Cohen & Steers Alternative Income Fund NPORT-P Cohen & Steers Alternative Income Fund, Inc. (Jan 2021 report)

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

SCHEDULE OF INVESTMENTS

January 31, 2021 (Unaudited)

			Shares		Value
COMMON STOCK	39.8	%
AIRPORTS—FOREIGN	0.5	%
Aena SME SA, 144A (Spain)(a),(b)				621	$	95,768
Aeroports de Paris (France)(b)				526		60,367
Airports of Thailand PCL (Thailand)				22,700		44,938
Auckland International Airport Ltd. (New Zealand)(b)				10,953		58,269
Sydney Airport (Australia)(b)				8,246		35,831
						295,173
COMMUNICATIONS	1.9	%
TOWERS	1.6	%
American Tower Corp.				2,404		546,573
Crown Castle International Corp.				2,103		334,924
SBA Communications Corp.				468		125,738
						1,007,235
TOWERS—FOREIGN	0.3	%
Cellnex Telecom SA, 144A (Spain)(a)				3,499		204,984
TOTAL COMMUNICATIONS						1,212,219
CONSUMER STAPLES	0.7	%
FOOD PRODUCTS	0.5	%
Darling Ingredients, Inc.(b)				5,450		337,955
FOOD PRODUCTS—FOREIGN	0.2	%
Wilmar International Ltd. (China)				28,500		112,801
TOTAL CONSUMER STAPLES						450,756
CONSUMER—NON-CYCLICAL	1.4	%
AGRICULTURE	1.0	%
Archer-Daniels-Midland Co.				3,835		191,789
Bunge Ltd.				2,348		153,653
Corteva, Inc.				7,148		284,919
						630,361
FOOD PRODUCTS	0.2	%
Tyson Foods, Inc., Class A				2,071		133,186
FOOD PRODUCTS—FOREIGN	0.2	%
Associated British Foods PLC (United Kingdom)(b)				2,570		74,237
Mowi ASA (Norway)				3,574		79,299
						153,536
TOTAL CONSUMER—NON-CYCLICAL						917,083

1

			Shares		Value
ELECTRIC	1.7	%
Alliant Energy Corp.				1,213	$	59,013
CenterPoint Energy, Inc.				7,292		153,788
Evergy, Inc.				3,033		162,963
FirstEnergy Corp.				7,607		233,991
NextEra Energy, Inc.				869		70,276
NorthWestern Corp.				2,477		134,922
Portland General Electric Co.				5,017		212,169
Public Service Enterprise Group, Inc.				1,719		97,003
						1,124,125
ELECTRIC—FOREIGN	0.9	%
Elia Group SA/NV (Belgium)				508		61,136
Enel S.p.A. (Italy)				9,807		97,266
Hydro One Ltd., 144A (Canada)(a)				6,091		141,135
Iberdrola SA (Spain)(b)				35		474
Iberdrola SA (Spain)				2,451		33,185
National Grid PLC (United Kingdom)				21,909		254,488
						587,684
ENERGY	5.4	%
GAS—DISTRIBUTION—FOREIGN	0.6	%
Enn Energy Holdings Ltd. (China)				7,600		117,210
Snam S.p.A. (Italy)				27,102		142,115
Towngas China Co., Ltd. (China)				327,000		139,658
						398,983
INTEGRATED OIL & GAS—FOREIGN	0.4	%
Royal Dutch Shell PLC, Class B (Netherlands)				13,983		243,703
OIL & GAS	2.1	%
Chevron Corp.				3,633		309,532
ConocoPhillips				4,266		170,768
EOG Resources, Inc.				1,440		73,383
Exxon Mobil Corp.				11,180		501,311
Occidental Petroleum Corp.				1,886		37,833
Renewable Energy Group, Inc.(b)				2,737		245,235
Valero Energy Corp.				333		18,791
						1,356,853

2

			Shares		Value
OIL & GAS—FOREIGN	1.6	%
BP PLC (United Kingdom)				146,771	$	545,394
Canadian Natural Resources Ltd. (Canada)				4,353		98,345
Lukoil PJSC, ADR (Russia)				507		35,883
Reliance Industries Ltd., 144A (India)(a)				1,151		58,196
Suncor Energy, Inc. (Canada)				4,986		83,402
TOTAL SE (France)				4,569		192,576
						1,013,796
OIL & GAS SERVICES	0.7	%
Shoals Technologies Group, Inc., Class A(b)				9,737		330,376
Hess Midstream LP, Class A				6,870		143,377
						473,753
TOTAL ENERGY						3,487,088
GAS UTILITIES—MULTI-UTILITIES	0.1	%
NiSource, Inc.				3,488		77,259
INDUSTRIALS	0.6	%
DIVERSIFIED—FOREIGN	0.1	%
ESR Cayman Ltd., 144A (China)(a),(b)				11,400		40,626
MACHINERY	0.5	%
Deere & Co.				1,200		346,560
TOTAL INDUSTRIALS						387,186
MARINE PORTS—FOREIGN	0.3	%
China Merchants Port Holdings Co., Ltd. (China)				32,000		44,546
Cosco Shipping Ports Ltd. (China)				124,000		87,965
Koninklijke Vopak NV (Netherlands)				1,197		60,583
						193,094
MATERIALS	4.6	%
CHEMICALS	0.4	%
FMC Corp.				1,569		169,907
Mosaic Co./The				4,458		115,730
						285,637
CHEMICALS—FOREIGN	0.6	%
Nutrien Ltd. (Canada)				4,437		218,167
Sociedad Quimica y Minera de Chile SA, ADR (Chile)				3,133		159,595
						377,762

