c,d,f		200,000		216,917
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)c,d,e,f		200,000		298,897
Natwest Group PLC, 4.60% to 6/28/31 (United Kingdom)c,d,f		400,000		395,000
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)c,d,f		200,000		234,753
Royal Bank of Canada, 3.65% to 10/24/26, due 11/24/81 (Canada)d		200,000		158,827
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)d		200,000		170,438
Societe Generale SA, 4.75% to 5/26/26, 144A (France)a,c,d,f		200,000		205,370
Societe Generale SA, 6.75% to 4/6/28, 144A (France)a,c,d,f		200,000		223,500
Societe Generale SA, 7.875% to 12/18/23, 144A (France)a,c,d,f		200,000		220,860
Societe Generale SA, 8.00% to 9/29/25, 144A (France)a,c,d,f		200,000		233,201
Standard Chartered PLC, 4.75% to 1/14/31, 144A (United Kingdom)a,c,d,f		200,000		196,625
Standard Chartered PLC, 6.00% to 7/26/25, 144A (United Kingdom)a,c,d,f		200,000		217,900
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)a,c,d,f		200,000		213,598
Stichting AK Rabobank Certificaten, 19.436% (Netherlands)c,e		83,850		134,905
UBS Group AG, 6.875% to 8/7/25 (Switzerland)c,d,e,f		200,000		226,125

See accompanying notes to financial statements.

23

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)a,c,d,f		$	400,000	$	432,778
UniCredit SpA, 4.45% to 12/3/27, Series EMTN (Italy)c,d,e,f			200,000		235,819
UniCredit SpA, 8.00% to 6/3/24 (Italy)c,d,e,f			200,000		218,909
					11,684,397
ELECTRIC	1.2%
CenterPoint Energy, Inc., 6.125% to 9/1/23, Series Ac,d			170,000		179,720
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50d			65,000		72,313
Dominion Energy, Inc., 4.65% to 12/15/24, Series Bc,d			120,000		128,100
Duke Energy Corp., 3.25% to 1/15/27, due 1/15/82d			40,000		39,754
Duke Energy Corp., 4.875% to 9/16/24c,d			170,000		180,880
Southern Co./The, 3.75% to 6/15/26, due 9/15/51, Series 21-Ad			180,000		183,024
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series Bd			140,000		146,328
					930,119
ELECTRIC—FOREIGN	0.9%
Electricite de France SA, 5.00% to 1/22/26, Series EMTN (France)c,d,e			200,000		257,495
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)d			401,000		472,230
					729,725
FINANCIAL	2.7%
CREDIT CARD	0.4%
American Express Co., 3.55% to 9/15/26c,d			248,000		249,643
Discover Financial Services, 6.125% to 6/23/25, Series Dc,d			40,000		44,540
					294,183
DIVERSIFIED FINANCIAL SERVICES	0.7%
Aircastle Ltd., 5.25% to 6/15/26, 144Aa,c,d			60,000		61,800
Ares Finance Co. III LLC, 4.125% to 6/30/26, due 6/30/51, 144Aa,d			90,000		92,524
Depository Trust & Clearing Corp./The, 3.375% to 6/20/26, Series D, 144Aa,c,d			250,000		252,969
ILFC E-Capital Trust II, 3.71% (30 Year CMT + 1.80%), due 12/21/65, 144A (FRN)a,g			210,000		180,350
					587,643

See accompanying notes to financial statements.

24

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
INVESTMENT ADVISORY SERVICES—FOREIGN	0.3%
Julius Baer Group Ltd., 4.875% to 10/8/26 (Switzerland)c,d,e,f		$	200,000	$	209,875
INVESTMENT BANKER/BROKER	1.3%
Charles Schwab Corp./The, 4.00% to 6/1/26, Series Ic,d			531,000		547,143
Charles Schwab Corp./The, 4.00% to 12/1/30, Series Hc,d			191,000		194,104
Charles Schwab Corp./The, 5.375% to 6/1/25, Series Gc,d			271,000		298,750
					1,039,997
TOTAL FINANCIAL					2,131,698
INSURANCE	7.1%
FINANCE	0.1%
Liberty Mutual Group, Inc., 4.125% to 12/15/26, due 12/15/51, 144Aa,d			98,000		100,577
LIFE/HEALTH INSURANCE	1.4%
Equitable Holdings, Inc., 4.95% to 9/15/25, Series Bc,d			180,000		193,950
MetLife, Inc., 10.75%, due 8/1/69			200,000		341,236
SBL Holdings, Inc., 6.50% to 11/13/26, 144Aa,c,d			150,000		148,125
SBL Holdings, Inc., 7.00% to 5/13/25, 144Aa,c,d			290,000		291,812
Voya Financial, Inc., 6.125% to 9/15/23, Series Ac,d			85,000		90,525
					1,065,648
LIFE/HEALTH INSURANCE—FOREIGN	1.2%
Phoenix Group Holdings PLC, 5.625% to 1/29/25 (United Kingdom)c,d,e,f			400,000		420,330
Rothesay Life PLC, 4.875% to 4/13/27, Series NC6 (United Kingdom)c,d,e,f			200,000		199,511
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)c,d,e,f			200,000		312,440
					932,281
MULTI-LINE	0.7%
American International Group, Inc., 8.175% to 5/15/38, due 5/15/68d			325,000		479,942
Hartford Financial Services Group, Inc./The, 2.281% (3 Month US LIBOR + 2.125%), due 2/12/67, 144A, Series ICON (FRN)a,g			100,000		97,250
					577,192

See accompanying notes to financial statements.

25

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
MULTI-LINE—FOREIGN	0.8%
Allianz SE, 3.50% to 11/17/25, 144A (Germany)a,c,d,f		$	200,000	$	202,000
AXA SA, 6.379% to 12/14/36, 144A (France)a,c,d			100,000		139,000
UnipolSai Assicurazioni SpA, 6.375% to 4/27/30 (Italy)c,d,e,f			200,000		266,794
					607,794
PROPERTY CASUALTY	1.2%
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48d			500,000		583,685
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40d			130,000		137,313
Markel Corp., 6.00% to 6/1/25c,d			130,000		143,162
PartnerRe Finance B LLC, 4.50% to 4/1/30, due 10/1/50d			35,000		37,395
					901,555
PROPERTY CASUALTY—FOREIGN	1.1%
Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)c,d,e			200,000		209,364
Lancashire Holdings Ltd., 5.625% to 3/18/31, due 9/18/41 (United Kingdom)d,e			200,000		217,379
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)a,c,d			400,000		438,000
					864,743
REINSURANCE	0.6%
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40d			300,000		317,140
Global Atlantic Fin Co., 4.70% to 7/15/26, due 10/15/51, 144Aa,d			182,000		187,605
					504,745
TOTAL INSURANCE					5,554,535
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.4%
Vodafone Group PLC, 4.125% to 3/4/31, due 6/4/81 (United Kingdom)d			190,000		189,119
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)d			75,000		90,743
					279,862
OIL & GAS—FOREIGN	0.9%
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)c,d			360,000		382,572

See accompanying notes to financial statements.

26

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)c,d		$	305,000	$	332,773
					715,345
PIPELINES	0.2%
Energy Transfer LP, 6.50% to 11/15/26, Series Hc,d			120,000		124,500
Energy Transfer LP, 7.125% to 5/15/30, Series Gc,d			40,000		41,950
					166,450
PIPELINES—FOREIGN	2.2%
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)d			315,000		354,848
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)d			260,000		287,561
Enbridge, Inc., 6.25% to 3/1/28, due 3/1/78 (Canada)d			80,000		88,338
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)d			283,000		309,531
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)d			175,000		186,375
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)d			420,000		464,100
					1,690,753
REAL ESTATE—RETAIL—FOREIGN	0.5%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)a,d			200,000		211,530
Scentre Group Trust 2, 5.125% to 6/24/30, due 9/24/80, 144A (Australia)a,d			200,000		212,750
					424,280
UTILITIES	0.7%
ELECTRIC	0.6%
Edison International, 5.375% to 3/15/26, Series Ac,d			153,000		158,164
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79d			55,000		63,923
Sempra Energy, 4.875% to 10/15/25c,d			265,000		286,574
					508,661

See accompanying notes to financial statements.

27

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

		Principal Amount		Value
GAS	0.1%
South Jersey Industries, Inc., 5.02%, due 4/15/31		$	40,000	$	43,660
TOTAL UTILITIES					552,321
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$31,088,809)					32,245,078
		Shares
SHORT-TERM INVESTMENTS	2.3%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class I, 0.01%h			1,818,246		1,818,246
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$1,818,246)					1,818,246
PURCHASED OPTION CONTRACTS	0.0%
(Premiums paid—$20,808)					23,498
TOTAL INVESTMENTSIN SECURITIES (Identified cost—$71,875,860)	100.4%				78,507,751
WRITTEN OPTION CONTRACTS
(Premiums received—$94,206)	(0.1)				(114,842	)
LIABILITIESIN EXCESSOF OTHER ASSETS	(0.3)				(209,113	)
NET ASSETS	100.0%			$	78,183,796

Over-The-Counter Option Contracts

Purchased Options

Interest Rate Swaptions

Description	Counterparty	Exercise Rate			Expiration Date		Notional Amounti		Premiums Paid		Value
Option to receive 3-month LIBOR Quarterly, Pay 1.75% Semiannually, maturing 4/5/32	Goldman Sachs International		1.75	%		4/1/22		$746,000		$12,452		$10,683
Option to receive 3-month LIBOR Quarterly, Pay 1.48% Semiannually, maturing 4/22/32	Goldman Sachs International		1.48	%		4/20/22		450,000		8,356		12,815
								$1,196,000		$20,808		$23,498

See accompanying notes to financial statements.

28

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

Written Options

Interest Rate Swaptions

Description	Counterparty	Exercise Rate			Expiration Date		Notional Amounti			Premiums Received			Value
Option to pay 3-month LIBOR Quarterly, Receive 2.05% Semiannually, maturing 4/5/32	Goldman Sachs International		2.05	%		4/1/22		$(746,000	)		$(6,653	)		$(4,955	)
Option to pay 3-month LIBOR Quarterly, Receive 1.78% Semiannually, maturing 4/22/32	Goldman Sachs International		1.78	%		4/20/22		(450,000	)		(4,440	)		(6,606	)
								$(1,196,000	)		$(11,093	)		$(11,561	)

Equity Options

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amountj			Premiums Received			Value
Call—American Tower Corp.	Goldman Sachs International		$301.21		11/19/21		(1,968	)		$(554,987	)		$(12,373	)		$(767	)
Call—Anglo American PLC	Goldman Sachs International		27.60		11/19/21		(6,209	)		(236,419	)		(7,734	)		(8,754	)
Call—AvalonBay Communities, Inc.	Goldman Sachs International		222.92		11/19/21		(437	)		(103,330	)		(2,333	)		(6,446	)
Call—Cellnex Telecom SA	Goldman Sachs International		60.91		11/19/21		(1,082	)		(66,517	)		(1,621	)		(78	)
Call—CenterPoint Energy, Inc.	Goldman Sachs International		24.98		11/19/21		(2,959	)		(77,059	)		(2,003	)		(3,392	)
Call—Cheniere Energy, Inc.	Goldman Sachs International		90.95		11/19/21		(2,252	)		(232,857	)		(4,953	)		(28,098	)
Call—Crown Castle International Corp.	Goldman Sachs International		195.29		11/19/21		(961	)		(173,313	)		(3,878	)		(118	)
Call—CubeSmart	Goldman Sachs International		53.04		11/19/21		(1,475	)		(81,155	)		(1,789	)		(3,709	)
Call—Digital Realty Trust, Inc.	Goldman Sachs International		162.55		11/19/21		(771	)		(121,689	)		(2,660	)		(886	)
Call—Duke Energy Corp.	Goldman Sachs International		100.33		11/19/21		(375	)		(38,228	)		(874	)		(807	)
Call—Duke Realty Corp.	Goldman Sachs International		51.48		11/19/21		(2,109	)		(118,623	)		(1,480	)		(9,603	)
Call—Eversource Energy	Goldman Sachs International		86.96		11/19/21		(854	)		(72,462	)		(1,905	)		(687	)
Call—Healthpeak Properties, Inc.	Goldman Sachs International		35.81		11/19/21		(2,264	)		(80,383	)		(1,814	)		(1,025	)
Call—Invitation Homes, Inc.	Goldman Sachs International		41.12		11/19/21		(1,999	)		(82,439	)		(1,594	)		(1,330	)

See accompanying notes to financial statements.

29

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

Description	Counterparty	Exercise Price		Expiration Date		Number of Contracts			Notional Amountj			Premiums Received			Value
Call—Kirkland Lake Gold, Ltd.	Goldman Sachs International		$55.79		11/19/21		(6,310	)		$(266,003	)		$(8,919	)		$(2,587	)
Call— National Grid PLC	Goldman Sachs International		9.81		11/19/21		(11,330	)		(145,040	)		(3,125	)		(282	)
Call—Prologis, Inc.	Goldman Sachs International		135.41		11/19/21		(398	)		(57,651	)		(1,082	)		(4,004	)
Call—Public Service Enterprise Group, Inc.	Goldman Sachs International		62.91		11/19/21		(1,246	)		(79,479	)		(1,797	)		(2,189	)
Call—Public Storage	Goldman Sachs International		317.54		11/19/21		(549	)		(182,334	)		(4,012	)		(9,863	)
Call—Snam S.p.A.	Goldman Sachs International		5.02		11/19/21		(8,958	)		(50,709	)		(1,034	)		(258	)
Call—UDR, Inc.	Goldman Sachs International		54.21		11/19/21		(1,759	)		(97,650	)		(2,067	)		(2,944	)
Call—Vantage Towers AG	Goldman Sachs International		30.47		11/19/21		(2,544	)		(87,470	)		(1,165	)		(806	)
Call—Ventas, Inc.	Goldman Sachs International		58.44		11/19/21		(787	)		(41,990	)		(1,164	)		(80	)
Call—VICI Properties, Inc.	Goldman Sachs International		30.58		11/19/21		(1,372	)		(40,264	)		(884	)		(175	)
Call—Vinci SA	Goldman Sachs International		89.12		11/19/21		(2,664	)		(284,461	)		(5,520	)		(11,386	)
Call—Waste Management, Inc.	Goldman Sachs International		155.14		11/19/21		(456	)		(73,065	)		(1,580	)		(2,879	)
Call—Welltower, Inc.	Goldman Sachs International		88.77		11/19/21		(1,742	)		(140,059	)		(3,753	)		(128	)
							(65,830	)		$(3,585,636	)		$(83,113	)		$(103,281	)

See accompanying notes to financial statements.

30

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date		Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	CAD	520,773	USD	410,936		11/2/21	$	(9,856	)
Brown Brothers Harriman	CAD	41,215	USD	33,425		11/2/21		123
Brown Brothers Harriman	EUR	166,827	USD	193,038		11/2/21		186
Brown Brothers Harriman	EUR	2,353,769	USD	2,726,759		11/2/21		5,802
Brown Brothers Harriman	GBP	458,633	USD	617,769		11/2/21		(9,893	)
Brown Brothers Harriman	USD	453,406	CAD	561,988		11/2/21		688
Brown Brothers Harriman	USD	2,908,818	EUR	2,520,596		11/2/21		4,990
Brown Brothers Harriman	USD	626,979	GBP	458,633		11/2/21		684
Brown Brothers Harriman	CAD	560,998	USD	452,575		12/2/21		(715	)
Brown Brothers Harriman	EUR	2,528,751	USD	2,919,772		12/2/21		(5,168	)
Brown Brothers Harriman	GBP	665,161	USD	909,282		12/2/21		(1,041	)
							$	(14,200	)

Glossary of Portfolio Abbreviations

CAD	Canadian Dollar
CMT	Constant Maturity Treasury
EMTN	Euro Medium Term Note
EUR	Euro Currency
FRN	Floating Rate Note
GBP	Great British Pound
LIBOR	London Interbank Offered Rate
MLP	Master Limited Partnership
REIT	Real Estate Investment Trust
USD	United States Dollar

See accompanying notes to financial statements.

