Blackstone Alternative Investment Funds 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 811-22743

Blackstone Alternative Investment Funds

(Exact Name of Registrant as Specified in Charter)

345 Park Avenue

28^th Floor

New York, NY 10154

(Address of Principal Executive Offices)

Registrant’s telephone number, including area code: (212) 583-5000

Peter Koffler, Esq.

c/o Blackstone Alternative Investment Advisors LLC

345 Park Avenue

28^th Floor

New York, NY 10154

(Name and Address of Agent for Service)

With a copy to:

James E. Thomas, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, MA 02199-3600

Date of fiscal year end: March 31

Date of reporting period: March 31, 2024

Item 1. Reports to Stockholders.

(a) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”):

(b) Not applicable.

 

 Blackstone

Blackstone Alternative Multi-Strategy Fund

a series of Blackstone Alternative Investment Funds

Annual Report

For the Year Ended March 31, 2024

TABLE OF CONTENTS

Management’s Discussion of Fund Performance	1
Performance Summary	6
Portfolio Information	7
Consolidated Schedule of Investments	11
Consolidated Statement of Assets and Liabilities	180
Consolidated Statement of Operations	182
Consolidated Statement of Changes in Net Assets	183
Consolidated Statement of Cash Flows	185
Consolidated Financial Highlights	187
Notes to Consolidated Financial Statements	190
Report of Independent Registered Public Accounting Firm	221
Shareholder Fee Example	222
Supplemental Information	223

All investors should consider the investment objectives, risks, charges and expenses of the Blackstone Alternative Multi-Strategy Fund (the “Fund”) carefully before investing. The prospectus and the summary prospectus contain this and other information about the Fund. You can obtain a prospectus and a summary prospectus from the Fund’s website (www.bxmix.com). All investors are urged to carefully read the prospectus and the summary prospectus in its entirety before investing. Interests in the Fund are offered through Blackstone Securities Partners L.P., a member of FINRA and an affiliate of Blackstone Alternative Investment Advisors LLC, the Fund’s investment adviser (“BAIA” or the “Investment Adviser”).

Important Risks: An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other investments. The Fund’s investments involve special risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, short-selling, or other speculative practices lack of liquidity and volatility of returns. The following is a summary description of certain additional principal risks of investing in the Fund:

Allocation Risk - BAIA’s judgment about the attractiveness, value or market trends affecting a particular asset class, investment style, sub-adviser or security may be incorrect and this may have a negative impact upon performance. Debt Securities Risk - investments in debt securities, such as bonds and certain asset backed securities involve certain risks which may cause the securities to lose value, including credit risk, liquidity risk, extension risk, interest rate risk, prepayment risk, event risk, inflation risk, and variable and floating rate instrument risk. Derivatives Risk - the use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. Derivatives can be volatile and illiquid, can subject to counterparty credit risk, and may entail investment exposure greater than their notional amount. Distressed Securities Risk - investments in securities of business enterprises involved in workouts, liquidations, reorganizations, bankruptcies and similar situations involve a high degree of risk of loss since there is typically substantial uncertainty concerning the outcome of such situations. Equity Securities Risk - there is a risk of loss associated with price fluctuations of equity and preferred securities which change based on a company’s financial condition and overall market and economic environment. Event-Driven Trading Risk - involves the risk that the specific event identified may not occur as anticipated and that this may have a negative impact upon the market price of the securities involved. Foreign Investments/Emerging Markets Risk - involves special risks caused by foreign political, social and economic factors, including exposure to currency fluctuations, less liquidity, less developed and less efficient trading markets, political instability and less developed legal and auditing standards. High Portfolio Turnover Risk - active trading of securities can increase transaction costs (thus lowering performance) and taxable distributions. Inflation Risk - Inflation, and investors’ expectation of future inflation, can impact the current value of portfolio investments, resulting in lower asset values and losses to Fund investors. Investment Style Risk - Different investment styles tend to shift in and out of favor depending on market and economic conditions and investor sentiment, and the Fund could underperform other funds that invest in similar asset classes but employ different investment styles.

Large Purchase and Redemption Risk - large purchase or redemption activity could result in the Fund incurring additional costs, selling portfolio securities, investing cash, or holding a relatively large amount of cash at times when it would not otherwise do so, which could have an adverse effect on performance. Leverage Risk - use of leverage can produce volatility and may exaggerate changes in the net asset value of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested. Liquidity Risk - some securities held by the Fund, including, but not limited to, restricted, distressed, non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Illiquid securities may be difficult to value and if the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss. Market Risk and Selection Risk - one or more markets in which the Fund invests may go down in value, possibly sharply and unpredictably, affecting the values of individual securities held by the Fund. Significant shocks to or disruptions of the financial markets or the real economy could adversely affect the liquidity and volatility of securities held by the Fund. Mortgage- and Asset-Based Securities Risk - these securities are subject to credit, interest rate, valuation, liquidity, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates may quickly and significantly reduce the value of certain mortgage-backed securities. Model and Technology Risk -involves the risk that model-based strategies, data gathering systems, order execution and trade allocation systems and risk management systems may not be successful on an ongoing basis or could contains errors, omissions, imperfections or malfunctions. Multi-Manager Risk - managers may make investment decisions which conflict with each other and as a result, the Fund could incur transaction costs without accomplishing any net investment result.

BLACKSTONE ALTERNATIVE INVESTMENT FUNDS

Dear Blackstone Investor,

We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”) and its series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). This report includes portfolio commentary, a listing of the Fund’s investments and the Fund’s audited financial statements. Audited financial statements for the Fund cover the period from April 1, 2023 to March 31, 2024 (the “Reporting Period”).

The Fund’s investment objective is to seek capital appreciation. The Fund seeks to achieve this objective principally by allocating its assets among a variety of non-traditional, or “alternative,” investment strategies. Blackstone Alternative Investment Advisors LLC (the “Investment Adviser” or “BAIA”) determines the allocations of the Fund’s assets and allocates the Fund’s assets among sub-advisers with experience managing non-traditional or alternative investment strategies (each, a “Sub-Adviser” and together, the “Sub-Advisers”) and among investment funds generally employing alternative investment strategies. BAIA also manages a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments.¹ The Adviser may retain discretionary and non-discretionary Sub-Advisers for the Fund. Each discretionary Sub-Adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the responsibility to oversee each Sub-Adviser, subject to the ultimate oversight of the Fund’s Board of Trustees. The Investment Adviser is also responsible for recommending the hiring, termination, and replacement of Sub-Advisers. In pursuing the Fund’s investment objective, BAIA seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets.

Fund Performance²

The Reporting Period was comprised of three quarters of positive global equity market performance (Q2 2023, Q4 2023, and Q1 2024) and one quarter of global equity market decline (Q3 2023). Coming out of a turbulent year for markets in 2022, financial assets rebounded strongly over the course of the Reporting Period, however, there were still moments of instability as evidenced by negative global equity performance in the third quarter of 2023. Investor focus remained fixed upon releases of economic data and subsequent policy decisions from a hawkish Federal Reserve (the “Fed”) facing an ongoing struggle against persistent inflation.

The Fund’s collection of alternative strategies and hedge fund vehicles exhibited positive returns over the Reporting Period, outperforming the broader hedge fund universe by 5.0%pts.³ As we look ahead to the next 12 months, we intend to continue leveraging our due diligence, risk management, and investment expertise, accumulated over our 25+ years of experience in alternative investing, to identify compelling investment strategies and skilled Sub-Advisers that we believe may advance the Fund in pursuit of its objective. During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of 10.7%. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned 5.7%; the

Because of the historically broadly diversified and low beta nature of the portfolio, the Fund is not expected to participate in the full upside of broader equity and fixed income markets. The indices referenced herein are not benchmarks or targets for the Fund.

¹  BAIA’s fees on the assets BAIA manages directly are not reduced by a payment to a Sub-Adviser. Allocations to Sub-Advisers and BAIA vary from time to time.

²  Performance is shown net of the Expense Ratio less waived expenses for Class I shares. Performance data quoted represents past performance and does not predict future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance data above. There can be no assurance that the Fund will achieve its goals or avoid losses.

³  As measured against the HFRX Global Hedge Fund Index.

1

MSCI World Total Return Index, a measure of global equity market performance, returned 28.2%; and the Bloomberg Global Aggregate Bond Index, a measure of investment grade bond performance, returned -2.1%.⁴

Market and Portfolio Commentary

The start of the Reporting Period was a continuation of positive performance in global markets with the MSCI World Index returning 7.0% in the second quarter of 2023, bringing YTD returns to 15.4%.⁵ In the face of a positive equity market, questions remained as to the likelihood of a coming recession amidst tighter financial conditions, a slowing economy, and elevated valuations. In contrast to these potentially worrisome economic signals, the labor market has remained resilient and recent earnings reports have beat expectations, leaving an air of optimism present in the market. Markets were broadly calmer entering the second quarter after the spike in volatility introduced by the regional banking crisis in the U.S. in March. Color from U.S. government organizations alluded to an easing of the accommodative posture taken with the initial failure of Silicon Valley Bank and suggested that the banking system had been able to weather the storm for the time being. However, U.S. regional banks continued to be a point of ongoing concern, highlighted by the high-profile failure of First Republic Bank on May 1^st, resulting in the speedy acquisition of the financial institution by J.P. Morgan Chase.

While fears of larger bank failures may have been abated following positive regulator stress test results in June, recently shaken confidence in the Fed’s oversight ability may have tempered hopes that the crisis had passed.⁶ Enhanced scrutiny and tighter lending conditions coming out of the bank failures heightened investor focus on liquidity conditions with many looking to how the Fed would respond. Despite acknowledgment of the potential impacts on liquidity, the Fed reaffirmed its commitment to bringing inflation down to its target rate. While inflation readings in the quarter appeared favorable from a headline perspective for both March CPI (5.0% vs. 5.2% expected)⁷ and April CPI (4.9% vs. 5.0% expected)⁸, readings for Core CPI were in line for both months (5.6% for March and 5.5% for April)^7,8, indicating core inflation may be more persistent than the Fed anticipated. The Fed continued its hiking cycle at its May 3^rd meeting, raising interest rates by 25bps. U.S. and global rates sold off materially in May amidst this policy decision and rhetoric from the Fed discouraging hopes for rate cuts before the end of 2023.⁹ On June 3^rd, the Fed paused raising rates for the first time in their most aggressive rate-hiking cycle in decades, leaving target rates at 5-5.25%.¹⁰ An easing of monetary policy aggression had the potential to be short-lived, however, as Federal Open Market Committee (“FOMC”) sentiment remains hawkish, with a majority of the Fed board seeing the case for around two more rate hikes in the current cycle.¹¹

⁴  The volatility of the indices presented may be materially different from that of the performance of the Fund. In addition, the indices employ different investment guidelines and criteria than the Fund; as a result, the holdings in the Fund may differ significantly from the securities that comprise the indices. The indices have not been selected to represent benchmarks for the Fund, but rather are disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. In the case of equity indices, performance of the indices reflects the reinvestment of dividends.

⁵  Source: Bloomberg as of June 30, 2023.

⁶  Source: Federal Reserve as of June 28, 2023.

⁷  Source: United States Bureau of Labor Statistics: Consumer Price Index as of April 12, 2023.

⁸  Source: United States Bureau of Labor Statistics: Consumer Price Index as of May 10, 2023.

⁹  Source: Federal Open Market Committee as of May 3, 2023.

¹⁰  Source: Federal Open Market Committee as of June 3, 2023.

¹¹  Source: Federal Open Market Committee as of February 1, 2023.

2

Global markets reversed a streak of four consecutive quarters of positive performance in the third quarter of 2023, with the MSCI World Index returning -3.4%, bringing YTD returns to 11.6%.¹² Early positive performance from equity markets in July was quickly traded for a return to elevated volatility in the last two months of Q3 as rising yields placed pressure on valuations. The third quarter began with a continuation of 2023’s rally in equity markets, coming off the back of a relatively solid Q2 earnings season and favorable readings of economic data. While the U.S. equity indices continued to rally into July, the Fed appeared to be nearing the end of its rate hiking campaign as June CPI released July 12^th was softer for both headline (3.0% vs. 3.1% expected) and core (4.8% vs. 5.0% expected).¹³ Core CPI decelerated, increasing at its lowest month-over-month rate (+15bps) since February of 2021.⁶ Even as inflation seemed to be decelerating, the Fed hiked interest rates an additional +25bps—the highest level in 22 years—during the July 26^th FOMC meeting.¹⁴

Commentary coming out of the meeting recognized the early evidence of decelerating inflation, but also alluded to the possibility of an additional rate increase before the end of this year. Still, equity markets finished the month positively with the MSCI World Index up +3.4% in July.¹⁵ In August, positive momentum in the market faced headwinds when Fitch Ratings announced its downgrading of U.S. sovereign debt, citing long-term risks of the current U.S. fiscal trajectory.¹⁶ This downgrade likely put downward pressure on U.S. Treasuries to begin the month. This action coincided with resurfacing inflation worries coming out of the late July FOMC meeting and elevated Treasury sales due to the stalled debt-ceiling negotiations in June. The confluence of these factors likely resulted in the sharp uptick in yields, with the 10-year Treasury yield rising from 4.05% on August 1^st to a high of 4.34% on August 21^st, the highest level since mid-2007.¹⁷ Rising yields weighed on stock prices during the month as the MSCI World Index posted its first negative monthly return since May, finishing August down -2.4%.¹⁸

Volatility eased in early September amidst positive economic data and a pause in rising Treasury yields. However, this calm in the markets was short lived, as soon after the Federal Reserve reaffirmed its “hawkish” stance at the September FOMC meeting. Most Fed members indicated that there was an expectation of an additional rate hike by the end of the year and decreased the forecast for rate cuts in 2024 from four to two. With the Fed again committing to its fight against inflation, the market began to ingest the likelihood of higher rates for longer, with the MSCI World Index declining another -4.3% in September.¹⁹

Global markets returned to positive performance in the fourth quarter of 2023, with the MSCI World Index returning 11.5%, bringing YTD returns to 24.4%.²⁰ A continuation of the previous quarter’s negative performance in equity markets transitioned to a broad market rally in the last two months of the year, likely on the back of positive economic data and commentary from the Fed. At the start of the fourth quarter the MSCI World dropped 2.9% in October and entered into correction territory.²¹ Long-dated Treasury yields continued to move higher coinciding with fresh geopolitical risks and a slightly higher than expected reading for both headline (3.7% vs. 3.6% expected) and core inflation (4.1% vs. 4.1% expected).²² Further

¹²  Source: Bloomberg as of September 30, 2023.

¹³  Source: United States Bureau of Labor Statistics: Consumer Price Index as of July 12, 2023.

¹⁴  Federal Open Market Committee as of July 26, 2023.

¹⁵  Source: Bloomberg as of July 31, 2023.

¹⁶  Source: Fitch Ratings as of August 1, 2023.

¹⁷  Source: Bloomberg as of August 21, 2023.

¹⁸  Source: Bloomberg as of August 31, 2023.

¹⁹  Source: Bloomberg as of September 30, 2023.

²⁰  Source: Bloomberg as of December 31, 2023.

²¹  Source: Bloomberg as of October 31, 2023.

²²  Source: United States Bureau of Labor Statistics: Consumer Price Index as of October 12, 2023.

3

data released in October pointed to a U.S. economic growth rate of 4.8%, exceeding expectations for Q3 (4.3% expected)²³ and bolstering the narrative for “higher-for-longer” rates, as the Fed continued its battle against persistent inflation and a strong labor market.

However, the drawdown in markets was met with a reversal to the upside off the back of favorable economic data prints in November in conjunction with the largest monthly shift downward in long-dated treasury yields since December of 2008.²⁴ A cooler than expected inflation reading released in the same month showed CPI fall to 3.2% year-over-year from the 3.7% reading in October.²⁵ Perhaps being influenced by a cool inflation print, market participants wagered that the Fed was not just finished with the current rate hiking cycle, but that it would be implementing as many as six rates cuts in 2024.²⁶

Positive sentiment held strong through the last month of the year with the broader risk-asset rally gaining steam. The last Federal Open Market Committee (“FOMC”) meeting of 2023 seemingly confirmed investor sentiment of a dovish Fed pivot following the decision to hold rates steady for the third meeting in a row.²⁷ The policy statement released on the same day indicated the Fed board members projected 75bps of rate cuts in 2024, an increase from the previous projection of 50bps.²⁸ The perceived trend towards dovishness may have bolstered risk assets into the end of the year, with the MSCI World finishing the month up 4.9%.²⁹

The first quarter of 2024 showed a continuation of positive market sentiment with the MSCI World returning 9.0%.³⁰ Markets appeared to have been responding to the continued resilience of the U.S. economy and its labor market, while putting aside concerns of elevated inflation and high-interest rates. Part of this optimism may have been due to the investor expectation for the Fed to begin cutting interest rates in 2024, despite the FOMC indicating that they are proceeding with caution as more economic data is released throughout the year.

The rally in Q4 of 2023 came in coordination with a sharp shift lower in the yield curve, likely resulting from investors anticipating a more dovish Fed in the near term. However, markets continued to rally in Q1 2024 even as hawkishness crept back into monetary policy sentiment—expectations of seven rate cuts in 2024 reduced to just three over the course of the quarter.³¹ During both FOMC meetings during the quarter, the Fed chose to hold rates steady while continuing the current pace of quantitative tightening (reducing its Treasury securities and agency debt and agency mortgage-backed securities) in alignment with previous FOMC meetings.

A neutral inflation print in January followed by two higher than expected readings in both February and March likely further tampered expectations for Fed rate cuts coming in the more immediate FOMC meetings.³² However, equities continued to show momentum with the MSCI World returning 1.2%, 4.3%, and 3.3% in each month of the quarter.³³ The economic situation remained strong as tight labor conditions remained through the duration of the quarter and GDP readings showed an accelerating economy.³⁴ Positive economic data likely contributed to the ongoing momentum in the stock market as sentiment for a possible ‘soft-landing’ gained favor in the market.

²³  Source: United States Bureau of Economic Analysis as of October 26, 2023.

²⁴  Source: Bloomberg as of November 30, 2023.

²⁵  Source: United States Bureau of Labor Statistics: Consumer Price Index as of November 14, 2023.

²⁶  Source: Bloomberg as of November 14, 2023.

²⁷  Federal Open Market Committee as of December 13, 2023.

²⁸  Federal Open Market Committee as of December 13, 2023.

²⁹  Source: Bloomberg as of December 31, 2023.

³⁰  Source: Bloomberg as of March 31, 2024.

³¹  Source: Bloomberg as of March 31, 2024.

³²  Source: United States Bureau of Labor Statistics: Consumer Price Index as of January 19, 2024; February 14, 2024; and March 12, 2024.

³³  Source: Bloomberg as of March 31, 2024.

³⁴  Source: United States Bureau of Labor Statistics as of March 31, 2024.

4

Over the Reporting Period, the Fund’s Macro strategies were accretive to performance (+4.2%). A sub-strategy focused on Carbon Credit Allowances (“CCAs”) contributed to Fund performance over the period, likely benefiting from demand for inflation exposure, as CCAs provide direct exposure to the Consumer Price Index. Some of the Fund’s defensive positions in this portion of the book detracted from performance because financing and holding costs were higher than returns throughout the reporting period.

Quant strategies contributed positively to Fund performance (+4.6%) during the Reporting Period. The Fund’s exposure to commodities and rates positions added positively to the Fund during the Reporting Period. An Asian equities focused strategy took on losses from mark-to-market beta hedge positions during the reporting period.

Credit strategies contributed positively to performance (+3.9%). Corporate credit strategies benefited from the tightening of high yield spreads during the reporting period and the positive carry being generated in the portfolio. In this portion of the book, agency mortgage securities detracted at points during the reporting period when the mortgage basis spread widened.

Equities strategies contributed positively to performance (+2.2%). Financials-focused strategies benefited both from the broader rally in equities during the reporting period as well as nimble trading success around pockets of volatility. Certain exposures to small-cap equity strategies performed negatively during equity market contractions during the period.

Business Update

Effective June 30, 2023 and September 30, 2023, respectively, Ian Morris and Alberto Santulin no longer serve as portfolio managers of the Fund. The other existing portfolio managers continue to serve as portfolio managers of the Fund.

In reflecting on the last year, we cannot overstate the importance of your steadfast commitment to the Fund and your continued confidence in our organization. We are focused on generating attractive risk-adjusted returns and remain committed to achieving the Fund’s investment objectives. Thank you for your continued partnership.

Sincerely,

• Riad Abrahams

• David Ben-Ur

• Max Jaffe

• Winfield Sickles

• Stephen Sullens

5

Performance Summary

Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recent month-end performance, visit www.bxmix.com.

Value of a $100,000 Investment Since Inception at Net Asset Value*

None of the indices presented are benchmarks or targets for the Fund.

* The line graph represents historical performance of a hypothetical investment of $100,000 from Inception (June 16, 2014) to March 31, 2024, assuming the reinvestment of distributions.

Average Annual Returns

	For the Year Ended March 31, 2024		Five Year (March 31, 2019 - March 31, 2024)		Since Inception (June 16, 2014)
Class I Shares (“BXMIX”)		10.73%		2.66%		2.89%
HFRX Global Hedge Fund Index		5.70%		3.44%		1.57%
MSCI World Total Return Index		25.72%		12.62%		9.76%
Bloomberg Global Aggregate Bond Index		0.49%		(1.16)%		(0.23)%

6

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information

March 31, 2024

Geographic Breakdown	Percentage of Total Net Assets
North America		66.0	%
Europe		3.0
South America		2.0
Asia		1.2
Middle East		1.1
Africa		0.3
Oceania		0.1
Other1,2		19.9
Securities Sold Short		(30.9	)
Other Assets and Liabilities3		37.3
Total		100.0	%

¹  Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Rights, Undertakings For Collective Investment in Transferable Securities, Commodities, Repurchase Agreements and Purchased Options.

²  See the below table for a geographic breakdown of Sovereign Debt.

³  Assets, other than investments in securities, less liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of this balance represents cash collateral for derivatives.

Sovereign Debt Geographic Breakdown	Percentage of Total Net Assets
North America		1.8	%
Middle East		1.5
South America		1.0
Europe		0.9
Asia		0.6
Africa		0.5
Total		6.3	%

See Notes to Consolidated Financial Statements.

7

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2024

Portfolio Composition	Percentage of Total Net Assets
Common Stock		22.2	%
Mortgage-Backed Securities1		16.6
Corporate Bonds & Notes		10.9
Investments in Investee Funds		10.9
Sovereign Debt		6.3
Asset-Backed Securities		5.6
Bank Debt		3.9
Undertakings For Collective Investment in Transferable Security		3.8
U.S. Treasury Notes		3.3
Exchange-Traded Funds		0.6
Preferred Stock		0.1
Warrants		0.1
Rights2		0.0
Other3		6.3
Securities Sold Short		(30.9	)
Repurchase Agreements		3.0
Other Assets and Liabilities4		37.3
Total		100.0	%

¹  Includes Agency-Guaranteed TBA securities held long, that are guaranteed by the Federal National Mortgage Association or the Government National Mortgage Association, which represents 8.4% of Total Net Assets.

²  Represents less than 0.1%.

³  Includes Commodities and Purchased Options.

⁴  Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

Credit Quality Allocation1	Percentage of Total Net Assets
Not Rated but Agency-Guaranteed2		8.4	%
AAA/Aaa		0.2
AA/Aa		0.3
A		1.1
BBB/Baa		5.0
BB/Ba		5.4
B		6.0
CCC/Caa		3.6
CC/Ca		0.7
D		0.3
Not Rated		15.6
Other3		53.4
Total		100.0	%

¹  Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings.

²  Not Rated but Agency-Guaranteed represents TBA securities which are affiliated with the Federal National Mortgage Association or the Government National Mortgage Association.

³  Includes Assets, other than investments in securities, net of other liabilities, all Non-Fixed Income securities and Fixed Income securities held short.

Industry	Percentage of Total Net Assets
Software & Services		3.5	%
Banks		2.8
Capital Goods		2.6
Oil & Gas		1.9
Diversified Financials		1.4
Technology Hardware & Equipment		1.4
Media & Entertainment		1.4
Semiconductors & Semiconductor Equipment		1.3
Insurance		1.1

See Notes to Consolidated Financial Statements.

8

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2024

Industry	Percentage of Total Net Assets
Investment Company Security		1.1	%
Pharmaceuticals, Biotechnology & Life Sciences		1.1
Healthcare-Services		0.8
Retail		0.7
Consumer Services		0.7
Software		0.8
Energy		0.7
Retailing		0.7
Electric		0.7
Pipelines		0.6
Health Care Equipment & Services		0.5
Machinery-Diversified		0.6
Iron/Steel		0.5
Utilities		0.5
Food		0.5
Telecommunications		0.5
Materials		0.4
Food Service		0.5
Media		0.5
Food, Beverage & Tobacco		0.5
Transportation		0.4
Diversified Financial Services		0.4
Airlines		0.4
Commercial & Professional Services		0.3
Real Estate		0.4
Chemicals		0.3
Commercial Banks		0.3
Internet		0.2
Engineering & Construction		0.2
Cosmetics/Personal Care		0.2
Packaging & Containers		0.2
Leisure Time		0.2
Housewares		0.3
Household & Personal Products		0.2
Energy-Alternate Sources		0.2
Entertainment		0.2
Food & Staples Retailing		0.2
Consumer Durables & Apparel		0.2
Hand/Machine Tools		0.2
Household Products/Wares		0.2
Automobiles & Components		0.2
Auto Manufacturers		0.2
Lodging		0.2
Telecommunication Services		0.2
Agriculture		0.1

See Notes to Consolidated Financial Statements.

9

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Portfolio Information (Continued)

March 31, 2024

Industry	Percentage of Total Net Assets
Mining		0.1	%
Advertising		0.1
Consumer Discretionary Distribution & Retail		0.1
Healthcare-Products		0.1
Pharmaceuticals		0.1
Trucking & Leasing		0.1
Environmental Control		0.1
Home Furnishings		0.1
Distribution/Wholesale		0.1
Commercial Services		0.1
Auto Parts & Equipment		0.0	1
Computers		0.0	1
Office/Business Equip		0.0	1
Beverages		0.0	1
Other2		56.2
Securities Sold Short		(30.9	)
Other Assets and Liabilities3		37.3
Total Investments		100	%

¹  Represents less than 0.1%.

²  Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds, Warrants, Rights, Investments in Investee Funds, Undertakings For Collective Investment in Transferable Securities, Commodities, Repurchase Agreements and Purchased Options.

³  Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives.

See Notes to Consolidated Financial Statements.

10

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^

March 31, 2024

Security Description	Shares		Value
INVESTMENT IN SECURITIES — 84.3%
COMMON STOCK — 22.2%
Africa — 0.0%
Energy — 0.0%
Golar LNG Ltd.,		3,600	$	86,616
Materials — 0.0%
IAMGOLD Corp. (a)		63,600		211,788
Sasol Ltd., ADR		300		2,343
Sibanye Stillwater Ltd., ADR		5,500		25,905
				240,036
Total Africa				326,652
Asia — 0.2%
Automobiles & Components — 0.1%
Kandi Technologies Group, Inc. (a)		100		212
Li Auto, Inc., ADR (a)		73,100		2,213,468
				2,213,680
Capital Goods — 0.0%
BAIYU Holdings, Inc. (a)		12		17
China Yuchai International Ltd.		245		2,090
Euro Tech Holdings Co. Ltd. (a)		150		213
				2,320
Consumer Services — 0.0%
E-Home Household Service Holdings Ltd. (a)		2		3
Yum China Holdings, Inc.		16,400		652,556
				652,559
Diversified Financials — 0.0%
FinVolution Group, ADR		8,200		41,328
LexinFintech Holdings Ltd., ADR		14,200		25,560
Lufax Holding Ltd., ADR		38,500		162,470
Noah Holdings Ltd., ADR		1,100		12,573
				241,931
Food & Staples Retailing — 0.0%
Dada Nexus Ltd., ADR (a)		100		205
Materials — 0.0%
Tantech Holdings Ltd., (a)		38		25

See Notes to Consolidated Financial Statements.