3

			Shares		Value
METALS & MINING	1.1	%
Freeport-McMoRan, Inc.				5,410	$	145,583
Newmont Corp.				6,847		408,081
Nucor Corp.				3,111		151,599
						705,263
METALS & MINING—FOREIGN	2.5	%
Anglo American PLC (South Africa)				13,548		445,640
ArcelorMittal SA (Luxembourg)(b)				1,730		37,886
BHP Group PLC (Australia)				17,232		472,248
MMC Norilsk Nickel PJSC, ADR (Russia)				1,673		53,714
Rio Tinto Ltd. (Australia)				3,139		262,731
Sumitomo Metal Mining Co., Ltd. (Japan)				1,700		73,709
Wheaton Precious Metals Corp. (Brazil)				6,681		274,389
						1,620,317
TOTAL MATERIALS						2,988,979
PIPELINES	1.3	%
Cheniere Energy, Inc.(b)				2,581		163,455
Equitrans Midstream Corp.				21,316		141,752
ONEOK, Inc.				1,959		78,027
Targa Resources Corp.				3,312		90,649
Williams Cos., Inc./The				17,211		365,390
						839,273
PIPELINES—FOREIGN	1.8	%
Enbridge, Inc. (Canada)				14,689		493,481
Gibson Energy, Inc. (Canada)				7,473		113,198
Pembina Pipeline Corp. (Canada)				9,424		248,064
TC Energy Corp. (Canada)				7,198		308,522
						1,163,265
RAILWAYS	0.4	%
Norfolk Southern Corp.				1,003		237,330
RAILWAYS—FOREIGN	0.0	%
West Japan Railway Co. (Japan)				600		31,987
REAL ESTATE	15.8	%
DATA CENTERS	0.8	%
CyrusOne, Inc.				5,033		367,157
Digital Realty Trust, Inc.				1,122		161,512
						528,669

4

			Shares		Value
DATA CENTERS—FOREIGN	0.1	%
NEXTDC Ltd. (Australia)(b)				8,904	$	78,402
DIVERSIFIED—FOREIGN	3.4	%
Activia Properties, Inc. (Japan)				35		139,955
British Land Co., PLC/The (United Kingdom)				17,593		107,585
Castellum AB (Sweden)				10,751		257,931
Charter Hall Group (Australia)				12,535		129,519
City Developments Ltd. (Singapore)				6,700		36,189
CK Asset Holdings Ltd. (Hong Kong)				13,500		67,359
Covivio (France)				868		71,272
Frasers Logistics & Commercial Trust (Singapore)				51,100		55,236
Hang Lung Properties Ltd. (Hong Kong)				56,000		148,815
ICADE (France)				1,891		135,988
Keppel DC REIT (Singapore)				26,673		59,606
Land Securities Group PLC (United Kingdom)				3,192		26,726
Mirvac Group (Australia)				88,174		159,114
Mitsubishi Estate Co., Ltd. (Japan)				8,500		134,470
Mitsui Fudosan Co., Ltd. (Japan)				14,100		286,197
NSI NV (Netherlands)				2,484		102,415
Stockland (Australia)				15,595		52,630
Sun Hung Kai Properties Ltd. (Hong Kong)				11,000		150,262
United Urban Investment Corp. (Japan)				60		81,631
						2,202,900
HEALTH CARE	1.5	%
Healthcare Trust of America, Inc., Class A				5,545		156,646
Healthpeak Properties, Inc.				8,621		255,613
Medical Properties Trust, Inc.				7,136		150,641
Ventas, Inc.				5,133		236,477
Welltower, Inc.				3,217		194,950
						994,327
HEALTH CARE—FOREIGN	0.2	%
Assura PLC (United Kingdom)				75,773		75,040
Parkway Life Real Estate Investment Trust (Singapore)				25,926		80,874
						155,914
HOTEL	0.3	%
Host Hotels & Resorts, Inc.				14,475		196,136