31

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS—(Continued)

October 31, 2021

Note: Percentages indicated are based on the net assets of the Fund.

^a Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold to qualified institutional buyers. Aggregate holdings amounted to $8,375,944 which represents 10.7% of the net assets of the Fund, of which 0.0% are illiquid.

^b Non-income producing security.

^c Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer.

^d Security converts to floating rate after the indicated fixed-rate coupon period.

^e  Securities exempt from registration under Regulation S of the Securities Act of 1933. These securities are subject to resale restrictions. Aggregate holdings amounted to $6,096,239 which represents 7.8% of the net assets of the Fund, of which 0.0% are illiquid.

^f Contingent Capital security (CoCo). CoCos are debt or preferred securities with loss absorption characteristics built into the terms of the security for the benefit of the issuer. Aggregate holdings amounted to $11,967,088 or 15.3% of the net assets of the Fund.

^g Variable rate. Rate shown is in effect at October 31, 2021.

^h Rate quoted represents the annualized seven-day yield.

ⁱ Represents the notional amount of the underlying swap contract.

^j  Represents the number of contracts multiplied by notional contract size multiplied by the underlying price.

Country Summary	% of Net Assets
United States		50.6
Canada		10.3
United Kingdom		10.0
France		5.3
Australia		3.4
China		2.5
Japan		2.4
Italy		2.2
Germany		2.1
Spain		2.0
Switzerland		1.9
Netherlands		1.4
South Africa		1.2
Hong Kong		0.7
Singapore		0.6
Sweden		0.5
Other (includes short-term investments)		2.9
		100.0

See accompanying notes to financial statements.

32

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

STATEMENT OF ASSETS AND LIABILITIES

October 31, 2021

ASSETS:
Investments in securities, at value (Identified cost—$71,875,860)	$	78,507,751
Foreign currency, at value (Identified cost—$184,713)		183,803
Receivable for:
Investment securities sold		705,832
Dividends and interest		428,169
Fund shares sold		16,487
Unrealized appreciation on forward foreign currency exchange contracts		12,473
Due from investment advisor		26,925
Other assets		248
Total Assets		79,881,688
LIABILITIES:
Written option contracts, at value (Premiums received—$94,206)		114,842
Unrealized depreciation on forward foreign currency exchange contracts		26,673
Payable for:
Investment securities purchased		1,077,132
Fund shares redeemed		248,389
Dividends declared		20,492
Shareholder servicing fees		11,617
Administration fees		1,311
Distribution fees		890
Other liabilities		196,546
Total Liabilities		1,697,892
NET ASSETS	$	78,183,796
NET ASSETS consist of:
Paid-in capital	$	80,016,225
Total distributable earnings/(accumulated loss)		(1,832,429	)
	$	78,183,796

See accompanying notes to financial statements.

33

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

STATEMENT OF ASSETS AND LIABILITIES—(Continued)

October 31, 2021

CLASS A SHARES:
NET ASSETS	$	16,179,567
Shares issued and outstanding ($0.001 par value common stock outstanding)		1,331,887
Net asset value and redemption price per share	$	12.15
Maximum offering price per share ($12.15 ÷ 0.955)a	$	12.72
CLASS C SHARES:
NET ASSETS	$	5,123,525
Shares issued and outstanding ($0.001 par value common stock outstanding)		425,156
Net asset value and offering price per shareb	$	12.05
CLASS I SHARES:
NET ASSETS	$	56,680,314
Shares issued and outstanding ($0.001 par value common stock outstanding)		4,652,591
Net asset value, offering and redemption price per share	$	12.18
CLASS R SHARES:
NET ASSETS	$	104,109
Shares issued and outstanding ($0.001 par value common stock outstanding)		8,555
Net asset value, offering and redemption price per share	$	12.17
CLASS Z SHARES:
NET ASSETS	$	96,281
Shares issued and outstanding ($0.001 par value common stock outstanding)		7,904
Net asset value, offering and redemption price per share	$	12.18

^a  On investments of $100,000 or more, the offering price is reduced.

^b  Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge of 1.00% on shares held for less than one year.

See accompanying notes to financial statements.

34

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

STATEMENT OF OPERATIONS

For the Year Ended October 31, 2021

Investment Income:
Interest income	$	1,262,884
Dividend income (net of $50,356 of foreign withholding tax)		1,173,960
Total Investment Income		2,436,844
Expenses:
Investment advisory fees		504,256
Professional fees		165,928
Registration and filing fees		85,896
Distribution fees—Class A		41,986
Distribution fees—Class C		41,862
Distribution fees—Class R		484
Administration fees		81,379
Shareholder servicing fees—Class A		16,795
Shareholder servicing fees—Class C		13,954
Shareholder servicing fees—Class I		32,869
Custodian fees and expenses		55,853
Shareholder reporting expenses		17,357
Transfer agent fees and expenses		10,389
Directors’ fees and expenses		3,735
Miscellaneous		23,526
Total Expenses		1,096,269
Reduction of Expenses (See Note 2)		(512,950	)
Net Expenses		583,319
Net Investment Income (Loss)		1,853,525
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments in securities (net of $723 of foreign capital gains tax)		10,716,716
Written option contracts		(23,944	)
Forward foreign currency exchange contracts		44,233
Foreign currency transactions		(15,374	)
Net realized gain (loss)		10,721,631
Net change in unrealized appreciation (depreciation) on:
Investments in securities		7,529,012
Written option contracts		(20,636	)
Forward foreign currency exchange contracts		(18,084	)
Foreign currency translations		(1,643	)
Net change in unrealized appreciation (depreciation)		7,488,649
Net Realized and Unrealized Gain (Loss)		18,210,280
Net Increase (Decrease) in Net Assets Resulting from Operations	$	20,063,805

See accompanying notes to financial statements.

35

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

STATEMENT OF CHANGES IN NET ASSETS

	For the Year Ended October 31, 2021			For the Year Ended October 31, 2020
Change in Net Assets:
From Operations:
Net investment income (loss)	$	1,853,525		$	2,362,131
Net realized gain (loss)		10,721,631			(17,583,880	)
Net change in unrealized appreciation (depreciation)		7,488,649			(1,271,249	)
Net increase (decrease) in net assets resulting from operations		20,063,805			(16,492,998	)
Distributions to Shareholders:
Class A		(526,899	)		(665,907	)
Class C		(141,126	)		(208,239	)
Class I		(1,684,089	)		(2,166,161	)
Class R		(2,872	)		(2,920	)
Class Z		(2,724	)		(445	)
Tax Return of Capital to Shareholders:
Class A		(185,836	)		(343,141	)
Class C		(62,324	)		(132,477	)
Class I		(543,643	)		(1,020,539	)
Class R		(1,066	)		(1,573	)
Class Z		(1,117	)		(298	)
Total distributions		(3,151,696	)		(4,541,700	)
Capital Stock Transactions:
Increase (decrease) in net assets from Fund share transactions		(8,213,196	)		22,488,403
Total increase (decrease) in net assets		8,698,913			1,453,705
Net Assets:
Beginning of year		69,484,883			68,031,178
End of year	$	78,183,796		$	69,484,883

See accompanying notes to financial statements.

36

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS

The following tables include selected data for a share outstanding throughout each period and other performance information derived from the financial statements. They should be read in conjunction with the financial statements and notes thereto.

	Class A
	For the Year Ended October 31,						For the Period March 1, 2019 through, October 31, 2019a			For the Year Ended February 28,
Per Share Operating Data:	2021			2020						2019			2018			2017
Net asset value, beginning of period		$9.54			$11.85			$13.33			$15.16			$15.50			$13.30
Income (loss) from investment operations:
Net investment income (loss)b		0.28			0.29			0.17			0.17			0.17			0.18
Net realized and unrealized gain (loss)		2.82			(2.02	)		0.59			0.15			1.42			3.56
Total from investment operations		3.10			(1.73	)		0.76			0.32			1.59			3.74
Less dividends and distributions to shareholders from:
Net investment income		(0.36	)		(0.38	)		(0.23	)		(0.17	)		(0.17	)		(0.18	)
Net realized gain		—			—			(2.01	)		(1.98	)		(1.76	)		(1.36	)
Tax return of capital		(0.13	)		(0.20	)		—			—			—			—
Total dividends and distributions to shareholders		(0.49	)		(0.58	)		(2.24	)		(2.15	)		(1.93	)		(1.54	)
Net increase (decrease) in net asset value		2.61			(2.31	)		(1.48	)		(1.83	)		(0.34	)		2.20
Net asset value, end of period		$12.15			$9.54			$11.85			$13.33			$15.16			$15.50
Total returnc,d		32.91	%		–14.74	%		5.90	%e		2.59	%		10.81	%		28.76	%

See accompanying notes to financial statements.

37

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class A
	For the Year Ended October 31,						For the Period March 1, 2019 through, October 31, 2019a			For the Year Ended February 28,
Ratios/Supplemental Data:	2021			2020						2019			2018			2017
Net assets, end of period (in millions)		$16.2			$16.2			$21.1			$19.8			$18.5			$19.6
Ratios to average daily net assets:
Expenses (before expense reduction)		1.66	%		1.67	%		1.79	%f		1.40	%		1.25	%		1.31	%
Expenses (net of expense reduction)		1.00	%		1.00	%		1.00	%f		1.00	%		1.00	%		1.00	%
Net investment income (loss) (before expense reduction)		1.74	%		2.15	%		1.27	%f		0.80	%		0.85	%		0.92	%
Net investment income (loss) (net of expense reduction)		2.40	%		2.82	%		2.06	%f		1.20	%		1.10	%		1.23	%
Portfolio turnover rate		138	%		143	%		178	%e		158	%		102	%		70	%

^a  The Fund has changed its fiscal year end from February 28 to October 31.

^b  Calculation based on average shares outstanding.

^c  Return assumes the reinvestment of all dividends and distributions at net asset value.

^d  Does not reflect sales charges, which would reduce return.

^e  Not annualized.

^f  Ratios for periods less than one year are annualized. Certain professional, shareholder reporting and non-recurring expenses incurred by the Fund are not annualized for periods less than one year.

See accompanying notes to financial statements.

38

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class C
	For the Year Ended October 31,						For the Period March 1, 2019 through October 31, 2019a			For the Year Ended February 28,
Per Share Operating Data:	2021			2020						2019			2018			2017
Net asset value, beginning of period		$9.47			$11.76			$13.22			$15.04			$15.38			$13.20
Income (loss) from investment operations:
Net investment income (loss)b		0.20			0.23			0.11			0.07			0.07			0.09
Net realized and unrealized gain (loss)		2.79			(2.01	)		0.59			0.15			1.41			3.53
Total from investment operations		2.99			(1.78	)		0.70			0.22			1.48			3.62
Less dividends and distributions to shareholders from:
Net investment income		(0.28	)		(0.31	)		(0.15	)		(0.06	)		(0.06	)		(0.08	)
Net realized gain		—			—			(2.01	)		(1.98	)		(1.76	)		(1.36	)
Tax return of capital		(0.13	)		(0.20	)		—			—			—			—
Total dividends and distributions to shareholders		(0.41	)		(0.51	)		(2.16	)		(2.04	)		(1.82	)		(1.44	)
Net increase (decrease) in net asset value		2.58			(2.29	)		(1.46	)		(1.82	)		(0.34	)		2.18
Net asset value, end of period		$12.05			$9.47			$11.76			$13.22			$15.04			$15.38
Total returnc,d		31.96	%		–15.25	%		5.39	%e		1.95	%		10.11	%		27.97	%

See accompanying notes to financial statements.

39

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class C
	For the Year Ended October 31,						For the Period March 1, 2019 through October 31, 2019a			For the Year Ended February 28,
Ratios/Supplemental Data:	2021			2020						2019			2018			2017
Net assets, end of period (in millions)		$5.1			$5.6			$6.6			$12.6			$18.1			$26.7
Ratios to average daily net assets:
Expenses (before expense reduction)		2.31	%		2.32	%		2.44	%f		2.05	%		1.90	%		1.96	%
Expenses (net of expense reduction)		1.65	%		1.65	%		1.65	%f		1.65	%		1.65	%		1.65	%
Net investment income (loss) (before expense reduction)		1.10	%		1.52	%		0.52	%f		0.13	%		0.18	%		0.27	%
Net investment income (loss) (net of expense reduction)		1.76	%		2.19	%		1.31	%f		0.53	%		0.43	%		0.58	%
Portfolio turnover rate		138	%		143	%		178	%e		158	%		102	%		70	%

^a  The Fund has changed its fiscal year end from February 28 to October 31.

^b  Calculation based on average shares outstanding.

^c  Return assumes the reinvestment of all dividends and distributions at net asset value.

^d  Does not reflect sales charges, which would reduce return.

^e  Not annualized.

^f  Ratios for periods less than one year are annualized. Certain professional, shareholder reporting and non-recurring expenses incurred by the Fund are not annualized for periods less than one year.

See accompanying notes to financial statements.

40

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class I
	For the Year Ended October 31,						For the Period March 1,  2019 through October 31, 2019a			For the Year Ended February 28,
Per Share Operating Data:	2021			2020						2019			2018			2017
Net asset value, beginning of period		$9.57			$11.88			$13.36			$15.19			$15.53			$13.32
Income (loss) from investment operations:
Net investment income (loss)b		0.31			0.33			0.20			0.22			0.22			0.23
Net realized and unrealized gain (loss)		2.83			(2.02	)		0.60			0.15			1.42			3.57
Total from investment operations		3.14			(1.69	)		0.80			0.37			1.64			3.80
Less dividends and distributions to shareholders from:
Net investment income		(0.40	)		(0.42	)		(0.27	)		(0.22	)		(0.22	)		(0.23	)
Net realized gain		—			—			(2.01	)		(1.98	)		(1.76	)		(1.36	)
Tax return of capital		(0.13	)		(0.20	)		—			—			—			—
Total dividends and distributions to shareholders		(0.53	)		(0.62	)		(2.28	)		(2.20	)		(1.98	)		(1.59	)
Net increase (decrease) in net asset value		2.61			(2.31	)		(1.48	)		(1.83	)		(0.34	)		2.21
Net asset value, end of period		$12.18			$9.57			$11.88			$13.36			$15.19			$15.53
Total returnc		33.27	%		–14.41	%		6.18	%d		2.96	%		11.18	%		29.24	%

See accompanying notes to financial statements.