11

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Media & Entertainment — 0.0%
Autohome, Inc., ADR		500	$	13,110
Bilibili, Inc., ADR (a)		59,511		666,524
GigaMedia Ltd. (a)		100		127
Hello Group, Inc., ADR		16,100		99,981
Kanzhun Ltd., ADR		2,100		36,813
Pop Culture Group Co. Ltd., Class A (a)		40		93
Weibo Corp., ADR		8,800		79,992
				896,640
Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
I-Mab, ADR (a)		9,700		18,042
Sinovac Biotech Ltd. (a),(b)		200		1,294
				19,336
Retailing — 0.1%
ATRenew, Inc., ADR (a)		100		176
Baozun, Inc., ADR (a)		12,800		29,440
JD.com, Inc., ADR		90,900		2,489,751
				2,519,367
Semiconductors & Semiconductor Equipment — 0.0%
Allegro MicroSystems, Inc. (a)		1,600		43,136
ChipMOS Technologies, Inc., ADR		200		6,290
Himax Technologies, Inc., ADR		9,300		49,755
Magnachip Semiconductor Corp. (a)		7,200		40,176
Silicon Motion Technology Corp., ADR		1,000		76,940
				216,297
Software & Services — 0.0%
Agora, Inc., ADR (a)		5,900		14,809
Cellebrite DI Ltd. (a)		16,200		179,496
Infobird Co. Ltd. (a)		0		3
TaskUS, Inc., Class A (a)		3,300		38,445
TDCX, Inc., ADR (a)		2,000		14,340
WNS Holdings Ltd. (a)		2,900		146,537
				393,630
Technology Hardware & Equipment — 0.0%
Zepp Health Corp., ADR (a)		100		102
Transportation — 0.0%
MingZhu Logistics Holdings Ltd., (a)		21		8
Total Asia				7,156,100

See Notes to Consolidated Financial Statements.

12

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Europe — 0.4%
Capital Goods — 0.1%
AerCap Holdings NV (a)		4,300	$	373,713
Airbus SE (c)		11,613		2,139,096
Freyr Battery, Inc. (a)		5,200		8,736
Luxfer Holdings PLC, ADR		2,700		27,999
				2,549,544
Consumer Durables & Apparel — 0.0%
Amer Sports, Inc. (a)		59,501		969,866
Ermenegildo Zegna NV		7,000		102,550
				1,072,416
Energy — 0.1%
Ardmore Shipping Corp.		500		8,210
BP PLC (c)		8,665		54,225
Eni SpA (c)		13,488		213,171
Euronav NV		2,000		33,260
Frontline PLC		33,900		792,582
KNOT Offshore Partners LP		1,500		7,740
Seadrill Ltd. (a)		4,100		206,230
Shell PLC (c)		45,721		1,527,031
StealthGas, Inc. (a)		1,400		8,316
TechnipFMC PLC		100		2,511
TORM PLC, Class A		10,000		349,500
TotalEnergies SE (c)		9,434		646,049
Tsakos Energy Navigation Ltd.		5,400		137,106
				3,985,931
Food, Beverage & Tobacco — 0.1%
Anheuser-Busch InBev SA, ADR		37,152		2,258,099
Nomad Foods Ltd.		6,300		123,228
				2,381,327
Materials — 0.0%
ArcelorMittal SA		30,000		827,400
Orion SA		1,000		23,520
				850,920
Media & Entertainment — 0.0%
Criteo SA, ADR (a)		4,400		154,308
Gambling.com Group Ltd. (a)		2,000		18,260
Trivago NV, ADR		1,700		4,692
				177,260

See Notes to Consolidated Financial Statements.

13

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Pharmaceuticals, Biotechnology & Life Sciences — 0.1%
Achilles Therapeutics PLC, ADR (a)		100	$	125
Affimed NV (a)		740		3,922
Amarin Corp. PLC, ADR (a)		46,200		41,155
Ascendis Pharma AS, ADR (a)		1,500		226,755
AstraZeneca PLC, ADR		4,100		277,775
ATAI Life Sciences NV (a)		3,100		6,107
Bicycle Therapeutics PLC, ADR (a)		2,600		64,740
Compass Pathways PLC, ADR (a)		100		832
Immatics NV (a)		1,200		12,612
Immunocore Holdings PLC, ADR (a)		400		26,000
InflaRx NV (a)		200		308
Merus NV (a)		10,300		463,809
MorphoSys AG, ADR (a)		1,200		21,768
ProQR Therapeutics NV (a)		4,200		9,534
Silence Therapeutics PLC, ADR (a)		900		19,440
Stevanato Group SpA		35,180		1,129,278
uniQure NV (a)		2,400		12,480
Verona Pharma PLC, ADR (a)		1,100		17,699
				2,334,339
Semiconductors & Semiconductor Equipment — 0.0%
ASML Holding NV (c)		1,097		1,064,605
ASML Holding NV (c)		356		342,700
				1,407,305
Software & Services — 0.0%
Materialise NV, ADR (a)		500		2,640
Opera Ltd., ADR		2,100		33,201
				35,841
Transportation — 0.0%
Aduro Biotech, Inc. (a),(b)		1,040		—
Global Ship Lease, Inc., Class A		400		8,120
Golden Ocean Group Ltd.		3,500		45,360
Star Bulk Carriers Corp.		2,000		47,740
				101,220
Total Europe				14,896,103
Middle East — 0.1%
Capital Goods — 0.0%
Kornit Digital Ltd., (a)		3,200		57,984
Household & Personal Products — 0.1%
Oddity Tech Ltd., Class A (a)		59,501		2,585,319

See Notes to Consolidated Financial Statements.

14

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Materials — 0.0%
Eldorado Gold Corp., (a)		14,800	$	208,236
Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
Chemomab Therapeutics Ltd., ADR (a)		200		156
Compugen Ltd. (a)		4,700		12,126
Galmed Pharmaceuticals Ltd (a)		401		131
Oramed Pharmaceuticals, Inc. (a)		4,400		12,848
				25,261
Retailing — 0.0%
D-MARKET Elektronik Hizmetler ve Ticaret AS, ADR (a)		2,700		4,050
Semiconductors & Semiconductor Equipment — 0.0%
Camtek Ltd. (a)		1,300		108,901
Valens Semiconductor Ltd. (a)		1,100		2,585
				111,486
Software & Services — 0.0%
JFrog Ltd. (a)		10,300		455,466
Radware Ltd. (a)		1,600		29,952
Sapiens International Corp. NV		1,000		32,160
SimilarWeb Ltd. (a)		400		3,600
Wix.com Ltd. (a)		4,200		577,416
				1,098,594
Technology Hardware & Equipment — 0.0%
AudioCodes Ltd.		1,100		14,344
Ituran Location & Control Ltd.		500		13,980
Silicom Ltd. (a)		300		4,455
				32,779
Total Middle East				4,123,709
North America — 21.4%
Automobiles & Components — 0.1%
Adient PLC (a)		5,000		164,600
American Axle & Manufacturing Holdings, Inc. (a)		500		3,680
Canoo, Inc. (a)		23		82
Cooper-Standard Holdings, Inc. (a)		2,600		43,056
Dana, Inc.		200		2,540
Ford Motor Co.		38,900		516,592
General Motors Co.		61,200		2,775,420
Gentherm, Inc. (a)		1,700		97,886

See Notes to Consolidated Financial Statements.

15

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Holley, Inc. (a)		800	$	3,568
Motorcar Parts of America, Inc. (a)		500		4,020
Mullen Automotive, Inc. (a)		1		5
Standard Motor Products, Inc.		800		26,840
Stoneridge, Inc. (a)		1,200		22,128
Superior Industries International, Inc. (a)		1,100		3,190
				3,663,607
Banks — 2.7%
1st Source Corp.		300		15,726
Amerant Bancorp, Inc.		2,904		67,634
Ameris Bancorp		177,062		8,566,260
Ames National Corp.		100		2,018
Arrow Financial Corp.		522		13,060
Bank of Hawaii Corp.		28,656		1,787,848
Bank of Marin Bancorp		11,932		200,100
BankFinancial Corp.		55		578
Banner Corp.		800		38,400
Bar Harbor Bankshares		200		5,296
BayCom Corp.		200		4,122
Blue Ridge Bankshares, Inc.		100		269
Bridgewater Bancshares, Inc. (a)		500		5,820
Brookline Bancorp, Inc.		297		2,958
Business First Bancshares, Inc.		600		13,368
Byline Bancorp, Inc.		1,000		21,720
Camden National Corp.		400		13,408
Capital Bancorp, Inc.		100		2,083
Capital City Bank Group, Inc.		200		5,540
Carter Bankshares, Inc. (a)		700		8,848
Central Pacific Financial Corp.		4,285		84,629
Civista Bancshares, Inc.		200		3,076
CNB Financial Corp.		500		10,195
Coastal Financial Corp. (a)		400		15,548
Codorus Valley Bancorp, Inc.		100		2,276
Colony Bankcorp, Inc.		500		5,750
Columbia Banking System, Inc.		32,711		632,958
Comerica, Inc.		144,594		7,951,224
Commerce Bancshares, Inc.		26,674		1,419,057
Community Trust Bancorp, Inc.		400		17,060
Community West Bancshares		100		1,989
ConnectOne Bancorp, Inc.		1,400		27,300
CrossFirst Bankshares, Inc. (a)		1,000		13,840
Eagle Bancorp, Inc.		2,700		63,423
ECB Bancorp, Inc. (a)		100		1,298
Enact Holdings, Inc.		4,300		134,074
Equity Bancshares, Inc., Class A		200		6,874

See Notes to Consolidated Financial Statements.

16

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Esquire Financial Holdings, Inc.		100	$	4,747
Farmers National Banc Corp.		800		10,688
Financial Institutions, Inc.		500		9,410
First Bancorp		800		28,896
First Bancshares, Inc. (The)		80,175		2,080,541
First Busey Corp.		1,100		26,455
First Community Bankshares, Inc.		200		6,926
First Community Corp.		100		1,743
First Financial Bankshares, Inc.		5,100		167,331
First Financial Corp.		300		11,499
First Foundation, Inc.		4,900		36,995
First Horizon Corp.		795,122		12,244,879
First Internet Bancorp		200		6,948
First of Long Island Corp. (The)		2,600		28,834
First Western Financial, Inc. (a)		30,623		446,483
Five Star Bancorp		11,850		266,625
Flushing Financial Corp.		5,014		63,227
Frost Bankers, Inc.		760		85,553
FS Bancorp, Inc.		100		3,471
FVCBankcorp, Inc. (a)		175		2,132
German American Bancorp, Inc.		700		24,248
Great Southern Bancorp, Inc.		100		5,482
Guaranty Bancshares, Inc.		100		3,036
Hanmi Financial Corp.		2,900		46,168
Heartland Financial USA, Inc.		1,500		52,725
Heritage Commerce Corp.		5,500		47,190
Heritage Financial Corp.		2,000		38,780
Hilltop Holdings, Inc.		70,383		2,204,396
Hingham Institution For Savings The		18,752		3,271,474
HomeTrust Bancshares, Inc.		300		8,202
Hope Bancorp, Inc.		2,400		27,624
Horizon Bancorp, Inc.		1,600		20,528
Independent Bank Corp.		500		12,675
Independent Bank Group, Inc.		800		36,520
International Bancshares Corp.		108,021		6,064,299
Investar Holding Corp.		100		1,636
Kearny Financial Corp.		800		5,152
Lakeland Bancorp, Inc.		2,035		24,623
LCNB Corp.		200		3,188
Live Oak Bancshares, Inc.		2,200		91,322
Macatawa Bank Corp.		700		6,853
Mercantile Bank Corp.		300		11,547
Merchants Bancorp		450		19,431
Meridian Corp.		100		992
Metrocity Bankshares, Inc.		100		2,496
Metropolitan Bank Holding Corp. (a)		1,000		38,500
Mid Penn Bancorp, Inc.		200		4,002

See Notes to Consolidated Financial Statements.

17

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Midland States Bancorp, Inc.		600	$	15,078
MidWestOne Financial Group, Inc.		200		4,688
Northeast Bank		100		5,534
Northfield Bancorp, Inc.		200		1,944
OceanFirst Financial Corp.		2,600		42,666
Ocwen Financial Corp. (a)		94		2,539
OFG Bancorp		2,100		77,301
Old Second Bancorp, Inc.		1,900		26,296
OP Bancorp		200		1,996
PCB Bancorp		200		3,266
Peapack-Gladstone Financial Corp.		30,974		753,597
Penns Woods Bancorp, Inc.		200		3,882
Peoples Bancorp, Inc.		900		26,649
Pinnacle Financial Partners, Inc.		125,158		10,748,569
PNC Financial Services Group, Inc. (The) (c)		1,959		316,574
Preferred Bank		400		30,708
Premier Financial Corp.		100		2,030
Primis Financial Corp.		600		7,302
Provident Bancorp, Inc. (a)		500		4,550
QCR Holdings, Inc.		200		12,148
RBB Bancorp		400		7,204
Riverview Bancorp, Inc.		200		944
S&T Bancorp, Inc.		400		12,832
Sandy Spring Bancorp, Inc.		118,329		2,742,866
Seacoast Banking Corp. of Florida		315,100		8,000,389
Shore Bancshares, Inc.		600		6,900
Sierra Bancorp		200		4,040
SmartFinancial, Inc.		200		4,214
South Plains Financial, Inc.		200		5,352
Southern First Bancshares, Inc. (a)		100		3,176
Southern Missouri Bancorp, Inc.		100		4,371
Southside Bancshares, Inc.		700		20,461
Stock Yards Bancorp, Inc.		400		19,564
Synovus Financial Corp.		205,401		8,228,364
Territorial Bancorp, Inc.		100		806
Texas Capital Bancshares, Inc. (a)		170,400		10,488,120
Third Coast Bancshares, Inc. (a)		100		2,002
Tompkins Financial Corp.		100		5,029
TriCo Bancshares		700		25,746
Truist Financial Corp.		126,147		4,917,210
TrustCo Bank Corp.		520		14,643
Trustmark Corp.		800		22,488
Univest Financial Corp.		1,000		20,820
US Bancorp		7,607		340,033
USCB Financial Holdings, Inc.		100		1,140
UWM Holdings Corp.		400		2,904
Veritex Holdings, Inc.		15,230		312,063
Washington Trust Bancorp, Inc.		500		13,440

See Notes to Consolidated Financial Statements.

18

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Waterstone Financial, Inc.		200	$	2,434
Wells Fargo & Co.		174,964		10,140,913
WesBanco, Inc.		100		2,981
West BanCorp, Inc.		200		3,566
Westamerica BanCorp		800		39,104
Western New England Bancorp, Inc.		300		2,301
Zions Bancorp NA		15,800		685,720
				106,963,556
Capital Goods — 2.5%
3M Co.		2,000		212,140
A O Smith Corp.		1,200		107,352
AECOM		3,000		294,240
Albany International Corp., Class A		600		56,106
Allient, Inc.		500		17,840
Allison Transmission Holdings, Inc.		700		56,812
Alta Equipment Group, Inc.		1,100		14,245
AMETEK, Inc.		67,800		12,400,620
Apogee Enterprises, Inc.		1,200		71,040
Argan, Inc.		600		30,324
Art’s-Way Manufacturing Co., Inc. (a)		100		204
Astronics Corp. (a)		1,200		22,848
Atmus Filtration Technologies, Inc. (a)		2,730		88,042
Barnes Group, Inc.		100		3,715
Beacon Roofing Supply, Inc. (a)		5,300		519,506
Bloom Energy Corp., Class A (a)		30,938		347,743
Blue Bird Corp. (a)		3,700		141,858
BlueLinx Holdings, Inc. (a)		700		91,168
Bowman Consulting Group Ltd. (a)		9,155		318,502
Broadwind, Inc. (a)		700		1,666
Caesarstone Ltd. (a)		800		3,272
Columbus McKinnon Corp.		900		40,167
Commercial Vehicle Group, Inc. (a)		2,300		14,789
Concrete Pumping Holdings, Inc. (a)		1,100		8,690
Construction Partners, Inc., Class A (a)		400		22,460
Core & Main, Inc., Class A (a)		166,956		9,558,231
CSW Industrials, Inc.		100		23,460
Cummins, Inc.		3,431		1,010,944
Curtiss-Wright Corp.		100		25,594
Custom Truck One Source, Inc. (a)		4,600		26,772
DNOW, Inc. (a)		8,000		121,600
Donaldson Co., Inc.		1,700		126,956
Douglas Dynamics, Inc.		1,600		38,592
Dover Corp.		200		35,438
Ducommun, Inc. (a)		200		10,260
DXP Enterprises, Inc. (a)		600		32,238

See Notes to Consolidated Financial Statements.

19

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Energy Recovery, Inc. (a)		3,700	$	58,423
Enovix Corp. (a)		30,500		244,305
Enpro, Inc.		400		67,508
Esab Corp.		1,500		165,855
EVI Industries, Inc.		100		2,490
Federal Signal Corp.		2,200		186,714
Fluor Corp. (a)		5,400		228,312
Fortune Brands Innovations, Inc.		600		50,802
FTAI Aviation Ltd.		8,700		585,510
Gates Industrial Corp. PLC (a)		33,800		598,598
GATX Corp.		1,000		134,030
Gibraltar Industries, Inc. (a)		900		72,477
Global Industrial Co.		500		22,390
GMS, Inc. (a)		400		38,936
Gorman-Rupp Co. (The)		400		15,820
Graco, Inc.		70,000		6,542,200
GrafTech International Ltd.		600		828
Great Lakes Dredge & Dock Corp. (a)		4,300		37,625
Griffon Corp.		5,100		374,034
H&E Equipment Services, Inc.		2,400		154,032
Hayward Holdings, Inc. (a)		3,100		47,461
HEICO Corp.		3,800		725,800
HEICO Corp., Class A		67,800		10,437,132
Helios Technologies, Inc.		400		17,876
Hexcel Corp.		700		50,995
Hudson Technologies, Inc. (a)		2,400		26,424
Hurco Cos., Inc.		100		2,016
Hydrofarm Holdings Group, Inc. (a)		3,400		3,672
IDEX Corp.		41,500		10,126,830
Ingersoll Rand, Inc.		48		4,558
Insteel Industries, Inc.		400		15,288
Janus International Group, Inc. (a)		21,800		329,834
Johnson Controls International PLC		16,300		1,064,716
Kaman Corp.		1,100		50,457
Karat Packaging, Inc.		100		2,861
Kennametal, Inc.		4,200		104,748
L B Foster Co., Class A (a)		100		2,731
Lockheed Martin Corp.		9,400		4,275,778
LSI Industries, Inc.		1,500		22,680
Manitowoc Co., Inc. (The) (a)		3,700		52,318
Masonite International Corp. (a)		4,800		630,960
MasTec, Inc. (a)		1,200		111,900
Masterbrand, Inc. (a)		11,300		211,762
Matrix Service Co. (a)		1,200		15,636
Mayville Engineering Co., Inc. (a)		700		10,031
McGrath RentCorp		300		37,011

See Notes to Consolidated Financial Statements.

20

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
MDU Resources Group, Inc.		700	$	17,640
Mercury Systems, Inc. (a)		1,800		53,100
Miller Industries, Inc.		300		15,030
Momentus, Inc. (a)		34		15
MRC Global, Inc. (a)		8,900		111,873
Mueller Water Products, Inc., Class A		2,000		32,180
MYR Group, Inc. (a)		200		35,350
NEXTracker, Inc., Class A (a)		181,310		10,202,314
NN, Inc. (a)		1,200		5,688
Northrop Grumman Corp.		1,000		478,660
Northwest Pipe Co. (a)		300		10,404
Nuvve Holding Corp. (a)		12		13
Orion Group Holdings, Inc. (a)		500		4,100
Oshkosh Corp.		3,000		374,130
Park Aerospace Corp.		500		8,315
Proto Labs, Inc. (a)		1,900		67,925
Quanex Building Products Corp.		500		19,215
RBC Bearings, Inc. (a)		42,088		11,378,491
Redwire Corp. (a)		100		439
REV Group, Inc.		60,940		1,346,164
Rockwell Automation, Inc.		600		174,798
Rush Enterprises, Inc., Class A		1,100		58,872
Shyft Group, Inc. (The)		4,400		54,648
Simpson Manufacturing Co., Inc.		16,171		3,317,966
SPX Technologies, Inc. (a)		1,400		172,382
Standex International Corp.		100		18,222
Stanley Black & Decker, Inc.		1,000		97,930
Sterling Infrastructure, Inc. (a)		4,800		529,488
Sunrun, Inc. (a),(c)		10,662		140,525
Tecnoglass, Inc.		3,100		161,293
Tennant Co.		300		36,483
Thermon Group Holdings, Inc. (a)		2,200		71,984
Timken Co. (The)		900		78,687
Titan International, Inc. (a)		4,400		54,824
Titan Machinery, Inc. (a)		2,400		59,544
Transcat, Inc. (a)		300		33,429
Trex Co., Inc. (a)		1,300		129,675
Triumph Group, Inc. (a)		900		13,536
Tutor Perini Corp. (a)		3,400		49,164
Ultralife Corp. (a)		1,000		8,810
Vertiv Holdings Co., Class A		48,500		3,960,995
Vicor Corp. (a)		3,000		114,720
View, Inc. (a)		4		5
Wabash National Corp.		3,900		116,766
Westinghouse Air Brake Technologies Corp.		7,600		1,107,168
Westport Fuel Systems, Inc. (a)		900		6,066
Woodward, Inc.		3,700		570,244
				99,157,068

See Notes to Consolidated Financial Statements.

21

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Commercial & Professional Services — 0.3%
ACCO Brands Corp.		10,600	$	59,466
Asure Software, Inc. (a)		3,000		23,340
Avalon Holdings Corp., Class A (a)		200		446
Barrett Business Services, Inc.		200		25,344
BGSF, Inc.		200		2,082
Brady Corp., Class A		1,100		65,208
BrightView Holdings, Inc. (a)		7,200		85,680
CACI International, Inc., Class A (a)		700		265,181
CBIZ, Inc. (a)		1,200		94,200
CECO Environmental Corp. (a)		2,600		59,852
Civeo Corp.		1,325		35,576
Copart, Inc. (a)		100,000		5,792,000
CRA International, Inc.		100		14,958
Dun & Bradstreet Holdings, Inc.		74,305		746,022
Ennis, Inc.		1,100		22,561
Enviri Corp. (a)		6,400		58,560
Forrester Research, Inc. (a)		500		10,780
Franklin Covey Co. (a)		600		23,556
GFL Environmental, Inc.		59,388		2,048,886
Healthcare Services Group, Inc. (a)		7,700		96,096
Heidrick & Struggles International, Inc.		700		23,562
HNI Corp.		334		15,073
Huron Consulting Group, Inc. (a)		1,100		106,282
ICF International, Inc.		400		60,252
Insperity, Inc.		400		43,844
Interface, Inc.		3,000		50,460
Kelly Services, Inc., Class A		1,300		32,552
Liquidity Services, Inc. (a)		1,000		18,600
Matthews International Corp., Class A		1,200		37,296
Millennium Corp. (a),(b),(c)		60,879		1,552,415
Mistras Group, Inc. (a)		900		8,604
Parsons Corp. (a)		3,600		298,620
Paycom Software, Inc.		3,300		656,733
Pitney Bowes, Inc.		2,800		12,124
Quad/Graphics, Inc.		100		531
Resources Connection, Inc.		1,800		23,688
TrueBlue, Inc. (a)		1,900		23,788
Upwork, Inc. (a)		31,100		381,286
Veralto Corp.		1		89
Verisk Analytics, Inc., Class A		700		165,011
Vestis Corp.		9,400		181,138
Viad Corp. (a)		100		3,949
Wilhelmina International, Inc. (a)		100		487
				13,226,178

See Notes to Consolidated Financial Statements.

22

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Consumer Discretionary Distribution & Retail — 0.0%
Destination XL Group, Inc., (a)		6,800	$	24,480
Consumer Durables & Apparel — 0.2%
Acushnet Holdings Corp.		3,200		211,040
Allbirds, Inc., Class A (a)		13,400		9,301
American Outdoor Brands, Inc. (a)		500		4,400
Bassett Furniture Industries, Inc.		200		2,952
Beazer Homes USA, Inc. (a)		3,300		108,240
Charles & Colvard Ltd. (a)		1,000		341
Cricut, Inc., Class A		100		476
Culp, Inc. (a)		200		960
Delta Apparel, Inc. (a)		300		897
Escalade, Inc.		200		2,750
Ethan Allen Interiors, Inc.		1,200		41,484
Fossil Group, Inc. (a)		11,800		12,036
Funko, Inc., Class A (a)		100		624
G-III Apparel Group Ltd. (a)		2,500		72,525
Gildan Activewear, Inc.		600		22,278
GoPro, Inc., Class A (a)		17,900		39,917
Green Brick Partners, Inc. (a)		800		48,184
Hooker Furnishings Corp.		200		4,802
Installed Building Products, Inc.		100		25,873
JAKKS Pacific, Inc. (a)		1,000		24,700
Johnson Outdoors, Inc., Class A		300		13,833
Lakeland Industries, Inc.		200		3,660
Landsea Homes Corp. (a)		1,800		26,154
La-Z-Boy, Inc.		400		15,048
Legacy Housing Corp. (a)		500		10,760
MasterCraft Boat Holdings, Inc. (a)		1,700		40,324
Movado Group, Inc.		100		2,793
NIKE, Inc., Class B		27,400		2,575,052
Peloton Interactive, Inc., Class A (a)		70,100		300,379
PVH Corp.		2,700		379,647
SharkNinja, Inc.		22,412		1,396,043
Singing Machine Co., Inc. (The) (a)		800		730
Smith Douglas Homes Corp. (a)		29,752		883,634
Sturm Ruger & Co., Inc.		200		9,230
Superior Group of Cos., Inc.		200		3,304
Tempur Sealy International, Inc.		1,000		56,820
Tri Pointe Homes, Inc. (a)		700		27,062
Twin Vee PowerCats Co. (a)		200		172
Unifi, Inc. (a)		1,900		11,381
Universal Electronics, Inc. (a)		900		9,009
Vera Bradley, Inc. (a)		3,600		24,480
				6,423,295

See Notes to Consolidated Financial Statements.

23

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Consumer Services — 0.7%
2U, Inc. (a)		19,200	$	7,482
Accel Entertainment, Inc. (a)		200		2,358
Allied Gaming & Entertainment, Inc. (a)		800		808
American Public Education, Inc. (a)		800		11,360
BJ’s Restaurants, Inc. (a)		2,600		94,068
Booking Holdings, Inc.		1,000		3,627,880
Carnival Corp. (a)		21,300		348,042
Carnival PLC, ADR (a)		3,700		54,501
Carriage Services, Inc.		1,000		27,040
Carrols Restaurant Group, Inc.		12,100		115,071
Cava Group, Inc. (a)		79,678		5,581,444
Chegg, Inc. (a)		23,600		178,652
Choice Hotels International, Inc.		6,600		833,910
Chuy’s Holdings, Inc. (a)		1,000		33,730
Denny’s Corp. (a)		3,600		32,256
Dine Brands Global, Inc.		1,800		83,664
Domino’s Pizza, Inc.		600		298,128
DoorDash, Inc., Class A (a)		43,800		6,032,136
DraftKings, Inc., Class A (a)		48,870		2,219,187
Duolingo, Inc. (a)		8,100		1,786,698
Dutch Bros, Inc., Class A (a)		92,003		3,036,099
El Pollo Loco Holdings, Inc. (a)		3,500		34,090
Everi Holdings, Inc. (a)		16,400		164,820
Expedia Group, Inc. (a)		300		41,325
First Watch Restaurant Group, Inc. (a)		1,900		46,778
Frontdoor, Inc. (a)		600		19,548
GEN Restaurant Group, Inc. (a)		500		5,840
Golden Entertainment, Inc.		300		11,049
Hilton Worldwide Holdings, Inc.		700		149,317
International Game Technology PLC		5,000		112,950
Kura Sushi USA, Inc., Class A (a)		300		34,548
Laureate Education, Inc.		9,500		138,415
Life Time Group Holdings, Inc. (a)		100		1,552
Lincoln Educational Services Corp. (a)		1,000		10,330
Lindblad Expeditions Holdings, Inc. (a)		2,000		18,660
Monarch Casino & Resort, Inc.		400		29,996
ONE Group Hospitality, Inc. (The) (a)		200		1,114
OneSpaWorld Holdings Ltd. (a)		1,600		21,168
Playa Hotels & Resorts NV (a)		1,300		12,610
PlayAGS, Inc. (a)		5,100		45,798
Portillo’s, Inc., Class A (a)		300		4,254
Potbelly Corp. (a)		1,300		15,743
Royal Caribbean Cruises Ltd. (a),(c)		10,900		1,515,209
Sabre Corp. (a)		67,800		164,076
Shake Shack, Inc., Class A (a)		300		31,209

See Notes to Consolidated Financial Statements.