5

			Shares		Value
INDUSTRIALS	1.2	%
Americold Realty Trust				2,804	$	97,887
Duke Realty Corp.				8,639		341,759
Prologis, Inc.				3,255		335,916
						775,562
INDUSTRIALS—FOREIGN	0.6	%
Catena AB (Sweden)				1,389		64,684
GLP J-REIT (Japan)				48		77,330
Goodman Group (Australia)				2,282		30,709
LondonMetric Property PLC (United Kingdom)				25,624		79,754
Segro PLC (United Kingdom)				10,252		133,424
						385,901
NET LEASE	1.2	%
Agree Realty Corp.				1,160		73,312
Broadstone Net Lease, Inc., Class A				4,029		72,643
Spirit Realty Capital, Inc.				3,231		124,587
VEREIT, Inc.				4,816		169,668
VICI Properties, Inc.				12,343		312,031
						752,241
NET LEASE—FOREIGN	0.1	%
ARGAN SA (France)				374		39,966
OFFICE—FOREIGN	0.7	%
Alstria Office REIT- AG (Germany)				5,642		97,225
Cofinimmo SA (Belgium)				523		78,188
Gecina SA (France)				513		72,884
Japan Prime Realty Investment Corp. (Japan)				56		197,575
Workspace Group PLC (United Kingdom)				3,213		31,499
						477,371
RESIDENTIAL	2.6	%
APARTMENT	1.0	%
Apartment Income REIT Corp.				2,810		108,944
Equity Residential				1,252		77,173
Essex Property Trust, Inc.				852		204,148
UDR, Inc.				6,223		239,274
						629,539
APARTMENT—FOREIGN	1.0	%
Aedifica SA (Belgium)				481		58,047

6

			Shares		Value
Daiwa House REIT Investment Corp. (Japan)				40	$	107,753
LEG Immobilien AG (Germany)				667		95,615
Vonovia SE (Germany)				5,052		337,322
Wharf Real Estate Investment Co., Ltd. (Hong Kong)				17,000		89,787
						688,524
MANUFACTURED HOME	0.3	%
Sun Communities, Inc.				1,237		177,052
SINGLE FAMILY	0.3	%
Invitation Homes, Inc.				6,619		195,128
TOTAL RESIDENTIAL						1,690,243
RETAIL—FOREIGN	1.1	%
CapitaLand Integrated Commercial Trust (Singapore)				79,596		127,166
Japan Retail Fund Investment Corp. (Japan)				93		176,471
Klepierre SA (France)				6,216		148,980
Link REIT (Hong Kong)				24,283		210,661
SmartCentres Real Estate Investment Trust (Canada)				4,138		76,142
						739,420
SELF STORAGE	1.0	%
CubeSmart				6,847		238,550
Public Storage				1,778		404,708
						643,258
SELF STORAGE—FOREIGN	0.2	%
National Storage REIT (Australia)				41,668		60,577
Safestore Holdings PLC (United Kingdom)				4,818		53,346
						113,923
SHOPPING CENTERS	0.7	%
COMMUNITY CENTER	0.1	%
Weingarten Realty Investors				2,290		51,548
REGIONAL MALL	0.6	%
Simon Property Group, Inc.				4,359		405,082
TOTAL SHOPPING CENTERS						456,630
TIMBER	0.1	%
Weyerhaeuser Co.				2,332		72,735
TOTAL REAL ESTATE						10,303,598

7

			Shares		Value
TOLL ROADS—FOREIGN	1.2	%
Atlantia S.p.A. (Italy)(b)				2,414	$	38,243
Transurban Group (Australia)				19,570		197,189
Vinci SA (France)				4,905		454,831
Zhejiang Expressway Co., Ltd. (China)				86,000		69,549
						759,812
UTILITIES	1.2	%
GAS UTILITIES	0.5	%
Sempra Energy				2,749		340,216
WATER UTILITIES	0.3	%
American Water Works Co., Inc.				551		87,620
Essential Utilities, Inc.				2,821		130,613
						218,233
WATER UTILITIES—FOREIGN	0.4	%
Guangdong Investment Ltd. (China)				92,000		161,135
United Utilities Group PLC (United Kingdom)				10,094		127,233
						288,368
TOTAL UTILITIES						846,817
TOTAL COMMON STOCK (Identified cost—$22,084,170)						25,902,728
MASTER LIMITED PARTNERSHIPS	14.7	%
CRUDE/REFINED PRODUCTS	5.7	%
BP Midstream Partners LP				8,685		101,267
Genesis Energy LP				33,824		210,724
Holly Energy Partners LP				7,200		104,832
Magellan Midstream Partners LP				18,509		822,910
NuStar Energy LP				32,135		490,059
Phillips 66 Partners LP				13,965		350,801
Plains All American Pipeline LP				140,304		1,174,344
Rattler Midstream LP				17,685		169,069
Shell Midstream Partners LP				25,784		297,547
						3,721,553
DIVERSIFIED MIDSTREAM	5.4	%
Energy Transfer LP				168,535		1,056,715
Enterprise Products Partners LP				58,844		1,190,414
MPLX LP				53,694		1,240,868
						3,487,997