41

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class I
	For the Year Ended October 31,						For the Period March 1,  2019 through October 31, 2019a			For the Year Ended February 28,
Ratios/Supplemental Data:	2021			2020						2019			2018			2017
Net assets, end of period (in millions)		$56.7			$47.6			$40.2			$28.0			$57.8			$143.5
Ratios to average daily net assets:
Expenses (before expense reduction)		1.38	%		1.38	%		1.51	%e		1.09	%		0.96	%		1.01	%
Expenses (net of expense reduction)		0.65	%		0.65	%		0.65	%e		0.65	%		0.65	%		0.65	%
Net investment income (loss) (before expense reduction)		1.99	%		2.47	%		1.64	%e		1.09	%		1.11	%		1.23	%
Net investment income (loss) (net of expense reduction)		2.72	%		3.20	%		2.50	%e		1.53	%		1.42	%		1.59	%
Portfolio turnover rate		138	%		143	%		178	%d		158	%		102	%		70	%

^a  The Fund has changed its fiscal year end from February 28 to October 31.

^b  Calculation based on average shares outstanding.

^c  Return assumes the reinvestment of all dividends and distributions at net asset value.

^d  Not annualized.

^e  Ratios for periods less than one year are annualized. Certain professional, shareholder reporting and non-recurring expenses incurred by the Fund are not annualized for periods less than one year.

See accompanying notes to financial statements.

42

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class R
	For the Year Ended October 31,						For the Period March 1, 2019 through October 31, 2019a			For the Year Ended February 28,
Per Share Operating Data:	2021			2020						2019			2018			2017
Net asset value, beginning of period		$9.56			$11.87			$13.34			$15.17			$15.51			$13.31
Income (loss) from investment operations:
Net investment income (loss)b		0.26			0.28			0.16			0.15			0.15			0.15
Net realized and unrealized gain (loss)		2.82			(2.02	)		0.59			0.14			1.41			3.57
Total from investment operations		3.08			(1.74	)		0.75			0.29			1.56			3.72
Less dividends and distributions to shareholders from:
Net investment income		(0.34	)		(0.37	)		(0.21	)		(0.14	)		(0.14	)		(0.16	)
Net realized gain		—			—			(2.01	)		(1.98	)		(1.76	)		(1.36	)
Tax return of capital		(0.13	)		(0.20	)		—			—			—			—
Total dividends and distributions to shareholders		(0.47	)		(0.57	)		(2.22	)		(2.12	)		(1.90	)		(1.52	)
Net increase (decrease) in net asset value		2.61			(2.31	)		(1.47	)		(1.83	)		(0.34	)		2.20
Net asset value, end of period		$12.17			$9.56			$11.87			$13.34			$15.17			$15.51
Total returnc		32.64	%		–14.85	%		5.81	%d		2.43	%		10.63	%		28.61	%

See accompanying notes to financial statements.

43

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class R
	For the Year Ended October 31,						For the Period March 1, 2019 through October 31, 2019a			For the Year Ended February 28,
Ratios/Supplemental Data:	2021			2020						2019			2018			2017
Net assets, end of period (in 000s)		$104.1			$78.7			$82.9			$96.9			$90.4			$64.8
Ratios to average daily net assets:
Expenses (before expense reduction)		1.81	%		1.82	%		1.94	%e		1.55	%		1.40	%		1.46	%
Expenses (net of expense reduction)		1.15	%		1.15	%		1.15	%e		1.15	%		1.15	%		1.15	%
Net investment income (loss) (before expense reduction)		1.56	%		2.00	%		1.11	%e		0.67	%		0.70	%		0.71	%
Net investment income (loss) (net of expense reduction)		2.22	%		2.67	%		1.90	%e		1.07	%		0.95	%		1.02	%
Portfolio turnover rate		138	%		143	%		178	%d		158	%		102	%		70	%

^a  The Fund has changed its fiscal year end from February 28 to October 31.

^b  Calculation based on average shares outstanding.

^c  Return assumes the reinvestment of all dividends and distributions at net asset value.

^d  Not annualized.

^e  Ratios for periods less than one year are annualized. Certain professional, shareholder reporting and non-recurring expenses incurred by the Fund are not annualized for periods less than one year.

See accompanying notes to financial statements.

44

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

FINANCIAL HIGHLIGHTS—(Continued)

	Class Z
	For the Year Ended October 31,						For the Period March 1, 2019 through October 31, 2019a			For the Year Ended February 28,
Per Share Operating Data:	2021			2020						2019			2018			2017
Net asset value, beginning of period		$9.57			$11.88			$13.36			$15.19			$15.53			$13.32
Income (loss) from investment operations:
Net investment income (loss)b		0.28			0.41			0.20			0.22			0.22			0.23
Net realized and unrealized gain (loss)		2.86			(2.10	)		0.60			0.15			1.42			3.57
Total from investment operations		3.14			(1.69	)		0.80			0.37			1.64			3.80
Less dividends and distributions to shareholders from:
Net investment income		(0.40	)		(0.42	)		(0.27	)		(0.22	)		(0.22	)		(0.23	)
Net realized gain		—			—			(2.01	)		(1.98	)		(1.76	)		(1.36	)
Tax return of capital		(0.13	)		(0.20	)		—			—			—			—
Total dividends and distributions to shareholders		(0.53	)		(0.62	)		(2.28	)		(2.20	)		(1.98	)		(1.59	)
Net increase (decrease) in net asset value		2.61			(2.31	)		(1.48	)		(1.83	)		(0.34	)		2.21
Net asset value, end of period		$12.18			$9.57			$11.88			$13.36			$15.19			$15.53
Total returnc		33.27	%		–14.41	%		6.17	%d		2.96	%		11.18	%		29.24	%
Ratios/Supplemental Data:
Net assets, end of period (in 000s)		$96.3			$21.2			$7.2			$8.1			$9.2			$9.4
Ratios to average daily net assets:
Expenses (before expense reduction)		1.31	%		1.32	%		1.44	%e		1.05	%		0.90	%		0.96	%
Expenses (net of expense reduction)		0.65	%		0.65	%		0.65	%e		0.65	%		0.65	%		0.65	%
Net investment income (loss) (before expense reduction)		1.88	%		3.25	%		1.62	%e		1.14	%		1.18	%		1.27	%
Net investment income (loss) (net of expense reduction)		2.54	%		3.92	%		2.41	%e		1.54	%		1.43	%		1.58	%
Portfolio turnover rate		138	%		143	%		178	%d		158	%		102	%		70	%

^a  The Fund has changed its fiscal year end from February 28 to October 31.

^b Calculation based on average shares outstanding.

^c Return assumes the reinvestment of all dividends and distributions at net asset value.

^d Not annualized.

^e  Ratios for periods less than one year are annualized. Certain professional, shareholder reporting and non-recurring expenses incurred by the Fund are not annualized for periods less than one year.

See accompanying notes to financial statements.

45

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS

Note 1. Organization and Significant Accounting Policies

Cohen & Steers Alternative Income Fund, Inc. (the Fund) was incorporated under the laws of the State of Maryland on November 8, 2004 and is registered under the Investment Company Act of 1940 (the 1940 Act) as a diversified, open-end management investment company. Effective after the close of business on April 30, 2021, the Fund’s investment objectives are to seek a high level of current income and capital appreciation. Previously, the investment objectives of the Fund were to seek a high level of current income and secondarily, capital appreciation. Each of the Fund’s shares has equal dividend, liquidation and voting rights (except for matters relating to distribution and shareholder servicing of such shares). Class F shares are currently not available for purchase.

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification (ASC) Topic 946—Investment Companies. The accounting policies of the Fund are in conformity with accounting principles generally accepted in the United States of America (GAAP). The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

Portfolio Valuation: Investments in securities that are listed on the New York Stock Exchange (NYSE) are valued, except as indicated below, at the last sale price reflected at the close of the NYSE on the business day as of which such value is being determined. If there has been no sale on such day, the securities are valued at the mean of the closing bid and ask prices on such day or, if no ask price is available, at the bid price. Forward foreign currency exchange contracts are valued daily at the prevailing forward exchange rate. Exchange-traded options are valued at their last sale price as of the close of options trading on applicable exchanges on the valuation date. In the absence of a last sale price on such day, options are valued at the average of the quoted bid and ask prices as of the close of business. Over-the-counter (OTC) options are valued based upon prices provided by a third-party pricing service or counterparty.

Securities not listed on the NYSE but listed on other domestic or foreign securities exchanges (including NASDAQ) are valued in a similar manner. Securities traded on more than one securities exchange are valued at the last sale price reflected at the close of the exchange representing the principal market for such securities on the business day as of which such value is being determined. If after the close of a foreign market, but prior to the close of business on the day the securities are being valued, market conditions change significantly, certain non-U.S. equity holdings may be fair valued pursuant to procedures established by the Board of Directors.

Readily marketable securities traded in the OTC market, including listed securities whose primary market is believed by Cohen & Steers Capital Management, Inc. (the investment advisor) to be OTC, are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities.

46

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Fixed-income securities are valued on the basis of prices provided by a third-party pricing service or third-party broker-dealers when such prices are believed by the investment advisor, pursuant to delegation by the Board of Directors, to reflect the fair value of such securities. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features which are then used to calculate the fair values.

Short-term debt securities with a maturity date of 60 days or less are valued at amortized cost, which approximates fair value. Investments in open-end mutual funds are valued at net asset value (NAV).

The policies and procedures approved by the Fund’s Board of Directors delegate authority to make fair value determinations to the investment advisor, subject to the oversight of the Board of Directors. The investment advisor has established a valuation committee (Valuation Committee) to administer, implement and oversee the fair valuation process according to the policies and procedures approved annually by the Board of Directors. Among other things, these procedures allow the Fund to utilize independent pricing services, quotations from securities and financial instrument dealers and other market sources to determine fair value.

Securities for which market prices are unavailable, or securities for which the investment advisor determines that the bid and/or ask price or a counterparty valuation does not reflect market value, will be valued at fair value, as determined in good faith by the Valuation Committee, pursuant to procedures approved by the Fund’s Board of Directors. Circumstances in which market prices may be unavailable include, but are not limited to, when trading in a security is suspended, the exchange on which the security is traded is subject to an unscheduled close or disruption or material events occur after the close of the exchange on which the security is principally traded. In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate. These may include, but are not limited to, recent transactions in comparable securities, information relating to the specific security and developments in the markets.

Foreign equity fair value pricing procedures utilized by the Fund may cause certain non-U.S. equity holdings to be fair valued on the basis of fair value factors provided by a pricing service to reflect any significant market movements between the time the Fund values such securities and the earlier closing of foreign markets.

The Fund’s use of fair value pricing may cause the NAV of Fund shares to differ from the NAV that would be calculated using market quotations. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of that security.

47

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Fair value is defined as the price that the Fund would expect to receive upon the sale of an investment or expect to pay to transfer a liability in an orderly transaction with an independent buyer in the principal market or, in the absence of a principal market, the most advantageous market for the investment or liability. The hierarchy of inputs that are used in determining the fair value of the Fund’s investments is summarized below.

• Level 1—quoted prices in active markets for identical investments

• Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, 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 may or may not be an indication of the risk associated with those investments. Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy.

The following is a summary of the inputs used as of October 31, 2021 in valuing the Fund’s investments carried at value:

	Total		Quoted Prices in Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Closed-End Funds	$	1,377,174	$	1,377,174	$	—	$	—
Common Stock		37,048,185		37,048,185		—		—
Master Limited Partnerships and Related Companies		284,344		284,344		—		—
Preferred Securities—$25 Par Value		5,711,226		5,711,226		—		—
Preferred Securities— Capital Securities		32,245,078		—		32,245,078		—
Short-Term Investments		1,818,246		—		1,818,246		—
Purchased Option Contracts		23,498		—		23,498		—
Total Investments in Securitiesa	$	78,507,751	$	44,420,929	$	34,086,822	$	—
Forward Foreign Currency Exchange Contracts	$	12,473	$	—	$	12,473	$	—
Total Derivative Assetsa	$	12,473	$	—	$	12,473	$	—

48

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

	Total			Quoted Prices in Active Markets for Identical Investments (Level 1)		Other Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Forward Foreign Currency Exchange Contracts	$	(26,673	)	$	—	$	(26,673	)	$	—
Written Option Contracts		(114,842	)		—		(114,842	)		—
Total Derivative Liabilitiesa	$	(141,515	)	$	—	$	(141,515	)	$	—

^a  Portfolio holdings are disclosed individually on the Schedule of Investments.

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

	Preferred Securities— Capital  Securities— Banks
Balance as of October 31, 2020	$	134,813
Transfer out of Level 3a		(136,875	)
Change in unrealized appreciation (depreciation)		2,062
Balance as of October 31, 2021	$	—

^a  As of October 31, 2020, the Fund used significant unobservable inputs in determining the value of this investment. As of October 31, 2021, the same investment was transferred from Level 3 to Level 2 as a result of the availability of observable inputs.

Security Transactions, Investment Income and Expense Allocations: Security transactions are recorded on trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income, which includes the amortization of premiums and accretion of discounts, is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date, except for certain dividends on foreign securities, which are recorded as soon as the Fund is informed after the ex-dividend date. Distributions from Real Estate Investment Trusts (REITs) are recorded as ordinary income, net realized capital gain or return of capital based on information reported by the REITs and management’s estimates of such amounts based on historical information. These estimates are adjusted when the actual source of distributions is disclosed by the REITs and actual amounts may differ from the estimated amounts. Distributions from Master Limited Partnerships (MLPs) are recorded as income and return of capital based on information reported by the MLPs and management’s estimates of such amounts based on historical information. These estimates are adjusted when the actual source of distributions is disclosed by the MLPs and actual amounts may differ from the estimated amounts. Income, expenses (other than expenses attributable to a specific class), and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets.

49

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Master Limited Partnerships: Entities commonly referred to as MLPs are generally organized under state law as limited partnerships or limited liability companies. The Fund invests in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986, as amended (the Code), and whose interest or “units” are traded on securities exchanges like shares of corporate stock. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real property rents, gains on dispositions of real property, income and gains from mineral or natural resources activities, income and gains from the transportation or storage of certain fuels, and, in certain circumstances, income and gains from commodities or futures, forwards and options on commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership or limited liability company. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The Fund’s investments in MLPs consist only of limited partner or member interests ownership. The MLPs themselves generally do not pay U.S. federal income taxes and unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.

Foreign Currency Translation: The books and records of the Fund are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollars based upon prevailing exchange rates on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in securities.

Net realized foreign currency transaction gains or losses arise from sales of foreign currencies, (excluding gains and losses on forward foreign currency exchange contracts, which are presented separately, if any) currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency translation gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates. Pursuant to U.S. federal income tax regulations, certain foreign currency gain/loss included in realized and unrealized gains/losses are included in or are a reduction of ordinary income for federal income tax purposes.

50

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Forward Foreign Currency Exchange Contracts: The Fund enters into forward foreign currency exchange contracts to hedge the currency exposure associated with certain of its non-U.S. dollar denominated securities. A forward foreign currency exchange contract is a commitment between two parties to purchase or sell foreign currency at a set price on a future date. The market value of a forward foreign currency exchange contract fluctuates with changes in foreign currency exchange rates. These contracts are marked to market daily and the change in value is recorded by the Fund as unrealized appreciation and/or depreciation on forward foreign currency exchange contracts. Realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed are included in net realized gain or loss on forward foreign currency exchange contracts. For federal income tax purposes, the Fund has made an election to treat gains and losses from forward foreign currency exchange contracts as capital gains and losses.

Forward foreign currency exchange contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the contract. Risks may also arise upon entering these contracts from the potential inability of the counterparties to meet the terms of their contracts. In connection with these contracts, securities may be identified as collateral in accordance with the terms of the respective contracts.