24

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Sweetgreen, Inc., Class A (a)		19,000	$	479,940
Target Hospitality Corp. (a)		1,800		19,566
Travel + Leisure Co.		1,600		78,336
Universal Technical Institute, Inc. (a)		3,200		51,008
Wendy’s Co. (The)		2,900		54,636
Wingstop, Inc.		1,600		586,240
WW International, Inc. (a)		18,200		33,670
Xponential Fitness, Inc., Class A (a)		3,100		51,274
				28,389,583
Diversified Financials — 1.4%
Acacia Research Corp. (a)		100		533
ACRES Commercial Realty Corp. (a)		133		1,870
AG Mortgage Investment Trust, Inc.		2,000		12,240
Alerus Financial Corp.		300		6,549
A-Mark Precious Metals, Inc.		400		12,276
AssetMark Financial Holdings, Inc. (a)		900		31,869
Atlanticus Holdings Corp. (a)		100		2,959
Bain Capital Specialty Finance, Inc.		4,700		73,696
Bank of New York Mellon Corp. (The)		13,405		772,396
Barings BDC, Inc.		9,900		92,070
BlackRock Liquidity Funds Treasury Trust Fund Portfolio (c)		15,849,676		15,849,676
BlackRock TCP Capital Corp.		7,701		80,321
Bridge Investment Group Holdings, Inc., Class A		1,900		13,015
Brightsphere Investment Group, Inc.		88,439		2,019,947
BrightSpire Capital, Inc.		3,000		20,670
Capital Southwest Corp.		1,800		44,928
Carlyle Secured Lending, Inc.		3,700		60,236
Cboe Global Markets, Inc.		71,805		13,192,733
Charles Schwab Corp. (The)		3,823		276,556
Cherry Hill Mortgage Investment Corp.		300		1,062
Chicago Atlantic Real Estate Finance, Inc.		1,500		23,655
Chimera Investment Corp.		1,900		8,759
CION Investment Corp.		4,500		49,500
Coinbase Global, Inc., Class A (a)		18,800		4,984,256
Consumer Portfolio Services, Inc. (a)		200		1,512
Corebridge Financial, Inc.		5,600		160,888
Credit Acceptance Corp. (a)		200		110,310
Crescent Capital BDC, Inc.		2,200		37,972
Ellington Residential Mortgage REIT		3,900		26,949
Enova International, Inc. (a)		300		18,849
EZCORP, Inc., Class A (a)		8,700		98,571
Federated Hermes, Inc.		2,400		86,688
Fidus Investment Corp.		2,900		57,246
FirstCash Holdings, Inc.		200		25,508
GCM Grosvenor, Inc., Class A		13,245		127,947

See Notes to Consolidated Financial Statements.

25

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Gladstone Capital Corp.		3,200	$	34,336
Gladstone Investment Corp.		3,000		42,690
Granite Point Mortgage Trust, Inc.		5,300		25,281
Great Ajax Corp.		1,800		6,840
Green Dot Corp., Class A (a)		11,500		107,295
Hercules Capital, Inc.		400		7,380
Invesco Ltd.		15,200		252,168
Invesco Mortgage Capital, Inc.		8,600		83,248
Ladder Capital Corp.		400		4,452
Lazard, Inc.		6,300		263,781
LendingClub Corp. (a)		13,400		117,786
LendingTree, Inc. (a)		2,700		114,318
MarketAxess Holdings, Inc.		6,108		1,339,179
Medallion Financial Corp.		1,200		9,492
MidCap Financial Investment Corp.		4,100		61,664
Moneylion, Inc. (a)		1,713		122,171
Monroe Capital Corp.		2,000		14,400
Moody’s Corp.		1,200		471,636
MSCI, Inc., Class A		1,800		1,008,810
Nasdaq, Inc.		60,724		3,831,684
New Mountain Finance Corp.		9,500		120,365
Northern Trust Corp.		5,745		510,845
Oaktree Specialty Lending Corp.		31		609
OFS Capital Corp.		800		7,944
Open Lending Corp., Class A (a)		8,700		54,462
Oportun Financial Corp. (a)		3,600		8,748
Oppenheimer Holdings, Inc., Class A		700		27,944
OppFi, Inc. (a)		4,000		10,000
Oxford Square Capital Corp.		6,200		19,654
Perella Weinberg Partners		1,800		25,434
Piper Sandler Cos.		13,661		2,711,572
Portman Ridge Finance Corp.		900		17,082
Regional Management Corp.		200		4,842
Robinhood Markets, Inc., Class A (a)		172,000		3,462,360
Runway Growth Finance Corp.		5,000		60,600
S&P Global, Inc.		912		388,010
Saratoga Investment Corp.		2,100		48,720
SEI Investments Co.		900		64,710
Silvercrest Asset Management Group, Inc., Class A		300		4,743
Sixth Street Specialty Lending, Inc.		5,900		126,437
SLR Investment Corp.		4,000		61,400
Sprott, Inc.		200		7,392
State Street Corp.		300		23,196
Stellus Capital Investment Corp.		3,000		39,240
Stifel Financial Corp.		20,616		1,611,553
StoneX Group, Inc. (a)		1,100		77,286
SuRo Capital Corp. (a)		69		314

See Notes to Consolidated Financial Statements.

26

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
TPG RE Finance Trust, Inc.		3,000	$	23,160
TriplePoint Venture Growth BDC Corp., Class B		1,100		10,428
Victory Capital Holdings, Inc., Class A		10,050		426,422
Virtu Financial, Inc., Class A		4,600		94,392
Westwood Holdings Group, Inc.		100		1,232
WhiteHorse Finance, Inc.		1,200		14,880
WisdomTree, Inc.		15,800		145,202
				56,514,001
Energy — 0.6%
APA Corp.		200		6,876
Baytex Energy Corp.		14		51
Berry Corp.		3,400		27,370
CONSOL Energy, Inc.		1,400		117,264
Cool Co., Ltd.		1,600		17,792
Crescent Energy Co., Class A		237,917		2,831,212
CVR Energy, Inc.		9,400		335,204
Delek US Holdings, Inc.		13,700		421,138
Devon Energy Corp. (c)		18,166		911,570
DHT Holdings, Inc.		1,500		17,250
Diamond Offshore Drilling, Inc. (a)		3,700		50,468
Diamondback Energy, Inc. (c)		2,810		556,858
DMC Global, Inc. (a)		1,500		29,235
Dorian LPG Ltd.		2,300		88,458
Epsilon Energy Ltd.		1,000		5,495
Forum Energy Technologies, Inc. (a)		400		7,992
FutureFuel Corp.		5,300		42,665
Granite Ridge Resources, Inc.		300		1,950
Gulfport Energy Corp. (a)		100		16,012
Hallador Energy Co. (a)		4,400		23,452
Helix Energy Solutions Group, Inc. (a)		21,200		229,808
Hess Corp. (c)		24,418		3,727,163
Kinetik Holdings, Inc.		3,080		122,800
Kodiak Gas Services, Inc.		26,526		725,221
Magnolia Oil & Gas Corp., Class A		500		12,975
Mammoth Energy Services, Inc. (a)		900		3,276
Marathon Petroleum Corp. (c)		3,746		754,819
Matador Resources Co.		52,048		3,475,245
Nabors Industries Ltd. (a)		900		77,517
NACCO Industries, Inc., Class A		100		3,020
Natural Gas Services Group, Inc. (a)		400		7,772
Navigator Holdings Ltd.		2,600		39,910
Newpark Resources, Inc. (a)		13,600		98,192
Nordic American Tankers Ltd.		28,500		111,720
North American Construction Group Ltd.		1,100		24,508
NOV, Inc.		5,500		107,360

See Notes to Consolidated Financial Statements.

27

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Oil States International, Inc. (a)		14,700	$	90,552
Overseas Shipholding Group, Inc., Class A		8,400		53,760
Ovintiv, Inc.		18		934
Patterson-UTI Energy, Inc.		118,968		1,420,478
PBF Energy, Inc., Class A		23,100		1,329,867
Permian Resources Corp.		297,510		5,254,026
Precision Drilling Corp. (a)		900		60,561
Profire Energy, Inc. (a)		1,100		2,035
ProPetro Holding Corp. (a)		6,100		49,288
REX American Resources Corp. (a)		300		17,613
Select Water Solutions, Inc.		9,700		89,531
SilverBow Resources, Inc. (a)		400		13,656
Smart Sand, Inc. (a)		3,200		6,112
Solaris Oilfield Infrastructure, Inc., Class A		5,500		47,685
Teekay Corp. (a)		12,300		89,544
Teekay Tankers Ltd., Class A		4,963		289,889
TETRA Technologies, Inc. (a)		11,200		49,616
Transocean Ltd. (a)		80,733		507,003
Vital Energy, Inc. (a)		450		23,643
Vitesse Energy, Inc.		2,400		56,952
W&T Offshore, Inc.		10,400		27,560
World Kinect Corp.		5,900		156,055
				24,665,978
Engineering & Construction — 0.0%
QualTek Services, Inc., (a),(b),(c)		441,828		0
Financial Services — 0.0%
PennantPark Floating Rate Capital Ltd.		4,000		45,520
PennantPark Investment Corp.		9,700		66,736
				112,256
Food & Staples Retailing — 0.2%
BBB Foods, Inc., Class A (a)		59,502		1,414,957
Costco Wholesale Corp.		400		293,052
Dollar Tree, Inc. (a),(c)		2,624		349,386
Ingles Markets, Inc., Class A		300		23,004
Natural Grocers by Vitamin Cottage, Inc., Class C		500		9,025
PriceSmart, Inc.		600		50,400
SpartanNash Co.		2,200		44,462
Village Super Market, Inc., Class A		200		5,722
Walmart, Inc. (c)		88,078		5,299,653
Weis Markets, Inc.		900		57,960
				7,547,621
Food, Beverage & Tobacco — 0.4%
Altria Group, Inc.		12,800		558,336

See Notes to Consolidated Financial Statements.

28

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Celsius Holdings, Inc. (a)		2,600	$	215,592
Dole PLC		5,300		63,229
Duckhorn Portfolio, Inc. (The) (a)		2,400		22,344
Eastside Distilling, Inc. (a)		45		45
Flowers Foods, Inc.		3,500		83,125
Fresh Del Monte Produce, Inc.		2,600		67,366
General Mills, Inc.		26,200		1,833,214
Hain Celestial Group, Inc. (The) (a)		2,000		15,720
Hershey Co. (The)		15,200		2,956,400
Hormel Foods Corp.		1,400		48,846
Kellanova		4,400		252,076
Keurig Dr Pepper, Inc.		172,656		5,295,360
Laird Superfood, Inc. (a)		400		960
Limoneira Co.		400		7,824
McCormick & Co., Inc.		11,104		852,898
MGP Ingredients, Inc.		1,300		111,969
Mondelez International, Inc., Class A (c)		3,689		258,230
National Beverage Corp. (a)		1,500		71,190
PepsiCo, Inc.		2,800		490,028
Post Holdings, Inc. (a)		2,900		308,212
Primo Water Corp.		5,900		107,439
Tootsie Roll Industries, Inc.		1,030		32,991
Tyson Foods, Inc., Class A		100		5,873
Universal Corp.		1,000		51,720
Village Farms International, Inc. (a)		1,300		1,612
Vita Coco Co., Inc. (The) (a)		10,000		244,300
Vital Farms, Inc. (a)		100		2,325
WK Kellogg Co.		1,500		28,200
				13,987,424
Health Care Equipment & Services — 0.5%
23andMe Holding Co., Class A (a)		1,300		692
Abbott Laboratories		3,500		397,810
Accolade, Inc. (a)		1,300		13,624
Accuray, Inc. (a)		7,300		18,031
Addus HomeCare Corp. (a)		100		10,334
Alphatec Holdings, Inc. (a)		2,600		35,854
American Shared Hospital Services (a)		100		295
American Well Corp., Class A (a)		200		162
AngioDynamics, Inc. (a)		8,900		52,243
Artivion, Inc. (a)		100		2,116
AtriCure, Inc. (a)		3,500		106,470
Augmedix, Inc. (a)		2,900		11,861
Avanos Medical, Inc. (a)		1,400		27,874
Avinger, Inc. (a)		34		104
Baxter International, Inc.		2,300		98,302

See Notes to Consolidated Financial Statements.

29

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Bioventus, Inc., Class A (a)		1,400	$	7,280
BrightSpring Health Services, Inc. (a)		89,255		970,202
Brookdale Senior Living, Inc. (a)		9,709		64,176
Cardinal Health, Inc.		700		78,330
Castle Biosciences, Inc. (a)		1,700		37,655
Cencora, Inc.		9,900		2,405,601
Cigna Group (The)		600		217,914
Clover Health Investments Corp. (a)		31,700		25,170
Community Health Systems, Inc. (a)		31,400		109,900
CONMED Corp.		500		40,040
CorVel Corp. (a)		200		52,592
Cue Health, Inc. (a)		4,300		811
CVRx, Inc. (a)		400		7,284
Electromed, Inc. (a)		100		1,615
FONAR Corp. (a)		100		2,136
GE HealthCare Technologies, Inc.		59,503		5,409,418
Globus Medical, Inc., Class A (a)		9,300		498,852
GoodRx Holdings, Inc., Class A (a)		16,100		114,310
Guardant Health, Inc. (a)		15,400		317,702
Haemonetics Corp. (a)		1,100		93,885
Health Catalyst, Inc. (a)		4,300		32,379
HealthStream, Inc.		800		21,328
Hims & Hers Health, Inc. (a)		500		7,735
Humana, Inc.		15,000		5,200,800
InfuSystem Holdings, Inc. (a)		500		4,285
Inogen, Inc. (a)		4,500		36,315
Integra LifeSciences Holdings Corp. (a)		7,300		258,785
iRadimed Corp.		400		17,596
Joint Corp. (The) (a)		600		7,836
LeMaitre Vascular, Inc.		1,100		72,996
LivaNova PLC (a)		2,800		156,632
Merit Medical Systems, Inc. (a)		400		30,300
National Research Corp.		100		3,961
Neuronetics, Inc. (a)		1,000		4,760
Nevro Corp. (a)		7,700		111,188
Nexgel, Inc. (a)		300		819
Novocure Ltd. (a)		20,300		317,289
OPKO Health, Inc. (a)		14,701		17,641
OptimizeRx Corp. (a)		1,200		14,580
Orthofix Medical, Inc. (a)		1,406		20,415
Outset Medical, Inc. (a)		5,100		11,322
Owens & Minor, Inc. (a)		5,700		157,947
Pediatrix Medical Group, Inc. (a)		400		4,012
Pennant Group, Inc. (The) (a)		1,900		37,297
PetIQ, Inc. (a)		1,700		31,076
Phreesia, Inc. (a)		1,300		31,109

See Notes to Consolidated Financial Statements.

30

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Premier, Inc., Class A		1,300	$	28,730
PROCEPT BioRobotics Corp. (a)		600		29,652
Pulmonx Corp. (a)		3,300		30,591
RxSight, Inc. (a)		5,500		283,690
Select Medical Holdings Corp.		200		6,030
Semler Scientific, Inc. (a)		100		2,921
Sensus Healthcare, Inc. (a)		1,400		5,320
SI-BONE, Inc. (a)		4,700		76,939
Silk Road Medical, Inc. (a)		9,000		164,880
Star Equity Holdings, Inc. (a)		400		355
Surmodics, Inc. (a)		400		11,736
Tactile Systems Technology, Inc. (a)		1,800		29,250
Talkspace, Inc. (a)		10,700		38,199
Tandem Diabetes Care, Inc. (a)		15,000		531,150
Teladoc Health, Inc. (a)		17,800		268,780
TruBridge, Inc. (a)		1,200		11,064
U.S. Physical Therapy, Inc.		100		11,287
Varex Imaging Corp. (a)		4,000		72,400
Viemed Healthcare, Inc. (a)		1,800		16,974
Zimvie, Inc. (a)		1,200		19,788
Zynex, Inc. (a)		2,600		32,162
				19,512,946
Household & Personal Products — 0.1%
Edgewell Personal Care Co.		3,700		142,968
Estee Lauder Cos., Inc. (The), Class A		33,200		5,117,780
Nature’s Sunshine Products, Inc. (a)		400		8,308
Nu Skin Enterprises, Inc., Class A		6,500		89,895
Olaplex Holdings, Inc. (a)		43,700		83,904
Reynolds Consumer Products, Inc.		2,700		77,112
USANA Health Sciences, Inc. (a)		200		9,700
WD-40 Co.		300		75,993
				5,605,660
Insurance — 0.8%
American Coastal Insurance Corp., Class C (a)		1,000		10,690
Brighthouse Financial, Inc. (a)		3,500		180,390
Citizens, Inc. (a)		800		1,712
Crawford & Co., Class A		300		2,829
eHealth, Inc. (a)		2,900		17,487
Employers Holdings, Inc.		1,000		45,390
F&G Annuities & Life, Inc.		1,100		44,605
Fidelis Insurance Holdings Ltd.		2,900		56,492
Greenlight Capital Re Ltd., Class A (a)		1,200		14,964
Hagerty, Inc., Class A (a)		500		4,575
Hanover Insurance Group, Inc. (The)		400		54,468

See Notes to Consolidated Financial Statements.

31

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
HCI Group, Inc.		600	$	69,648
Heritage Insurance Holdings, Inc.		3,100		33,015
Horace Mann Educators Corp.		2,400		88,776
James River Group Holdings Ltd.		8,600		79,980
Kemper Corp.		1,700		105,264
Kinsale Capital Group, Inc.		18,900		9,917,586
Lincoln National Corp.		15,200		485,336
Mercury General Corp.		2,100		108,360
Oscar Health, Inc., Class A (a)		29,000		431,230
ProAssurance Corp.		2,200		28,292
RLI Corp.		82,500		12,248,775
Selectquote, Inc. (a)		800		1,600
Skyward Specialty Insurance Group, Inc. (a)		5,000		187,050
Tiptree, Inc.		800		13,824
Trupanion, Inc. (a)		1,700		46,937
United Fire Group, Inc.		600		13,062
Universal Insurance Holdings, Inc.		2,900		58,928
Unum Group		6,900		370,254
W R Berkley Corp.		87,000		7,694,280
				32,415,799
Materials — 0.4%
AdvanSix, Inc.		500		14,300
Alcoa Corp.		39,100		1,321,189
American Vanguard Corp.		2,200		28,490
AptarGroup, Inc.		500		71,945
ATI, Inc. (a)		1,200		61,404
Axalta Coating Systems Ltd. (a)		700		24,073
B2Gold Corp.		10,200		26,622
Carpenter Technology Corp.		1,300		92,846
Centerra Gold, Inc.		4,500		26,595
Century Aluminum Co. (a)		1,200		18,468
Clearwater Paper Corp. (a)		1,200		52,476
Constellium SE, Class A (a)		2,000		44,220
DuPont de Nemours, Inc.		800		61,336
Ecovyst, Inc. (a)		4,700		52,405
FMC Corp.		7,800		496,860
Franco-Nevada Corp.		900		107,244
Gatos Silver, Inc. (a)		5,500		46,145
Glatfelter Corp. (a)		4,300		8,600
Gold Resource Corp. (a)		600		261
HB Fuller Co.		1,300		103,662
Huntsman Corp.		4,000		104,120
Innospec, Inc.		100		12,894
Intrepid Potash, Inc. (a)		1,800		37,548
Knife River Corp. (a)		4,800		389,184

See Notes to Consolidated Financial Statements.

32

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Linde PLC		22,626	$	10,505,704
Louisiana-Pacific Corp.		100		8,391
LSB Industries, Inc. (a)		7,500		65,850
McEwen Mining, Inc. (a)		3,800		37,468
Minerals Technologies, Inc.		100		7,528
Mosaic Co.		10,800		350,568
Myers Industries, Inc.		1,100		25,487
New Gold, Inc. (a)		18,300		31,110
O-I Glass, Inc. (a)		7,800		129,402
Origin Materials, Inc. (a)		1,200		612
Pactiv Evergreen, Inc.		400		5,728
Ramaco Resources, Inc., Class A		10,000		168,400
Ranpak Holdings Corp. (a)		6,200		48,794
Rayonier Advanced Materials, Inc. (a)		11,000		52,580
Royal Gold, Inc.		100		12,181
Ryerson Holding Corp.		2,600		87,100
Schnitzer Steel Industries, Inc., Class A		300		6,339
Sherwin-Williams Co. (c)		6,272		2,178,454
Silvercorp Metals, Inc.		20,000		65,200
SSR Mining, Inc. (a)		18,900		84,294
SunCoke Energy, Inc.		6,600		74,382
Sylvamo Corp.		1,500		92,610
Ternium SA, ADR		2,900		120,698
TimkenSteel Corp. (a)		3,300		73,425
Tredegar Corp.		2,200		14,344
TriMas Corp.		1,100		29,403
Trinseo PLC		100		378
Universal Stainless & Alloy Products, Inc. (a)		800		17,936
Warrior Met Coal, Inc.		4,800		291,360
				17,788,613
Media & Entertainment — 1.4%
Alphabet, Inc., Class A (a),(c)		79,798		12,043,912
Altice USA, Inc., Class A (a)		7,500		19,575
Angi, Inc. (a)		15,400		40,348
Boston Omaha Corp., Class A (a)		600		9,276
Cardlytics, Inc. (a)		1,100		15,939
Clear Channel Outdoor Holdings, Inc. (a)		2,700		4,455
comScore, Inc. (a)		160		2,464
DHI Group, Inc. (a)		1,500		3,825
Eventbrite, Inc., Class A (a)		18,400		100,832
Fluent, Inc. (a)		1,800		887
Gaia, Inc. (a)		600		1,848
Gannett Co., Inc. (a)		1,700		4,148
Harte Hanks, Inc. (a)		200		1,496
iHeartMedia, Inc., Class A (a)		4,300		8,987

See Notes to Consolidated Financial Statements.

33

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Integral Ad Science Holding Corp. (a)		10,900	$	108,673
Liberty Broadband Corp., Class C (a),(c)		5,430		310,759
Liberty Broadband Corp., Class A (a),(c)		1,468		83,852
Liberty Media Corp.-Liberty Formula One, Class C (a),(c)		2,535		166,296
Liberty Media Corp.-Liberty Live, Class C (a),(c)		5,806		254,419
Liberty Media Corp.-Liberty Live, Class A (a),(c)		3,573		151,317
Marcus Corp. (The)		3,500		49,910
Meta Platforms, Inc., Class A (c)		27,176		13,196,122
Netflix, Inc. (a),(c)		19,734		11,985,050
Nextdoor Holdings, Inc. (a)		3,100		6,975
Pinterest, Inc., Class A (a)		136,800		4,742,856
Playstudios, Inc. (a)		4,800		13,344
Reddit, Inc., Class A (a)		11,896		586,711
Reservoir Media, Inc. (a)		800		6,344
ROBLOX Corp., Class A (a)		132,800		5,070,304
Roku, Inc. (a)		3,000		195,510
Shutterstock, Inc.		2,700		123,687
Snap, Inc., Class A (a)		187,600		2,153,648
Spotify Technology SA (a)		11,400		3,008,460
TechTarget, Inc. (a)		1,400		46,312
Townsquare Media, Inc., Class A		500		5,490
Travelzoo (a)		1,400		14,252
TrueCar, Inc. (a)		3,000		10,170
Urban One, Inc. (a)		200		408
Vimeo, Inc. (a)		16,500		67,485
Warner Music Group Corp., Class A		800		26,416
Zedge, Inc., Class B (a)		500		1,385
Ziff Davis, Inc. (a)		100		6,304
ZoomInfo Technologies, Inc., Class A (a)		23,400		375,102
				55,025,553
Pharmaceuticals, Biotechnology & Life Sciences — 1.0%
4D Molecular Therapeutics, Inc. (a)		1,500		47,790
89bio, Inc. (a)		7,100		82,644
AbCellera Biologics, Inc. (a)		24,900		112,797
Aclaris Therapeutics, Inc. (a)		16,300		20,212
Acumen Pharmaceuticals, Inc. (a)		2,400		9,720
Adicet Bio, Inc. (a)		7,842		18,429
ADMA Biologics, Inc. (a)		48,700		321,420
Adverum Biotechnologies, Inc. (a)		570		8,060
Aeglea BioTherapeutics, Inc. (a)		4,700		178,271
Aldeyra Therapeutics, Inc. (a)		9,800		32,046
Alector, Inc. (a)		8,900		53,578
Aligos Therapeutics, Inc. (a)		1,000		980
Alkermes PLC (a)		8,700		235,509
Allogene Therapeutics, Inc. (a)		28,000		125,160

See Notes to Consolidated Financial Statements.

34

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Allovir, Inc. (a)		3,500	$	2,642
Alnylam Pharmaceuticals, Inc. (a)		1,000		149,450
Alpine Immune Sciences, Inc. (a)		10,700		424,148
Amneal Pharmaceuticals, Inc. (a)		3,800		23,028
Amphastar Pharmaceuticals, Inc. (a)		1,900		83,429
Amylyx Pharmaceuticals, Inc. (a)		6,300		17,892
AnaptysBio, Inc. (a)		2,000		45,040
ANI Pharmaceuticals, Inc. (a)		500		34,565
Anika Therapeutics, Inc. (a)		800		20,320
Annexon, Inc. (a)		3,800		27,246
Arcellx, Inc. (a)		600		41,730
Arcutis Biotherapeutics, Inc. (a)		1,500		14,865
Ardelyx, Inc. (a)		3,600		26,280
Arvinas, Inc. (a)		100		4,128
Assertio Holdings, Inc. (a)		17,650		16,932
Atea Pharmaceuticals, Inc. (a)		8,900		35,956
Athira Pharma, Inc. (a)		4,800		13,152
aTyr Pharma, Inc. (a)		3,400		6,630
Aura Biosciences, Inc. (a)		100		785
Avid Bioservices, Inc. (a)		3,000		20,100
Avidity Biosciences, Inc. (a)		9,300		237,336
Avita Medical, Inc. (a)		1,500		24,045
Avrobio, Inc. (a)		5,400		6,912
Beam Therapeutics, Inc. (a)		800		26,432
BioAtla, Inc. (a)		4,700		16,168
BioCryst Pharmaceuticals, Inc. (a)		43,200		219,456
Biogen, Inc. (a)		500		107,815
Biohaven Ltd. (a)		800		43,752
BioMarin Pharmaceutical, Inc. (a)		3,300		288,222
Biomea Fusion, Inc. (a)		100		1,495
Bio-Path Holdings, Inc. (a)		1		4
Black Diamond Therapeutics, Inc. (a)		800		4,056
Bluebird Bio, Inc. (a)		10,200		13,056
Bridgebio Pharma, Inc. (a)		8,400		259,728
Bristol-Myers Squibb Co.		213,300		11,567,259
C4 Therapeutics, Inc. (a)		15,700		128,269
Cara Therapeutics, Inc. (a)		10,800		9,828
CareDx, Inc. (a)		8,300		87,897
Caribou Biosciences, Inc. (a)		200		1,028
Celcuity, Inc. (a)		100		2,160
Clearside Biomedical, Inc. (a)		500		765
Codexis, Inc. (a)		12,000		41,880
Cogent Biosciences, Inc. (a)		1,100		7,392
Coherus Biosciences, Inc. (a)		2,600		6,214
Collegium Pharmaceutical, Inc. (a)		4,300		166,926
Compass Therapeutics, Inc. (a)		300		594

See Notes to Consolidated Financial Statements.