8

			Shares		Value
GATHERING & PROCESSING	3.1	%
Crestwood Equity Partners LP				11,062	$	228,873
DCP Midstream LP				23,470		469,400
Enable Midstream Partners LP				51,785		275,496
Noble Midstream Partners LP				13,261		153,430
Western Midstream Partners LP				60,443		890,325
						2,017,524
NATURAL GAS PIPELINES	0.5	%
Cheniere Energy Partners LP				5,217		204,193
TC PipeLines LP				4,967		147,470
						351,663
TOTAL MASTER LIMITED PARTNERSHIPS (Identified cost—$7,548,683)						9,578,737
PREFERRED SECURITIES—$25 PAR VALUE	8.0	%
BANKS	1.2	%
Dime Community Bancshares, Inc., 5.50%, Series A(c)				5,287		134,078
Fulton Financial Corp., 5.125%, Series A(c)				4,400		115,412
Signature Bank/New York NY, 5.00%, Series a(c)				6,000		152,640
Wells Fargo & Co., 4.75%, Series Z(c)				12,870		322,008
Wells Fargo & Co., 5.85% to 9/15/23, Series Q(c),(d)				2,807		74,301
						798,439
ELECTRIC	0.6	%
SCE Trust V, 5.45% to 3/15/26, Series K(c),(d)				8,800		224,664
Southern Co./The, 4.95%, due 1/30/80, Series 2020				4,785		124,889
						349,553
ELECTRIC—FOREIGN	0.2	%
Brookfield Infrastructure Partners LP, 5.125%, Series 13 (Canada)(c)				4,931		125,543
FINANCIAL	0.6	%
DIVERSIFIED FINANCIAL SERVICES	0.4	%
Synchrony Financial, 5.625%, Series A(c)				8,490		225,580
INVESTMENT ADVISORY SERVICES	0.1	%
Affiliated Managers Group, Inc., 4.75%, due 9/30/60				3,600		94,248
INVESTMENT BANKER/BROKER	0.1	%
Morgan Stanley, 5.85% to 4/15/27, Series K(c),(d)				3,177		90,862
TOTAL FINANCIAL						410,690

9

			Shares		Value
INSURANCE	1.9	%
LIFE/HEALTH INSURANCE	0.7	%
Athene Holding Ltd., 6.375% to 6/30/25, Series C(c),(d)				5,136	$	141,342
Athene Holding Ltd., 4.875%, Series D(c)				3,200		80,000
Brighthouse Financial, Inc., 5.375%, Series C(c)				6,400		164,160
CNO Financial Group, Inc., 5.125%, due 11/25/60				2,000		51,300
						436,802
MULTI-LINE—FOREIGN	0.1	%
Aegon Funding Co. LLC, 5.10%, due 12/15/49 (Netherlands)				3,300		85,965
PROPERTY CASUALTY	0.8	%
Assurant, Inc., 5.25%, due 1/15/61				3,200		84,608
Axis Capital Holdings Ltd., 5.50%, Series E(c)				4,400		112,948
Enstar Group Ltd., 7.00% to 9/1/28, Series D(c),(d)				10,325		289,307
Selective Insurance Group, Inc., 4.60%, Series B(c)				2,823		69,869
						556,732
REINSURANCE	0.3	%
Arch Capital Group Ltd., 5.45%, Series F(c)				6,824		181,382
TOTAL INSURANCE						1,260,881
INTEGRATED TELECOMMUNICATIONS SERVICES	1.1	%
AT&T, Inc., 4.75%, Series C(c)				7,500		190,875
United States Cellular Corp., 5.50%, due 3/1/70				12,400		312,108
United States Cellular Corp., 6.25%, due 9/1/69				7,200		192,744
						695,727
PIPELINES	0.2	%
Energy Transfer Operating LP, 7.60% to 5/15/24, Series E(c),(d)				6,122		134,806
REAL ESTATE	1.7	%
INDUSTRIALS	0.7	%
Monmouth Real Estate Investment Corp., 6.125%, Series C(c)				10,700		270,496
Rexford Industrial Realty, Inc., 5.625%, Series C(c)				6,200		164,548
						435,044
NET LEASE	0.2	%
Spirit Realty Capital, Inc., 6.00%, Series A(c)				4,350		115,362