Option Contracts: The Fund may purchase and write exchange-listed and OTC put or call options on securities, stock indices and other financial instruments for hedging purposes, to enhance portfolio returns and/or reduce overall volatility.

When the Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded on the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option written. When an option expires, the Fund realizes a gain on the option to the extent of the premium received. Premiums received from writing options which are exercised or closed are added to or offset against the proceeds or amount paid on the transaction to determine the realized gain or loss. If a put option on a security is exercised, the premium reduces the cost basis of the security purchased by the Fund. If a call option is exercised, the premium is added to the proceeds of the security sold to determine the realized gain or loss. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the underlying investment. Other risks include the possibility of an illiquid options market or the inability of the counterparties to fulfill their obligations under the contracts.

Put and call options purchased are accounted for in the same manner as portfolio securities. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss when the underlying transaction is executed. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of the premium and change in market value should the counterparty not perform under the contract.

51

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Interest Rate Swaption Contracts: The Fund may write or purchase interest rate swaptions which are options to enter into a pre-defined swap agreement at a specified date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises the swaption. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.

Dividends and Distributions to Shareholders: Dividends from net investment income and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from GAAP. Dividends from net investment income, if any, are declared and paid monthly. Net realized capital gains, unless offset by any available capital loss carryforward, are typically distributed to shareholders at least annually. Dividends and distributions to shareholders are recorded on the ex-dividend date and are automatically reinvested in full and fractional shares of the Fund based on the NAV per share at the close of business on the payable date, unless the shareholder has elected to have them paid in cash.

Dividends from net investment income are subject to recharacterization for tax purposes. Based upon the results of operations for the year ended October 31, 2021, a portion of the dividends have been reclassified to distributions from tax return of capital.

Income Taxes: It is the policy of the Fund to continue to qualify as a regulated investment company (RIC), if such qualification is in the best interest of the shareholders, by complying with the requirements of Subchapter M of the Internal Revenue Code applicable to RICs, and by distributing substantially all of its taxable earnings to its shareholders. Also, in order to avoid the payment of any federal excise taxes, the Fund will distribute substantially all of its net investment income and net realized gains on a calendar year basis. Accordingly, no provision for federal income or excise tax is necessary. Dividend and interest income from holdings in non-U.S. securities is recorded net of non-U.S. taxes paid. Management has analyzed the Fund’s tax positions taken on federal and applicable state income tax returns as well as its tax positions in non-U.S. jurisdictions in which it trades for all open tax years and has concluded that as of October 31, 2021, no additional provisions for income tax are required in the Fund’s financial statements. The Fund’s tax positions for the tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service, state departments of revenue and by foreign tax authorities.

Note 2. Investment Advisory Fees, Administration Fees and Other Transactions with Affiliates

Investment Advisory Fees: Cohen & Steers Capital Management, Inc. serves as the Fund’s investment advisor pursuant to an investment advisory agreement (the investment advisory agreement). Under the terms of the investment advisory agreement, the investment advisor provides the Fund with day-to-day investment decisions and generally manages the Fund’s investments in accordance with the stated policies of the Fund, subject to the supervision of the Board of Directors.

For the services provided to the Fund, the investment advisor receives a fee, accrued daily and paid monthly, at an annual rate of 0.70% of the average daily net assets of the Fund.

For the year ended October 31, 2021 and through June 30, 2023, the investment advisor has contractually agreed to waive its fee and/or reimburse expenses so that the Fund’s total annual

52

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

operating expenses (excluding acquired fund fees and expenses, taxes and extraordinary expenses), do not exceed 1.00% for Class A shares, 1.65% for Class C shares, 0.65% for Class I shares, 1.15% for Class R shares and 0.65% for Class Z shares. This contractual agreement can be amended at any time by agreement of the Board of Directors of the Fund and the investment advisor and will terminate automatically in the event of termination of the investment advisory agreement between the Fund and the investment advisor. For the year ended October 31, 2021, fees waived and/or expenses reimbursed totaled $512,950.

Under subadvisory agreements between the investment advisor and each of Cohen & Steers Asia Limited and Cohen & Steers UK Limited (collectively, the subadvisors), affiliates of the investment advisor, the subadvisors are responsible for managing the Fund’s investments in certain non-U.S. holdings. For their services provided under the subadvisory agreements, the investment advisor (not the Fund) pays the subadvisors. The investment advisor allocates 50% of the investment advisory fee received from the Fund among itself and each subadvisor based on the portion of the Fund’s average daily net assets managed by the investment advisor and each subadvisor.

Administration Fees: The Fund has entered into an administration agreement with the investment advisor under which the investment advisor performs certain administrative functions for the Fund and receives a fee, accrued daily and paid monthly, at the annual rate of 0.02% of the average daily net assets of the Fund. For the year ended October 31, 2021, the Fund incurred $14,407 in fees under this administration agreement. Additionally, the Fund pays State Street Bank and Trust Company as co-administrator under a fund accounting and administration agreement.

Distribution Fees: Shares of the Fund are distributed by Cohen & Steers Securities, LLC (the distributor), an affiliated entity of the investment advisor. The Fund has adopted an amended distribution and service plan (the plan) pursuant to Rule 12b-1 under the 1940 Act, which allows the Fund to pay distribution fees for the sale and distribution of its shares. The plan provides that the Fund will pay the distributor a fee, accrued daily and paid monthly, at an annual rate of up to 0.25% of the average daily net assets attributable to Class A shares, up to 0.75% of the average daily net assets attributable to Class C shares and up to 0.50% of the average daily net assets attributable to Class R shares. In addition, with respect to Class R shares, such amounts may also be used to pay for services to Fund shareholders or services related to the maintenance of shareholder accounts.

There is a maximum initial sales charge of 4.50% for Class A shares. There is a contingent deferred sales charge (CDSC) of 1.00% on purchases of $1 million or more of Class A shares, which applies if redemption occurs within one year from purchase. There is a CDSC of 1.00% on Class C shares, which applies if redemption occurs within one year from purchase. For the year ended October 31, 2021, the Fund has been advised that the distributor received $5,075, which represents a portion of the sales commissions paid by shareholders from the sale of Class A shares, and $3,947 and $1,008 of CDSC relating to redemptions of Class A and Class C shares, respectively. The distributor has advised the Fund that proceeds from the CDSC on these classes are used by the distributor to defray its expenses related to providing distribution-related services to the Fund in connection with the sale of these classes, including payments to dealers and other financial intermediaries for selling these classes. The payment of a CDSC may result in the distributor receiving amounts greater or less than the upfront commission paid by the distributor to the financial intermediary.

53

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Shareholder Servicing Fees: For shareholder services, the Fund pays the distributor or its affiliates a fee, accrued daily, at an annual rate of up to 0.10% of the average daily net assets of the Fund’s Class A and Class I shares and up to 0.25% of the average daily net assets of the Fund’s Class C shares. The distributor is responsible for paying qualified financial institutions for shareholder services.

Directors’ and Officers’ Fees: Certain directors and officers of the Fund are also directors, officers and/or employees of the investment advisor. The Fund does not pay compensation to directors and officers affiliated with the investment advisor except for the Chief Compliance Officer, who received compensation from the investment advisor, which was reimbursed by the Fund, in the amount of $351 for the year ended October 31, 2021.

Note 3. Purchases and Sales of Securities

Purchases and sales of securities, excluding short-term investments, for the year ended October 31, 2021, totaled $96,701,239 and $105,817,386, respectively.

Note 4. Derivative Investments

The following tables present the value of derivatives held at October 31, 2021 and the effect of derivatives held during the year ended October 31, 2021, along with the respective location in the financial statements.

Statement of Assets and Liabilities

	Assets			Liabilities
Derivatives	Location	Fair Value		Location		Fair Value
Equity Risk:
Written Option Contracts—Over-the-Counter	—	$	—		Written option contracts, at value	$	103,281
Foreign Exchange Risk:
Forward Foreign Currency Exchange Contractsa	Unrealized appreciation		12,473		Unrealized depreciation		26,673
Interest Rate Risk:
Purchased Option Contracts—Over-the-Counter	Investments in securities, at value		23,498		—		—
Written Option Contracts—Over-the-Counter	—		—		Written option contracts, at value		11,561

^a  Forward foreign currency exchange contracts executed with Brown Brothers Harriman are not subject to a master netting agreement or another similar arrangement.

54

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Statement of Operations

Derivatives	Location	Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)
Equity Risk:
Purchased Option Contractsa	Net Realized and Unrealized Gain (Loss)	$	(14,848	)	$	—
Written Option Contracts	Net Realized and Unrealized Gain (Loss)		8,762			(20,168	)
Foreign Exchange Risk:
Forward Foreign Currency Exchange Contracts	Net Realized and Unrealized Gain (Loss)		44,233			(18,084	)
Interest Rate Risk:
Purchased Option Contractsa	Net Realized and Unrealized Gain (Loss)		(13,700	)		2,690
Written Option Contracts	Net Realized and Unrealized Gain (Loss)		(32,706	)		(468	)

^a  Purchased options are included in net realized gain (loss) and change in unrealized appreciation (depreciation) on investments in securities.

At October 31, 2021, the Fund’s derivative assets and liabilities (by type), which are subject to a master netting agreement, are as follows:

Derivative Financial Instruments	Assets		Liabilities
Equity Risk:
Written Option Contracts	$	—	$	103,281
Interest Rate Risk:
Purchased Option Contractsa		23,498		—
Written Option Contracts		—		11,561

^a  Purchased options are included in investments in securities, at value on the Statement of Assets & Liabilities.

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under a master netting agreement and net of the related collateral pledged by the Fund, if any, as of October 31, 2021:

Counterparty	Gross Amount of Assets Presented in the Statement of Assets and Liabilities		Financial Instruments and Derivative Available for Offset			Collateral Receiveda		Net Amount of Derivative Assetsb
Goldman Sachs International	$	23,498	$	(23,498	)	$	—	$	—

55

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Counterparty	Gross Amount of Liabilities Presented in the Statement of Assets and Liabilities		Financial Instruments and Derivatives Available for Offset			Collateral Pledgeda		Net Amount of Derivative Liabilitiesb
Goldman Sachs International	$	114,842	$	(23,498	)	$	—	$	(91,344	)

^a  Collateral received or pledged is limited to the net derivative asset or net derivative liability amounts. Actual collateral amounts received or pledged may be higher than amounts above.

^b  Net amount represents the net receivable from the counterparty or net payable due to the counterparty in the event of default.

The following summarizes the volume of the Fund’s option contracts and forward foreign currency exchange contracts activity for the year ended October 31, 2021:

	Purchased Option Contractsa,b		Written Option Contractsa,b		Forward Foreign Currency Exchange Contracts
Average Notional Amount	$	1,268,426	$	3,927,511	$	2,764,321

^a  Average notional amounts represent the average for all months in which the Fund had option contracts outstanding at month end. For the period, this represents eight months for both purchased and written option contracts.

^b  Notional amount for swaption contracts represents the notional amount of the underlying swap contract. Notional amount for all other option contracts is calculated using the number of contracts multiplied by notional contract size multiplied by the underlying price.

Note 5. Income Tax Information

The tax character of dividends and distributions paid was as follows:

	For the Year Ended October 31,
	2021		2020
Ordinary income	$	2,357,710	$	3,043,672
Return of capital		793,986		1,498,028
Total dividends and distributions	$	3,151,696	$	4,541,700

56

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

As of October 31, 2021, the tax-basis components of accumulated earnings, the federal tax cost and net unrealized appreciation (depreciation) in value of investments held were as follows:

Cost of investments in securities for federal income tax purposes	$	72,587,805
Gross unrealized appreciation on investments	$	6,267,670
Gross unrealized depreciation on investments		(363,333	)
Net unrealized appreciation (depreciation) on investments	$	5,904,337

During the year ended October 31, 2021, the Fund utilized net capital loss carryforward of $1,490,338.

As of October 31, 2021, the Fund has a net capital loss carryforward of $7,716,274 which may be used to offset future capital gains. These losses are a long-term capital loss carryforward of $727,337 and short-term capital loss carryforward of $6,988,937, which under current federal income tax rules, may offset capital gains recognized in any future period.

As of October 31, 2021, the Fund had temporary book/tax differences primarily attributable to wash sales on portfolio securities, partnership investments and unrealized gains on passive foreign investment companies and permanent book/tax differences primarily attributable to certain fixed income securities. To reflect reclassifications arising from the permanent differences, paid-in capital was charged $47,295 and total distributable earnings/(accumulated loss) was credited $47,295. Net assets were not affected by this reclassification.

Note 6. Capital Stock

The Fund is authorized to issue 400 million shares of capital stock, at a par value of $0.001 per share, classified in six classes as follows: 50 million of Class A capital stock, 50 million of Class C capital stock, 50 million of Class F capital stock, 150 million of Class I capital stock, 50 million of Class R capital stock and 50 million of Class Z capital stock. Class F shares are currently not available for purchase. The Board of Directors of the Fund may increase or decrease the aggregate number of shares of common stock that the Fund has authority to issue. With the exception of Class C shares held through certain intermediaries, Class C shares will automatically convert into Class A shares on a monthly basis approximately eight years after the original date of purchase. Transactions in Fund shares were as follows:

	For the Year Ended October 31, 2021						For the Year Ended October 31, 2020
	Shares			Amount			Shares			Amount
Class A:
Sold		317,115		$	3,689,412			647,469		$	6,464,619
Issued as reinvestment of dividends and distributions		41,353			469,964			63,031			640,452
Redeemed		(723,865	)		(8,240,001	)		(796,204	)		(8,269,682	)
Net increase (decrease)		(365,397	)	$	(4,080,625	)		(85,704	)	$	(1,164,611	)

57

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

	For the Year Ended October 31, 2021						For the Year Ended October 31, 2020
	Shares			Amount			Shares			Amount
Class C:
Sold		25,776		$	295,228			340,935		$	3,831,420
Issued as reinvestment of dividends and distributions		17,961			201,529			28,858			287,666
Redeemed		(213,450	)		(2,395,257	)		(336,414	)		(3,396,101	)
Net increase (decrease)		(169,713	)	$	(1,898,500	)		33,379		$	722,985
Class I:
Sold		1,622,345		$	18,572,512			4,494,724		$	50,686,317
Issued as reinvestment of dividends and distributions		189,581			2,172,571			304,174			3,084,515
Redeemed		(2,128,300	)		(23,032,225	)		(3,214,858	)		(30,869,656	)
Net increase (decrease)		(316,374	)	$	(2,287,142	)		1,584,040		$	22,901,176
Class R:
Sold		—		$	—			843		$	10,000
Issued as reinvestment of dividends and distributions		320			3,654			410			4,151
Redeemed		—			—			—			—
Net increase (decrease)		320		$	3,654			1,253		$	14,151
Class Z:
Sold		67,859		$	711,381			23,616		$	278,028
Issued as reinvestment of dividends and distributions		307			3,523			38			370
Redeemed		(62,477	)		(665,487	)		(22,043	)		(263,696	)
Net increase (decrease)		5,689		$	49,417			1,611		$	14,702

58

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Note 7. Other Risks

Common Stock Risk: While common stocks have historically generated higher average returns than fixed-income securities over the long-term, common stocks have also experienced significantly more volatility in those returns, although under certain market conditions, fixed-income investments may have comparable or greater price volatility. The value of common stocks and other equity securities will fluctuate in response to developments concerning the company, political and regulatory circumstances, the stock market, and the economy. In the short term, stock prices can fluctuate dramatically in response to these developments. Different parts of the market and different types of equity securities can react differently to these developments. For example, stocks of large companies can react differently than stocks of smaller companies, and value stocks (stocks of companies that are undervalued by various measures and have potential for long-term capital appreciation), can react differently from growth stocks (stocks of companies with attractive cash flow returns on invested capital and earnings that are expected to grow). These developments can affect a single company, all companies within the same industry, economic sector or geographic region, or the stock market as a whole.