35

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Corcept Therapeutics, Inc. (a)		11,500	$	289,685
Corvus Pharmaceuticals, Inc. (a)		4,000		7,120
Cumberland Pharmaceuticals, Inc. (a)		300		504
Curis, Inc. (a)		95		1,033
CytomX Therapeutics, Inc. (a)		4,500		9,810
Deciphera Pharmaceuticals, Inc. (a)		7,300		114,829
Design Therapeutics, Inc. (a)		5,300		21,359
DiaMedica Therapeutics, Inc. (a)		100		277
Disc Medicine, Inc. (a)		300		18,678
Dominari Holdings, Inc. (a)		300		735
Eagle Pharmaceuticals, Inc. (a)		2,900		15,196
Edgewise Therapeutics, Inc. (a)		400		7,296
Editas Medicine, Inc. (a)		18,700		138,754
Eledon Pharmaceuticals, Inc. (a)		300		618
Eli Lilly & Co.		4,600		3,578,616
Emergent BioSolutions, Inc. (a)		12,000		30,360
Enanta Pharmaceuticals, Inc. (a)		4,000		69,840
Erasca, Inc. (a)		15,100		31,106
Esperion Therapeutics, Inc. (a)		42,500		113,900
Exelixis, Inc. (a)		24,800		588,504
Fate Therapeutics, Inc. (a)		19,700		144,598
FibroGen, Inc. (a)		18,100		42,535
Forte Biosciences, Inc. (a)		800		560
Fulcrum Therapeutics, Inc. (a)		12,200		115,168
Fusion Pharmaceuticals, Inc. (a)		400		8,528
G1 Therapeutics, Inc. (a)		4,900		21,168
Generation Bio Co. (a)		4,000		16,280
Gilead Sciences, Inc.		44,600		3,266,950
GlycoMimetics, Inc. (a)		1,800		5,400
Gossamer Bio, Inc. (a)		18,300		21,594
Harmony Biosciences Holdings, Inc. (a)		3,800		127,604
Harrow, Inc. (a)		4,800		63,504
Harvard Bioscience, Inc. (a)		1,300		5,512
Hookipa Pharma, Inc. (a)		100		71
Humacyte, Inc. (a)		29,737		92,482
Ideaya Biosciences, Inc. (a)		8,200		359,816
Ikena Oncology, Inc. (a)		300		426
Illumina, Inc. (a)		2,900		398,228
Immunic, Inc. (a)		7,300		9,636
Incyte Corp. (a)		18,700		1,065,339
Inhibrx, Inc. (a)		4,500		157,320
Innoviva, Inc. (a)		3,400		51,816
Inotiv, Inc. (a)		300		3,282
Inozyme Pharma, Inc. (a)		1,200		9,192
Insmed, Inc. (a)		12,300		333,699
Instil Bio, Inc. (a)		320		3,456

See Notes to Consolidated Financial Statements.

36

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Intellia Therapeutics, Inc. (a)		13,200	$	363,132
Ionis Pharmaceuticals, Inc. (a)		13,700		593,895
Ironwood Pharmaceuticals, Inc. (a)		20,100		175,071
Janux Therapeutics, Inc. (a)		600		22,590
KalVista Pharmaceuticals, Inc. (a)		2,800		33,208
Karyopharm Therapeutics, Inc. (a)		2,000		3,020
Kezar Life Sciences, Inc. (a)		16,700		15,057
Kodiak Sciences, Inc. (a)		4,200		22,092
Kronos Bio, Inc. (a)		3,700		4,810
Kura Oncology, Inc. (a)		1,400		29,862
Kymera Therapeutics, Inc. (a)		4,900		196,980
Larimar Therapeutics, Inc. (a)		2,633		19,984
LENZ Therapeutics, Inc.		228		5,091
Lipocine, Inc. (a)		318		1,654
Liquidia Corp. (a)		6,000		88,500
Lumos Pharma, Inc. (a)		300		846
Lyell Immunopharma, Inc. (a)		200		446
Lyra Therapeutics, Inc. (a)		2,000		12,440
MannKind Corp. (a)		27,200		123,216
Maravai LifeSciences Holdings, Inc., Class A (a)		18,900		163,863
Marinus Pharmaceuticals, Inc. (a)		1,300		11,752
MaxCyte, Inc. (a)		300		1,257
Medpace Holdings, Inc. (a)		1,900		767,885
Merck & Co., Inc.		16,600		2,190,370
Mersana Therapeutics, Inc. (a)		9,700		43,456
Mettler-Toledo International, Inc. (a)		600		798,774
MiMedx Group, Inc. (a)		10,900		83,930
Mind Medicine MindMed, Inc. (a)		94		884
Mirum Pharmaceuticals, Inc. (a)		4,800		120,576
Morphic Holding, Inc. (a)		6,700		235,840
Nektar Therapeutics (a)		29,000		27,092
Neurocrine Biosciences, Inc. (a)		2,200		303,424
NextCure, Inc. (a)		800		1,784
NGM Biopharmaceuticals, Inc. (a)		8,200		13,038
Nurix Therapeutics, Inc. (a)		1,500		22,050
Nuvation Bio, Inc. (a)		13,300		48,412
Ocean Biomedical, Inc. (a)		34		129
Olema Pharmaceuticals, Inc. (a)		3,700		41,884
Omeros Corp. (a)		2,300		7,935
Onconova Therapeutics, Inc. (a)		1,333		1,346
Oncternal Therapeutics, Inc. (a)		200		1,800
Organogenesis Holdings, Inc. (a)		13,500		38,340
ORIC Pharmaceuticals, Inc. (a)		200		2,750
Pacira BioSciences, Inc. (a)		900		26,298
Passage Bio, Inc. (a)		3,200		4,320
PDS Biotechnology Corp. (a)		2,300		9,108

See Notes to Consolidated Financial Statements.

37

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Personalis, Inc. (a)		4,500	$	6,705
Pfizer, Inc.		103,700		2,877,675
Phibro Animal Health Corp., Class A		1,000		12,930
Phio Pharmaceuticals Corp. (a)		41		28
Pliant Therapeutics, Inc. (a)		4,000		59,600
PMV Pharmaceuticals, Inc. (a)		4,500		7,650
Praxis Precision Medicines, Inc. (a)		595		36,307
Precision BioSciences, Inc. (a)		119		1,614
Prelude Therapeutics, Inc. (a)		1,200		5,688
Prime Medicine, Inc. (a)		900		6,300
Protagonist Therapeutics, Inc. (a)		7,900		228,547
Protara Therapeutics, Inc. (a)		400		1,604
PTC Therapeutics, Inc. (a)		7,900		229,811
Puma Biotechnology, Inc. (a)		4,400		23,320
Quanterix Corp. (a)		4,500		106,020
Quince Therapeutics, Inc. (a)		1,400		1,484
RAPT Therapeutics, Inc. (a)		5,900		52,982
Recursion Pharmaceuticals, Inc., Class A (a)		100		997
REGENXBIO, Inc. (a)		100		2,107
Relay Therapeutics, Inc. (a)		4,900		40,670
Relmada Therapeutics, Inc. (a)		4,800		22,320
Replimune Group, Inc. (a)		6,000		49,020
Rigel Pharmaceuticals, Inc. (a)		15,700		23,236
Rocket Pharmaceuticals, Inc. (a)		3,600		96,984
Royalty Pharma PLC, Class A		13,200		400,884
Sage Therapeutics, Inc. (a)		100		1,874
Sangamo Therapeutics, Inc. (a)		29,100		19,503
Sarepta Therapeutics, Inc. (a)		14,400		1,864,224
Savara, Inc. (a)		4,800		23,904
Seelos Therapeutics, Inc. (a)		30		18
Seer, Inc. (a)		5,600		10,640
SELLAS Life Sciences Group, Inc. (a)		33		33
Sensei Biotherapeutics, Inc. (a)		400		420
Shattuck Labs, Inc. (a)		100		894
Spruce Biosciences, Inc. (a)		1,400		1,100
Stoke Therapeutics, Inc. (a)		17,843		240,880
Supernus Pharmaceuticals, Inc. (a)		3,100		105,741
Sutro Biopharma, Inc. (a)		9,800		55,370
Syndax Pharmaceuticals, Inc. (a)		5,200		123,760
Synlogic, Inc. (a)		173		310
Tarsus Pharmaceuticals, Inc. (a)		400		14,540
Tenaya Therapeutics, Inc. (a)		1,500		7,845
Tharimmune, Inc. (a)		100		42
Tourmaline Bio, Inc.		270		6,183
Travere Therapeutics, Inc. (a)		14,400		111,024
Twist Bioscience Corp. (a)		600		20,586

See Notes to Consolidated Financial Statements.

38

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Ultragenyx Pharmaceutical, Inc. (a)		7,800	$	364,182
United Therapeutics Corp. (a)		500		114,860
UroGen Pharma Ltd. (a)		200		3,000
Vanda Pharmaceuticals, Inc. (a)		11,400		46,854
Ventyx Biosciences, Inc. (a)		4,500		24,750
Vera Therapeutics, Inc. (a)		500		21,560
Verastem, Inc. (a)		1,108		13,074
Vericel Corp. (a)		700		36,414
Vertex Pharmaceuticals, Inc. (a)		200		83,602
Viridian Therapeutics, Inc. (a)		2,800		49,028
Vistagen Therapeutics, Inc. (a)		47		248
WaVe Life Sciences Ltd. (a)		700		4,319
Werewolf Therapeutics, Inc. (a)		3,800		24,624
XBiotech, Inc. (a)		300		2,439
Xencor, Inc. (a)		8,200		181,466
Xenon Pharmaceuticals, Inc. (a)		2,800		120,540
Y-mAbs Therapeutics, Inc. (a)		3,000		48,780
Zentalis Pharmaceuticals, Inc. (a)		600		9,456
				41,618,768
Real Estate — 0.3%
Agree Realty Corp.		900		51,408
American Healthcare REIT, Inc.		41,637		614,146
Americold Realty Trust, Inc.		38,068		948,655
Anywhere Real Estate, Inc. (a)		100		618
Chatham Lodging Trust		1,000		10,110
Community Healthcare Trust, Inc.		400		10,620
CTO Realty Growth, Inc.		2,000		33,900
Diversified Healthcare Trust		23,300		57,318
Douglas Elliman, Inc.		200		316
Elme Communities		500		6,960
Equity Commonwealth (a)		100,600		1,899,328
Essential Properties Realty Trust, Inc.		106,696		2,844,515
Farmland Partners, Inc.		1,200		13,320
Forestar Group, Inc. (a)		1,300		52,247
Four Corners Property Trust, Inc.		200		4,894
Franklin Street Properties Corp.		200		454
Getty Realty Corp.		1,300		35,555
Gladstone Land Corp.		2,600		34,684
Medalist Diversified REIT, Inc.		112		646
Office Properties Income Trust		2,200		4,488
Opendoor Technologies, Inc. (a)		32,500		98,475
Piedmont Office Realty Trust, Inc., Class A		6,400		44,992
Plymouth Industrial REIT, Inc.		3,000		67,500
Presidio Property Trust, Inc., Class A		500		610
Rafael Holdings, Inc., Class B (a)		500		860

See Notes to Consolidated Financial Statements.

39

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
RE/MAX Holdings, Inc., Class A		700	$	6,139
Redfin Corp. (a)		16,900		112,385
RMR Group, Inc. (The), Class A		900		21,600
Seritage Growth Properties, Class A (a)		100		965
Summit Hotel Properties, Inc.		3,800		24,738
Tejon Ranch Co. (a)		500		7,705
Terreno Realty Corp.		73,682		4,892,485
Universal Health Realty Income Trust		300		11,013
				11,913,649
Retailing — 0.6%
1-800-Flowers.com, Inc., Class A (a)		2,000		21,660
1stdibs.com, Inc. (a)		1,600		9,536
Aaron’s Co., Inc. (The)		2,500		18,750
Abercrombie & Fitch Co., Class A (a)		400		50,132
Advance Auto Parts, Inc.		7,700		655,193
Amazon.com, Inc. (a),(c)		77,593		13,996,225
Arhaus, Inc.		4,000		61,560
Arko Corp.		2,400		13,680
Big Lots, Inc.		5,900		25,547
Build-A-Bear Workshop, Inc.		1,100		32,857
Burlington Stores, Inc. (a),(c)		1,276		296,274
Carvana Co. (a)		26,800		2,355,988
Cato Corp. (The), Class A		1,400		8,078
Chewy, Inc., Class A (a)		5,700		90,687
Children’s Place, Inc. (The) (a)		2,800		32,312
Citi Trends, Inc. (a)		500		13,565
Conn’s, Inc. (a)		1,500		5,025
Duluth Holdings, Inc., Class B (a)		200		980
Etsy, Inc. (a)		1,100		75,592
Five Below, Inc. (a)		400		72,552
Gap, Inc. (The)		42,500		1,170,875
Group 1 Automotive, Inc.		100		29,223
Groupon, Inc. (a)		8,922		119,019
Guess?, Inc.		7,400		232,878
Haverty Furniture Cos., Inc.		1,100		37,532
Home Depot, Inc. (The) (c)		2,461		944,040
J Jill, Inc. (a)		1,200		38,364
Kohl’s Corp.		25,500		743,325
Monro, Inc.		2,500		78,850
O’Reilly Automotive, Inc. (a)		500		564,440
Petco Health & Wellness Co., Inc. (a)		53,100		121,068
PetMed Express, Inc.		3,200		15,328
Qurate Retail, Inc., Series A (a)		73,300		90,159
RealReal, Inc. (The) (a)		24,000		93,840
Revolve Group, Inc. (a)		4,700		99,499

See Notes to Consolidated Financial Statements.

40

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
RH (a)		200	$	69,652
Ross Stores, Inc. (c)		10,248		1,503,997
Shoe Carnival, Inc.		100		3,664
Sleep Number Corp. (a)		600		9,618
Sonic Automotive, Inc., Class A		100		5,694
Stitch Fix, Inc., Class A (a)		11,600		30,624
Urban Outfitters, Inc. (a)		5,900		256,178
Wayfair, Inc., Class A (a)		21,700		1,472,996
				25,567,056
Semiconductors & Semiconductor Equipment — 1.3%
ACM Research, Inc., Class A (a)		700		20,398
Advanced Micro Devices, Inc. (a),(c)		3,009		543,094
Alpha & Omega Semiconductor Ltd. (a)		1,600		35,264
Ambarella, Inc. (a)		6,800		345,236
Amtech Systems, Inc. (a)		400		2,164
Applied Materials, Inc. (c)		10,534		2,172,427
ARM Holdings PLC, ADR (a)		44,628		5,578,054
Astera Labs, Inc. (a)		29,743		2,206,633
AXT, Inc. (a)		7,800		35,802
Broadcom, Inc. (c)		428		567,275
CEVA, Inc. (a)		800		18,168
Credo Technology Group Holding Ltd. (a)		22,200		470,418
CVD Equipment Corp. (a)		100		471
Enphase Energy, Inc. (a),(c)		3,518		425,608
Everspin Technologies, Inc. (a)		1,600		12,672
FormFactor, Inc. (a)		1,600		73,008
Intel Corp.		2,100		92,757
inTEST Corp. (a)		1,800		23,850
Kopin Corp. (a)		1,800		3,240
Lattice Semiconductor Corp. (a)		9,800		766,654
Marvell Technology, Inc. (c)		2,952		209,238
Maxeon Solar Technologies Ltd. (a)		8,100		26,973
MaxLinear, Inc. (a)		10,200		190,434
Micron Technology, Inc. (c)		109,913		12,957,644
NVIDIA Corp. (c)		16,207		14,643,997
ON Semiconductor Corp. (a),(c)		7,762		570,895
PDF Solutions, Inc. (a)		1,900		63,973
Photronics, Inc. (a)		3,300		93,456
Pixelworks, Inc. (a)		400		1,032
Qorvo, Inc. (a)		5,400		620,082
QUALCOMM, Inc.		33,000		5,586,900
Semtech Corp. (a)		5,500		151,195
Silicon Laboratories, Inc. (a)		500		71,860
SiTime Corp. (a)		1,900		177,137
SkyWater Technology, Inc. (a)		1,200		12,204

See Notes to Consolidated Financial Statements.

41

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
SMART Global Holdings, Inc. (a)		5,400	$	142,128
SolarEdge Technologies, Inc. (a)		13,100		929,838
Synaptics, Inc. (a)		3,300		321,948
Teradyne, Inc.		1,400		157,962
Veeco Instruments, Inc. (a)		4,730		166,354
				50,488,443
Software & Services — 3.5%
8x8, Inc. (a)		20,400		55,080
A10 Networks, Inc.		6,600		90,354
ACI Worldwide, Inc. (a)		180,669		6,000,017
Affirm Holdings, Inc. (a)		55,500		2,067,930
Agilysys, Inc. (a)		800		67,408
Akamai Technologies, Inc. (a)		1,100		119,636
Alarm.com Holdings, Inc. (a)		200		14,494
Altair Engineering, Inc., Class A (a)		100		8,615
Amdocs Ltd.		4,700		424,739
American Software, Inc., Class A		2,600		29,770
Appfolio, Inc., Class A (a)		200		49,348
AppLovin Corp., Class A (a)		50,400		3,488,688
Arteris, Inc. (a)		100		732
Asana, Inc., Class A (a)		14,100		218,409
Atlassian Corp., Class A (a)		400		78,044
AvidXchange Holdings, Inc. (a)		418,561		5,504,077
Backblaze, Inc., Class A (a)		6,000		61,380
BigCommerce Holdings, Inc., Series 1 (a)		4,500		31,005
Blend Labs, Inc., Class A (a)		300		975
Block, Inc. (a)		41,900		3,543,902
Brightcove, Inc. (a)		4,600		8,924
Cass Information Systems, Inc.		400		19,268
CCC Intelligent Solutions Holdings, Inc. (a)		238,010		2,846,600
Cipher Mining, Inc. (a)		1,400		7,210
Cleanspark, Inc. (a)		8,500		180,285
Clearwater Analytics Holdings, Inc., Class A (a)		89,176		1,577,523
Cloudflare, Inc., Class A (a)		46,900		4,541,327
CommVault Systems, Inc. (a)		2,000		202,860
Conduent, Inc. (a)		2,500		8,450
Confluent, Inc., Class A (a)		26,600		811,832
Crowdstrike Holdings, Inc., Class A (a)		33,900		10,868,001
CSG Systems International, Inc.		700		36,078
CyberArk Software Ltd. (a)		600		159,378
Datadog, Inc., Class A (a)		16,600		2,051,760
Digimarc Corp. (a)		400		10,872
Digital Turbine, Inc. (a)		13,000		34,060
DigitalOcean Holdings, Inc. (a)		1,200		45,816
DocuSign, Inc. (a)		44,200		2,632,110

See Notes to Consolidated Financial Statements.

42

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Domo, Inc., Class B (a)		2,400	$	21,408
Edgio, Inc. (a)		40		386
eGain Corp. (a)		1,200		7,740
Elastic NV (a)		12,573		1,260,318
ExlService Holdings, Inc. (a)		9,600		305,280
Expensify, Inc., Class A (a)		5,700		10,488
Fair Isaac Corp. (a),(c)		782		977,195
Fastly, Inc., Class A (a)		5,100		66,147
Fidelity National Information Services, Inc.		55,215		4,095,849
Fortinet, Inc. (a)		55,100		3,763,881
Freshworks, Inc., Class A (a)		7,900		143,859
Gartner, Inc. (a)		900		429,003
Gitlab, Inc., Class A (a)		17,300		1,008,936
GoDaddy, Inc., Class A (a)		7,400		878,232
Hackett Group, Inc. (The)		1,000		24,300
HashiCorp, Inc., Class A (a)		6,100		164,395
HubSpot, Inc. (a)		900		563,904
I3 Verticals, Inc., Class A (a)		400		9,156
IBEX Holdings Ltd. (a)		700		10,801
Informatica, Inc., Class A (a)		2,000		70,000
Information Services Group, Inc.		1,400		5,656
Intellicheck, Inc. (a)		500		1,740
Jack Henry & Associates, Inc.		900		156,357
Klaviyo, Inc., Class A (a)		3,100		78,988
Kyndryl Holdings, Inc. (a)		200		4,352
LivePerson, Inc. (a)		17,200		17,155
LiveRamp Holdings, Inc. (a)		2,800		96,600
Marqeta, Inc., Class A (a)		244,628		1,457,983
Mastercard, Inc., Class A		6,300		3,033,891
MeridianLink, Inc. (a)		4,177		78,110
Microsoft Corp. (c)		11,563		4,864,785
Model N, Inc. (a)		2,400		68,328
Monday.com Ltd. (a)		8,500		1,919,895
MongoDB, Inc. (a)		1,800		645,552
N-able, Inc. (a)		5,200		67,964
NetSol Technologies, Inc. (a)		200		554
Nutanix, Inc., Class A (a)		35,100		2,166,372
Nuvei Corp.		20,159		637,428
Okta, Inc. (a)		1,500		156,930
Olo, Inc., Class A (a)		7,900		43,371
ON24, Inc.		1,500		10,710
Oracle Corp. (c)		11,818		1,484,459
Palantir Technologies, Inc., Class A (a)		326,400		7,510,464
Paymentus Holdings, Inc., Class A (a)		300		6,825
Payoneer Global, Inc. (a)		52,000		252,720
PayPal Holdings, Inc. (a)		175,100		11,729,949

See Notes to Consolidated Financial Statements.

43

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Paysafe Ltd. (a)		2,275	$	35,922
PTC, Inc. (a)		1,300		245,622
Q2 Holdings, Inc. (a)		107,535		5,652,040
Qualys, Inc. (a)		2,700		450,549
Rackspace Technology, Inc. (a)		800		1,264
Red Violet, Inc. (a)		100		1,955
Repay Holdings Corp. (a)		900		9,900
Rimini Street, Inc. (a)		5,700		18,582
RingCentral, Inc., Class A (a)		2,800		97,272
Samsara, Inc., Class A (a)		33,100		1,250,849
SecureWorks Corp., Class A (a)		500		3,360
SEMrush Holdings, Inc., Class A (a)		4,000		53,040
SentinelOne, Inc., Class A (a)		53,900		1,256,409
ServiceNow, Inc. (a)		500		381,200
Shift4 Payments, Inc., Class A (a)		1,902		125,665
Snowflake, Inc., Class A (a)		32,476		5,248,122
SolarWinds Corp. (a)		7,500		94,650
SoundThinking, Inc. (a)		300		4,764
SPS Commerce, Inc. (a)		200		36,980
Squarespace, Inc., Class A (a)		8,000		291,520
SS&C Technologies Holdings, Inc.		100		6,437
Telos Corp. (a)		7,200		29,952
Tenable Holdings, Inc. (a)		8,700		430,041
TTEC Holdings, Inc.		2,600		26,962
UiPath, Inc., Class A (a)		90,100		2,042,567
Unisys Corp. (a)		12,800		62,848
Unity Software, Inc. (a)		54,600		1,457,820
Upland Software, Inc. (a)		4,000		12,360
Varonis Systems, Inc. (a)		4,500		212,265
VeriSign, Inc. (a)		1,600		303,216
Vertex, Inc., Class A (a)		4,000		127,040
VirnetX Holding Corp.		210		1,331
Visa, Inc., Class A		36,900		10,298,052
Weave Communications, Inc. (a)		7,100		81,508
Workiva, Inc. (a)		1,900		161,120
Xperi, Inc. (a)		100		1,206
Yext, Inc. (a)		10,100		60,903
Zoom Video Communications, Inc., Class A (a)		55,500		3,628,035
Zscaler, Inc. (a)		34,400		6,626,472
Zuora, Inc., Class A (a)		12,700		115,824
				139,150,997
Technology Hardware & Equipment — 1.4%
Aeva Technologies, Inc. (a)		240		943
Airgain, Inc. (a)		300		1,635
Amphenol Corp., Class A		97,602		11,258,391

See Notes to Consolidated Financial Statements.

44

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Apple, Inc. (c)		66,434	$	11,392,102
Aviat Networks, Inc. (a)		500		19,170
Bel Fuse, Inc., Class B		600		36,186
Benchmark Electronics, Inc.		1,500		45,015
CalAmp Corp. (a)		92		305
Cambium Networks Corp. (a)		1,200		5,172
Celestica, Inc. (a)		3,000		134,820
CommScope Holding Co., Inc. (a)		35,200		46,112
CompoSecure, Inc. (a)		1,700		12,291
Comtech Telecommunications Corp. (a)		1,900		6,517
CPI Card Group, Inc. (a)		200		3,572
Crane NXT Co.		2,300		142,370
Daktronics, Inc. (a)		1,400		13,944
Digi International, Inc. (a)		100		3,193
DZS, Inc. (a)		700		924
EMCORE Corp. (a)		5,200		1,794
Evolv Technologies Holdings, Inc. (a)		5,600		24,920
Extreme Networks, Inc. (a)		19,600		226,184
FARO Technologies, Inc. (a)		2,100		45,171
Hewlett Packard Enterprise Co. (c)		155,005		2,748,239
HP, Inc. (c)		519		15,684
Identiv, Inc. (a)		600		4,752
Immersion Corp.		2,200		16,456
Infinera Corp. (a)		6,000		36,180
IonQ, Inc. (a)		4,900		48,951
IPG Photonics Corp. (a)		2,000		181,380
Itron, Inc. (a)		1,700		157,284
Kimball Electronics, Inc. (a)		200		4,330
Lantronix, Inc. (a)		200		712
Lumentum Holdings, Inc. (a)		2,400		113,640
Methode Electronics, Inc.		2,900		35,322
Neonode, Inc. (a)		100		140
NETGEAR, Inc. (a)		3,000		47,310
NetScout Systems, Inc. (a)		1,300		28,392
nLight, Inc. (a)		2,500		32,500
PAR Technology Corp. (a)		300		13,608
PC Connection, Inc.		100		6,593
Plexus Corp. (a)		100		9,482
Pure Storage, Inc., Class A (a)		46,000		2,391,540
Ribbon Communications, Inc. (a)		2,900		9,280
Sanmina Corp. (a)		2,000		124,360
Super Micro Computer, Inc. (a)		5,950		6,009,678
TD SYNNEX Corp.		44,307		5,011,122
Teledyne Technologies, Inc. (a)		34,900		14,983,268
Vishay Precision Group, Inc. (a)		500		17,665
Western Digital Corp. (a),(c)		28,671		1,956,509
				57,425,108

See Notes to Consolidated Financial Statements.

45

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Telecommunication Services — 0.1%
Bandwidth, Inc., Class A (a)		4,100	$	74,866
Gogo, Inc. (a)		700		6,146
IDT Corp., Class B		800		30,248
Learfield Communications LLC (a),(c)		91,802		4,567,149
Lumen Technologies, Inc. (a)		223,500		348,660
NII Holdings, Inc. (a),(b)		50,677		13,176
Ooma, Inc. (a)		800		6,824
Spok Holdings, Inc.		2,600		41,470
T-Mobile U.S., Inc. (c)		1,703		277,964
				5,366,503
Transportation — 0.4%
Air Transport Services Group, Inc. (a)		2,500		34,400
Canadian Pacific Kansas City Ltd.		140,000		12,343,800
Covenant Logistics Group, Inc.		200		9,272
Daseke, Inc. (a)		4,300		35,690
Forward Air Corp.		200		6,222
Genco Shipping & Trading Ltd.		1,500		30,495
Heartland Express, Inc.		800		9,552
Hub Group, Inc., Class A		200		8,644
Lyft, Inc., Class A (a)		89,977		1,741,055
Marten Transport Ltd.		2,899		53,573
Old Dominion Freight Line, Inc.		600		131,586
PAM Transportation Services, Inc. (a)		100		1,621
Pangaea Logistics Solutions Ltd.		2,800		19,516
Radiant Logistics, Inc. (a)		1,900		10,298
Schneider National, Inc., Class B		4,100		92,824
Seanergy Maritime Holdings Corp.		30		261
Spirit Airlines, Inc.		600		2,904
Uber Technologies, Inc. (a)		20,100		1,547,499
Universal Logistics Holdings, Inc.		300		11,061
				16,090,273
Utilities — 0.5%
AES Corp. (The)		9,500		170,335
Artesian Resources Corp., Class A		300		11,133
Avangrid, Inc.		4,000		145,760
Consolidated Water Co. Ltd.		100		2,931
Dominion Energy, Inc.		148,753		7,317,160
Evergy, Inc.		9,300		496,434
Exelon Corp.		148,755		5,588,725
Hawaiian Electric Industries, Inc.		25,200		284,004
NRG Energy, Inc.		47,800		3,235,582
Pinnacle West Capital Corp.		29,752		2,223,367
PNM Resources, Inc.		7,400		278,536

See Notes to Consolidated Financial Statements.