10

			Shares			Value
OFFICE	0.3	%
Brookfield Property Partners LP, 5.75%, Series A(c)				8,446		$	196,370
RESIDENTIAL—SINGLE FAMILY	0.5	%
American Homes 4 Rent, 5.875%, Series G(c)				9,364			242,434
American Homes 4 Rent, 6.25%, Series H(c)				4,769			127,189
							369,623
TOTAL REAL ESTATE							1,116,399
UTILITIES—GAS UTILITIES	0.5	%
Sempra Energy, 5.75%, due 7/1/79				4,987			136,145
South Jersey Industries, Inc., 5.625%, due 9/16/79				7,175			183,967
							320,112
TOTAL PREFERRED SECURITIES—$25 PAR VALUE (Identified cost—$5,049,793)							5,212,150
			Principal Amount
PREFERRED SECURITIES—CAPITAL SECURITIES	36.1	%
BANKS	6.5	%
Bank of America Corp., 6.10% to 3/17/25, Series AA(c),(d)			$	180,000			202,780
Bank of America Corp., 5.875% to 3/15/28, Series FF(c),(d)				337,000			373,839
Bank of America Corp., 6.25% to 9/5/24, Series X(c),(d)				228,000			252,428
Bank of America Corp., 6.50% to 10/23/24, Series Z(c),(d)				175,000			199,622
Citigroup, Inc., 5.95% to 5/15/25, Series P(c),(d)				400,000			435,500
Citigroup, Inc., 6.25% to 8/15/26, Series T(c),(d)				352,000			404,254
Citigroup, Inc., 5.00% to 9/12/24, Series U(c),(d)				331,000			344,033
Citigroup, Inc., 4.00% to 12/10/25, Series W(c),(d)				88,000			89,430
Citizens Financial Group, Inc., 5.65% to 10/6/25, Series F(c),(d)				65,000			72,963
Comerica, Inc., 5.625% to 7/1/25(c),(d)				98,000			108,045
Dresdner Funding Trust I, 8.151%, due 6/30/31, 144A(a)				200,000			294,600
Farm Credit Bank of Texas, 5.70% to 9/15/25, Series 4, 144A(a),(c),(d)				125,000			136,875
Huntington Bancshares, Inc., 4.45% to 10/15/27, Series G(c),(d)				130,000			139,230
JPMorgan Chase & Co., 6.125% to 4/30/24, Series U(c),(d)				95,000			102,695
JPMorgan Chase & Co., 6.10% to 10/1/24, Series X(c),(d)				220,000			240,489
Regions Financial Corp., 5.75% to 6/15/25, Series D(c),(d)				50,000			55,969
Truist Financial Corp., 4.95% to 9/1/25, Series P(c),(d)				63,000			68,985
Truist Financial Corp., 5.10% to 3/1/30, Series Q(c),(d)				165,000			186,500
Wells Fargo & Co., 3.90% to 3/15/26(c),(d)				435,000			435,272
Wells Fargo & Co., 7.50%, Series L(c)				47(	†)		67,868
							4,211,377

11

			Principal Amount		Value
BANKS—FOREIGN	14.3	%
Abanca Corp. Bancaria SA, 6.00% to 1/20/26 (Spain)(c),(d),(e),(f)			$	200,000	$	240,288
Banco do Brasil SA/Cayman, 9.00% to 6/18/24, 144A (Brazil)(a),(c),(d),(f)				200,000		223,940
Banco Santander SA, 7.50% to 2/8/24 (Spain)(c),(d),(e),(f)				200,000		219,985
Bank of Ireland Group PLC, 7.50% to 5/19/25 (Ireland)(c),(d),(e),(f)				200,000		279,432
Bank of Nova Scotia/The, 4.90% to 6/4/25 (Canada)(c),(d)				160,000		172,208
Barclays PLC, 7.875% to 3/15/22 (United Kingdom)(c),(d),(e),(f)				200,000		210,414
Barclays PLC, 8.00% to 6/15/24 (United Kingdom)(c),(d),(f)				200,000		224,350
BNP Paribas SA, 7.375% to 8/19/25, 144A (France)(a),(c),(d),(f)				200,000		231,187
Commerzbank AG, 6.125% to 10/9/25 (Germany)(c),(d),(e),(f)				200,000		256,059
Credit Agricole SA, 6.875% to 9/23/24, 144A (France)(a),(c),(d),(f)				200,000		221,389
Credit Agricole SA, 8.125% to 12/23/25, 144A (France)(a),(c),(d),(f)				400,000		484,469
Credit Suisse Group AG, 5.25% to 2/11/27, 144A (Switzerland)(a),(c),(d),(f)				200,000		211,990
Credit Suisse Group AG, 7.125% to 7/29/22 (Switzerland)(c),(d),(e),(f)				400,000		423,696
Credit Suisse Group AG, 7.25% to 9/12/25, 144A (Switzerland)(a),(c),(d),(f)				200,000		225,259
Credit Suisse Group AG, 7.50% to 7/17/23, 144A (Switzerland)(a),(c),(d),(f)				200,000		218,196
HSBC Capital Funding Dollar 1 LP, 10.176% to 6/30/30, 144A (United Kingdom)(a),(c),(d)				200,000		340,500
HSBC Holdings PLC, 6.375% to 3/30/25 (United Kingdom)(c),(d),(f)				200,000		218,715
HSBC Holdings PLC, 6.50% to 3/23/28 (United Kingdom)(c),(d),(f)				200,000		226,085
ING Groep N.V., 4.875% to 5/16/29 (Netherlands)(c),(d),(e),(f)				200,000		203,477
ING Groep N.V., 5.75% to 11/16/26 (Netherlands)(c),(d),(f)				200,000		216,917
Intesa Sanpaolo SpA, 7.70% to 9/17/25, 144A (Italy)(a),(c),(d),(f)				200,000		225,000
Lloyds Banking Group PLC, 7.50% to 9/27/25 (United Kingdom)(c),(d),(f)				400,000		457,180
Macquarie Bank Ltd./London, 6.125% to 3/8/27, 144A (Australia)(a),(c),(d),(f)				200,000		215,667
Nationwide Building Society, 5.75% to 6/20/27 (United Kingdom)(c),(d),(e),(f)				200,000		304,173
Natwest Group PLC, 8.00% to 8/10/25 (United Kingdom)(c),(d),(f)				200,000		235,244
Royal Bank of Canada, 4.50% to 10/24/25, due 11/24/80, Series 1 (Canada)(d)				400,000		329,340