Preferred Securities Risk: Preferred securities are subject to credit risk, which is the risk that a security will decline in price, or the issuer of the security will fail to make dividend, interest or principal payments when due, because the issuer experiences a decline in its financial status. Preferred securities are also subject to interest rate risk and may decline in value because of changes in market interest rates. The Fund may be subject to a greater risk of rising interest rates than would normally be the case in an environment of low interest rates and the effect of potential government fiscal policy initiatives and resulting market reaction to those initiatives. In addition, an issuer may be permitted to defer or omit distributions. Preferred securities are also generally subordinated to bonds and other debt instruments in a company’s capital structure. During periods of declining interest rates, an issuer may be able to exercise an option to redeem (call) its issue at par earlier than scheduled, and the Fund may be forced to reinvest in lower yielding securities. Certain preferred securities may be substantially less liquid than many other securities, such as common stocks. Generally, preferred security holders have no voting rights with respect to the issuing company unless certain events occur. Certain preferred securities may give the issuers special redemption rights allowing the securities to be redeemed prior to a specified date if certain events occur, such as changes to tax or securities laws.

Contingent Capital Securities Risk: Contingent capital securities (sometimes referred to as “CoCos”) are debt or preferred securities with loss absorption characteristics built into the terms of the security, for example, a mandatory conversion into common stock of the issuer under certain circumstances, such as the issuer’s capital ratio falling below a certain level. Since the common stock of the issuer may not pay a dividend, investors in these instruments could experience a reduced income rate, potentially to zero, and conversion would deepen the subordination of the investor, hence worsening the investor’s standing in a bankruptcy. Some CoCos provide for a reduction in the value or principal amount of the security under such circumstances. In addition, most CoCos are considered to be high yield or “junk” securities and are therefore subject to the risks of investing in below investment-grade securities. Finally, CoCo issuers can, at their discretion, suspend dividend distributions on their CoCo securities and are more likely to do so in response to negative economic conditions and/or

59

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

government regulation. Omitted distributions are typically non-cumulative and will not be paid on a future date. Any omitted distribution may negatively impact the returns or distribution rate of the Fund.

Below-Investment-Grade Securities Risk: Below investment grade securities generally involve greater volatility of price and risk of loss of income and principal, and may be more susceptible to real or perceived adverse economic and competitive industry conditions than higher grade securities. Such securities may face major ongoing uncertainties or exposure to adverse business, financial or economic conditions which could lead to inadequate capacity to meet timely interest and principal payments. It is reasonable to expect that any adverse economic condition could disrupt the market for below investment grade securities, have an adverse impact on the value of those securities and adversely affect the ability of the issuers of those securities to repay principal and interest on those securities.

Liquidity Risk: Liquidity risk is the risk that particular investments of the Fund may become difficult to sell or purchase. The market for certain investments may become less liquid or illiquid due to adverse changes in the conditions of a particular issuer or due to adverse market or economic conditions. In addition, dealer inventories of certain securities, which provide an indication of the ability of dealers to engage in “market making,” are at, or near, historic lows in relation to market size, which has the potential to increase price volatility in the fixed income markets in which the Fund invests. Federal banking regulations may also cause certain dealers to reduce their inventories of certain securities, which may further decrease the Fund’s ability to buy or sell such securities. As a result of this decreased liquidity, the Fund may have to accept a lower price to sell a security, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative effect on performance. Further, transactions in less liquid or illiquid securities may entail transaction costs that are higher than those for transactions in liquid securities.

Liquidity risk also includes the risk that market conditions or large shareholder redemptions may impact the ability of the Fund to meet redemption requests within required time periods. In order to meet such redemption requests, the fund may be forced to sell securities at inopportune times or prices.

Foreign (Non-U.S.) and Emerging Market Securities Risk: The Fund directly purchases securities of foreign issuers. Risks of investing in foreign securities, which can be expected to be greater for investments in emerging markets, include currency risks, future political and economic developments and possible imposition of foreign withholding taxes on income or proceeds payable on the securities. In addition, there may be less publicly available information about a foreign issuer than about a domestic issuer, and foreign issuers may not be subject to the same accounting, auditing and financial recordkeeping standards and requirements as domestic issuers. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Foreign Currency Risk: Although the Fund will report its NAV and pay dividends in U.S. dollars, foreign securities often are purchased with and make any dividend and interest payments in foreign currencies.

Therefore, the Fund’s investments in foreign securities will be subject to foreign currency risk, which means that the Fund’s NAV could decline solely as a result of changes in the exchange rates between foreign currencies and the U.S. dollar. Certain foreign countries may impose restrictions on the

60

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

ability of issuers of foreign securities to make payment of principal, dividends and interest to investors located outside the country, due to blockage of foreign currency exchanges or otherwise.

Derivatives and Hedging Transactions Risk: The Fund’s use of derivatives, including for the purpose of hedging interest rate or foreign currency risks, presents risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. Among the risks presented are counterparty risk, financial leverage risk, liquidity risk, OTC trading risk and tracking risk. The use of derivatives can lead to losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the derivatives.

REIT Risk: In addition to the risks of securities linked to the real estate industry, REITs are subject to certain other risks related to their structure and focus. REITs are dependent upon management skills and generally may not be diversified. REITs are also subject to heavy cash flow dependency, defaults by borrowers and self-liquidation. In addition, REITs could possibly fail to (i) qualify for pass-through of income under applicable tax law, or (ii) maintain their exemptions from registration under the 1940 Act. The above factors may also adversely affect a borrower’s or a lessee’s ability to meet its obligations to the REIT. In the event of a default by a borrower or lessee, the REIT may experience delays in enforcing its rights as a mortgagee or lessor and may incur substantial costs associated with protecting its investments.

Real Estate Market Risk: Since the Fund invests in companies engaged in the real estate industry, an investment in the Fund may be linked to the performance of the real estate markets. Risks of investing in real estate securities include falling property values due to increasing vacancies, declining rents resulting from economic, legal, tax, political or technological developments, lack of liquidity, limited diversification, and sensitivity to certain economic factors such as interest-rate changes and market recessions. Real estate company prices also may drop because of the failure of borrowers to pay their loans and poor management, and residential developers, in particular, could be negatively impacted by falling home prices, slower mortgage origination and rising construction costs. The risks of investing in REITs are similar to those associated with direct investments in real estate securities.

Small- and Medium-Sized Companies Risk: Real estate companies in the industry tend to be small- to medium-sized companies in relation to the equity markets as a whole. There may be less trading in a smaller company’s stock, which means that buy and sell transactions in that stock could have a larger impact on the stock’s price than is the case with larger company stocks. Smaller companies also may have fewer lines of business so that changes in any one line of business may have a greater impact on a smaller company’s stock price than is the case for a larger company. Further, smaller company stocks may perform differently in different cycles than larger company stocks. Accordingly, real estate company shares can, and at times will, perform differently than large company stocks.

MLP Investment Risk: An investment in MLPs involves risks that differ from a similar investment in equity securities, such as common stock, of a corporation. Holders of equity securities issued by MLPs have the rights typically afforded to limited partners in a limited partnership. As compared to common shareholders of a corporation, holders of such equity securities have more limited control and limited rights to vote on matters affecting the partnership. MLPs may have additional expenses, as some MLPs pay incentive distribution fees to their general partners. Additionally, conflicts of interest may exist

61

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

among common unit holders, subordinated unit holders and the general partner or managing member of an MLP; for example, a conflict may arise as a result of incentive distribution payments.

MLPs may have comparatively smaller capitalizations relative to issuers whose securities are included in major benchmark indexes which presents unique investment risks. MLPs and other small capitalization companies often have limited product lines, markets, distribution channels or financial resources, and the management of such companies may be dependent upon one or a few key people. The market movements of equity securities issued by MLPs and other small capitalization companies may be more abrupt or erratic than the market movements of equity securities of larger, more established companies or the stock market in general. MLPs and other smaller capitalization companies have sometimes gone through extended periods when they did not perform as well as larger companies. In addition, equity securities of smaller capitalization companies generally are less liquid than those of larger companies. This means that the Fund could have greater difficulty selling such securities at the time and price that the Fund would like.

MLPs are subject to significant regulation and may be adversely affected by changes in the regulatory environment. The value of MLPs depends largely on the MLPs being treated as partnerships for U.S. federal income tax purposes. If MLPs were subject to U.S. federal income taxation as a corporation, the MLPs would be required to pay U.S. federal income tax on their taxable income which would have the effect of reducing the amount of cash available for distribution to the MLP unitholders. This would also cause any such distributions received by the Fund to be taxed as dividend income to the extent of the MLP’s current or accumulated earnings and profits. As a result, after-tax returns could be reduced, which could cause a decline in the value of MLPs.

Energy Sector Risk: The Fund is subject to more risks related to the energy sector than if the Fund were more broadly diversified over numerous sectors of the economy. A downturn in the energy sector of the economy could have a larger impact on the Fund than on an investment company that does not concentrate in the sector. In addition, there are several specific risks associated with investments in the energy sector, including the following: Commodity Price Risk, Depletion Risk, Supply and Demand Risk, Regulatory Risk, Acquisition Risk, Weather Risks, Exploration Risk, Catastrophic Event Risk, Interest Rate Transaction Risk, Affiliated Party Risk and Limited Partner Risk and Risks of Subordinated MLP Units. MLPs which invest in the energy industry may be highly volatile due to significant fluctuation in the prices of energy commodities as well as political and regulatory developments.

Interest Rate Risk to MLPs and Related Companies: Rising interest rates could increase the cost of capital thereby increasing operating costs and reducing the ability of MLPs and other entities operating in the energy sector to carry out acquisitions or expansions in a cost-effective manner. As a result, rising interest rates could negatively affect the financial performance of MLPs and other entities operating in the energy sector. Rising interest rates may also impact the price of the securities of MLPs and other entities operating in the energy sector as the yields on alternative investments increase. These risks may be greater in the current market environment because certain interest rates are at historically low levels.

Tax Risk: The Fund intends to qualify each year as a RIC for U.S. federal income tax purposes under Subchapter M of the Internal Revenue Code of 1986, as amended (the Code). For any year in which the Fund so qualifies, it will not be subject to U.S. federal income tax on income or gain that it timely distributes to shareholders as dividends. In order to qualify as a RIC, the Fund must meet certain

62

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

asset diversification requirements, including that, at the close of each quarter of its taxable year, no more than 25% of its total assets will be invested in Qualified Publicly Traded Partnerships (QPTPs) as defined in the Code. The Fund expects that the MLPs that are treated as publicly traded partnerships for tax purposes in which the Fund invests will generally be QPTPs. The treatment of certain of the Fund’s investments for purposes of this test may be unclear, and it is possible that the Internal Revenue Service (IRS) or a court could recharacterize one or more such investments in a manner bearing adversely on the Fund’s ability to meet this 25% requirement. As of October 31, 2021, the Fund did not hold any of its total assets in QPTPs.

Infrastructure Companies Risk: Securities and instruments of infrastructure companies are more susceptible to adverse economic or regulatory occurrences affecting their industries. Infrastructure companies may be subject to a variety of factors that may adversely affect their business or operations, including high interest costs in connection with capital construction and improvement programs, high leverage, costs associated with environmental and other regulations, the effects of economic slowdown, surplus capacity, increased competition from other providers of services, uncertainties concerning the availability of fuel at reasonable prices, the effects of energy conservation policies and other factors. Infrastructure companies may also be affected by or subject to high interest costs in connection with capital construction and improvement programs; difficulty in raising capital in adequate amounts on reasonable terms in periods of high inflation and unsettled capital markets; inexperience with and potential losses resulting from a developing deregulatory environment; costs associated with compliance with and changes in environmental and other regulations; regulation by various government authorities; government regulation of rates charged to customers; service interruption due to environmental, operational or other mishaps; the imposition of special tariffs and changes in tax laws, regulatory policies and accounting standards; technological innovations that may render existing plants, equipment or products obsolete; and general changes in market sentiment towards infrastructure and utilities assets.

Natural Resources Risk: The Fund’s investments in securities of natural resource companies involve risks. The market value of securities of natural resource companies may be affected by numerous factors, including events occurring in nature, inflationary pressures and international politics. Because the Fund invests significantly in natural resource companies, there is the risk that the Fund will perform poorly during a downturn in the natural resource sector. For example, events occurring in nature (such as earthquakes or fires in prime natural resource areas) and political events (such as coups, military confrontations or acts of terrorism) can affect the overall supply of a natural resource and the value of companies involved in such natural resource. Political risks and the other risks to which foreign securities are subject may also affect domestic natural resource companies if they have significant operations or investments in foreign countries. Rising interest rates and general economic conditions may also affect the demand for natural resources.

Renewable Companies Risk: Renewable companies may be subject to a variety of factors that may adversely affect their business or operations, including costs and losses associated with environmental and other regulations and enforcement policies or changes thereto, obsolescence of its existing offerings, the effects of economic slowdown, short production cycles, increased competition from other providers of services, the effects of energy conservation policies and other factors.

63

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Because many renewable companies may be concentrated in a particular industry or industry sector (for example, the energy sector), they are subject to risks associated with such industry or sector. Renewable energy companies may be more volatile than companies operating in more established industries. Renewable energy companies and other companies operating in the renewable energy group of industries are subject to specific risks, including, among others: fluctuations in commodity prices and/or interest rates; the success of research or exploration projects, changes in governmental or environmental regulation; reduced availability of renewable energy sources or other commodities for transporting, processing, storing or delivering resources; slowdowns in new construction; seasonal weather conditions, extreme weather or other natural disasters; and threats of attack by terrorists on certain clean energy assets. Additionally, the industry also can be significantly affected by the supply of and demand for specific products or services, including the supply of and demand and price of traditional energy sources (e.g., oil and gas).

Digital Infrastructure Companies Risk: Digital Infrastructure Companies are affected by supply and demand factors, such as changes in demand for communications infrastructure, consolidation of tower sites, and new technologies. Digital Infrastructure Companies are particularly affected by changes in demand for wireless infrastructure and wireless connectivity. Such demand is affected by numerous factors including, but not limited to, consumer demand for wireless connectivity; availability or capacity of wireless infrastructure or associated land interests; location of wireless infrastructure; financial condition of customers; increased use of network sharing, roaming, joint development, or resale agreements by customers; mergers or consolidations by and among customers; governmental regulations, including local or state restrictions on the proliferation of wireless infrastructure; and technological changes, including obsolescence of its offerings or decommissioning of certain existing wireless networks. Digital Infrastructure Companies are subject to risks relating to disruption of service caused by, among others, hardware, software or internal system failures or malfunctions, security breaches, interruptions or delays in service by third-parties on which they rely, natural disasters, supplier outages, or power surges. Such disruptions can lead to significant downtime, data loss, reputational harm and associated expenses and losses from which such company may not be able to recover. Digital Infrastructure Companies may be subject to other risks including, but not limited to, water supply and climate risk and data security risk. The digital infrastructure industry is rapidly growing, highly competitive and requires Digital Infrastructure Companies to invest significant amounts of research, software and product development. Such investments may not generate returns and may cause such company to incur significant losses. Companies may experience significant fluctuations in operating results and growth rates, which could result in significant gains and losses for such company and its securities to which the Fund has exposure. In addition, the impact of existing or future rules, regulations, taxes, and governmental or political actions relating to the collecting, moving, storing or processing of personal or sensitive data or payments has the potential to be financially impactful, and, to the extent that a Digital Infrastructure Company to which the Fund has exposure, becomes more extensively regulated there could be negative impacts to such company and the Fund. Banking regulation, consumer protection laws, anti-money laundering and/or other changes in regulation may negatively affect certain Digital Infrastructure Companies.