46

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Sunnova Energy International, Inc. (a),(c)		1,214	$	7,442
TransAlta Corp.		1,400		9,002
Unitil Corp.		200		10,470
York Water Co. (The)		400		14,508
				19,795,389
Total North America				858,439,804
Oceania — 0.0%
Energy — 0.0%
Imperial Petroleum, Inc., (a)		40		125
Total Oceania				125
South America — 0.1%
Banks — 0.1%
Banco Bradesco SA, ADR		200		572
Grupo Supervielle SA, ADR (a)		600		3,426
NU Holdings Ltd., Class A (a)		293,100		3,496,683
				3,500,681
Capital Goods — 0.0%
Embraer SA, ADR (a)		1,600		42,624
Consumer Services — 0.0%
Arcos Dorados Holdings, Inc., Class A		6,963		77,428
Despegar.com Corp. (a)		3,400		40,664
				118,092
Diversified Financials — 0.0%
Vinci Partners Investments Ltd., Class A		200		2,260
XP, Inc., Class A (a)		26,600		682,556
				684,816
Energy — 0.0%
Geopark Ltd.		1,500		14,400
Gran Tierra Energy, Inc. (a)		7,390		52,765
				67,165
Food, Beverage & Tobacco — 0.0%
Adecoagro SA		500		5,510
BRF SA, ADR (a)		100		326
				5,836
Health Care Equipment & Services — 0.0%
Auna SA, Class A (a)		59,525		633,941

See Notes to Consolidated Financial Statements.

47

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Materials — 0.0%
Cia Siderurgica Nacional SA, ADR		300	$	939
Loma Negra Cia Industrial Argentina SA, ADR		200		1,336
Nexa Resources SA (a)		600		4,296
				6,571
Media & Entertainment — 0.0%
VTEX, Class A (a)		8,000		65,360
Software & Services — 0.0%
Dlocal Ltd. (a)		11,600		170,520
StoneCo Ltd., Class A (a)		39,500		656,095
				826,615
Utilities — 0.0%
Cia Energetica de Minas Gerais, ADR		300		741
Total South America				5,952,442
TOTAL COMMON STOCK (COST $781,326,701)				890,894,935
PREFERRED STOCK — 0.1%
North America — 0.1%
Commercial & Professional Services — 0.0%
Journey Group PLC (a),(b),(c)		15,330		0
Consumer Discretionary Distribution & Retail — 0.1%
Guitar Center, Inc. (a),(b),(c)		38,645		3,188,213
Health Care Equipment & Services — 0.0%
ATI Physical Therapy, Inc. (a),(b),(c)		3,039		2,355,225
Total North America				5,543,438
TOTAL PREFERRED STOCK (COST $8,825,537)				5,543,438
Security Description	Principal Amount		Value
ASSET-BACKED SECURITIES — 5.6%
Europe — 0.1%
Eaton Vance CLO Ltd., Series 2013-1A, Class C3R, 3 mo. TSFR + 3.66%, 8.98%, 01/15/34 (c),(d),(e)	$	2,500,000		2,481,390
Halseypoint CLO 7 Ltd., Series 2023-7A, Class D, 3 mo. TSFR + 5.84%, 11.16%, 07/20/36 (c),(d),(e)		1,000,000		1,022,953
Total Europe				3,504,343

See Notes to Consolidated Financial Statements.

48

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
North America — 5.5%
ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASP6, Class A2C, 1 mo. TSFR + .43%, 5.76%, 12/25/36 (c),(e)	$	2,433,280	$	685,723
AIMCO CLO, Series 2015-AA, Class DR2, 3 mo. TSFR + 3.31%, 8.63%, 10/17/34 (c),(d),(e)		1,700,000		1,691,378
Allegro CLO XI Ltd., Series 2019-2A, Class D, 3 mo. TSFR + 4.21%, 9.52%, 01/19/33 (c),(d),(e)		1,500,000		1,492,369
Allegro CLO XII Ltd., Series 2020-1A, Class E, 3 mo. TSFR + 7.36%, 12.68%, 01/21/32 (c),(d),(e)		2,250,000		2,229,586
Allegro CLO XV Ltd., Series 2022-1A, Class D, 3 mo. TSFR + 3.65%, 8.97%, 07/20/35 (c),(d),(e)		1,500,000		1,462,596
AMMC CLO 24 Ltd., Series 2021-24A, Class E, 3 mo. TSFR + 6.83%, 12.15%, 01/20/35 (c),(d),(e)		1,000,000		961,334
Apidos CLO XVIII Ltd., Series 2018-18A, Class C, 3 mo. TSFR + 2.46%, 7.78%, 10/22/30 (c),(d),(e)		1,500,000		1,502,395
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. TSFR + 7.60%, 12.92%, 10/15/32 (c),(d),(e)		250,000		248,250
ARES Loan Funding IV Ltd., Series 2023-ALF4A, Class D, 3 mo. TSFR + 4.68%, 10.03%, 10/15/36 (c),(d),(e)		1,000,000		1,001,751
Ares LVIII CLO Ltd., Series 2020-58A, Class CR, 3 mo. TSFR + 2.10%, 7.41%, 01/15/35 (c),(d),(e)		1,900,000		1,851,303
Ares LXI CLO Ltd., Series 2021-61A, Class E, 3 mo. TSFR + 6.51%, 11.83%, 10/20/34 (c),(d),(e)		1,000,000		992,500
ARES LXI CLO Ltd., Series 2021-61A, Class DR, 3 mo. TSFR + 3.90%, 0.00%, 04/20/37 (c),(d),(e),(f)		1,000,000		1,000,000
Ares LXVI CLO Ltd., Series 2022-66A, Class ER, 3 mo. TSFR + 7.00%, 12.32%, 07/25/36 (c),(d),(e)		2,000,000		1,964,008
Ares LXVIII CLO Ltd., Series 2023-68A, Class E, 3 mo. TSFR + 8.55%, 13.87%, 04/25/35 (c),(d),(e)		1,000,000		998,827
Ares XLIII CLO Ltd., Series 2017-43A, Class ER, 3 mo. TSFR + 7.12%, 12.44%, 07/15/34 (c),(d),(e)		1,500,000		1,443,246
Bain Capital Credit CLO 2024-2 Ltd., Series 2024-2A, Class D1, 3.70%, 07/15/37 (c),(d),(e)		1,000,000		1,000,000
Bain Capital Credit CLO Ltd.,
Series 2020-3A, Class CR, 3 mo. TSFR + 2.41%, 7.73%, 10/23/34 (c),(d),(e)		1,000,000		996,460
Series 2020-4A, Class D1AR, 3 mo. TSFR + 4.75%, 10.07%, 10/20/36 (c),(d),(e)		1,000,000		1,002,437
Series 2020-4A, Class ER, 3 mo. TSFR + 7.98%, 13.30%, 10/20/36 (c),(d),(e)		1,000,000		998,374
Series 2023-1A, Class D, 3 mo. TSFR + 4.90%, 10.21%, 04/16/36 (c),(d),(e)		1,000,000		1,001,370
Series 2023-2A, Class E, 3 mo. TSFR + 8.48%, 13.78%, 07/18/36 (c),(d),(e)		1,000,000		1,000,909

See Notes to Consolidated Financial Statements.

49

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Balboa Bay Loan Funding Ltd.,
Series 2020-1A, Class DR, 3 mo. TSFR + 3.41%, 8.73%, 01/20/32 (c),(d),(e)	$	1,185,000	$	1,179,011
Series 2021-1A, Class E, 3 mo. TSFR + 6.42%, 11.74%, 07/20/34 (c),(d),(e)		1,000,000		913,319
Series 2023-1A, Class D, 3 mo. TSFR + 5.50%, 10.82%, 04/20/35 (c),(d),(e)		1,000,000		995,000
Ballyrock CLO Ltd.,
Series 2020-14A, Class C, 3 mo. TSFR + 3.86%, 9.18%, 01/20/34 (c),(d),(e)		2,000,000		1,975,320
Series 2022-19A, Class B, 3 mo. TSFR + 2.35%, 7.67%, 04/20/35 (c),(d),(e)		1,250,000		1,241,980
Series 2022-19A, Class C, 3 mo. TSFR + 3.50%, 8.82%, 04/20/35 (c),(d),(e)		1,350,000		1,333,372
Series 2022-20A, Class CR, 3 mo. TSFR + 4.15%, 9.46%, 07/15/34 (c),(d),(e)		2,000,000		1,995,132
Series 2022-20A, Class DR, 3 mo. TSFR + 7.25%, 12.56%, 07/15/34 (c),(d),(e)		1,500,000		1,495,611
Barings CLO Ltd.,
Series 2018-3A, Class D, 3 mo. TSFR + 3.16%, 8.48%, 07/20/29 (c),(d),(e)		1,000,000		995,810
Series 2018-4A, Class D, 3 mo. TSFR + 3.16%, 8.48%, 10/15/30 (c),(d),(e)		1,000,000		991,648
Series 2019-2A, Class DR, 3 mo. TSFR + 7.04%, 12.36%, 04/15/36 (c),(d),(e)		500,000		486,710
Series 2019-3A, Class ER, 3 mo. TSFR + 6.69%, 12.28%, 04/20/31 (c),(d),(e)		2,000,000		1,949,888
Series 2021-2A, Class E, 3 mo. TSFR + 6.51%, 11.83%, 07/15/34 (c),(d),(e)		1,000,000		955,808
Series 2022-2A, Class D, 3 mo. TSFR + 4.25%, 9.56%, 07/15/35 (c),(d),(e)		1,500,000		1,493,031
Series 2023-3A, Class D, 3 mo. TSFR + 4.50%, 9.91%, 10/15/36 (c),(d),(e)		1,500,000		1,500,853
Series 2023-3A, Class E, 3 mo. TSFR + 7.33%, 12.74%, 10/15/36 (c),(d),(e)		1,000,000		998,943
BCAPB LLC Trust, Series 2007-AB1, Class A1, 1 mo. TSFR + .41%, 4.85%, 03/25/37 (c),(e)		678,164		249,685
BDS Ltd., Series 2021-FL7, Class C, 1 mo. TSFR + 1.81%, 7.14%, 06/16/36 (c),(d),(e)		1,000,000		965,129
Benefit Street Partners CLO X Ltd.,
Series 2016-10A, Class CRR, 3 mo. TSFR + 3.76%, 9.08%, 04/20/34 (c),(d),(e)		2,000,000		1,936,572
Series 2016-10A, Class DRR, 3 mo. TSFR + 7.01%, 12.33%, 04/20/34 (c),(d),(e)		1,000,000		992,575
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ER, 3 mo. TSFR + 7.01%, 12.33%, 07/15/34 (c),(d),(e)		1,000,000		992,609

See Notes to Consolidated Financial Statements.

50

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Benefit Street Partners CLO XXI Ltd., Series 2020-21A, Class ER, 3 mo. TSFR + 6.96%, 12.28%, 10/15/34 (c),(d),(e)	$	1,000,000	$	992,499
Benefit Street Partners CLO XXII Ltd., Series 2020-22A, Class ER, 3 mo. TSFR + 6.93%, 12.25%, 04/20/35 (c),(d),(e)		1,000,000		984,510
Benefit Street Partners CLO XXIII Ltd., Series 2021-23A, Class D, 3 mo. TSFR + 3.91%, 9.24%, 04/25/34 (c),(d),(e)		1,800,000		1,783,640
BHG Securitization Trust, Series 2022-A, Class C, 3.08%, 02/20/35 (c),(d)		312,000		275,734
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, 3 mo. TSFR + 7.12%, 12.45%, 07/25/34 (c),(d),(e)		1,000,000		957,532
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class E, 3 mo. TSFR + 6.66%, 11.98%, 04/15/34 (c),(d),(e)		250,000		235,997
BlueMountain CLO XXXII Ltd., Series 2021-32A, Class D, 3 mo. TSFR + 3.66%, 8.98%, 10/15/34 (c),(d),(e)		2,000,000		1,932,052
BPCRE Ltd.,
Series 2022-FL2, Class AS, 1 mo. TSFR + 3.10%, 8.43%, 01/16/37 (c),(d),(e)		1,000,000		999,989
Series 2022-FL2, Class B, 1 mo. TSFR + 3.80%, 9.13%, 01/16/37 (c),(d),(e)		1,000,000		999,987
Broad River BSL Funding CLO Ltd.,
Series 2020-1A, Class DR, 3 mo. TSFR + 3.36%, 8.68%, 07/20/34 (c),(d),(e)		1,400,000		1,375,630
Series 2020-1A, Class ER, 3 mo. TSFR + 6.76%, 12.08%, 07/20/34 (c),(d),(e)		2,000,000		1,960,934
BSPRT Issuer Ltd., Series 2022-FL9, Class C, 1 mo. TSFR + 3.92%, 9.24%, 07/15/39 (c),(d),(e)		1,277,000		1,229,982
Canyon CLO Ltd., Series 2021-3A, Class D, 3 mo. TSFR + 3.31%, 8.63%, 07/15/34 (c),(d),(e)		1,000,000		967,094
Capital Four US CLO III Ltd., Series 2022-2A, Class D1, 3 mo. TSFR + 5.80%, 11.12%, 01/21/35 (c),(d),(e)		1,000,000		1,008,121
Carlyle U.S. CLO Ltd.,
Series 2019-1A, Class CR, 3 mo. TSFR + 3.61%, 8.93%, 04/20/31 (c),(d),(e)		1,500,000		1,490,621
Series 2021-9A, Class E, 3 mo. TSFR + 6.89%, 12.21%, 10/20/34 (c),(d),(e)		1,000,000		992,914
Carlyle US CLO Ltd.,
Series 2019-2A, Class CR, 3 mo. TSFR + 3.46%, 8.78%, 07/15/32 (c),(d),(e)		1,500,000		1,484,852
Series 2020-1A, Class DR, 3 mo. TSFR + 6.51%, 11.83%, 07/20/34 (c),(d),(e)		1,000,000		992,354

See Notes to Consolidated Financial Statements.

51

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2023-5A, Class E, 3 mo. TSFR + 7.90%, 13.22%, 01/27/36 (c),(d),(e)	$	1,000,000	$	995,748
CarVal CLO I Ltd., Series 2018-1A, Class E, 3 mo. TSFR + 6.03%, 11.35%, 07/16/31 (c),(d),(e)		2,000,000		1,918,278
CarVal CLO II Ltd., Series 2019-1A, Class ER, 3 mo. TSFR + 6.83%, 12.15%, 04/20/32 (c),(d),(e)		2,500,000		2,468,635
CarVal CLO IV Ltd., Series 2021-1A, Class E, 3 mo. TSFR + 6.86%, 12.18%, 07/20/34 (c),(d),(e)		1,000,000		938,847
CarVal CLO IX-C Ltd., Series 2024-1A, Class E, 3 mo. TSFR + 6.75%, 12.07%, 04/20/37 (c),(d),(e)		1,000,000		992,010
Cedar Funding IV CLO Ltd., Series 2014-4A, Class ERR, 3 mo. TSFR + 6.87%, 12.19%, 07/23/34 (c),(d),(e)		1,500,000		1,419,453
Cedar Funding VI CLO Ltd.,
Series 2016-6A, Class DRR, 3 mo. TSFR + 3.57%, 8.89%, 04/20/34 (c),(d),(e)		1,000,000		983,362
Series 2016-6A, Class ERR, 3 mo. TSFR + 6.98%, 12.30%, 04/20/34 (c),(d),(e)		1,250,000		1,199,300
Cedar Funding XII CLO Ltd., Series 2020-12A, Class CR, 3 mo. TSFR + 2.21%, 7.54%, 10/25/34 (c),(d),(e)		1,500,000		1,479,699
Cedar Funding XVII CLO Ltd., Series 2023-17A, Class E, 3 mo. TSFR + 8.16%, 13.48%, 07/20/36 (c),(d),(e)		1,000,000		1,000,838
CIFC Funding Ltd.,
Series 2019-3A, Class CR, 3 mo. TSFR + 3.31%, 8.63%, 10/16/34 (c),(d),(e)		1,140,000		1,136,176
Series 2019-3A, Class DR, 3 mo. TSFR + 7.06%, 12.38%, 10/16/34 (c),(d),(e)		1,000,000		985,523
Series 2021-6A, Class D, 3 mo. TSFR + 3.36%, 8.68%, 10/15/34 (c),(d),(e)		1,000,000		985,354
CoreVest American Finance Ltd.,
Series 2017-2, Class M, 5.38%, 12/25/27 (c),(d),(e)		1,000,000		920,151
Series 2019-2, Class XA, 2.38%, 06/15/52 (c),(d),(e),(g)		1,767,084		4,384
Series 2019-3, Class XA, 2.02%, 10/15/52 (c),(d),(e),(g)		7,015,423		95,389
Series 2020-1, Class E, 4.65%, 03/15/50 (c),(d),(e)		125,000		110,410
Series 2020-4, Class XB, 2.76%, 12/15/52 (c),(d),(e),(g)		1,000,000		94,751
Series 2020-4, Class XA, 3.81%, 12/15/52 (c),(d),(e),(g)		598,272		39,986
Series 2021-1, Class XA, 2.88%, 04/15/53 (c),(d),(e),(g)		652,536		34,073

See Notes to Consolidated Financial Statements.

52

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2021-2, Class XA, 2.99%, 07/15/54 (c),(d),(e),(g)	$	782,116	$	57,359
Countrywide Asset-Backed Certificates Trust, Series 2005-BC4, Class M9, 1 mo. TSFR + 2.74%, 8.07%, 08/25/35 (c),(e)		402,054		255,693
Dryden 107 CLO Ltd., Series 2023-107A, Class E, 3 mo. TSFR + 7.73%, 13.04%, 08/15/35 (c),(d),(e)		500,000		498,391
Dryden 92 CLO Ltd., Series 2021-92A, Class E, 3 mo. TSFR + 6.76%, 12.08%, 11/20/34 (c),(d),(e)		1,269,871		1,182,364
Dryden 95 CLO Ltd., Series 2021-95A, Class E, 3 mo. TSFR + 6.41%, 11.73%, 08/20/34 (c),(d),(e)		1,000,000		920,320
Elmwood CLO 21 Ltd., Series 2022-8A, Class DR, 3 mo. TSFR + 4.00%, 9.32%, 10/20/36 (c),(d),(e)		1,000,000		1,001,476
Exeter Automobile Receivables Trust, Series 2024-1A, Class E, 7.89%, 08/15/31 (c),(d)		1,426,000		1,436,276
Fort Washington CLO Ltd., Series 2021-2A, Class E, 3 mo. TSFR + 6.87%, 12.19%, 10/20/34 (c),(d),(e)		1,500,000		1,437,578
FS Rialto Issuer LLC,
Series 2022-FL4, Class C, 1 mo. SOFR + 3.25%, 8.57%, 01/19/39 (c),(d),(e)		1,000,000		977,551
Series 2022-FL5, Class B, 1 mo. TSFR + 3.37%, 8.70%, 06/19/37 (c),(d),(e)		155,000		152,646
Series 2022-FL5, Class C, 1 mo. TSFR + 3.92%, 9.25%, 06/19/37 (c),(d),(e)		1,000,000		983,779
Galaxy 30 CLO Ltd., Series 2022-30A, Class E, 3 mo. TSFR + 6.95%, 12.26%, 04/15/35 (c),(d),(e)		1,000,000		989,790
Galaxy 31 CLO Ltd.,
Series 2023-31A, Class D, 3 mo. TSFR + 5.25%, 10.56%, 04/15/36 (c),(d),(e)		1,500,000		1,509,478
Series 2023-31A, Class E, 3 mo. TSFR + 8.43%, 13.74%, 04/15/36 (c),(d),(e)		2,000,000		1,997,508
Galaxy 32 CLO Ltd., Series 2023-32A, Class D, 3 mo. TSFR + 4.30%, 9.64%, 10/20/36 (c),(d),(e)		1,000,000		1,001,336
Galaxy XXII CLO Ltd.,
Series 2016-22A, Class DRR, 3 mo. TSFR + 3.61%, 8.93%, 04/16/34 (c),(d),(e)		1,000,000		988,343
Series 2016-22A, Class ERR, 3 mo. TSFR + 6.76%, 12.08%, 04/16/34 (c),(d),(e)		500,000		496,450
Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, 3 mo. TSFR + 6.04%, 11.37%, 05/16/31 (c),(d),(e)		1,000,000		988,360
Generate CLO 4 Ltd., Series 4A, Class ER, 3 mo. TSFR + 7.01%, 12.33%, 04/20/32 (c),(d),(e)		1,000,000		992,680
GoldenTree Loan Management U.S. CLO 16 Ltd., Series 2022-16A, Class ER, 3 mo. TSFR + 6.65%, 11.86%, 01/20/34 (c),(d),(e)		2,000,000		1,984,696

See Notes to Consolidated Financial Statements.

53

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
GoldenTree Loan Management US CLO 8 Ltd., Series 2020-8A, Class ER, 3 mo. TSFR + 6.41%, 11.73%, 10/20/34 (c),(d),(e)	$	1,000,000	$	992,385
Goldentree Loan Management US CLO Ltd., Series 2022-14A, Class D, 3 mo. TSFR + 4.45%, 9.77%, 07/20/35 (c),(d),(e)		1,500,000		1,494,292
Goodleap Sustainable Home Solutions Trust, Series 2023-3C, Class B, 7.80%, 07/20/55 (c),(d)		361,000		359,565
Greywolf CLO II Ltd., Series 2013-1A, Class C1RR, 3 mo. TSFR + 3.61%, 8.93%, 04/15/34 (c),(d),(e)		1,000,000		985,147
GSAA Home Equity Trust,
Series 2004-5, Class M2, , 4.38%, 06/25/34 (c),(h)		293,364		211,131
Series 2006-6, Class AF3, , 5.73%, 03/25/36 (c),(e)		808,366		230,485
Series 2006-8, Class 2A3B, 1 mo. TSFR + .67%, 6.00%, 05/25/36 (c),(e)		1,527,000		319,581
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class D, 3 mo. TSFR + 6.59%, 11.91%, 07/15/34 (c),(d),(e)		1,500,000		1,454,838
Halsey Point CLO I Ltd., Series 2019-1A, Class E, 3 mo. TSFR + 7.96%, 13.28%, 01/20/33 (c),(d),(e)		1,000,000		986,480
HalseyPoint CLO 4 Ltd., Series 2021-4A, Class E, 3 mo. TSFR + 6.97%, 12.29%, 04/20/34 (c),(d),(e)		1,500,000		1,453,521
Halseypoint CLO 5 Ltd., Series 2021-5A, Class E, 3 mo. TSFR + 7.20%, 12.52%, 01/30/35 (c),(d),(e)		1,000,000		941,532
HPS Loan Management Ltd., Series 2021-16A, Class E, 3 mo. TSFR + 6.76%, 12.08%, 01/23/35 (c),(d),(e)		1,000,000		958,657
Jamestown CLO XIV Ltd., Series 2019-14A, Class DR, 3 mo. TSFR + 7.46%, 12.78%, 10/20/34 (c),(d),(e)		1,500,000		1,486,422
Jamestown CLO XVI Ltd., Series 2021-16A, Class D, 3 mo. TSFR + 3.91%, 9.24%, 07/25/34 (c),(d),(e)		1,000,000		983,981
KREF Ltd., Series 2021-FL2, Class AS, 1 mo. TSFR + 1.41%, 6.74%, 02/15/39 (c),(d),(e)		1,000,000		963,160
Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A3, 1 mo. TSFR + .43%, 5.76%, 11/25/36 (c),(e)		2,892,696		897,905
Magnetite XXV Ltd., Series 2020-25A, Class E, 3 mo. TSFR + 6.61%, 11.94%, 01/25/32 (c),(d),(e)		1,000,000		996,638
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1, Class 2A2, 1 mo. TSFR + 3.61%, 8.94%, 10/25/37 (c),(e)		706,534		472,313

See Notes to Consolidated Financial Statements.

54

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM5, Class A2B, 1 mo. TSFR + .35%, 5.68%, 10/25/37 (c),(e)	$	1,493,885	$	212,566
Series 2006-RM5, Class A2C, 1 mo. TSFR + .47%, 5.80%, 10/25/37 (c),(e)		2,176,100		361,496
MF1 LLC,
Series 2022-FL9, Class B, 1 mo. TSFR + 3.15%, 8.48%, 06/19/37 (c),(d),(e)		1,213,000		1,203,684
Series 2022-FL9, Class C, 1 mo. TSFR + 3.70%, 9.03%, 06/19/37 (c),(d),(e)		1,000,000		981,984
MF1 Ltd., Series 2022-FL8, Class C, 1 mo. TSFR + 2.20%, 7.53%, 02/19/37 (c),(d),(e)		847,000		815,387
MidOcean Credit CLO XII Ltd., Series 2023-12A, Class E, 3 mo. TSFR + 8.66%, 13.96%, 04/18/34 (c),(d),(e)		1,000,000		992,500
MidOcean Credit CLO XIII Ltd., Series 2023-13A, Class D, 3 mo. TSFR + 5.09%, 10.42%, 01/21/37 (c),(d),(e)		1,000,000		997,965
Morgan Stanley Mortgage Loan Trust, Series 2006-17XS, Class A3A, 6.15%, 10/25/46 (c),(h)		874,353		246,896
Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class ER, 3 mo. TSFR + 6.76%, 12.08%, 04/20/31 (c),(d),(e)		1,000,000		976,657
Neuberger Berman Loan Advisers CLO 38 Ltd., Series 2020-38A, Class ER, 3 mo. TSFR + 6.51%, 11.83%, 10/20/35 (c),(d),(e)		1,000,000		989,910
New Mountain CLO 2 Ltd., Series CLO-2A, Class E, 3 mo. TSFR + 6.62%, 11.94%, 04/15/34 (c),(d),(e)		1,000,000		978,292
OCP CLO Ltd.,
Series 2015-10A, Class CR2, 3 mo. TSFR + 2.31%, 7.64%, 01/26/34 (c),(d),(e)		1,000,000		990,412
Series 2015-10A, Class DR2, 3 mo. TSFR + 3.21%, 8.54%, 01/26/34 (c),(d),(e)		1,000,000		969,461
Series 2020-18A, Class ER, 3 mo. TSFR + 6.69%, 12.01%, 07/20/32 (c),(d),(e)		1,000,000		958,712
Series 2021-22A, Class E, 3 mo. TSFR + 6.86%, 12.18%, 12/02/34 (c),(d),(e)		2,000,000		1,965,554
Series 2022-24A, Class C, 3 mo. TSFR + 2.55%, 7.87%, 07/20/35 (c),(d),(e)		2,500,000		2,490,252
Series 2022-25A, Class E1, 3 mo. TSFR + 6.15%, 11.47%, 07/20/35 (c),(d),(e)		1,000,000		993,335
Series 2023-28A, Class E, 3 mo. SOFR + 8.40%, 13.71%, 07/16/36 (c),(d),(e)		1,000,000		1,002,932
Octagon 60 Ltd., Series 2022-1A, Class D1, 3 mo. TSFR + 5.00%, 10.32%, 10/20/35 (c),(d),(e)		1,000,000		1,001,453

See Notes to Consolidated Financial Statements.