12

			Principal Amount		Value
Societe Generale SA, 5.375% to 11/18/30, 144A (France)(a),(c),(d),(f)			$	200,000	$	209,000
Societe Generale SA, 6.75% to 4/6/28, 144A (France)(a),(c),(d),(f)				200,000		221,500
Societe Generale SA, 7.875% to 12/18/23, 144A (France)(a),(c),(d),(f)				400,000		440,252
Standard Chartered PLC, 4.75% to 1/14/31, 144A (United Kingdom)(a),(c),(d),(f)				200,000		202,540
Standard Chartered PLC, 7.014% to 7/30/37, 144A (United Kingdom)(a),(c),(d)				200,000		267,500
Standard Chartered PLC, 7.50% to 4/2/22, 144A (United Kingdom)(a),(c),(d),(f)				200,000		210,739
Standard Chartered PLC, 7.75% to 4/2/23, 144A (United Kingdom)(a),(c),(d),(f)				200,000		216,658
Stichting AK Rabobank Certificaten, 6.50% (Netherlands)(c),(e)				183,850		293,525
UBS Group AG, 6.875% to 8/7/25 (Switzerland)(c),(d),(e),(f)				200,000		225,750
UBS Group AG, 7.00% to 1/31/24, 144A (Switzerland)(a),(c),(d),(f)				200,000		219,639
						9,322,263
ELECTRIC	1.0	%
CMS Energy Corp., 4.75% to 3/1/30, due 6/1/50(d)				105,000		119,392
Sempra Energy, 4.875% to 10/15/25(c),(d)				340,000		367,098
Southern Co./The, 4.00% to 10/15/25, due 1/15/51, Series B(d)				140,000		148,141
						634,631
ELECTRIC—FOREIGN	0.4	%
Electricite de France SA, 5.00% to 1/22/26, Series EMTN (France)(c),(d),(e)				200,000		275,175
FINANCIAL	0.9	%
CREDIT CARD	0.1	%
Discover Financial Services, 6.125% to 6/23/25, Series D(c),(d)				40,000		45,195
DIVERSIFIED FINANCIAL SERVICES	0.2	%
General Motors Financial Co., Inc., 5.70% to 9/30/30, Series C(c),(d)				60,000		67,575
SVB Financial Group, 4.10% to 2/15/31(c),(d)				101,000		102,889
						170,464
INVESTMENT BANKER/BROKER	0.6	%
Charles Schwab Corp./The, 5.375% to 6/1/25, Series G(c),(d)				176,000		195,511
Charles Schwab Corp./The, 4.00% to 12/1/30, Series H(c),(d)				206,000		213,210
						408,721
TOTAL FINANCIAL						624,380