Geopolitical Risk: Occurrence of global events similar to those in recent years, such as war, terrorist attacks, natural or environmental disasters, country instability, infectious disease epidemics,

64

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

such as that caused by the COVID-19 virus, state laws and government initiatives including foreclosure and eviction moratoria, market instability, debt crises and downgrades, embargoes, tariffs, sanctions and other trade barriers and other governmental trade or market control programs, the potential exit of a country from its respective union and related geopolitical events, may result in market volatility and may have long-lasting impacts on both the U.S. and global financial markets. Additionally, those events, as well as other changes in foreign and domestic political and economic conditions, could adversely affect individual issuers or related groups of issuers, securities markets, interest rates, secondary trading, credit ratings, inflation, investor sentiment and other factors affecting the value of the Fund’s investments.

The outbreak of COVID-19 and efforts to contain its spread have resulted in, among other things, extreme volatility in the financial markets and severe losses, reduced liquidity of many instruments, significant travel restrictions, significant disruptions to business operations, supply chains and customer activity, lower consumer demand for goods and services, service and event cancellations, reductions and other changes, strained healthcare systems, as well as general concern and uncertainty. The impact of the COVID-19 outbreak has negatively affected the global economy, the economies of individual countries, and the financial performance of individual issuers, sectors, industries, asset classes, and markets in significant and unforeseen ways. Pandemics may also exacerbate other pre-existing political, social, economic, market and financial risks. The effects of the outbreak in developing or emerging market countries may be greater due to generally less established health care systems and supply chains. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty. The foregoing could impair the Fund’s ability to maintain operational standards (such as with respect to satisfying redemption requests), disrupt the operations of the Fund’s service providers, adversely affect the value and liquidity of the Fund’s investments, and negatively impact the Fund’s performance and your investment in the Fund.

On January 31, 2020, the United Kingdom (UK) withdrew from the European Union (EU) (referred to as Brexit), commencing a transition period that ended on December 31, 2020. The EU-UK Trade and Cooperation Agreement, a bilateral trade and cooperation deal governing the future relationship between the UK and the EU (TCA), provisionally went into effect on January 1, 2021, and entered into force officially on May 1, 2021. Notwithstanding the TCA, following the transition period, there is likely to be considerable uncertainty as to the UK’s post-transition framework, including how the financial markets will react. As this process unfolds, markets may be further disrupted. Given the size and importance of the UK’s economy, uncertainty about its legal, political and economic relationship with the remaining member states of the EU may continue to be a source of instability.

Growing tensions, including trade disputes, between the United States and other nations, or among foreign powers, and possible diplomatic, trade or other sanctions could adversely impact the global economy, financial markets and the Fund. The strengthening or weakening of the U.S. dollar relative to other currencies may, among other things, adversely affect the Fund’s investments denominated in non-U.S. dollar currencies. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have, and the duration of those effects.

65

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

Regulatory Risk: The U.S. government has proposed and adopted multiple regulations that could have a long-lasting impact on the Fund and on the mutual fund industry in general. The SEC’s final rules, related requirements and amendments to modernize reporting and disclosure, along with other potential upcoming regulations, could, among other things, restrict the Fund’s ability to engage in transactions, impact flows into the Fund and/or increase overall expenses of the Fund. In addition, the SEC, Congress, various exchanges and regulatory and self-regulatory authorities, both domestic and foreign, have undertaken reviews of the use of derivatives by registered investment companies, which could affect the nature and extent of instruments used by the Fund. While the full extent of all of these regulations is still unclear, these regulations and actions may adversely affect both the Fund and the instruments in which the Fund invests and its ability to execute its investment strategy. Similarly, regulatory developments in other countries may have an unpredictable and adverse impact on the Fund.

The SEC recently adopted Rule 18f-4 under the 1940 Act relating to a registered investment company’s use of derivatives and certain financing transactions (such as reverse repurchase transactions) that could potentially require the Fund to observe more stringent requirements than are currently imposed by the 1940 Act. Among other things, Rule 18f-4 will require funds that invest in derivative instruments beyond a specified limited amount to apply a value-at-risk based limit to their use of certain derivative instruments and financing transactions and to adopt and implement a derivatives risk management program. A fund that uses derivative instruments in a limited amount will not be subject to the full requirements of Rule 18f-4. In connection with the adoption of Rule 18f-4, funds will no longer be required to comply with the asset segregation framework arising from prior SEC guidance for covering certain derivative instruments and related transactions. Rule 18f-4 may substantially curtail the Fund’s ability to use derivative instruments as part of the Fund’s investment strategy and could ultimately prevent the Fund from being able to achieve its investment goals. Compliance with Rule 18f-4 will not be required until approximately August 2022. As the Fund comes into compliance, the Fund’s approach to asset segregation and coverage requirements will be impacted.

LIBOR Risk: Many financial instruments are tied to the London Interbank Offered Rate, or “LIBOR,” to determine payment obligations, financing terms, hedging strategies, or investment value. LIBOR is the offered rate for short-term Eurodollar deposits between major international banks. The Head of the UK Financial Conduct Authority the (FCA) and LIBOR’s administrator, ICE Benchmark Administration (IBA) announced that most LIBOR settings will no longer be published after June 30, 2023, with the remainder of LIBOR publications to end at the end of 2021. It is possible that the FCA may compel the IBA to publish a subset of LIBOR settings after these dates on a “synthetic” basis, but any such publications would be considered non-representative of the underlying market. Alternatives to LIBOR are in development in many major financial markets, including a Secured Overnight Financing Rate (SOFR), a broad measure of secured overnight U.S. Treasury repo rates, which is intended to replace U.S. dollar LIBOR. Bank working groups and regulators in other countries have suggested other alternatives for their markets, including the Sterling Overnight Interbank Average Rate “SONIA” in England. Other countries are introducing their own local-currency-denominated alternative reference rates for short-term lending and global consensus on alternative rates is lacking.

There remains uncertainty and risk regarding the willingness and ability of issuers and lenders to include enhanced provisions in new and existing contracts or instruments, the suitability of the proposed

66

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO FINANCIAL STATEMENTS—(Continued)

replacement rates, and the process for amending existing contracts and instruments remains unclear. As such, the transition away from LIBOR may lead to increased volatility and illiquidity in markets that are tied to LIBOR, reduced values of, inaccurate valuations of, and miscalculations of payment amounts for LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and reduced effectiveness of hedging strategies, adversely affecting the Fund’s performance or NAV. In addition, any alternative reference rate may be an ineffective substitute resulting in prolonged adverse market conditions for the Fund. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the cessation of LIBOR publications.

Large Shareholder Risk: The Fund may have one or more large shareholders or a group of shareholders investing in Fund shares indirectly through an account, platform or program sponsored by a financial institution. Investment and asset allocation decisions by such financial institutions regarding the account, platform or program through which multiple shareholders invest may result in subscription and redemption decisions that have a significant impact on the assets, expenses and trading activities of the Fund. Such a decision may cause the Fund to sell assets (or invest cash) at disadvantageous times or prices, increase or accelerate taxable gains or transaction costs and may negatively affect the Fund’s NAV, performance, or ability to satisfy redemptions in a timely manner.

This is not a complete list of the risks of investing in the Fund. For additional information concerning the risks of investing in the Fund, please consult the Fund’s prospectus.

Note 8. Other

In the normal course of business, the Fund enters into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

Note 9. Subsequent Events

Management has evaluated events and transactions occurring after October 31, 2021 through the date that the financial statements were issued, and has determined that no additional disclosure in the financial statements is required.

67

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Shareholders of

Cohen & Steers Alternative Income Fund, Inc.

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Cohen & Steers Alternative Income Fund, Inc. (the “Fund”) as of October 31, 2021, the related statement of operations for the year ended October 31, 2021, the statement of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the two years in the period ended October 31, 2021, the period March 1, 2019 through October 31, 2019 and each of the three years in the period ended February 28, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2021 and the financial highlights for each of the two years in the period ended October 31, 2021, the period March 1, 2019 through October 31, 2019 and each of the three years in the period ended February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

New York, New York

December 22, 2021

We have served as the auditor of one or more investment companies in the Cohen & Steers family of mutual funds since 1991.

68

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

TAX INFORMATION—2021 (Unaudited)

For the fiscal year ended October 31, 2021, for individual taxpayers, the Fund designates $1,898,612 as qualified dividend income eligible for reduced tax rates. In addition, for corporate taxpayers, 29.14% of the ordinary dividends paid qualified for the dividends received deduction (DRD).

OTHER INFORMATION

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 800-330-7348, (ii) on our website at cohenandsteers.com or (iii) on the SEC’s website at http://www.sec.gov. In addition, the Fund’s proxy voting record for the most recent 12-month period ended June 30 is available by August 31 of each year (i) without charge, upon request, by calling 800-330-7348 or (ii) on the SEC’s website at http://www.sec.gov.

Disclosures of the Fund’s complete holdings are required to be made monthly on Form N-PORT, with every third month made available to the public by the SEC 60 days after the end of the Fund’s fiscal quarter. The Fund’s Form N-PORT is available (i) without charge, upon request, by calling 800-330-7348 or (ii) on the SEC’s website at http://www.sec.gov.

Please note that distributions paid by the Fund to shareholders are subject to recharacterization for tax purpose and are taxable up to the amount of the Fund’s investment company taxable income and net realized gains. Distributions in excess of the Fund’s investment company taxable income and net realized gains are a return of capital distributed from the Fund’s assets. To the extent this occurs, the Fund’s shareholders of record will be notified of the estimated amount of capital returned to shareholders for each such distribution and this information will also be available at cohenandsteers.com. The final tax treatment of all distribution is reported to shareholders on their 1099-DIV forms, which are mailed after the close of each calendar year. Distributions of capital decrease the Fund’s total assets and, therefore, could have the effect of increasing the Fund’s expense ratio. In addition, in order to make these distributions, the Fund may have to sell portfolio securities at a less than opportune time.

Changes to Investment Objectives, Strategies and Risks of the Fund

Effective after the close of business on April 30, 2021, the investment objectives, principal investment strategies and principal risks of the Fund were modified. Certain of the modifications to the Fund’s principal investment strategies were implemented before the close of business on April 30, 2021 in accordance with the Fund’s existing principal investment strategies. The current investment objectives of the Fund are to seek a high level of current income and capital appreciation. Previously, the investment objectives of the Fund were to seek a high level of current income and secondarily, capital appreciation. In conjunction with these changes, Tyler S. Rosenlicht and Christopher Rhine are no longer be named portfolio managers of the Fund.

In connection with the changes described above, the Fund’s linked blended benchmark was changed to include a blended benchmark consisting of the following components: 50% Preferred Blended Benchmark (consists of 60% ICE BofA US IG Institutional Capital Securities Index, 20% ICE BofA Core Fixed Rate Preferred Securities Index and 20% Bloomberg Developed Market USD Contingent Capital Index), 30% Dow Jones Brookfield Global Infrastructure Index, and 20% FTSE EPRA Nareit Developed Real Estate Index (Net).

69

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Changes to the Board of Directors and Officers

On March 8, 2021, the Board of Directors voted to set the number of directors on the Fund’s Board of Directors to ten. In addition, the Board of Directors elected Ms. Ramona Rogers-Windsor as a Director of the Fund.

Effective December 7, 2021, Director and Chairman Robert H. Steers resigned from the Fund’s Board of Directors. The Board of Directors has appointed Director Joseph M. Harvey to succeed Mr. Steers as Chairman. In addition, effective March 1, 2022, Mr. Harvey, Cohen & Steers, Inc.’s (CNS) current President and a member of CNS’ board of directors, will succeed Mr. Steers as Chief Executive Officer of CNS and Cohen & Steers Capital Management, Inc., the Fund’s investment advisor (the investment advisor). At that time, Mr. Steers will assume the role of Executive Chairman of CNS and continue on as a member of CNS’ board of directors.

On December 7, 2021, the Board of Directors elected Adam M. Derechin, President and Chief Executive Officer of the Fund, as a Director of the Fund. Concurrent with his election, Mr. Derechin resigned as President and Chief Executive Officer of the Fund. Mr. Derechin currently serves as the Chief Operating Officer of CNS and the investment advisor since 2004 and 2003, respectively. Effective December 7, 2021, James Giallanza, previously Chief Financial Officer of the Fund, succeeded Mr. Derechin as President and Chief Executive Officer of the Fund and Albert Laskaj, Treasurer of the Fund, succeeded Mr. Giallanza as Chief Financial Officer of the Fund.

In addition, also on December 7, 2021, the Board of Directors voted to set the number of directors on the Fund’s Board of Directors to nine, effective January 1, 2022. Director C. Edward Ward, Jr. will retire from the Board of Directors on December 31, 2021 pursuant to the Fund’s mandatory retirement policy.

APPROVAL OF INVESTMENT ADVISORY AND SUBADVISORY AGREEMENTS

The Board of Directors of the Fund, including a majority of the directors who are not parties to the Fund’s investment advisory and subadvisory agreements (the Advisory Agreements), or interested persons of any such party (the Independent Directors), has the responsibility under the Investment Company Act of 1940 to approve the Fund’s Advisory Agreements for their initial two year terms and their continuation annually thereafter at a meeting of the Board of Directors called for the purpose of voting on the approval or continuation. The Advisory Agreements were discussed at a meeting of the Independent Directors, in their capacity as the Contract Review Committee, held on June 8, 2021 and at meetings of the full Board of Directors held on March 16, 2021 and June 15, 2021. The Independent Directors, in their capacity as the Contract Review Committee, also discussed the Advisory Agreement in executive session on June 15, 2021. At the meeting of the full Board of Directors on June 15, 2021, the Advisory Agreements were unanimously continued for a term ending June 30, 2022 by the Fund’s Board of Directors, including the Independent Directors. The Independent Directors were represented by independent counsel who assisted them in their deliberations during the meetings and executive session.