55

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Octagon 62 Ltd., Series 2022-1A, Class E, 3 mo. TSFR + 7.75%, 13.07%, 01/20/36 (c),(d),(e)	$	2,000,000	$	1,988,768
OHA Credit Funding 10 Ltd., Series 2021-10A, Class E, 3 mo. TSFR + 6.51%, 11.81%, 01/18/36 (c),(d),(e)		1,000,000		982,730
Oportun Issuance Trust, Series 2021-B, Class C, 3.65%, 05/08/31 (c),(d)		5,000,000		4,745,890
Palmer Square CLO Ltd.,
Series 2020-3A, Class BR2, 3 mo. TSFR + 2.65%, 7.96%, 11/15/36 (c),(d),(e)		5,000,000		5,002,450
Series 2018-2A, Class CR, 3 mo. TSFR + 3.90%, 9.22%, 04/16/37 (c),(d),(e)		1,000,000		1,000,000
Series 2022-1A, Class D, 3 mo. TSFR + 3.05%, 8.37%, 04/20/35 (c),(d),(e)		1,000,000		983,696
Series 2022-3A, Class E, 3 mo. TSFR + 7.98%, 13.30%, 07/20/35 (c),(d),(e)		1,750,000		1,744,326
Series 2022-4A, Class D, 3 mo. TSFR + 5.34%, 10.66%, 10/20/35 (c),(d),(e)		1,000,000		1,009,820
Parallel Ltd., Series 2021-2A, Class D, 3 mo. TSFR + 7.46%, 12.78%, 10/20/34 (c),(d),(e)		1,000,000		935,178
Park Avenue Institutional Advisers CLO Ltd., Series 2022-1A, Class D, 3 mo. TSFR + 7.29%, 12.61%, 04/20/35 (c),(d),(e)		1,000,000		936,682
People’s Choice Home Loan Securities Trust, Series 2005-2, Class M5, 1 mo. TSFR + 1.09%, 6.42%, 05/25/35 (c),(e)		488,000		278,749
Pikes Peak CLO 2, Series 2018-2A, Class D1R, 3 mo. TSFR + 3.51%, 8.81%, 10/18/34 (c),(d),(e)		2,000,000		1,988,972
Pikes Peak CLO 6, Series 2020-6A, Class ER2, 3 mo. TSFR + 6.69%, 12.01%, 05/18/34 (c),(d),(e)		1,000,000		989,483
Point Securitization Trust, Series 2021-1, Class A2, 5.56%, 02/25/52 (c),(d),(e),(g)		1,000,000		888,996
Post CLO Ltd., Series 2021-1A, Class E, 3 mo. TSFR + 6.71%, 12.03%, 10/15/34 (c),(d),(e)		1,000,000		974,540
PPM CLO 3 Ltd., Series 2019-3A, Class ER, 3 mo. TSFR + 6.87%, 12.19%, 04/17/34 (c),(d),(e)		500,000		456,777
Rad CLO 2 Ltd., Series 2018-2A, Class ER, 3 mo. TSFR + 6.26%, 11.58%, 10/15/31 (c),(d),(e)		416,667		406,083
Rad CLO 3 Ltd., Series 2019-3A, Class ER, 3 mo. TSFR + 6.76%, 12.08%, 04/15/32 (c),(d),(e)		1,000,000		990,213
Rad CLO Ltd., Series 2023-18A, Class E, 3 mo. TSFR + 8.48%, 13.79%, 04/15/36 (c),(d),(e)		1,000,000		998,751
RAMP Trust, Series 2005-RS4, Class M7, 1 mo. TSFR + 1.39%, 7.36%, 04/25/35 (c),(e)		2,253,000		1,829,706
RASC Trust, Series 2006-KS1, Class M4, 1 mo. TSFR + .64%, 6.24%, 02/25/36 (c),(e)		322,987		229,868

See Notes to Consolidated Financial Statements.

56

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Romark CLO II Ltd., Series 2018-2A, Class D, 3 mo. TSFR + 6.51%, 11.84%, 07/25/31 (c),(d),(e)	$	2,250,000	$	2,192,490
Romark CLO IV Ltd.,
Series 2021-4A, Class C1, 3 mo. TSFR + 3.46%, 8.79%, 07/10/34 (c),(d),(e)		1,000,000		953,831
Series 2021-4A, Class D, 3 mo. TSFR + 7.21%, 12.54%, 07/10/34 (c),(d),(e)		500,000		474,247
RR 2 Ltd., Series 2017-2A, Class DR, 3 mo. TSFR + 6.06%, 11.38%, 04/15/36 (c),(d),(e)		1,000,000		974,443
RR15 Ltd., Series 2021-15A, Class C, 3 mo. TSFR + 3.16%, 8.48%, 04/15/36 (c),(d),(e)		1,000,000		960,981
Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class C, 8.01%, 11/25/53 (c),(d),(e)		1,066,526		1,086,020
Saxon Asset Securities Trust,
Series 2004-2, Class MF3, , 3.24%, 08/25/35 (c),(h)		333,674		258,194
Series 2004-2, Class MF4, , 3.24%, 08/25/35 (c),(h)		363,971		257,903
Sculptor CLO XXIX Ltd., Series 29A, Class D1, 3 mo. TSFR + 3.46%, 8.78%, 10/22/34 (c),(d),(e)		2,000,000		1,950,156
Shackleton CLO Ltd., Series 2021-16A, Class C, 3 mo. TSFR + 2.46%, 7.78%, 10/20/34 (c),(d),(e)		2,000,000		1,990,912
Signal Peak CLO 5 Ltd., Series 2018-5A, Class D1R, 3 mo. TSFR + 4.20%, 9.53%, 04/25/37 (c),(d),(e)		1,000,000		994,691
Signal Peak CLO 7 Ltd., Series 2019-1A, Class D, 3 mo. TSFR + 4.11%, 9.43%, 04/30/32 (c),(d),(e)		1,500,000		1,492,333
Sound Point CLO XXIII Ltd., Series 2019-2A, Class ER, 3 mo. TSFR + 6.73%, 12.05%, 07/15/34 (c),(d),(e)		2,400,000		2,062,476
STAR Trust, Series 2022-SFR3, Class E2, 1 mo. TSFR + 3.70%, 9.03%, 05/17/24 (c),(d),(e)		1,000,000		990,283
Sunnova Helios XIII Issuer LLC, Series 2024-A, Class C, 7.00%, 02/20/51 (c),(d)		774,416		733,374
Symphony CLO 34-PS Ltd., Series 2022-34A, Class DR, 3 mo. TSFR + 5.25%, 10.57%, 07/24/36 (c),(d),(e)		1,000,000		1,010,379
Symphony CLO Ltd., Series 2023-38A, Class D, 3 mo. TSFR + 5.20%, 10.52%, 04/24/36 (c),(d),(e)		1,000,000		1,007,055
Symphony CLO XXIII Ltd., Series 2020-23A, Class DR, 3 mo. TSFR + 3.41%, 8.73%, 01/15/34 (c),(d),(e)		1,000,000		995,034
TCI-Flatiron CLO Ltd., Series 2017-1A, Class E, 3 mo. TSFR + 6.61%, 11.93%, 11/18/30 (c),(d),(e)		750,000		744,002

See Notes to Consolidated Financial Statements.

57

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
TCW CLO Ltd.,
Series 2017-1A, Class CRR, 3 mo. TSFR + 2.56%, 7.88%, 10/29/34 (c),(d),(e)	$	1,000,000	$	989,561
Series 2019-13A, Class ER, 3 mo. TSFR + 6.46%, 11.78%, 04/15/34 (c),(d),(e)		1,600,000		1,584,866
TIC Home Improvement Trust, Series 2024-A, Class B, 7.89%, 10/15/46 (c),(d)		252,000		253,409
Towd Point Mortgage Trust, Series 2023-CES2, Class M1, 8.08%, 10/25/63 (c),(d),(e)		3,644,000		3,737,859
Trestles CLO IV Ltd., Series 2021-4A, Class E, 3 mo. TSFR + 6.51%, 11.83%, 07/21/34 (c),(d),(e)		1,000,000		968,655
Trestles CLO V Ltd., Series 2021-5A, Class E, 3 mo. TSFR + 6.61%, 11.93%, 10/20/34 (c),(d),(e)		1,500,000		1,452,351
Trestles CLO VI LTD, Series 2023-6A, Class E, 3 mo. TSFR + 6.50%, 11.86%, 01/25/36 (c),(d),(e)		1,000,000		996,690
Trestles CLO VI Ltd., Series 2023-6A, Class D, 3 mo. TSFR + 5.00%, 10.36%, 01/25/36 (c),(d),(e)		2,000,000		2,004,892
Tricolor Auto Securitization Trust, Series 2023-1A, Class E, 13.45%, 06/15/28 (c),(d)		577,000		608,763
Trinitas CLO VI Ltd., Series 2017-6A, Class ER, 3 mo. TSFR + 7.08%, 12.40%, 01/25/34 (c),(d),(e)		1,000,000		928,742
Vibrant CLO XII Ltd.,
Series 2021-12A, Class C, 3 mo. TSFR + 3.91%, 9.23%, 01/20/34 (c),(d),(e)		1,000,000		975,256
Series 2021-12A, Class D, 3 mo. TSFR + 7.37%, 12.69%, 01/20/34 (c),(d),(e)		2,000,000		1,954,204
Vibrant CLO XIII Ltd., Series 2021-13A, Class D, 3 mo. TSFR + 7.32%, 12.64%, 07/15/34 (c),(d),(e)		1,500,000		1,420,410
Vibrant CLO XIV Ltd., Series 2021-14A, Class D, 3 mo. TSFR + 7.12%, 12.44%, 10/20/34 (c),(d),(e)		1,000,000		953,961
Vibrant CLO XVI Ltd., Series 2023-16A, Class C, 3 mo. TSFR + 5.84%, 11.15%, 04/15/36 (c),(d),(e)		1,000,000		1,012,161
Voya CLO Ltd.,
Series 2018-3A, Class E, 3 mo. TSFR + 6.01%, 11.33%, 10/15/31 (c),(d),(e)		1,500,000		1,353,431
Series 2020-3A, Class DR, 3 mo. TSFR + 3.51%, 8.83%, 10/20/34 (c),(d),(e)		1,100,000		1,083,304
Series 2021-1A, Class E, 3 mo. TSFR + 6.61%, 11.93%, 07/15/34 (c),(d),(e)		1,000,000		971,532
Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2006-1, Class M6, 1 mo. TSFR + .79%, 6.12%, 05/25/36 (c),(e)		3,083,867		2,870,047
Total North America				221,409,762
TOTAL ASSET-BACKED SECURITIES (COST $224,464,455)				224,914,105

See Notes to Consolidated Financial Statements.

58

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
BANK DEBT — 3.9%
Europe — 0.5%
Entertainment — 0.1%
McLaren Racing Ltd., GBP Term Loan, 12.00%, 12/31/35 (b),(c),(e)		2,247,069	GBP	$	2,892,612
Investment Company Security — 0.2%
Infinity Bidco U.S. LLC,
2021 Incremental Fixed Term Loan, 0.00%, 04/01/28 (b),(c),(e),(f)	$	2,706,922			2,706,923
Fixed Term Loan, 13.50%, 12/23/22 (b),(c),(e)		6,526,608			6,526,608
					9,233,531
Software — 0.2%
Cuppa Bidco BV,
EUR Term Loan B1, 8.64%, 06/29/29 (c),(e)		2,854,029	EUR		2,896,071
GBP Term Loan B2, 10.67%, 07/30/29 (c),(e)		2,600,970	GBP		3,067,436
					5,963,507
Total Europe					18,089,650
North America — 3.1%
Advertising — 0.0%
Clear Channel Outdoor Holdings, Inc., 2024 Term Loan, 9.44%, 08/23/28 (c),(e)	$	302,168			301,735
Apparel — 0.0%
Mad Engine Global LLC, Term Loan, 0.00%, 07/15/27 (c),(e),(f)		0			—
Auto Parts & Equipment — 0.0%
First Brands Group LLC, 2022 Incremental Term Loan, 10.57%, 03/30/27 (c),(e)		1,472,297			1,471,678
Beverages — 0.0%
City Brewing Co. LLC, Closing Date Term Loan, 9.08%, 04/05/28 (c),(e)		60,232			46,250
Commercial Services — 0.1%
AVSC Holding Corp.,
2020 Term Loan B1, 3.25%, 03/03/25 (c),(e),(i)		1,181,295			1,182,110
2020 Term Loan B3, 5.00%, 10/15/26 (c),(e),(i)		306,197			319,210
CoreLogic, Inc., Term Loan, 8.94%, 06/02/28 (c),(e)		133,903			130,648

See Notes to Consolidated Financial Statements.

59

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Indy US Bidco, LLC 2023 USD Incremental Fifth Amendment Term Loan, 2023 USD Fifth Amendment Incremental Term Loan, 0.00%, 03/06/28 (c),(e),(f)	$	0	$	—
PECF USS Intermediate Holding III Corp., Term Loan B, 9.82%, 12/15/28 (c),(e)		1,202,663		912,075
				2,544,043
Computers — 0.0%
Atlas CC Acquisition Corp.,
Term Loan B, 9.85%, 05/25/28 (c),(e)		1,278,532		1,193,229
Term Loan C, 9.85%, 05/25/28 (c),(e)		260,051		242,700
				1,435,929
Cosmetics/Personal Care — 0.2%
Revlon Intermediate Holdings IV LLC, 2023 Exit Term Loan, 12.19%, 05/02/28 (c),(e)		9,357,330		9,315,222
Distribution/Wholesale — 0.0%
Veritiv Corp., Term Loan B, 5.00%, 11/30/30 (c),(e),(i)		570,117		566,201
Diversified Financial Services — 0.1%
Astra Acquisition Corp., 2021 1st Lien Term Loan, 10.57%, 10/25/28 (c),(e)		131,375		52,550
Curo Group Holdings Corp., Term Loan, 6.00%, 08/02/27 (b),(c),(e)		3,949,813		3,298,094
				3,350,644
Engineering & Construction — 0.2%
Qualtek Buyer LLC,
2023 PIK Second Lien Term Loan, 0.00%, 01/14/27 (b),(c),(e),(f)		5,958,200		1,191,640
2023 PIK Term Loan, 0.00%, 07/14/25 (c),(e),(f)		7,191,793		6,316,767
				7,508,407
Entertainment — 0.1%
Bulldog Purchaser, Inc., 2018 Term Loan, 9.19%, 09/05/25 (c),(e)		4,252,629		4,181,738
Environmental Control — 0.1%
Gopher Resource LLC, 1st Lien Term Loan, 8.69%, 03/06/25 (c),(e)		2,685,068		2,391,403

See Notes to Consolidated Financial Statements.

60

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Food — 0.2%
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, 0.00%, 10/01/25 (c),(e),(f)	$	0	$	—
H Food Holdings LLC,
2018 Incremental Term Loan B2, 4.00%, 05/23/25 (c),(e),(i)		596,354		425,397
2018 Term Loan B, 9.29%, 05/23/25 (c),(e)		8,452,312		6,029,288
2020 Incremental Term Loan B3, 5.00%, 05/23/25 (c),(e),(i)		270,308		192,819
Max U.S. Bidco, Inc., Term Loan B, 10.31%, 10/02/30 (c),(e)		3,077,545		2,811,553
				9,459,057
Healthcare-Products — 0.1%
Arthur U.S. Finco, Inc., Term Loan B, 10.56%, 12/14/29 (c),(e)		2,830,998		2,736,640
Bausch & Lomb Corp., Term Loan, 8.68%, 05/10/27 (c),(e),(i)		428,250		422,683
				3,159,323
Healthcare-Services — 0.2%
Gordian Medical, Inc., Term Loan B, 0.00%, 01/31/27 (c),(e),(f)		0		—
MED ParentCo LP, 1st Lien Term Loan, 9.69%, 08/31/26 (c),(e)		1,044,007		1,041,397
Team Health Holdings, Inc., 2022 Term Loan B, 10.56%, 03/02/27 (c),(e)		1,514,128		1,338,111
U.S. Renal Care, Inc., 2023 Superpriority Term Loan, 10.44%, 06/20/28 (c),(e),(h)		2,088,129		1,806,231
Women’s Care Enterprises LLC,
2nd Lien Term Loan, 13.66%, 01/12/29 (c),(e)		2,500,059		2,025,048
Term Loan, 9.91%, 01/15/28 (c),(e)		2,676,384		2,387,013
				8,597,800
Home Furnishings — 0.1%
Weber-Stephen Products LLC,
2022 Incremental Term Loan B, 9.68%, 10/30/27 (c),(e)		1,155,523		1,065,970
Term Loan B, 8.69%, 10/30/27 (c),(e)		1,140,528		1,051,430
				2,117,400
Household Products/Wares — 0.0%
WOOF Holdings, Inc., 1st Lien Term Loan, 9.32%, 12/21/27 (c),(e)		128,022		101,351

See Notes to Consolidated Financial Statements.

61

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Housewares — 0.2%
Springs Windows Fashions LLC, 2021 Term Loan B, 9.44%, 10/06/28 (c),(e)	$	6,837,633		$	6,261,289
Insurance — 0.1%
Asurion LLC,
2020 Term Loan B8, 8.69%, 12/23/26 (c),(e)		2,010,704			1,966,891
2021 Second Lien Term Loan B4, 10.69%, 01/20/29 (c),(e)		3,633,350			3,236,515
2023 Term Loan B11, 9.68%, 08/19/28 (c),(e)		779,928			751,656
					5,955,062
Investment Company Security — 0.4%
ATI Holdings Acquisition, Inc. , 2023 2nd Lien Delayed Draw Term Loan, 8.00%, 08/24/28 (b),(c),(e)		782,441			782,441
HB Acquisitions LLC, 2022 AUD Term Loan, 10.61%, 02/15/25 (b),(c),(e)		20,652,523	AUD		13,186,016
New Millennium HoldCo, Inc., 2020 Term Loan, 10.82%, 05/14/25 (b),(c),(e)	$	1,241,899			1,243,452
Titan Acquisition Ltd., 2024 Term Loan B, 5.00%, 02/01/29 (c),(e),(i)		357,988			358,732
					15,570,641
Iron/Steel — 0.1%
Titan Purchaser, Inc., Term Loan B, 11.34%, 03/01/30 (b),(c),(e)		3,330,236			3,371,865
Machinery-Diversified — 0.4%
Arcline FM Holdings LLC,
2021 1st Lien Term Loan, 10.32%, 06/23/28 (c),(e)		86,656			86,656
2021 2nd Lien Term Loan, 13.82%, 06/23/29 (b),(c),(e)		2,266,306			2,209,649
Engineered Machinery Holdings, Inc.,
2021 USD 2nd Lien Incremental Term Loan, 12.07%, 05/21/29 (b),(c),(e)		1,122,432			1,108,401
2021 USD 2nd Lien Term Loan, 11.57%, 05/21/29 (c),(e)		11,545,028			11,371,853
Titan Acquisition Ltd., 2018 Term Loan B, 8.44%, 03/28/25 (c),(e)		317,596			317,199
					15,093,758
Media — 0.2%
A-L Parent LLC, 2023 Take Back Term Loan, 10.83%, 06/30/28 (c),(e)		6,898,034			6,857,059

See Notes to Consolidated Financial Statements.

62

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Office/Business Equip — 0.0%
Xerox Holdings Corp., 2023 Term Loan B, 9.33%, 11/17/29 (c),(e)	$	1,272,938		$	1,275,726
Oil & Gas — 0.1%
Gulf Finance LLC, 2021 Term Loan, 12.18%, 08/25/26 (c),(e)		3,731,785			3,731,113
Packaging & Containers — 0.0%
LABL, Inc., 2021 USD 1st Lien Term Loan, 10.43%, 10/29/28 (c),(e)		2,073,360			2,026,937
Retail — 0.0%
Michaels Cos., Inc., 2021 Term Loan B, 9.82%, 04/15/28 (c),(e)		1,928,676			1,726,165
Software — 0.2%
Castle U.S. Holding Corp.,
EUR Term Loan, 7.58%, 01/29/27 (c),(e)		503,765	EUR		392,608
USD Term Loan B, 9.35%, 01/29/27 (c),(e)	$	3,756,710			2,636,421
CentralSquare Technologies LLC, 2018 1st Lien Term Loan, 9.18%, 08/29/25 (c),(e)		2,203,493			2,134,986
Cloud Software Group, Inc., 2022 USD Term Loan A, 9.91%, 09/29/28 (c),(e)		2,572,228			2,559,727
MedAssets Software Intermediate Holdings, Inc., 2021 Term Loan, 9.42%, 12/18/28 (c),(e)		58,894			49,545
					7,773,287
Total North America					126,191,083
Oceania — 0.1%
Lodging — 0.1%
Journey Beyond, AUD Term Loan, 10.09%, 02/15/25 (b),(c),(e)		5,364,651	AUD		3,495,070
Total Oceania					3,495,070
South America — 0.2%
Food Service — 0.1%
TKC Holdings, Inc.,
2021 Term Loan, 10.94%, 05/15/28 (c),(e)	$	340,260			336,092
2022 PIK Toggle Holdco Term Loan, 0.00%, 02/15/27 (b),(c),(e),(f)		4,365,809			2,815,946
					3,152,038
Leisure Time — 0.1%
Alterra Mountain Co.,
2021 Series B-2 Consenting Term Loan, 0.00%, 08/17/28 (c),(e),(f),(i)		1,924,505			1,930,125

See Notes to Consolidated Financial Statements.

63

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
2023 Term Loan B, 3.75%, 05/31/30 (b),(c),(e),(i)	$	2,499,000		$	2,508,371
2024 Add-on Term Loan B, 3.75%, 05/31/30 (b),(c),(e),(i)		772,000			774,895
					5,213,391
Media — 0.0%
LBI Media, Inc., Exit Term Loan, 12.96%, 10/15/24 (b),(c),(e)		324,219			83,000
Total South America					8,448,429
TOTAL BANK DEBT (COST $161,783,855)					156,224,232
CORPORATE BONDS & NOTES — 10.9%
Africa — 0.2%
Chemicals — 0.1%
Sasol Financing USA LLC, 4.38%, 09/18/26 (c),(j)		7,234,000			6,822,357
Electric — 0.1%
Eskom Holdings Soc Ltd., 7.13%, 02/11/25 (c),(k)		3,444,000			3,423,405
Total Africa					10,245,762
Asia — 1.0%
Commercial Services — 0.0%
eHi Car Services Ltd., 12.00%, 09/26/27 (c),(k)		1,480,000			1,286,020
Electric — 0.4%
Adani Green Energy Ltd., 4.38%, 09/08/24 (c),(k)		6,157,000			6,077,820
LLPL Capital Pte. Ltd., 6.88%, 02/04/39 (c),(k)		2,949,702			2,942,813
Minejesa Capital BV,
4.63%, 08/10/30 (c),(k)		5,256,159			4,988,508
5.63%, 08/10/37 (c),(k)		1,672,000			1,516,377
					15,525,518
Energy-Alternate Sources — 0.2%
Adani Green Energy UP Ltd., 6.70%, 03/12/42 (c),(k)		2,946,000			2,844,579
Continuum Energy Levanter Pte. Ltd., 4.50%, 02/09/27 (c),(j),(k)		5,265,645			5,120,840
					7,965,419
Internet — 0.2%
Prosus NV,
2.09%, 01/19/30 (c),(k)		1,192,000	EUR		1,116,020
3.26%, 01/19/27 (c),(j),(k)	$	4,212,000			3,903,001

See Notes to Consolidated Financial Statements.

64

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
4.19%, 01/19/32 (k)	$	3,722,000		$	3,231,858
4.85%, 07/06/27 (c),(j),(k)		291,000			280,454
					8,531,333
Investment Company Security — 0.1%
Huarong Finance 2017 Co., Ltd., MTN, 4.25%, 11/07/27 (c),(j),(k)		4,090,000			3,774,988
Huarong Finance 2019 Co,. Ltd., 3.63%, 09/30/30 (c),(k)		291,000			248,875
Huarong Finance 2019 Co., Ltd., MTN, 4.25%, 09/30/25 (c),(e),(k),(l)		207,000			198,343
					4,222,206
Oil & Gas — 0.1%
Thaioil Treasury Center Co., Ltd.,
MTN, 3.50%, 10/17/49 (c),(k)		474,000			319,905
MTN, 3.75%, 06/18/50 (c),(h),(k)		1,563,000			1,120,304
					1,440,209
Real Estate — 0.0%
Scenery Journey Ltd., GBP Term Loan B2, 11.50%, 10/24/22 (c),(k),(m)		3,607,000			54,105
Total Asia					39,024,810
Europe — 1.1%
Agriculture — 0.1%
MHP Lux SA,
6.25%, 09/19/29 (c),(d)		689,000			487,313
GBP Term Loan B2, 6.25%, 09/19/29 (c),(k)		3,232,000			2,285,916
GBP Term Loan B2, 6.95%, 04/03/26 (c),(k)		3,057,000			2,541,131
					5,314,360
Auto Manufacturers — 0.1%
Mclaren Finance PLC, 7.50%, 08/01/26 (c),(d)		4,273,000			3,770,922
Electric — 0.1%
MVM Energetika Zrt, 6.50%, 03/13/31 (c),(k)		3,368,000			3,339,035
Entertainment — 0.0%
CPUK Finance Ltd., 6.50%, 08/28/26 (c),(k)		573,000	GBP		716,150
Food — 0.3%
Bellis Acquisition Co. PLC, GBP Term Loan B2, 3.25%, 02/16/26 (c),(k)		5,563,000	GBP		6,621,757
Forno d’Asolo SpA, GBP Term Loan B2, 9.41%, 04/30/27 (c),(d),(e)		3,404,000	EUR		3,603,882
					10,225,639

See Notes to Consolidated Financial Statements.

65

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Healthcare-Services — 0.1%
Kedrion SpA, 6.50%, 09/01/29 (c),(d)	$	5,164,000		$	4,694,076
Real Estate — 0.0%
Blackstone Property Partners Europe Holdings S.a.r.l., 4.88%, 04/29/32 (c),(k)		1,120,000	GBP		1,269,289
Retail — 0.3%
Stonegate Pub Co. Financing 2019 PLC,
8.25%, 07/31/25 (c),(k)		8,373,000	GBP		10,213,740
GBP Term Loan B2, 8.25%, 07/31/25 (c),(d)		215,000	GBP		262,266
					10,476,006
Telecommunications — 0.1%
VEON Holdings BV, 3.38%, 11/25/27 (c),(k)	$	5,019,000			4,150,332
Total Europe					43,955,809
Middle East — 1.0%
Commercial Banks — 0.3%
Akbank TAS, 9.37%, 03/14/79 (c),(d),(e),(k),(l)		5,683,000			5,667,088
QNB Finansbank AS, 10.75%, 11/15/33 (c),(e),(k)		2,681,000			2,915,620
Turkiye Garanti Bankasi AS, 8.38%, 02/28/34 (c),(e),(k)		2,881,000			2,873,797
					11,456,505
Commercial Services — 0.0%
Mersin Uluslararasi Liman Isletmeciligi AS, 8.25%, 11/15/28 (c),(k)		1,455,000			1,500,541
Diversified Financial Services — 0.1%
Turkiye Sinai Kalkinma Bankasi AS, 9.75%, 09/21/49 (c),(e),(k),(l)		2,105,000			2,097,801
Electric — 0.1%
Saudi Electricity Sukuk Programme Co., 5.68%, 04/11/53 (c),(k)		3,595,000			3,527,198
Investment Company Security — 0.4%
Gaci First Investment Co.,
5.13%, 02/14/53 (c),(j),(k)		8,082,000			6,998,851
5.38%, 10/13/22 (c),(k)		12,289,000			10,537,719
					17,536,570
Real Estate — 0.1%
Arabian Centres Co. Ltd., 9.50%, 03/06/29 (c),(j),(k)		2,090,000			2,154,017

See Notes to Consolidated Financial Statements.

66

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26 (c),(k)	$	1,013,000	$	957,009
				3,111,026
Total Middle East				39,229,641
North America — 6.0%
Advertising — 0.1%
Clear Channel Outdoor Holdings, Inc.,
7.50%, 06/01/29 (c),(d)		1,192,000		985,833
7.75%, 04/15/28 (c),(d)		1,155,000		1,011,549
9.00%, 09/15/28 (c),(d)		903,000		940,579
				2,937,961
Airlines — 0.0%
Grupo Aeromexico SAB de CV, 8.50%, 03/17/27 (c),(h),(k)		1,621,000		1,607,220
Auto Manufacturers — 0.0%
Rivian Holdings LLC, 11.49%, 10/15/26 (c),(d),(e)		2,031,000		2,042,579
Chemicals — 0.1%
WR Grace Holdings LLC, 5.63%, 08/15/29 (c),(d)		3,753,000		3,358,520
Distribution/Wholesale — 0.0%
Verde Purchaser LLC, 10.50%, 11/30/30 (c),(d)		1,128,000		1,187,658
Diversified Financial Services — 0.2%
Charles Schwab Corp. (The), Series I, 4.00%, 06/01/30 (c),(e),(l)		1,882,000		1,760,750
Curo Group Holdings Corp., 7.50%, 08/01/28 (c),(d),(m)		14,015,000		3,573,825
MF Global Holdings Ltd., 6.75%, 08/08/16 (b),(c),(h),(m)		436,000		112,270
PHH Mortgage Corp., 7.88%, 03/15/26 (c),(d)		4,863,000		4,708,929
				10,155,774
Engineering & Construction — 0.0%
Brand Industrial Services, Inc., 10.38%, 08/01/30 (c),(d)		1,684,000		1,823,205
Food Service — 0.4%
TKC Holdings, Inc.,
6.88%, 05/15/28 (c),(d)		6,830,000		6,482,872
10.50%, 05/15/29 (c),(d)		8,359,000		8,009,245
				14,492,117

See Notes to Consolidated Financial Statements.