13

			Principal Amount		Value
INSURANCE	7.8	%
LIFE/HEALTH INSURANCE	2.0	%
Equitable Holdings, Inc., 4.95% to 9/15/25, Series B(c),(d)			$	240,000	$	257,100
MetLife, Inc., 10.75%, due 8/1/39				280,000		476,175
SBL Holdings, Inc., 7.00% to 5/13/25, 144A(a),(c),(d)				290,000		245,775
Voya Financial, Inc., 6.125% to 9/15/23, Series A(c),(d)				265,000		285,537
						1,264,587
LIFE/HEALTH INSURANCE—FOREIGN	0.9	%
Legal & General Group PLC, 5.625% to 3/24/31 (United Kingdom)(c),(d),(e),(f)				200,000		302,079
Rothesay Life PLC, 6.875% to 9/12/28 (United Kingdom)(c),(d),(e),(f)				200,000		308,492
						610,571
MULTI-LINE	0.7	%
American International Group, Inc., 8.175% to 5/15/38, due 5/15/58(d)				325,000		476,336
MULTI-LINE—FOREIGN	0.4	%
AXA SA, 6.379% to 12/14/36, 144A (France)(a),(c),(d)				200,000		279,313
PROPERTY CASUALTY	1.9	%
Assurant, Inc., 7.00% to 3/27/28, due 3/27/48(d)				750,000		855,000
Enstar Finance LLC, 5.75% to 9/1/25, due 9/1/40(d)				130,000		135,944
Markel Corp., 6.00% to 6/1/25(c),(d)				130,000		142,919
PartnerRe Finance B LLC, 4.50% to 4/1/30, due 10/1/50(d)				110,000		116,213
						1,250,076
PROPERTY CASUALTY—FOREIGN	1.0	%
Athora Netherlands NV, 6.25% to 11/16/22 (Netherlands)(c),(d),(e)				400,000		414,000
QBE Insurance Group Ltd., 5.875% to 5/12/25, 144A (Australia)(a),(c),(d)				200,000		217,980
						631,980
REINSURANCE	0.9	%
AXIS Specialty Finance LLC, 4.90% to 1/15/30, due 1/15/40(d)				535,000		560,833
TOTAL INSURANCE						5,073,696

14

			Principal Amount		Value
INTEGRATED TELECOMMUNICATIONS SERVICES—FOREIGN	0.3	%
Vodafone Group PLC, 7.00% to 1/4/29, due 4/4/79 (United Kingdom)(d)			$	160,000	$	199,044
OIL & GAS—FOREIGN	0.9	%
BP Capital Markets PLC, 4.375% to 6/22/25 (United Kingdom)(c),(d)				270,000		288,236
BP Capital Markets PLC, 4.875% to 3/22/30 (United Kingdom)(c),(d)				305,000		333,151
						621,387
PIPELINES	0.1	%
Energy Transfer Operating LP, 7.125% to 5/15/30, Series G(c),(d)				40,000		37,684
PIPELINES—FOREIGN	2.1	%
Enbridge, Inc., 5.75% to 4/15/30, due 7/15/80, Series 20-A (Canada)(d)				315,000		348,961
Enbridge, Inc., 6.00% to 1/15/27, due 1/15/77, Series 16-A (Canada)(d)				350,000		374,876
Transcanada Trust, 5.50% to 9/15/29, due 9/15/79 (Canada)(d)				365,000		401,956
Transcanada Trust, 5.625% to 5/20/25, due 5/20/75 (Canada)(d)				115,000		123,625
Transcanada Trust, 5.875% to 8/15/26, due 8/15/76, Series 16-A (Canada)(d)				100,000		111,356
						1,360,774
REAL ESTATE—RETAIL—FOREIGN	0.8	%
Scentre Group Trust 2, 4.75% to 6/24/26, due 9/24/80, 144A (Australia)(a),(d)				200,000		206,514
Scentre Group Trust 2, 5.13% to 6/24/30, due 9/24/80, 144A (Australia)(a),(d)				300,000		313,080
						519,594
UTILITIES	1.0	%
ELECTRIC UTILITIES	0.4	%
NextEra Energy Capital Holdings, Inc., 5.65% to 5/1/29, due 5/1/79(d)				235,000		278,241

15

			Principal Amount		Value
ELECTRIC UTILITIES—FOREIGN	0.6	%
Emera, Inc., 6.75% to 6/15/26, due 6/15/76, Series 16-A (Canada)(d)			$	305,000	$	356,620
TOTAL UTILITIES						634,861
TOTAL PREFERRED SECURITIES—CAPITAL SECURITIES (Identified cost—$22,061,263)						23,514,866
			Shares
SHORT-TERM INVESTMENTS	1.7	%
MONEY MARKET FUNDS
State Street Institutional Treasury Money Market Fund, Premier Class, 0.01%(g)				1,125,007		1,125,007
TOTAL SHORT-TERM INVESTMENTS (Identified cost—$1,125,007)						1,125,007
TOTAL INVESTMENTS IN SECURITIES (Identified cost—$57,868,916)	100.3	%				65,333,488
LIABILITIES IN EXCESS OF OTHER ASSETS	(0.3	)				(163,472	)
NET ASSETS	100.0	%			$	65,170,016