In considering whether to continue the Advisory Agreements, the Board of Directors reviewed materials provided by an independent data provider, which included, among other items, fee, expense and performance information compared to peer funds (the Peer Funds and, collectively with the Fund, the Peer Group) and performance comparisons to a larger category universe; summary information prepared by the Fund’s investment advisor (the Investment Advisor); and a memorandum from counsel to the Independent Directors outlining the legal duties of the Board of Directors. The Board of Directors

70

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

also considered a supplemental peer group compiled by the Investment Advisor when evaluating the Fund’s performance and fees and expenses; the Investment Advisor believes the supplemental peer group is more representative of the Fund’s investment strategy. The Board of Directors also spoke directly with representatives of the independent data provider and met with investment advisory personnel. In addition, the Board of Directors considered information provided from time to time by the Investment Advisor throughout the year at meetings of the Board of Directors, including presentations by portfolio managers relating to the investment performance of the Fund and the investment strategies used in pursuing the Fund’s objective. The Board of Directors also considered information provided in response to a request for information submitted by counsel to the Independent Directors, as well as information provided in response to a supplemental request. In addition, the Board of Directors considered the changes to the Fund’s investment strategy that it had recently approved, including the rationale for the changes. Additionally, the Independent Directors noted that in connection with their considerations, that they had received information from the Investment Advisor about, and discussed with the Investment Advisor, the operations of its business continuity plan and related matters and the operations of third party service providers during the COVID-19 pandemic. In particular, the Board of Directors considered the following:

(i) The nature, extent and quality of services to be provided by the Investment Advisor and the Subadvisors: The Board of Directors reviewed the services that the Investment Advisor and the sub-investment advisors (the Subadvisors) provide to the Fund, including, but not limited to, making the day-to-day investment decisions for the Fund, placing orders for the investment and reinvestment of the Fund’s assets, furnishing information to the Board of Directors of the Fund regarding the Fund’s portfolio, providing individuals to serve as Fund officers, and, for the Investment Advisor, generally managing the Fund’s investments in accordance with the stated policies of the Fund. The Board of Directors also discussed with officers and portfolio managers of the Fund the types of transactions conducted on behalf of the Fund. Additionally, the Board of Directors took into account the services provided by the Investment Advisor and the Subadvisors to other funds and accounts, including those that have investment objectives and strategies similar to those of the Fund. The Board of Directors also considered the education, background and experience of the Investment Advisor’s and Subadvisors’ personnel, particularly noting the potential benefit that the portfolio managers’ work experience and favorable reputation can have on the Fund. The Board of Directors further noted the Investment Advisor’s and Subadvisors’ ability to attract qualified and experienced personnel. The Board of Directors also considered the administrative services provided by the Investment Advisor, including compliance and accounting services. After consideration of the above factors, among others, the Board of Directors concluded that the nature, extent and quality of services provided by the Investment Advisor and the Subadvisors are satisfactory and appropriate.

(ii) Investment performance of the Fund and the Investment Advisor and the Subadvisors: The Board of Directors considered the investment performance of the Fund compared to Peer Funds and compared to a relevant benchmark. The Board of Directors noted that the Fund was repositioned as an alternative income fund effective July 1, 2019, and its investment objective, investment strategy and benchmark were further modified effective May 1, 2021. Therefore, any investment performance information relating to periods before May 1, 2021 were reflective of the Fund’s previous investment objectives and strategies. The Board of Directors noted that the Fund outperformed the Peer Group median for the one- and ten-year periods ended March 31, 2021, ranking in the first quintile and one out of two peers, respectively, and underperformed the Peer Group medians for the three- and five-year

71

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

periods ended March 31, 2021, ranking in the fifth quintile for each period. The Board of Directors considered that the Fund outperformed the linked blended benchmark for the one-and five-year periods ended March 31, 2021, and underperformed the linked blended benchmark for the three- and ten- year periods ended March 31, 2021. The Board of Directors also considered the Fund’s performance compared to a supplemental peer group compiled by the Investment Advisor, and noted that the Fund outperformed the supplemental peer group median for the one-, three- and five—year periods ended March 31, 2021, ranking two out of six peers, two out of six peers and one out of five peers respectively, and was the only fund within its supplemental peer group for the ten-year period. The Board of Directors engaged in discussions with the Investment Advisor regarding the contributors to and detractors from the Fund’s performance during the period, including the relevant implications of the continuing COVID-19 pandemic. The Board of Directors also considered supplemental information provided by the Investment Advisor, including a narrative summary of various factors affecting performance and the Investment Advisor’s performance in managing similarly managed funds and accounts. The Board of Directors determined that Fund performance, in light of all the considerations noted above, supported the continuation of the Advisory Agreements but determined to continue to closely monitor the Fund’s performance and requested that the Investment Advisor provide detailed quarterly updates for this purpose.

(iii) Cost of the services to be provided and profits to be realized by the Investment Advisor from the relationship with the Fund: The Board of Directors considered the contractual and actual management fees paid by the Fund as well as the Fund’s total expense ratio. As part of its analysis, the Board of Directors gave consideration to the fee and expense analyses provided by the independent data provider. The Board of Directors noted that the Fund’s actual management fee and total expense ratio are both the lowest in the Peer Group, ranking the Fund in the first quintile for each. Directors also considered the Fund’s fees and expenses versus the supplemental peer group compiled by the Investment Advisor, and noted that the Fund’s overall net expense ratio versus the supplemental peer group is lower than the supplemental peer group median, ranking three out of six peers. The Board of Directors noted that the Fund’s actual management fee is lower than the supplemental peer group median, ranking two out of six peers. The Board of Directors considered that the Investment Advisor continues to waive a portion of its fees and/or reimburse expenses to limit overall operating expenses of the Fund. In light of the considerations above, the Board of Directors concluded that the Fund’s current expense structure was satisfactory.

The Board of Directors also reviewed information regarding the profitability to the Investment Advisor of its relationship with the Fund. The Board of Directors considered the level of the Investment Advisor’s profits and whether the profits were reasonable for the Investment Advisor. The Board of Directors noted that the Investment Advisor is currently waiving its fee and/or reimbursing expenses of the Fund. Since the Subadvisors are paid by the Investment Advisor (and not by the Fund) for investment services provided to the Fund and are affiliates of the Investment Advisor, the Board of Directors considered the profitability of the Investment Advisor as a whole and did not consider the Subadvisors’ separate profitability to be particularly relevant to their determination. The Board of Directors took into consideration other benefits to be derived by the Investment Advisor in connection with the Advisory Agreements, noting particularly the research and related services, within the meaning of Section 28(e) of the Securities Exchange Act of 1934, that the Investment Advisor receives by allocating the Fund’s brokerage transactions. The Board of Directors further considered that the Investment Advisor continues to reinvest profits back in the business, including upgrading and/or implementing new trading, compliance and accounting systems, and by

72

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

adding investment personnel to the portfolio management teams. The Board of Directors also considered the administrative services provided by the Investment Advisor and the associated administration fee paid to the Investment Advisor for such services under the Administration Agreement. The Board of Directors determined that the services received under the Administration Agreement are beneficial to the Fund. The Board of Directors noted that because of the Fund’s asset size, the operating expenses continue to be subsidized, and the Fund is not yet profitable.

(iv) The extent to which economies of scale would be realized as the Fund grows and whether fee levels would reflect such economies of scale: The Board of Directors considered the Fund’s asset size and determined that there were not at this time significant economies of scale that were not being shared with shareholders. In considering economies of scale, the Board of Directors also noted, as discussed above in (iii), that the Investment Advisor continues to reinvest profits back in the business.

(v) Comparison of services to be rendered and fees to be paid to those under other investment advisory contracts, such as contracts of the same and other investment advisors or other clients: As discussed above in (iii), the Board of Directors compared the fees paid under the Advisory Agreements to those under other investment advisory contracts of other investment advisors managing Peer Funds. The Board of Directors also compared the services rendered and fees paid under the Advisory Agreements to fees paid, including the ranges of such fees, under the Investment Advisor’s other fund advisory agreements and advisory contracts with institutional and other clients with similar investment mandates, noting that the Investment Advisor provides more services to the Fund than it does for institutional or subadvised accounts. The Board of Directors also considered the entrepreneurial risk and financial exposure assumed by the Investment Advisor in developing and managing the Fund that the Investment Advisor does not have with institutional and other clients and other differences in the management of registered investment companies and institutional accounts. The Board of Directors determined that on a comparative basis the fees under the Advisory Agreements were reasonable in relation to the services provided.

No single factor was cited as determinative to the decision of the Board of Directors, and each Director may have assigned different weights to the various factors. Rather, after weighing all of the considerations and conclusions discussed above, the Board of Directors, including the Independent Directors, unanimously approved the continuation of the Advisory Agreements.

LIQUIDITY RISK MANAGEMENT PROGRAM

Pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule), the Fund has adopted and implemented a liquidity risk management program (the Program). The Liquidity Rule requires an open-end investment company to adopt a program that is reasonably designed to assess and manage its liquidity risk, which is the risk that an open-end investment company could not meet redemption requests without significant dilution of remaining investors’ interests in the open-end investment company. The Board has designated Cohen & Steers Capital Management, Inc. (the Investment Advisor) as the administrator of the Program. The Investment Advisor has delegated this responsibility to the Liquidity Risk Management Committee (the LRM Committee), which is comprised of representatives from various departments within the Investment Advisor. The Program includes policies and procedures reasonably designed to: (1) assess, manage, and periodically review the Fund’s liquidity risk; (2) classify the Fund’s portfolio investments as highly liquid, moderately liquid, less liquid, or illiquid; (3) determine a highly liquid investment minimum (HLIM) for the Fund or determine that one is

73

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

not required; (4) limit the Fund’s illiquid investments to no more than 15% of its net assets; and (5) establish how and when the Fund will engage in in-kind redemptions.

The Board met on June 15, 2021 (the Meeting) to review the Program. At the Meeting, the LRM Committee provided the Board with a report that addressed the operation of the Program, including its implementation and effectiveness in assessing and managing the Fund’s liquidity risk (the Report). The Report covered the period from April 1, 2020 through March 31, 2021 (the Reporting Period).

The Report described the LRM Committee’s role in administering the Program, which complied with the Liquidity Rule requirements for assessing, managing and reviewing the Fund’s liquidity risk through the LRM Committee’s daily monitoring and quarterly analysis of liquidity parameters which include historical net redemption activity and consideration of the Fund’s shareholder ownership concentration, as applicable. The Report noted that the Fund’s investments are categorized into one of four liquidity buckets: highly liquid, moderately liquid, less liquid and illiquid. Liquidity classifications take into account a variety of market, trading, and investment factors, including the Fund’s reasonably anticipated trade size. The Investment Advisor has engaged a third-party vendor to assist with the classification of portfolio investments. The Report also described the LRM Committee’s determination that the Fund is a primarily highly liquid fund under the Liquidity Rule.

The Report noted that there were no liquidity events during the Reporting Period that materially impacted the Fund’s ability to timely meet redemptions without significantly diluting remaining shareholders’ interests. The Report concluded that the Program is operating as intended, effective in implementing the requirements of the Liquidity Rule and reasonably designed to assess and manage the Fund’s liquidity risk.

There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

74

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

MANAGEMENT OF THE FUND

The business and affairs of the Fund are managed under the direction of the Board of Directors. The Board of Directors approves all significant agreements between the Fund and persons or companies furnishing services to it, including the Fund’s agreements with its investment advisor, administrator, co-administrator, custodian and transfer agent. The management of the Fund’s day-to-day operations is delegated to its officers, the investment advisor, administrator and co-administrator, subject always to the investment objective and policies of the Fund and to the general supervision of the Board of Directors.

The Board of Directors and officers of the Fund and their principal occupations during at least the past five years are set forth below. The statement of additional information (SAI) includes additional information about fund directors and is available, without charge, upon request by calling 800-330-7348.

Name, Address and Year of Birth1	Position(s) Held With Fund	Term of Office2	Principal Occupation During At Least The Past 5 Years (Including Other Directorships Held)	Number of Funds Within Fund Complex Overseen by Director (Including the Fund)		Length of Time Served3
Interested Directors4
Joseph M. Harvey5 1963	Director, Chairman	Until Next Election of Directors	President of the Cohen & Steers Capital Management, Inc. (CSCM or the Advisor) (since 2003) and President of Cohen & Steers, Inc. (CNS) (since 2004). Chief Investment Officer of CSCM from 2003 to 2019. Prior to that, Senior Vice President and Director of Investment Research of CSCM.		20	Since 2014
Adam M. Derechin6 1964	Director	Until Next Election of Directors	Chief Operating Officer of CSCM since 2003 and CNS since 2004.		20	Since 2021
Independent Directors
Michael G. Clark 1965	Director	Until Next Election of Directors	From 2006 to 2011, President and Chief Executive Officer of DWS Funds and Managing Director of Deutsche Asset Management.		20	Since 2011
George Grossman 1953	Director	Until Next Election of Directors	Attorney-at-law.		20	Since 1993

(table continued on next page)

75

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

(table continued from previous page)

Name, Address and Year of Birth1	Position(s) Held With Fund	Term of Office2	Principal Occupation During At Least The Past 5 Years (Including Other Directorships Held)	Number of Funds Within Fund Complex Overseen by Director (Including the Fund)	Length of Time Served3
Dean A. Junkans 1959	Director	Until Next Election of Directors	CFA; Advisor to SigFig (a registered investment advisor) since July, 2018; Adjunct Professor and Executive–In–Residence, Bethel University since 2015; Chief Investment Officer at Wells Fargo Private Bank from 2004 to 2014 and Chief Investment Officer of the Wealth, Brokerage and Retirement group at Wells Fargo & Company from 2011 to 2014; former Member and Chair, Claritas Advisory Committee at the CFA Institute from 2013 to 2015; Board Member and Investment Committee member, Bethel University Foundation since 2010; formerly Corporate Executive Board Member of the National Chief Investment Officers Circle, 2010 to 2015; formerly, Member of the Board of Governors of the University of Wisconsin Foundation, River Falls, 1996 to 2004; U.S. Army Veteran, Gulf War.	20	Since 2015

(table continued on next page)

76

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

(table continued from previous page)

Name, Address and Year of Birth1	Position(s) Held With Fund	Term of Office2	Principal Occupation During At Least The Past 5 Years (Including Other Directorships Held)	Number of Funds Within Fund Complex Overseen by Director (Including the Fund)	Length of Time Served3
Gerald J. Maginnis 1955	Director	Until Next Election of Directors	Philadelphia Office Managing Partner, KPMG LLP from 2006 to 2015; Partner in Charge, KPMG Pennsylvania Audit Practice from 2002 to 2008; President, Pennsylvania Institute of Certified Public Accountants (PICPA) from 2014 to 2015; Member, PICPA Board of Directors from 2012 to 2016; Member, Council of the American Institute of Certified Public Accountants (AICPA) from 2013 to 2017; Member, Board of Trustees of AICPA Foundation from 2015 to 2020; Board member and Audit Committee Chairman of inTEST Corporation since 2020.	20	Since 2015
Jane F. Magpiong 1960	Director	Until Next Election of Directors	President, Untap Potential since 2013; Board Member, Crespi High School from 2014 to 2017; Senior Managing Director, TIAA-CREF, from 2011 to 2013; National Head of Wealth Management, TIAA- CREF, from 2008 to 2011; and prior to that, President, Bank of America Private Bank from 2005 to 2008.	20	Since 2015

(table continued on next page)

77

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

(table continued from previous page)

Name, Address and Year of Birth1	Position(s) Held With Fund	Term of Office2	Principal Occupation During At Least The Past 5 Years (Including Other Directorships Held)	Number of Funds Within Fund Complex Overseen by Director (Including the Fund)	Length of Time Served3
Daphne L. Richards 1966	Director	Until Next Election of Directors	Independent Director of Cartica Management, LLC since 2015; Investment Committee Member of the Berkshire Taconic Community Foundation since 2015 and Member of the Advisory Board of Northeast Dutchess Fund since 2016; President and CIO of Ledge Harbor Management since 2016; formerly, worked at Bessemer Trust Company from 1999 to 2014; prior thereto, held investment positions at Frank Russell Company from 1996 to 1999. Union Bank of Switzerland from 1993 to 1996; Credit Suisse from 1990 to 1993; and Hambros International Venture Capital Fund from 1988 to 1989.	20	Since 2017
Ramona Rogers-Windsor7 1960	Director	Until Next Election of Directors	Member, Capital Southwest Board of Directors since March 2021; member, Thomas Jefferson University Board of Trustees since 2020; Managing Director, Public Investments Department, Northwestern Mutual Investment Management Company, LLC from 2012 to 2019; member, Milwaukee Film, LLC Board of Directors from 2016 to 2019.	20	Since 2021

(table continued on next page)

78

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

(table continued from previous page)

Name, Address and Year of Birth1	Position(s) Held With Fund	Term of Office2	Principal Occupation During At Least The Past 5 Years (Including Other Directorships Held)	Number of Funds Within Fund Complex Overseen by Director (Including the Fund)	Length of Time Served3
C. Edward Ward, Jr.8 1946	Director	Until Next Election of Directors	Member of The Board of Trustees of Manhattan College, Riverdale, New York from 2004 to 2014. Formerly, Director of closed-end fund management for the NYSE where he worked from 1979 to 2004.	20	Since 2004

¹  The address for each director is 280 Park Avenue, New York, NY 10017.