67

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Hand/Machine Tools — 0.2%
Werner FinCo LP,
11.50%, 06/15/28 (c),(d)	$	4,137,000	$	4,517,004
PIK, 14.50%, 10/15/28 (c),(d)		3,018,180		2,799,362
				7,316,366
Healthcare-Services — 0.5%
Akumin, Inc.,
8.00%, 08/01/28 (c),(d)		5,577,000		4,601,025
9.00%, 08/01/27 (c),(d)		3,344,000		2,900,920
Team Health Holdings, Inc., 6.38%, 02/01/25 (c),(d)		12,108,000		11,170,841
U.S. Renal Care, Inc., 10.63%, 06/28/28 (c),(d)		1,173,200		1,020,684
				19,693,470
Household Products/Wares — 0.1%
Kronos Acquisition Holdings, Inc., 7.00%, 12/31/27 (c),(d)		6,128,000		6,087,314
Housewares — 0.1%
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (c),(d)		3,192,000		2,360,649
Insurance — 0.2%
Acrisure LLC,
6.00%, 08/01/29 (c),(d)		1,694,000		1,553,532
8.25%, 02/01/29 (c),(d)		2,135,000		2,144,582
Highlands Holdings Bond Issuer Ltd., PIK, 7.63%, 10/15/25 (c),(d)		5,492,873		5,427,526
				9,125,640
Internet — 0.0%
GrubHub Holdings, Inc., 5.50%, 07/01/27 (c),(d)		895,000		812,756
Leisure Time — 0.1%
Viking Cruises Ltd., 5.88%, 09/15/27 (c),(d)		3,729,000		3,658,578
Lodging — 0.1%
Full House Resorts, Inc., 8.25%, 02/15/28 (c),(d)		2,340,000		2,236,196
Machinery-Diversified — 0.2%
Husky III Holding Ltd., PIK, 13.00%, 02/15/25 (c),(d)		5,930,000		5,939,980
Titan Acquisition Ltd., 7.75%, 04/15/26 (c),(d)		568,000		567,324
				6,507,304
Media — 0.2%
McGraw-Hill Education, Inc., 8.00%, 08/01/29 (c),(d)		10,186,000		9,574,012

See Notes to Consolidated Financial Statements.

68

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Oil & Gas — 1.2%
Calumet Specialty Products Partners LP, 8.13%, 01/15/27 (d)	$	18,500,000	$	18,036,581
CITGO Petroleum Corp., 8.38%, 01/15/29 (c),(d)		3,865,000		4,060,727
Petroleos Mexicanos,
5.95%, 01/28/31 (c),(j)		7,262,000		5,824,155
6.35%, 02/12/48 (c)		1,543,000		984,001
6.38%, 01/23/45 (c)		1,024,000		660,269
6.50%, 01/23/29 (c)		1,447,000		1,292,948
6.63%, 06/15/38 (c)		1,375,000		979,118
6.75%, 09/21/47 (c)		3,196,000		2,125,835
6.95%, 01/28/60 (c)		3,111,000		2,055,580
7.69%, 01/23/50 (c)		19,103,000		13,740,918
				49,760,132
Packaging & Containers — 0.2%
Mauser Packaging Solutions Holding Co., 9.25%, 04/15/27 (c),(d)		7,037,000		6,980,950
Pharmaceuticals — 0.1%
1375209 BC Ltd., 9.00%, 01/30/28 (c),(d)		2,315,000		2,268,706
Mallinckrodt International Finance SA, 14.75%, 11/14/28 (c),(d)		771,000		844,116
				3,112,822
Pipelines — 0.6%
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27 (c),(d)		2,198,000		2,290,140
Martin Midstream Partners LP/Martin Midstream Finance Corp., 11.50%, 02/15/28 (c),(d)		19,152,000		20,344,844
				22,634,984
Real Estate — 0.0%
Cushman & Wakefield U.S. Borrower LLC, 8.88%, 09/01/31 (c),(d)		1,611,000		1,702,444
Kennedy-Wilson, Inc., 4.75%, 03/01/29 (c)		196,000		161,352
				1,863,796
REITS — 0.1%
IIP Operating Partnership LP, 5.50%, 05/25/26 (c)		2,279,000		2,163,176
Retail — 0.4%
GPS Hospitality Holding Co. LLC, 7.00%, 08/15/28 (c),(d)		5,349,000		4,361,468
LSF9 Atlantis Holdings LLC, 7.75%, 02/15/26 (c),(d)		7,274,000		7,208,436

See Notes to Consolidated Financial Statements.

69

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Michaels Cos., Inc. (The),
5.25%, 05/01/28 (c),(d)	$	1,213,000	$	1,033,572
7.88%, 05/01/29 (c),(d)		5,806,000		4,355,855
				16,959,331
Software — 0.4%
AthenaHealth Group, Inc., 6.50%, 02/15/30 (c),(d)		5,275,000		4,824,614
Cloud Software Group, Inc., 9.00%, 09/30/29 (d)		11,040,000		10,588,654
				15,413,268
Telecommunications — 0.4%
Digicel Intermediate Holdings Ltd., 12.00%, 05/25/27 (c),(h)		2,124,189		2,088,535
Digicel Midco Ltd., 10.50%, 11/25/28 (c),(h)		4,065,518		3,242,786
Millicom International Cellular SA, 7.38%, 04/02/32 (c),(k)		7,430,000		7,430,000
Sixsigma Networks Mexico SA de CV, 7.50%, 05/02/25 (c),(k)		2,156,000		2,078,099
Total Play Telecomunicaciones SA de CV, 6.38%, 09/20/28 (c),(k)		531,000		260,821
				15,100,241
Trucking & Leasing — 0.1%
Fortress Transportation & Infrastructure Investors LLC,
7.88%, 12/01/30 (c),(d)		959,000		1,007,057
9.75%, 08/01/27 (c),(d)		1,815,000		1,879,320
				2,886,377
Total North America				241,852,396
South America — 1.6%
Airlines — 0.4%
Azul Secured Finance LLP,
10.88%, 05/28/30 (c),(d),(h)		2,780,000		2,350,945
11.50%, 05/28/29 (c),(d),(h)		7,032,706		6,040,828
11.93%, 08/28/28 (c),(d)		3,034,000		3,110,314
Latam Airlines Group SA, 13.38%, 10/15/29 (c),(d)		1,985,000		2,292,260
				13,794,347
Chemicals — 0.1%
Braskem Netherlands Finance BV,
4.50%, 01/10/28 - 01/31/30 (c),(k)		3,363,000		3,001,063
8.50%, 01/23/81 (c),(e),(h),(k)		200,000		200,602
				3,201,665

See Notes to Consolidated Financial Statements.

70

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Engineering & Construction — 0.0%
ATP Tower Holdings LLC, 4.05%, 04/27/26 (c),(k)	$	1,245,000		$	1,179,606
Iron/Steel — 0.4%
PIK, 9.50%, 06/30/31 (c),(d),(k)		18,666,872			16,847,272
Media — 0.1%
VTR Comunicaciones SpA,
4.38%, 04/15/29 (c),(k)		3,800,000			2,617,553
5.13%, 01/15/28 (c),(k)		2,840,000			1,984,409
					4,601,962
Mining — 0.1%
6.30%, 09/08/53 (c),(d),(k)		4,385,000			4,372,237
Oil & Gas — 0.5%
Petrobras Global Finance BV, 5.30%, 01/27/25 (c)		3,208,000			3,173,092
Petroleos del Peru SA,
4.75%, 06/19/32 (c),(k)		11,931,000			9,393,715
5.63%, 06/19/47 (c),(k)		6,987,000			4,666,162
YPF SA, 9.50%, 01/17/31 (c),(k)		1,447,000			1,478,895
					18,711,864
Pipelines — 0.0%
Acu Petroleo Luxembourg S.a.r.l, 7.50%, 01/13/32 (c),(k)		1,330,429			1,295,042
Total South America					64,003,995
TOTAL CORPORATE BONDS & NOTES (COST $439,087,337)					438,312,413
SOVEREIGN DEBT — 6.3%
Argentina Republic Government International Bonds,
0.75%, 07/09/30 (c),(h)		17,579,642			9,217,006
3.50%, 07/09/41 (c),(h)		14,518,128			5,851,651
Bahrain Government International Bonds, 6.00%, 09/19/44 (c),(k)		3,597,000			2,972,633
Bhama Government International Bonds, 6.00%, 11/21/28 (c),(j),(k)		3,208,000			2,877,531
Bolivia Government International Bonds,
4.50%, 03/20/28 (c),(k)		1,642,000			952,360
7.50%, 03/02/30 (c),(k)		1,061,000			629,916
Bulgaria Government International Bonds,
4.38%, 05/13/31 (c),(k)		2,910,000	EUR		3,319,966
4.88%, 05/13/36 (c),(k)		1,455,000	EUR		1,703,311
Chile Government International Bonds, 4.85%, 01/22/29 (c),(j)	$	2,876,000			2,848,605
Colombia Government International Bonds,
3.88%, 04/25/27 (c)		6,010,000			5,646,427
4.50%, 01/28/26 (c)		2,079,000			2,030,215

See Notes to Consolidated Financial Statements.

71

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Dominican Republic International Bonds,
4.88%, 09/23/32 (c),(k)	$	2,800,000		$	2,506,773
5.50%, 01/27/25 (c),(k)		2,981,000			2,958,643
5.95%, 01/25/27 (k)		7,000,000			6,964,672
6.00%, 07/19/28 (c),(k)		3,505,000			3,480,174
6.88%, 01/29/26 (c),(k)		11,885,000			11,989,099
Ecuador Government International Bonds,
3.50%, 07/31/35 (c),(h),(k)		10,250,077			5,380,728
6.00%, 07/31/30 (c),(h),(k)		3,662,511			2,479,108
Egypt Government International Bonds,
4.75%, 04/16/26 (c),(k)		1,013,000	EUR		1,024,403
5.63%, 04/16/30 (c),(k)		1,447,000	EUR		1,276,783
5.88%, 02/16/31 (k)	$	3,000,000			2,396,250
7.50%, 02/16/61 (c),(k)		1,062,000			761,879
7.63%, 05/29/32 (c),(k)		3,125,000			2,657,750
7.90%, 02/21/48 (c),(k)		1,700,000			1,285,846
8.15%, 11/20/59 (c),(k)		11,542,000			8,813,702
8.70%, 03/01/49 (c),(k)		2,978,000			2,400,834
Hungary Government International Bonds,
5.50%, 03/26/36 (c),(j),(k)		6,151,000			5,966,470
6.25%, 09/22/32 (k)		6,500,000			6,753,240
Iraq International Bond, 5.80%, 01/15/28 (c),(k)		11,701,000			11,009,237
Iraq International Bonds, 5.80%, 01/15/28 (c),(d)		4,038,500			3,799,744
Israel Government International Bonds,
5.50%, 03/12/34 (c),(j)		2,876,000			2,838,181
5.75%, 03/12/54 (c)		2,213,000			2,118,328
6.50%, 11/06/31 (c),(k)		6,874,000			7,276,445
Ivory Coast Government International Bonds,
7.63%, 01/30/33 (c),(j),(k)		5,460,000			5,413,317
8.25%, 01/30/37 (c),(j),(k)		723,000			724,446
Lebanon Government International Bonds,
5.80%, 04/14/23 (c),(k),(m)		3,567,000			212,237
6.38%, 03/09/24 (c),(m)		38,260,000			2,507,713
Series 42, 8.25%, 04/19/30 (c),(k),(m)		12,525,000			821,941
Magyar Export-Import Bank Zrt,
6.00%, 05/16/29 (c),(k)		5,529,000	EUR		6,283,119
6.13%, 12/04/27 (c),(j),(k)	$	3,184,000			3,199,920
Mexico Government International Bonds,
3.25%, 04/16/30 (c)		4,762,000			4,238,524
5.00%, 05/07/29 (c),(j)		10,854,000			10,705,480
Mexico Udibonos,
Series S, 4.00%, 11/15/40 (c)		10,798,802	MXN		585,331
Series S, 4.50%, 11/22/35 (c)		30,853,720	MXN		1,793,111
Montenegro Government International Bonds, 7.25%, 03/12/31 (c),(k)	$	1,869,000			1,900,885
Nigeria Government International Bonds, 8.25%, 09/28/51 (c),(k)		3,611,000			2,955,820
Pakistan Government International Bonds, 6.00%, 04/08/26 (c),(k)		8,351,000			7,451,965

See Notes to Consolidated Financial Statements.

72

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Panama Government International Bonds,
3.88%, 03/17/28 (c),(j)	$	8,049,000		$	7,343,708
7.50%, 03/01/31 (c),(j)		3,456,000			3,582,287
7.88%, 03/01/57 (c),(j)		3,476,000			3,512,529
8.00%, 03/01/38 (c),(j)		6,951,000			7,281,936
9.38%, 04/01/29 (c)		944,000			1,054,959
Peruvian Government International Bond, 2.78%, 01/23/31 (c)		4,095,000			3,503,516
Provincia de Buenos Aires, 6.38%, 09/01/37 (c),(h),(k)		1,652,570			671,217
Republic of Kenya Government International Bonds, 9.75%, 02/16/31 (c),(j),(k)		2,124,000			2,174,445
Republic of South Africa Government International Bonds,
4.30%, 10/12/28 (c)		573,000			514,233
4.85%, 09/27/27 (c)		9,735,000			9,224,399
Romania Government International Bonds,
5.38%, 03/22/31 (c),(j),(k)		3,626,000	EUR		3,931,834
5.63%, 02/22/36 (c),(j),(k)		2,901,000	EUR		3,117,176
7.63%, 01/17/53 (c),(k)	$	1,636,000			1,810,070
Sri Lanka Government International Bonds,
6.75%, 04/18/28 (c),(k)		4,483,000			2,633,361
6.85%, 11/03/25 (c),(k)		3,311,000			1,969,952
Turkey Government International Bonds, 4.88%, 04/16/43 (c)		2,132,000			1,492,571
Turkiye Ihracat Kredi Bankasi AS, 9.00%, 01/28/27 (c),(k)		2,619,000			2,733,550
Viet Nam Debt & Asset Trading Corp., 1.00%, 10/10/25 (c),(k)		3,750,000			3,348,750
Vietnam Government International Bonds, 4.80%, 11/19/24 (c),(k)		9,708,000			9,625,476
TOTAL SOVEREIGN DEBT (COST $242,384,835)					252,507,688
MORTGAGE-BACKED SECURITIES — 16.6%
Europe — 0.0%
Commercial Mortgage-Backed Securities — 0.0%
Atom Mortgage Securities DAC,
Series 1A, Class E, 3 mo. SONIO + 2.80%, 8.02%, 07/22/31 (c),(e)		550,695	GBP		611,229
Series 1X, Class D, 3 mo. SONIO + 1.90%, 7.12%, 07/22/31 (c),(e)		84,178	GBP		87,776
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class E, 3 mo. EURIBOR + 2.70%, 6.62%, 08/17/33 (c),(d),(e)		98,185	EUR		102,759
Series 1X, Class E, 3 mo. EURIBOR + 2.70%, 6.62%, 08/17/26 (c),(e),(k)		98,186	EUR		102,759

See Notes to Consolidated Financial Statements.

73

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount			Value
Taurus NL DAC,
Series 2020-NL1X, Class C, 3 mo. EURIBOR + 1.55%, 5.48%, 02/20/30 (c),(e)		57,832	EUR	$	51,608
Series 2020-NL1X, Class D, 3 mo. EURIBOR + 2.00%, 5.93%, 02/20/30 (c),(e)		578,316	EUR		436,944
Taurus UK DAC, Series 2021-UK4X, Class E, 3 mo. SONIA + 3.10%, 8.32%, 08/17/31 (c),(e),(k)		69,652	GBP		86,423
					1,479,498
Total Europe					1,479,498
North America — 16.6%
Asset-Backed-Other — 0.0%
Balboa Bay Loan Funding Ltd., Series 2023-2A, Class D, 3 mo. TSFR + 4.50%, 9.92%, 10/20/36 (c),(d),(e)	$	1,250,000			1,255,314
Collateralized Mortgage Obligation (Residential) — 2.2%
Ajax Mortgage Loan Trust,
Series 2021-E, Class B1, 3.73%, 12/25/60 (c),(d),(e)		972,000			689,568
Series 2021-E, Class B2, 3.96%, 12/25/60 (c),(d),(e)		762,000			491,843
Alternative Loan Trust,
Series 2004-16CB, Class M, 5.80%, 08/25/34 (c),(e)		301,458			240,607
Series 2004-2CB, Class M, 5.77%, 03/25/34 (c),(e)		366,091			275,950
Series 2004-4CB, Class M, 5.69%, 04/25/34 (c),(e)		182,871			132,901
Series 2005-10CB, Class 1A1, 1 mo. TSFR + .61%, 5.50%, 05/25/35 (c),(e)		288,034			212,278
Series 2005-11CB, Class 3A2, 1 mo. TSFR + .61%, 5.50%, 06/25/35 (c),(e)		308,803			220,577
Series 2005-28CB, Class 2A8, 1 mo. TSFR + .51%, 5.75%, 08/25/35 (c),(e)		1,638,984			966,530
Series 2005-56, Class 1A2, 1 mo. TSFR + 1.27%, 6.60%, 11/25/35 (c),(e)		302,244			266,306
Series 2005-59, Class 1A1, 1 mo. TSFR + .77%, 6.10%, 11/20/35 (c),(e)		6,939,464			6,110,656
Series 2005-69, Class A2, 12 mo. MTA + 1.70%, 6.79%, 12/25/35 (c),(e)		264,413			248,501
Series 2005-76, Class 1A2, 12 mo. MTA + 2.00%, 7.09%, 01/25/36 (c),(e)		1,735,558			1,446,983
Series 2006-13T1, Class A15, 6.00%, 05/25/36 (c)		417,362			200,692

See Notes to Consolidated Financial Statements.

74

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2006-19CB, Class A19, 1 mo. TSFR + .91%, 6.24%, 08/25/36 (c),(e)	$	568,128	$	281,315
Series 2006-23CB, Class 2A3, 6.50%, 08/25/36 (c)		712,990		225,596
Series 2006-29T1, Class 3A1, 6.50%, 10/25/36 (c)		565,693		149,326
Series 2006-39CB, Class 1A6, 1 mo. TSFR + .71%, 6.00%, 01/25/37 (c),(e)		305,178		224,465
Series 2006-7CB, Class 1A4, 6.00%, 05/25/36 (c)		763,117		402,418
Series 2006-8T1, Class 1A1, 1 mo. TSFR + .61%, 5.94%, 04/25/36 (c),(e)		685,846		250,893
Series 2006-J1, Class 1A4, 1 mo. TSFR + .61%, 5.50%, 02/25/36 (c),(e)		354,351		231,244
Series 2006-OA12, Class A1C, 1 mo. TSFR + .39%, 5.72%, 09/20/46 (c),(e)		309,304		246,616
Series 2006-OA12, Class A2, 1 mo. TSFR + .32%, 5.65%, 09/20/46 (c),(e)		192,093		171,384
Series 2006-OA16, Class A3, 1 mo. TSFR + .61%, 5.94%, 10/25/46 (c),(e)		289,683		222,299
Series 2006-OA19, Class A1, 1 mo. TSFR + .29%, 5.62%, 02/20/47 (c),(e)		342,053		270,751
Series 2006-OA19, Class A4, 1 mo. TSFR + .32%, 5.65%, 02/20/47 (c),(e)		329,463		259,152
Series 2006-OA2, Class A1, 1 mo. TSFR + .53%, 5.86%, 05/20/46 (c),(e)		553,733		455,037
Series 2006-OA8, Class 2A3, 1 mo. TSFR + .49%, 5.82%, 07/25/46 (c),(e)		193,576		191,098
Series 2006-OA8, Class 2A4, 1 mo. TSFR + .63%, 5.96%, 07/25/46 (c),(e)		360,982		248,965
Series 2006-OA9, Class 2A1A, 1 mo. TSFR + .32%, 5.65%, 07/20/46 (c),(e)		657,810		497,240
Series 2007-16CB, Class 1A2, 1 mo. TSFR + .51%, 5.84%, 08/25/37 (c),(e)		396,555		257,671
Series 2007-16CB, Class 2A1, 1 mo. TSFR + .56%, 5.89%, 08/25/37 (c),(e)		2,152,724		748,808
Series 2007-17CB, Class 1A6, 1 mo. TSFR + .61%, 5.94%, 08/25/37 (c),(e)		823,989		374,743
Series 2007-18CB, Class 1A2, 1 mo. TSFR + .58%, 5.91%, 08/25/37 (c),(e)		705,355		222,407
Series 2007-20, Class A1, 1 mo. TSFR + .61%, 5.94%, 08/25/47 (c),(e)		876,044		352,207
Series 2007-23CB, Class A3, 1 mo. TSFR + .61%, 5.94%, 09/25/37 (c),(e)		1,842,419		755,596
Series 2007-23CB, Class A7, 1 mo. TSFR + .51%, 5.84%, 09/25/37 (c),(e)		644,944		248,634

See Notes to Consolidated Financial Statements.

75

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2007-2CB, Class 1A7, 1 mo. TSFR + .61%, 5.75%, 03/25/37 (c),(e)	$	566,105	$	248,110
Series 2007-8CB, Class A5, 1 mo. TSFR + .61%, 5.94%, 05/25/37 (c),(e)		915,494		409,507
Series 2007-HY6, Class A1, 1 mo. TSFR + .53%, 5.86%, 08/25/47 (c),(e)		426,695		348,739
Series 2007-OA11, Class A1A, 12 mo. MTA + 1.38%, 6.47%, 11/25/47 (c),(e)		368,453		292,137
Series 2007-OA2, Class 1A1, 12 mo. MTA + .84%, 5.93%, 03/25/47 (c),(e)		240,570		198,066
Series 2007-OH2, Class A2B, 1 mo. TSFR + .47%, 5.80%, 08/25/47 (c),(e)		137,723		123,937
American Home Mortgage Assets Trust, Series 2006-1, Class 1A2, 1 mo. TSFR + .30%, 5.63%, 05/25/46 (c),(e)		325,899		277,337
American Home Mortgage Investment Trust,
Series 2004-4, Class 6A2, 6.00%, 02/25/45 (c),(h)		7,500,000		5,857,177
Series 2005-2, Class 5A4C, 5.91%, 09/25/35 (c),(h)		768,348		388,723
Angel Oak Mortgage Trust, Series 2021-8, Class B1, 4.11%, 11/25/66 (c),(d),(e)		109,000		81,682
Banc of America Funding Trust, Series 2006-H, Class 5A1, 1 mo. TSFR + .47%, 5.80%, 10/20/36 (c),(e)		3,870,268		1,254,640
Banc of America Mortgage Trust, Series 2004-F, Class B1, 5.34%, 07/25/34 (c),(e)		251,487		222,020
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B2, 5.43%, 09/25/51 (c),(d)		100,000		82,649
Bear Stearns ALT-A Trust,
Series 2004-9, Class B1, 5.74%, 09/25/34 - 11/25/34 (c),(e)		309,272		265,456
Series 2006-1, Class 11A2, 1 mo. TSFR + .75%, 6.08%, 02/25/36 (c),(e)		1,275,561		1,066,341
Series 2006-3, Class 22A1, 4.07%, 05/25/36 (c),(e)		342,682		241,811
Series 2006-4, Class 13A1, 1 mo. TSFR + .43%, 5.76%, 08/25/36 (c),(e)		262,560		213,197
Bear Stearns Asset-Backed Securities I Trust, Series 2007-AC5, Class A5, 1 mo. TSFR + .56%, 5.89%, 07/25/37 (c),(e)		2,528,025		596,288
Calcon Mutual Mortgage, Series 2023-1, Class M1, 5.01%, 06/25/54 (c),(d),(e)		3,006,000		3,032,345
Chase Mortgage Finance Trust, Series 2007-A1, Class 1M, 5.56%, 02/25/37 (c),(e)		238,276		179,127

See Notes to Consolidated Financial Statements.

76

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
ChaseFlex Trust, Series 2007-1, Class 1A1, 6.50%, 02/25/37 (c)	$	1,020,434	$	337,579
Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-4A, Class B1, 4.62%, 10/25/35 (c),(d),(e)		297,703		231,494
CHL Mortgage Pass-Through Trust, Series 2005-3, Class 1A4, 1 mo. TSFR + .83%, 6.16%, 04/25/35 (c),(e)		474,472		408,706
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR6, Class 2A4, 1 mo. TSFR + .55%, 5.88%, 09/25/36 (c),(e)		809,988		293,638
CitiMortgage Alternative Loan Trust,
Series 2006-A4, Class 1A5, 1 mo. TSFR + .76%, 6.00%, 09/25/36 (c),(e)		799,951		619,656
Series 2007-A6, Class 1A1, 1 mo. TSFR + .71%, 6.00%, 06/25/37 (c),(e)		298,625		241,443
COLT Mortgage Loan Trust,
Series 2021-HX1, Class B1, 3.11%, 10/25/66 (c),(d),(e)		118,000		74,776
Series 2021-HX1, Class B3A, 4.14%, 10/25/66 (c),(d),(e)		100,000		63,062
Series 2022-1, Class B1, 4.07%, 12/27/66 (c),(d),(e)		100,000		82,753
Series 2022-1, Class B2, 4.07%, 12/27/66 (c),(d),(e)		100,000		71,038
Series 2022-2, Class B1, 3.96%, 02/25/67 (c),(d),(e)		100,000		77,841
Series 2022-3, Class B2, 4.22%, 02/25/67 (c),(d),(e)		100,000		76,164
Series 2022-4, Class B1, 4.61%, 03/25/67 - (c),(d),(e)		127,000		112,360
Series 2022-5, Class B1, 4.66%, 03/25/67 (c),(d),(e)		1,000,000		878,820
COLT Trust,
Series 2021-RPL1, Class B1, 4.69%, 09/25/61 (c),(d),(e)		100,000		74,330
Series 2021-RPL1, Class B2, 4.69%, 09/25/61 (c),(d),(e)		446,000		294,853
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class CB1, 5.72%, 11/25/33 (c),(e)		251,063		218,988
CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class DB1, 5.59%, 12/25/34 (c),(e)		378,058		243,330
CSMC Trust,
Series 2021-NQM3, Class B2, 4.13%, 04/25/66 (c),(d),(e)		800,000		537,723

See Notes to Consolidated Financial Statements.