Forward Foreign Currency Exchange Contracts

Counterparty	Contracts to Deliver		In Exchange For		Settlement Date	Unrealized Appreciation (Depreciation)
Brown Brothers Harriman	CAD	209,682	USD	164,572	2/2/21	$	597
Brown Brothers Harriman	CAD	211,258	USD	166,929	2/2/21		1,722
Brown Brothers Harriman	EUR	935,754	USD	1,145,522	2/2/21		9,938
Brown Brothers Harriman	EUR	206,380	USD	251,008	2/2/21		556
Brown Brothers Harriman	GBP	655,488	USD	896,059	2/2/21		(2,058	)
Brown Brothers Harriman	GBP	241,632	USD	328,453	2/2/21		(2,619	)
Brown Brothers Harriman	USD	329,418	CAD	420,940	2/2/21		(236	)
Brown Brothers Harriman	USD	1,385,900	EUR	1,142,134	2/2/21		137
Brown Brothers Harriman	USD	288,426	GBP	213,275	2/2/21		3,793
Brown Brothers Harriman	USD	938,502	GBP	683,845	2/2/21		(1,532	)
Brown Brothers Harriman	CAD	424,507	USD	332,212	3/2/21		213
Brown Brothers Harriman	EUR	1,115,469	USD	1,354,280	3/2/21		(223	)
Brown Brothers Harriman	GBP	677,543	USD	929,918	3/2/21		1,453
						$	11,741

16

Glossary of Portfolio Abbreviations

ADR	American Depositary Receipt
CAD	Canadian Dollar
EMTN	Euro Medium Term Note
EUR	Euro Currency
GBP	Great British Pound
HKD	Hong Kong Dollar
REIT	Real Estate Investment Trust
USD	United States Dollar

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

(†) Represents shares.

(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 $6,820,271 which represents 10.5% 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 $3,956,545 which represents 6.1% 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 $8,529,761 or 13.1% of the net assets of the Fund.

(g) Rate quoted represents the annualized seven-day yield.

17

Country Summary	% of Net Assets
United States		57.5
United Kingdom		9.3
Canada		6.3
France		5.4
Australia		3.7
Netherlands		2.5
Switzerland		2.3
Japan		2.0
Spain		1.2
Germany		1.2
China		1.2
Hong Kong		1.0
Italy		0.8
Brazil		0.8
South Africa		0.7
Singapore		0.6
Sweden		0.5
Other		3.0
		100.0

18

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)

Note 1. 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.

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 over-the-counter (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.

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

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

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.

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.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The following is a summary of the inputs used as of January 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)
Common Stock:
Airports—Foreign	$	295,173		$	—	$	295,173		$	—
Communications		1,212,219			1,007,235		204,984			—
Consumer Staples		450,756			337,955		112,801			—
Consumer—Non-Cyclical		917,083			842,846		74,237			—
Electric—Foreign		587,684			141,135		446,549			—
Energy		3,487,088			2,012,353		1,474,735			—
Industrials		387,186			346,560		40,626			—
Marine Ports—Foreign		193,094			—		193,094			—
Materials		2,988,979			1,643,051		1,345,928			—
Railways—Foreign		31,987			—		31,987			—
Real Estate		10,303,598			5,626,143		4,677,455			—
Toll Roads—Foreign		759,812			—		759,812			—
Water Utilities—Foreign		288,368			—		288,368			—
Other Industries		3,999,701			3,999,701		—			—
Master Limited Partnerships and Related Companies		9,578,737			9,578,737		—			—
Preferred Securities—$25 Par Value		5,212,150			5,212,150		—			—
Preferred Securities—Capital Securities:
Banks		4,211,377			67,868		4,143,509			—
Other Industries		19,303,489			—		19,303,489			—
Short-Term Investments		1,125,007			—		1,125,007			—
Total Investments in Securities(a)	$	65,333,488		$	30,815,734	$	34,517,754		$	—
Forward Foreign Currency Exchange Contracts	$	18,409		$	—	$	18,409		$	—
Total Derivative Assets(a)	$	18,409		$	—	$	18,409		$	—
Forward Foreign Currency Exchange Contracts	$	(6,668	)	$	—	$	(6,668	)	$	—
Total Derivative Liabilities(a)	$	(6,668	)	$	—	$	(6,668	)	$	—

(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 3(a)		(136,875	)
Change in unrealized appreciation (depreciation)		2,062
Balance as of January 31, 2021	$	—

(a) Transfer from Level 3 to Level 2 was a result of the availability of a pricing source supported by observable inputs.

COHEN & STEERS ALTERNATIVE INCOME FUND, INC.

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

The change in unrealized appreciation (depreciation) attributable to securities owned on January 31, 2021 which were valued using significant unobservable inputs (Level 3) amounted to $2,062.

Note 2. Derivative Investments

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 Schedule of Investments. 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.

The following summarizes the volume of the Fund’s forward foreign currency exchange contracts activity during the three months ended January 31, 2021:

	Forward Foreign Currency Exchange Contracts
Average Notional Amount	$	1,958,419