²  On March 12, 2008, the Board of Directors adopted a mandatory retirement policy stating a Director must retire from the Board on December 31st of the year in which he or she turns 75 years of age.

³  The length of time served represents the year in which the Director was first elected or appointed to any fund in the Cohen & Steers fund complex.

⁴  “Interested person” as defined in the 1940 Act, of the Fund because of affiliation with CSCM (Interested Directors).

⁵  Robert H. Steers resigned from the Funds Board of Directors and role as Chairman, effective December 7, 2021. The Board of Directors has appointed Joseph M. Harvey to succeed Mr. Steers as Chairman, effective December 7, 2021.

⁶  Mr. Derechin was elected to the Fund’s Board of Directors effective December 7, 2021.

⁷  Ms. Rogers-Windsor was elected as a Director of each of the Funds in the Cohen & Steers Fund Complex by each applicable Fund’s Board of Directors on March 8, 2021.

⁸  C. Edward Ward, Jr. will retire from the Board of Directors on December 31, 2021 pursuant to the Fund’s mandatory retirement policy.

79

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

The officers of the Fund (other than Mr. Harvey, whose biography is provided above), their address, their year of birth and their principal occupations for at least the past five years are set forth below.

Name, Address and Year of Birth1	Position(s) Held With Fund	Principal Occupation During At Least the Past 5 Years	Length of Time Served2
James Giallanza 1966	President and Chief Executive Officer	Executive Vice President of CSCM since 2014. Prior to that, Senior Vice President of CSCM since 2006.	Since 2006
Albert Laskaj 1977	Treasurer and Chief Financial Officer	Senior Vice President of CSCM since 2019. Prior to that, Vice President of CSCM since 2015.	Since 2015
Dana A. DeVivo 1981	Secretary and Chief Legal Officer	Senior Vice President of CSCM since 2019. Prior to that, Vice President of CSCM since 2013.	Since 2015
Stephen Murphy 1966	Chief Compliance Officer and Vice President	Senior Vice President of CSCM since 2019. Prior to that, Managing Director at Mirae Asset Securities (USA) Inc. since 2017. Prior to that, Vice President & Chief Compliance Officer of Weiss Multi-Strategy Adviser LLC since 2011.	Since 2019
Jon Cheigh 1972	Vice President	Chief Investment Officer of CSCM since October 2019 and Executive Vice President of CSCM since 2012. Prior to that, Senior Vice President of CSCM since 2007.	Since 2006
Vincent L. Childers 1976	Vice President	Senior Vice President of CSCM since 2013. Prior to that, portfolio manager for real asset strategies at AllianceBernstein.	Since 2013

¹  The address of each officer is 280 Park Avenue, New York, NY 10017.

²  Officers serve one-year terms. The length of time served represents the year in which the officer was first elected as an officer of any fund in the Cohen & Steers fund complex. All of the officers listed above are officers of one or more of the other funds in the complex.

80

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Cohen & Steers Privacy Policy

Facts	What Does Cohen & Steers Do With Your Personal Information?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: • Social Security number and account balances • Transaction history and account transactions • Purchase history and wire transfer instructions
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Cohen & Steers chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does Cohen & Steers share?	Can you limit this sharing?
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or reports to credit bureaus	Yes	No
For our marketing purposes— to offer our products and services to you	Yes	No
For joint marketing with other financial companies—	No	We don’t share
For our affiliates’ everyday business purposes— information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes— information about your creditworthiness	No	We don’t share
For our affiliates to market to you—	No	We don’t share
For non-affiliates to market to you—	No	We don’t share
Questions?    Call 800.330.7348

81

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Cohen & Steers Privacy Policy—(Continued)

Who we are
Who is providing this notice?	Cohen & Steers Capital Management, Inc., Cohen & Steers Asia Limited, Cohen & Steers Japan Limited, Cohen & Steers UK Limited, Cohen & Steers Ireland Limited, Cohen & Steers Securities, LLC, Cohen & Steers Private Funds and Cohen & Steers Open and Closed-End Funds (collectively, Cohen & Steers).
What we do
How does Cohen & Steers protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We restrict access to your information to those employees who need it to perform their jobs, and also require companies that provide services on our behalf to protect your information.
How does Cohen & Steers collect my personal information?	We collect your personal information, for example, when you: • Open an account or buy securities from us • Provide account information or give us your contact information • Make deposits or withdrawals from your account We also collect your personal information from other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only: • sharing for affiliates’ everyday business purposes—information about your creditworthiness • affiliates from using your information to market to you • sharing for non-affiliates to market to you State law and individual companies may give you additional rights to limit sharing.
Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. • Cohen & Steers does not share with affiliates.
Non-affiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. • Cohen & Steers does not share with non-affiliates.
Joint marketing	A formal agreement between non-affiliated financial companies that together market financial products or services to you. • Cohen & Steers does not jointly market.

82

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

Cohen & Steers Open-End Mutual Funds

COHEN & STEERS REALTY SHARES

• Designed for investors seeking total return, investing primarily in U.S. real estate securities

• Symbols: CSJAX, CSJCX, CSJIX, CSRSX, CSJRX, CSJZX

COHEN & STEERS REAL ESTATE SECURITIES FUND

• Designed for investors seeking total return, investing primarily in U.S. real estate securities

• Symbols: CSEIX, CSCIX, CREFX, CSDIX, CIRRX, CSZIX

COHEN & STEERS INSTITUTIONAL REALTY SHARES

• Designed for institutional investors seeking total return, investing primarily in U.S. real estate securities

• Symbol: CSRIX

COHEN & STEERS GLOBAL REALTY SHARES

• Designed for investors seeking total return, investing primarily in global real estate equity securities

• Symbols: CSFAX, CSFCX, CSSPX, GRSRX, CSFZX

COHEN & STEERS INTERNATIONAL REALTY FUND

• Designed for investors seeking total return, investing primarily in international (non-U.S.) real estate securities

• Symbols: IRFAX, IRFCX, IRFIX, IRFRX, IRFZX

COHEN & STEERS REAL ASSETS FUND

• Designed for investors seeking total return and the maximization of real returns during inflationary environments by investing primarily in real assets

• Symbols: RAPAX, RAPCX, RAPIX, RAPRX, RAPZX

COHEN & STEERS PREFERRED SECURITIES

AND INCOME FUND

• Designed for investors seeking total return (high current income and capital appreciation), investing primarily in preferred and debt securities issued by U.S. and non-U.S. companies

• Symbols: CPXAX, CPXCX, CPXFX, CPXIX, CPRRX, CPXZX

COHEN & STEERS LOW DURATION PREFERRED

AND INCOME FUND

• Designed for investors seeking high current income and capital preservation by investing in low-duration preferred and other income securities issued by U.S. and non-U.S. companies

• Symbols: LPXAX, LPXCX, LPXFX, LPXIX, LPXRX, LPXZX

COHEN & STEERS MLP & ENERGY OPPORTUNITY FUND

• Designed for investors seeking total return, investing primarily in midstream energy master limited partnership (MLP) units and related stocks

• Symbols: MLOAX, MLOCX, MLOIX, MLORX, MLOZX

COHEN & STEERS GLOBAL INFRASTRUCTURE FUND

• Designed for investors seeking total return, investing primarily in global infrastructure securities

• Symbols: CSUAX, CSUCX, CSUIX, CSURX, CSUZX

COHEN & STEERS ALTERNATIVE INCOME FUND

• Designed for investors seeking high current income and capital appreciation, investing in equity, preferred and debt securities, focused on real assets and alternative income strategies

• Symbols: DVFAX, DVFCX, DVFIX, DVFRX, DVFZX

Distributed by Cohen & Steers Securities, LLC.

Please consider the investment objectives, risks, charges and expenses of any Cohen & Steers U.S. registered open-end fund carefully before investing. A summary prospectus and prospectus containing this and other information can be obtained by calling 800-330-7348 or by visiting cohenandsteers.com. Please read the summary prospectus and prospectus carefully before investing.

83

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

OFFICERS AND DIRECTORS

Joseph M. Harvey

Director, Chairman and Vice President

Adam M. Derechin

Director

Michael G. Clark

Director

George Grossman

Director

Dean A. Junkans

Director

Gerald J. Maginnis

Director

Jane F. Magpiong

Director

Daphne L. Richards

Director

Ramona Rogers-Windsor

Director

C. Edward Ward, Jr.

Director

James Giallanza

President and Chief Executive Officer

Albert Laskaj

Treasurer and Chief Financial Officer

Dana A. DeVivo

Secretary and Chief Legal Officer

Stephen Murphy

Chief Compliance Officer

and Vice President

Jon Cheigh

Vice President

Vincent L. Childers

Vice President

KEY INFORMATION

Investment Advisor and Administrator

Cohen & Steers Capital Management, Inc.

280 Park Avenue

New York, NY 10017

(212) 832-3232

Co-administrator and Custodian

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Transfer Agent

DST Asset Manager Solutions, Inc.

P.O. Box 219953

Kansas City, MO 64121-9953

(800) 437-9912

Legal Counsel

Ropes & Gray LLP

1211 Avenue of the Americas

New York, NY 10036

Distributor

Cohen & Steers Securities, LLC

280 Park Avenue

New York, NY 10017

NASDAQ Symbol:	Class A—DVFAX
	Class C—DVFCX
	Class F—DVVFX*
	Class I—DVFIX
	Class R—DVFRX
	Class Z—DVFZX

website: cohenandsteers.com

This report is authorized for delivery only to shareholders of Cohen & Steers Alternative Income Fund, Inc. unless accompanied or preceded by the delivery of a currently effective prospectus setting forth details of the Fund. Performance data quoted represent past performance. Past performance is no guarantee of future results and your investment may be worth more or less at the time you sell your shares.

* Class F shares are currently not available for purchase.

84

eDelivery AVAILABLE

Stop traditional mail delivery;

receive your shareholder reports

and prospectus online.

Sign up at cohenandsteers.com

Cohen & Steers

Alternative

Income Fund

Annual Report October 31, 2021

As permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports are no longer sent by mail, unless you specifically requested paper copies of the reports. Instead, the reports are made available on the Fund’s website at www.cohenandsteers.com, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary or, if you are a direct investor, by signing up at www.cohenandsteers.com.

You may elect to receive all future reports in paper, free of charge, at any time. If you invest through a financial intermediary, you can contact your financial intermediary or, if you are a direct investor, you can call (800) 330-7348 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held in your account if you invest through your financial intermediary or all Funds held within the fund complex if you invest directly with the Fund.

DVFAXAR

Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to its Principal Executive Officer and Principal Financial Officer. The Code of Ethics was in effect during the reporting period. The Registrant has not amended the Code of Ethics as described in Form N-CSR during the reporting period. In December 2021, the registrant amended the Code of Ethics to reflect the registrant’s current Principal Executive Officer and Principal Financial Officer. The Registrant has not granted any waiver, including an implicit waiver, from a provision of the Code of Ethics as described in Form N-CSR during the reporting period. A current copy of the Code of Ethics is available on the Registrant’s website at
https://assets.cohenandsteers.com/assets/content/uploads/Code_of_Ethics_for_Principal_Executive_and_Principal_Financial_Officers_of_the_Funds.pdf. Upon request, a copy of the Code of Ethics can be obtained free of charge by calling 800-330-7348 or writing to the Secretary of the Registrant, 280 Park Avenue, 10th floor, New York, NY 10017.

Item 3. Audit Committee Financial Expert.

The Registrant’s board has determined that Gerald J. Maginnis qualifies as an audit committee financial expert based on his years of experience in the public accounting profession. The registrant’s board has determined that Michael G. Clark qualifies as an audit committee financial expert based on his years of experience in the public accounting profession and the investment management and financial services industry. Each of Messrs. Clark and Maginnis is a member of the board’s audit committee, and each is independent as such term is defined in Form N-CSR.

Item 4. Principal Accountant Fees and Services.

(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years ended October 31, 2021 and October 31, 2020 for professional services rendered by the registrant’s principal accountant were as follows:

	2021	2020
Audit Fees	$46,492	$45,580
Audit-Related Fees	$0	$0
Tax Fees	$19,421	$19,040
All Other Fees	$0	$0

Audit related fees were billed in connection with the Registrant’s independent auditor’s issuance of their consent related to a registration statement filing for the Registrant’s strategy change and related fiscal year-end change. Tax fees were billed in connection with tax compliance services, including the preparation and review of federal and state tax returns.

(e)(1) The audit committee is required to pre-approve audit and non-audit services performed for the registrant by the principal accountant. The audit committee also is required to pre-approve non-audit services performed by the registrant’s principal accountant for the registrant’s investment advisor and any sub-advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant, if the engagement for services relates directly to the operations and financial reporting of the registrant.

The audit committee may delegate pre-approval authority to one or more of its members who are independent members of the board of directors of the registrant. The member or members to whom such authority is delegated shall report any pre-approval decisions to the audit committee at its next scheduled meeting. The audit committee may not delegate its responsibility to pre-approve services to be performed by the registrant’s principal accountant to the investment advisor.

(e)(2) No services included in (b) – (d) above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not applicable.

(g) For the fiscal years ended October 31, 2021 and October 31, 2020, the aggregate fees billed by the registrant’s principal accountant for non-audit services rendered to the registrant and for non-audit services rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant were:

	2021	2020
Registrant	$19,421	$19,040
Investment Advisor	$0	$0

(h) The registrant’s audit committee considered whether the provision of non-audit services that were rendered to the registrant’s investment advisor (not including any sub-advisor whose role is primarily portfolio management and is subcontracted with or overseen by another investment advisor) and/or to any entity controlling, controlled by or under common control with the registrant’s investment advisor that provides ongoing services to the registrant that were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X was compatible with maintaining the principal accountant’s independence.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

None.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940.

(a)(3) Not applicable.

(a)(4) Not applicable.

(b) Certifications of principal executive officer and principal financial officer as required by Rule 30a- 2(b) under the Investment Company Act of 1940.

SIGNATURES

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

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

By:	/s/ James Giallanza
	Name: James Giallanza Title: Principal Executive Officer (President and Chief Executive Officer)
Date:	December 29, 2021

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

By:	/s/ James Giallanza
	Name: James Giallanza Title: Principal Executive Officer (President and Chief Executive Officer)
By:	/s/ Albert Laskaj
	Name: Albert Laskaj Title: Principal Financial Officer (Treasurer and Chief Financial Officer)
Date: December 29, 2021