77

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2021-NQM3, Class B1, 3.43%, 04/25/66 (c),(d),(e)	$	211,000	$	144,418
Series 2021-NQM7, Class B1, 3.72%, 10/25/66 (c),(d),(e)		100,000		72,189
Series 2021-NQM8, Class B1, 4.21%, 10/25/66 (c),(d),(e)		226,899		170,119
Series 2021-NQM8, Class B2, 4.22%, 10/25/66 (c),(d),(e)		100,000		77,399
Deephaven Residential Mortgage Trust,
Series 2020-2, Class B3, 5.79%, 05/25/65 (c),(d),(e)		263,000		239,621
Series 2021-2, Class B1, 3.17%, 04/25/66 (c),(d),(e)		100,000		72,574
Series 2021-2, Class B2, 3.93%, 04/25/66 (c),(d),(e)		100,000		70,264
Series 2021-3, Class B2, 4.13%, 08/25/66 (c),(d),(e)		100,000		68,990
Series 2021-4, Class B2, 4.45%, 11/25/66 (c),(d),(e)		100,000		75,033
Series 2022-1, Class B1, 4.27%, 01/25/67 (c),(d),(e)		100,000		79,166
Series 2022-1, Class B2, 4.27%, 01/25/67 (c),(d),(e)		120,000		83,468
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2006-AR5, Class 1A1, 1 mo. TSFR + .37%, 5.70%, 10/25/36 (c),(e)		1,334,559		423,762
DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A, 1 mo. TSFR + .53%, 5.86%, 03/19/45 (c),(e)		1,071,430		991,323
Ellington Financial Mortgage Trust, Series 2021-3, Class B2, 4.29%, 09/25/66 (c),(d),(e)		100,000		73,888
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA8, Class 1A3, 1 mo. TSFR + .61%, 5.94%, 02/25/37 (c),(e)		753,411		241,174
Series 2007-FA2, Class 1A2, 1 mo. TSFR + .66%, 5.99%, 04/25/37 (c),(e)		952,667		250,187
GCAT Trust,
Series 2022-HX1, Class B1, 4.02%, 12/27/66 (c),(d),(e)		100,000		75,951
Series 2022-HX1, Class M1, 4.02%, 12/27/66 (c),(d),(e)		100,000		76,748
GS Mortgage-Backed Securities Corp. Trust, Series 2021-PJ1, Class B3, 2.75%, 06/25/51 (c),(d),(e)		3,822,549		2,929,315
GSR Mortgage Loan Trust, Series 2005-AR6, Class B1, 5.64%, 09/25/35 (c),(e)		281,862		232,174
HarborView Mortgage Loan Trust,
Series 2005-10, Class 2A1B, 1 mo. TSFR + .87%, 6.20%, 11/19/35 (c),(e)		942,844		624,458

See Notes to Consolidated Financial Statements.

78

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2006-4, Class 1A1A, 1 mo. TSFR + .47%, 5.80%, 05/19/46 (c),(e)	$	545,746	$	278,180
Series 2007-6, Class 2A1B, 1 mo. TSFR + .34%, 5.67%, 08/19/37 (c),(e)		8,128,528		6,377,497
Imperial Fund Mortgage Trust, Series 2023-NQM1, Class M1, 8.20%, 02/25/68 (c),(d),(e)		256,000		261,389
IndyMac INDX Mortgage Loan Trust,
Series 2006-AR7, Class 3A1, 3.87%, 05/25/36 (c),(e)		218,580		182,400
Series 2007-FLX2, Class A2, 1 mo. TSFR + .30%, 5.82%, 04/25/37 (c),(e)		246,627		256,017
Series 2007-FLX5, Class 2A2, 1 mo. TSFR + .35%, 5.68%, 08/25/37 (c),(e)		4,473,887		3,665,353
JP Morgan Alternative Loan Trust, Series 2006-A6, Class 1A1, 1 mo. TSFR + .43%, 5.76%, 11/25/36 (c),(e)		289,792		237,459
JP Morgan Mortgage Trust,
Series 2018-5, Class B4, 3.72%, 10/25/48 (c),(d),(e)		249,937		212,252
Series 2023-HE2, Class M3, 1 mo. SOFR + 3.25%, 8.57%, 03/25/54 (c),(d),(e)		4,000,000		4,080,132
Legacy Mortgage Asset Trust,
Series 2020-GS4, Class A2, 7.00%, 02/25/60 (c),(d),(h)		1,059,888		1,015,598
Series 2021-GS3, Class A2, 3.25%, 07/25/61 (c),(d),(h)		556,000		511,537
Lehman Mortgage Trust, Series 2007-1, Class 1A2, 5.75%, 02/25/37 (c)		530,031		495,387
Lehman XS Trust, Series 2007-15N, Class 4A1, 1 mo. TSFR + 1.01%, 6.34%, 08/25/47 (c),(e)		270,007		240,800
LHOME Mortgage Trust, Series 2021-RTL2, Class M, 5.61%, 06/25/26 (c),(d),(h)		684,000		612,237
Merrill Lynch Mortgage Investors Trust,
Series 2005-3, Class M1, 5.66%, 11/25/35 (c),(e)		454,109		261,405
Series 2005-A5, Class M1, 4.39%, 06/25/35 (c),(e)		643,956		550,946
MFA Trust,
Series 2021-INV2, Class B1, 4.39%, 11/25/56 (c),(d),(e)		100,000		78,185
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class B1, 6.08%, 09/25/34 (c),(e)		265,076		209,344
Series 2004-9, Class B1, 5.41%, 11/25/34 (c),(e)		284,057		226,675
Series 2005-1, Class B1, 5.63%, 03/25/35 (c),(e)		491,387		320,051

See Notes to Consolidated Financial Statements.

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March 31, 2024

Security Description	Principal Amount		Value
New Residential Mortgage Loan Trust,
Series 2022-NQM1, Class B1, 3.82%, 04/25/61 (c),(d),(e)	$	100,000	$	71,146
Series 2022-NQM1, Class B2, 3.82%, 04/25/61 (c),(d),(e)		100,000		68,658
NMLT Trust, Series 2021-INV1, Class B1, 3.61%, 05/25/56 (c),(d),(e)		138,000		94,675
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR3, Class A3A, 1 mo. TSFR + .45%, 5.78%, 10/25/36 (c),(e)		318,192		271,634
Preston Ridge Partners Mortgage LLC,
Series 2021-6, Class A2, 3.47%, 07/25/26 (c),(d),(h)		100,000		94,184
Series 2021-7, Class A2, 3.67%, 08/25/26 (c),(d),(h)		207,000		198,985
Series 2021-8, Class A2, 3.60%, 09/25/26 (c),(d),(e)		129,000		120,310
Series 2021-9, Class A2, 3.97%, 10/25/26 (c),(d),(e)		244,000		235,730
RCKT Mortgage Trust,
Series 2023-CES1, Class M2, 7.98%, 06/25/43 (c),(d),(e)		251,000		255,706
Series 2023-CES2, Class M1, 7.36%, 09/25/43 (c),(d),(e)		5,513,000		5,580,242
Series 2023-CES2, Class M2, 8.18%, 09/25/43 (c),(d),(e)		348,000		356,703
Residential Accredit Loans, Inc. Trust,
Series 2006-QO7, Class 1A1, 12 mo. MTA + .80%, 5.89%, 09/25/46 (c),(e)		332,446		270,133
Series 2007-QH5, Class AI1, 1 mo. TSFR + .53%, 5.86%, 06/25/37 (c),(e)		1,594,229		1,111,476
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A4, 6.25%, 07/25/36 (c)		322,745		249,777
Saluda Grade Alternative Mortgage Trust, Series 2023-FIG3, Class B, 7.71%, 08/25/53 (c),(d)		1,727,709		1,765,591
Sequoia Mortgage Trust, Series 2019-4, Class B4, 3.77%, 11/25/49 (c),(d),(e)		2,158,000		1,442,224
Starwood Mortgage Residential Trust,
Series 2021-4, Class B2, 4.14%, 08/25/56 (c),(d),(e)		268,000		188,146
Series 2020-INV1, Class B1, 3.26%, 11/25/55 (c),(d)		123,000		96,108
Series 2021-3, Class B1, 3.35%, 06/25/56 (c),(d),(e)		100,000		66,703
Series 2021-6, Class B1, 3.94%, 11/25/66 (c),(d),(e)		178,000		125,602
Series 2021-6, Class B2, 3.94%, 11/25/66 (c),(d),(e)		100,000		65,295

See Notes to Consolidated Financial Statements.

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March 31, 2024

Security Description	Principal Amount		Value
Series 2022-1, Class B1, 3.96%, 12/25/56 (c),(d),(e)	$	135,000	$	98,172
Structured Asset Mortgage Investments II Trust, Series 2007-AR1, Class 2A2, 1 mo. TSFR + .32%, 5.86%, 01/25/37 (c),(e)		420,243		490,475
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class B1II, 5.85%, 09/25/33 (c),(e)		214,247		143,272
Thornburg Mortgage Securities Trust, Series 2005-3, Class B1, 5.21%, 10/25/45 (c),(e)		562,576		428,347
Towd Point Mortgage Trust,
Series 2020-1, Class B3, 4.57%, 01/25/60 (c),(d),(e)		2,690,000		1,822,989
Series 2021-1, Class B2, 4.38%, 11/25/61 (c),(d),(e)		494,000		347,969
TRK Trust,
Series 2021-INV2, Class B1, 4.10%, 11/25/26 (c),(d),(e)		117,000		87,580
Series 2021-INV2, Class B2, 4.40%, 11/25/56 (c),(d),(e)		1,000,000		721,448
Series 2022-INV1, Class B1, 4.02%, 02/25/57 (c),(d),(e)		111,000		84,825
Series 2022-INV1, Class B2, 4.02%, 02/25/57 (c),(d),(e)		100,000		68,103
Verus Securitization Trust,
Series 2022-1,Class B2, 3.99%, 01/25/67 (c),(d),(e)		1,000,000		636,742
Series 2022-4, Class B1, 4.73%, 04/25/67 (c),(d),(e)		1,000,000		824,711
Series 2022-INV1, Class B1, 5.85%, 08/25/67 (c),(d),(e)		1,000,000		949,509
WaMu Mortgage Pass-Through Certificates Trust,
Series 2005-AR1, Class B1, 1 mo. TSFR + .94%, 6.27%, 01/25/45 (c),(e)		265,270		233,569
Series 2005-AR17, Class A1C4, 1 mo. TSFR + .91%, 6.24%, 12/25/45 (c),(e)		533,557		365,674
Series 2005-AR6, Class B1, 1 mo. TSFR + 1.01%, 6.34%, 04/25/45 (c),(e)		465,555		339,907
Series 2005-AR9, Class B1, 1 mo. TSFR + 1.06%, 6.39%, 07/25/45 (c),(e)		170,418		154,490
Series 2006-AR1, Class 2A1C, 12 mo. MTA + 1.07%, 6.16%, 01/25/46 (c),(e)		204,383		190,046
Series 2006-AR17, Class 1A, 12 mo. MTA + .82%, 4.40%, 12/25/46 (c),(e)		1,274,822		1,027,248
Series 2007-HY6, Class 1A1, 3.81%, 06/25/37 (c),(e)		297,634		234,684
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
Series 2005-11, Class A2, 5.75%, 01/25/36 (c)		227,489		179,943
Series 2005-AR1, Class A1B, 1 mo. TSFR + .79%, 6.12%, 12/25/35 (c),(e)		231,866		247,842

See Notes to Consolidated Financial Statements.

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2006-5, Class 1A3, 6.00%, 07/25/36 (c)	$	350,615	$	267,842
Series 2007-3, Class A19, 6.00%, 04/25/37 (c)		511,934		455,884
Series 2007-OA3, Class 2A, 12 mo. MTA + .75%, 5.84%, 02/25/47 (c),(e)		230,798		194,066
				89,578,530
Commercial Mortgage-Backed Securities — 4.0%
Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4, Class E, 2.00%, 02/15/55 (c),(d)		130,000		73,790
AREIT LLC, Series 2022-CRE7, Class C, 1 mo. TSFR + 3.84%, 9.17%, 06/17/39 (c),(d),(e)		1,000,000		984,870
AREIT Trust, Series 2022-CRE6, Class C, 1 mo. SOFR + 2.15%, 7.47%, 01/20/37 (c),(d),(e)		100,000		95,664
BAMLL Commercial Mortgage Securities Trust,
Series 2019-BPR, Class EMP, 3.89%, 11/05/32 (c),(d),(e)		8,817,000		8,000,625
Series 2019-BPR, Class FMP, 3.89%, 11/05/32 (c),(d),(e)		4,408,000		3,912,841
Benchmark Mortgage Trust,
Series 2018-B7, Class D, 3.00%, 05/15/53 (c),(d)		290,000		211,132
Series 2023-V3, Class XD, 3.17%, 07/15/56 (c),(d),(e),(g)		1,000,000		115,900
BHMS Mortgage Trust,
Series 2018-ATLS, Class C, 1 mo. TSFR + 2.20%, 7.52%, 07/15/35 (c),(d),(e)		525,000		516,140
Series 2018-ATLS, Class E, 1 mo. TSFR + 3.30%, 8.62%, 07/15/35 (c),(d),(e)		2,103,000		2,046,467
BLP Commercial Mortgage Trust, Series 2024-IND2, Class E, 1 mo. TSFR + 3.69%, 9.01%, 03/15/41 (c),(d),(e)		4,990,000		4,985,664
BOCA Commercial Mortgage Trust, Series 2022-BOCA, Class E, 1 mo. TSFR + 4.22%, 9.54%, 05/15/39 (c),(d),(e)		1,079,000		1,070,723
BX Commercial Mortgage Trust,
Series 2020-VIVA, Class E, 3.55%, 03/11/44 (c),(d),(e)		7,501,000		6,129,645
Series 2021-CIP, Class F, 1 mo. TSFR + 3.33%, 8.66%, 12/15/38 (c),(d),(e)		153,000		148,725
Series 2021-MC, Class G, 1 mo. TSFR + 3.20%, 8.53%, 04/15/34 (c),(d),(e)		100,000		92,673
Series 2021-SOAR, Class F, 1 mo. TSFR + 2.46%, 7.79%, 06/15/38 (c),(d),(e)		1,249,083		1,235,486
Series 2021-SOAR, Class G, 1 mo. TSFR + 2.91%, 8.24%, 06/15/38 (c),(d),(e)		210,093		207,185

See Notes to Consolidated Financial Statements.

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2021-SOAR, Class J, 1 mo. TSFR + 3.86%, 9.19%, 06/15/38 (c),(d),(e)	$	882,744	$	862,818
Series 2021-VINO, Class E, 1 mo. TSFR + 2.07%, 7.39%, 05/15/38 (c),(d),(e)		1,133,743		1,115,201
Series 2022-AHP, Class E, 1 mo. TSFR + 3.04%, 8.37%, 01/17/39 (c),(d),(e)		216,000		208,239
BX Trust,
Series 2018-GW, Class F, 1 mo. TSFR + 2.72%, 8.04%, 05/15/35 (c),(d),(e)		106,000		103,421
Series 2021-ARIA, Class E, 1 mo. TSFR + 2.36%, 7.68%, 10/15/36 (c),(d),(e)		2,914,000		2,834,433
Series 2022-FOX2, Class E, 1 mo. TSFR + 2.96%, 8.28%, 04/15/39 (c),(d),(e)		816,889		781,878
BXSC Commercial Mortgage Trust, Series 2022-WSS, Class E, 1 mo. TSFR + 4.13%, 9.46%, 03/15/35 (c),(d),(e)		148,000		146,752
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class E, 1 mo. TSFR + 2.20%, 7.77%, 12/15/37 (c),(d),(e)		1,000,000		994,173
Series 2019-LIFE, Class F, 1 mo. TSFR + 2.847%, 8.17%, 12/15/37 (c),(d),(e)		1,000,000		990,754
Series 2019-LIFE, Class G, 1 mo. TSFR + 3.55%, 8.87%, 12/15/37 (c),(d),(e)		129,000		127,275
Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK98, 0.00%, 08/29/29 (c),(d),(f)		1,000,000		646,741
CD Mortgage Trust, Series 2016-CD1, Class D, 2.77%, 08/10/49 (c),(d),(e)		1,120,000		562,464
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class C, 4.94%, 09/10/45 (c),(d),(e)		91,143		82,264
Series 2016-GC37, Class D, 2.79%, 04/10/49 (c),(d)		100,000		76,562
Series 2019-C7, Class E, 2.75%, 12/15/72 (c),(d)		697,000		422,517
Series 2020-420K, Class E, 3.31%, 11/10/42 (c),(d),(e)		599,101		473,903
Cold Storage Trust, Series 2020-ICE5, Class F, 1 mo. TSFR + 3.61%, 8.93%, 11/15/37 (c),(d),(e)		982,990		966,017
COMM Mortgage Trust,
Series 2014-CR14, Class D, 3.68%, 02/10/47 (c),(d),(e)		591,000		568,226
Series 2014-CR18, Class D, 4.76%, 07/15/47 (c),(d),(e)		2,161,000		1,998,506
Series 2015-CR27, Class E, 3.25%, 10/10/48 (c),(d)		1,439,000		1,155,382
Series 2019-GC44, Class 180B, 3.40%, 08/15/57 (c),(d),(e)		160,000		153,057

See Notes to Consolidated Financial Statements.

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2019-GC44, Class 180C, 3.40%, 08/15/57 (c),(d),(e)	$	386,000	$	370,988
Series 2019-GC44, Class 180D, 3.40%, 08/15/57 (c),(d),(e)		231,000		219,254
Commercial Mortgage Trust,
Series 2015-CR22, Class E, 3.00%, 03/10/48 (c),(d)		239,000		176,996
Series 2015-CR23, Class C, 4.28%, 05/10/48 (c),(e)		123,000		117,076
Series 2015-CR23, Class D, 4.28%, 05/10/48 (c),(e)		502,000		403,105
Series 2015-CR23, Class E, 3.23%, 05/10/48 (c),(d)		1,393,000		850,974
Series 2015-CR25, Class D, 3.77%, 08/10/48 (c),(e)		479,000		416,515
Series 2015-CR27, Class D, 3.45%, 10/10/48 (c),(d),(e)		3,065,000		2,731,010
Series 2015-LC21, Class C, 4.32%, 07/10/48 (c),(e)		1,113,000		1,048,807
Series 2015-LC21, Class D, 4.32%, 07/10/48 (c),(e)		1,348,000		1,192,301
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class D, 4.17%, 06/15/57 (c),(e)		843,000		611,677
Series 2015-C4, Class E, 3.56%, 11/15/48 (c),(e)		100,000		84,228
Series 2015-C4, Class F, 3.50%, 11/15/48 (c),(d),(e)		5,568,000		4,011,950
Series 2016-C5, Class C, 4.64%, 11/15/48 (c),(e)		355,000		326,161
Series 2018-CX11, Class D, 2.75%, 04/15/51 (c),(d),(e)		604,000		430,904
Series 2019-C16, Class D, 3.00%, 06/15/52 (c),(d)		163,000		105,984
Series 2019-C17, Class D, 2.50%, 09/15/52 - 10/15/52 (c),(d)		1,512,000		1,029,374
ELP Commercial Mortgage Trust,
Series 2021-ELP, Class G, 1 mo. TSFR + 3.23%, 8.56%, 11/15/38 (c),(d),(e)		1,210,591		1,183,114
Series 2021-ELP, Class J, 1 mo. TSFR + 3.73%, 9.06%, 11/15/38 (c),(d),(e)		1,006,828		971,475
Federal Home Loan Mortgage Corp.,
Series 2021-MN1, Class M2, 1 mo. SOFR + 3.75%, 9.07%, 01/25/51 (c),(d),(e)		102,000		99,453
Series 2021-MN2, Class M2, 1 mo. SOFR + 3.25%, 8.67%, 07/25/41 (c),(d),(e)		128,000		115,395

See Notes to Consolidated Financial Statements.

84

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class F, 3.96%, 12/10/36 (c),(d),(e)	$	1,837,000	$	1,780,446
Series 2019-FBLU, Class G, 3.96%, 12/10/36 (c),(d),(e)		724,000		697,851
Series 2019-FBLU, Class H, 3.96%, 12/10/36 (c),(d),(e)		116,000		111,484
FREMF Mortgage Trust,
Series 2017-KGX1, Class CFX, 3.59%, 10/25/27 (c),(d),(e)		1,000,000		866,609
Series 2019-KL4L, Class BCR, 1 mo. SOFR + 3.61%, 8.93%, 11/25/25 (c),(d),(e)		12,168		12,043
Great Wolf Trust, Series 2019-WOLF, Class F, 1 mo. TSFR + 3.45%, 8.77%, 12/15/36 (c),(d),(e)		1,025,576		1,021,650
GS Mortgage Securities Corp. Trust,
Series 2018-HULA, Class G, 1 mo. TSFR + 3.70%, 9.03%, 07/15/25 (c),(d),(e)		974,233		959,690
Series 2021-DM, Class F, 1 mo. TSFR + 3.55%, 8.88%, 11/15/36 (c),(d),(e)		312,000		299,397
Series 2021-ROSS, Class F, 1 mo. TSFR + 4.01%, 9.34%, 05/15/26 (c),(d),(e)		1,019,000		426,714
Series 2021-ROSS, Class G, 1 mo. TSFR + 4.76%, 10.09%, 05/15/26 (c),(d),(e)		1,000,000		392,425
Series 2021-ROSS, Class H, 1 mo. TSFR + 6.01%, 11.34%, 05/15/26 (c),(d),(e)		1,000,000		253,226
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class D, 4.45%, 11/10/45 (c),(d),(e)		177,047		159,638
Series 2013-GC10, Class E, 4.54%, 02/10/46 (c),(d),(e)		3,900,000		3,283,944
Series 2014-GC20, Class C, 4.95%, 04/10/47 (c),(e)		1,874,000		1,836,736
Series 2014-GC20, Class D, 4.95%, 04/10/47 (c),(d),(e)		503,911		457,293
Series 2014-GC24, Class B, 4.50%, 09/10/47 (c),(e)		100,000		96,800
Series 2014-GC24, Class C, 4.52%, 09/10/47 (c),(e)		303,000		286,607
Series 2016-GS2, Class D, 2.75%, 05/10/49 (c),(d)		1,415,000		1,168,595
Series 2017-GS8, Class D, 2.70%, 11/10/50 (c),(d)		1,593,000		1,122,284
Hawaii Hotel Trust, Series 2019-MAUI, Class G, 1 mo. TSFR + 3.20%,8.52%, 05/15/38 (c),(d),(e)		1,020,000		1,004,827
Hilton USA Trust,
Series 2016-HHV, Class F, 4.19%, 11/05/38 (c),(d),(e)		20,614,000		18,872,055

See Notes to Consolidated Financial Statements.

85

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2016-SFP, Class F, 6.16%, 11/05/35 (c),(d)	$	1,068,000	$	25,072
IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 06/15/34 (c),(d),(e)		625,000		614,607
JP Morgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class C, 4.72%, 01/15/49 (c),(e)		102,000		90,544
Series 2016-JP3, Class D, 3.42%, 08/15/49 (c),(d),(e)		100,000		68,875
Series 2021-MHC, Class F, 1 mo. TSFR + 3.06%,8.39%, 04/15/38 (c),(d),(e)		1,143,000		1,128,229
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C23, Class D, 3.98%, 09/15/47 (c),(d),(e)		100,000		90,161
Series 2014-C26, Class C, 4.36%, 01/15/48 (c),(e)		642,000		617,547
Series 2015-C31, Class E, 4.62%, 08/15/48 (c),(d),(e)		1,093,000		753,376
Series 2016-C1, Class C, 4.70%, 03/17/49 (c),(e)		651,000		602,803
Series 2016-C1, Class E, 4.70%, 03/17/49 (c),(d),(e)		3,126,000		2,594,405
KKR Industrial Portfolio Trust, Series 2021-KDIP, Class G, 1 mo. TSFR + 3.86%, 9.19%, 12/15/37 (c),(d),(e)		370,866		370,948
Life Mortgage Trust, Series 2021-BMR, Class F, 1 mo. TSFR + 2.46%,7.79%, 03/15/38 (c),(d),(e)		1,130,416		1,096,767
LSTAR Commercial Mortgage Trust,
Series 2015-3, Class E, 3.13%, 04/20/48 (c),(d),(e)		121,000		110,658
Series 2017-5, Class C, 4.67%, 03/10/50 (c),(d),(e)		967,000		816,194
Series 2017-5, Class D, 4.67%, 03/10/50 (c),(d),(e)		1,125,000		886,252
LUXE Trust,
Series 2021-TRIP, Class F, 1 mo. TSFR + 3.36%, 8.69%, 10/15/38 (c),(d),(e)		1,867,000		1,857,811
Series 2021-TRIP, Class G, 1 mo. TSFR + 4.36%, 9.69%, 10/15/38 (c),(d),(e)		1,229,000		1,211,438
MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class E, 1 mo. TSFR + 3.11%, 8.44%, 07/15/36 (c),(d),(e)		100,000		95,617
MHC Commercial Mortgage Trust, Series 2021-MHC, Class G, 1 mo. TSFR + 3.32%, 8.64%, 04/15/38 (c),(d),(e)		1,205,466		1,192,257
MHC Trust,
Series 2021-MHC2, Class E, 1 mo. TSFR + 2.06%, 7.39%, 05/15/38 (c),(d),(e)		265,600		259,700

See Notes to Consolidated Financial Statements.

86

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2021-MHC2, Class F, 1 mo. TSFR + 2.51%, 7.84%, 05/15/38 (c),(d),(e)	$	876,000	$	843,001
MHP Trust,
Series 2022-MHIL, Class F, 1 mo. TSFR + 3.26%,8.58%, 01/15/27 (c),(d),(e)		940,785		918,908
Series 2022-MHIL, Class G, 1 mo. TSFR + 3.96%,9.28%, 01/15/27 (c),(d),(e)		713,794		695,601
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C17, Class D, 4.65%, 08/15/47 (c),(d),(e)		100,000		94,866
Series 2015-C20, Class D, 3.07%, 02/15/48 (c),(d)		393,000		362,252
Series 2016-C31, Class D, 3.00%, 11/15/49 (c),(d),(e)		1,441,000		838,171
Series 2016-C32, Class D, 3.40%, 12/15/49 - 01/15/59 (c),(d),(e)		1,456,000		1,012,783
Morgan Stanley Capital I Trust,
Series 2016-UB11, Class E, 2.59%, 08/15/49 (c),(d),(e)		3,200,500		1,973,089
Series 2018-SUN, Class F, 1 mo. TSFR + 2.85%,8.17%, 07/15/35 (c),(d),(e)		1,000,000		971,742
Natixis Commercial Mortgage Securities Trust,
Series 2019-MILE, Class D, 1 mo. TSFR + 2.83%,8.16%, 07/15/36 (c),(d),(e)		102,000		88,596
Series 2019-MILE, Class E, 1 mo. TSFR + 3.58%,8.91%, 07/15/36 (c),(d),(e)		135,000		104,461
Series 2022-RRI, Class C, 1 mo. TSFR + 3.10%,8.42%, 03/15/35 (c),(d),(e)		99,126		96,032
NCMF Trust, Series 2022-MFP, Class C, 1 mo. TSFR + 2.84%,8.16%, 03/15/39 (c),(d),(e)		1,000,000		989,647
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. TSFR + 2.74%,8.06%, 04/15/32 (c),(d),(e)		1,301,000		1,206,002
OPG Trust,
Series 2021-PORT, Class G, 1 mo. TSFR + 2.51%,7.84%, 10/15/36 (c),(d),(e)		611,610		594,991
Series 2021-PORT, Class J, 1 mo. TSFR + 3.46%,8.79%, 10/15/36 (c),(d),(e)		79,661		76,900
ORL Trust, Series 2023-GLKS, Class D, 1 mo. TSFR + 4.30%,9.63%, 10/19/36 (c),(d),(e)		100,000		100,156
Prima Capital CRE Securitization Ltd.,
Series 2019-1S, Class C, 5.50%, 10/01/33 (c),(d)		1,000,000		852,198
Series 2019-RK1, Class BT, 4.45%, 04/15/38 (c),(d)		1,173,000		898,796
Series 2019-RK1, Class CG, 4.00%, 04/15/38 (c),(d)		339,000		250,744
Series 2019-RK1, Class CT, 4.45%, 04/15/38 (c),(d)		121,000		88,310

See Notes to Consolidated Financial Statements.

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Ready Capital Mortgage Financing LLC,
Series 2021-FL7, Class D, 1 mo. TSFR + 3.06%,8.39%, 11/25/36 (c),(d),(e)	$	100,000	$	93,511
Series 2022-FL9, Class B, 1 mo. TSFR + 3.61%,8.94%, 06/25/37 (c),(d),(e)		290,000		286,370
Series 2022-FL9, Class C, 1 mo. TSFR + 4.31%,9.64%, 06/25/37 (c),(d),(e)		1,303,000		1,283,516
ReadyCap Commercial Mortgage Trust,
Series 2019-6, Class C, 4.13%, 10/25/52 (c),(d),(e)		1,691,000		1,456,555
Series 2019-6, Class D, 4.65%, 10/25/52 (c),(d),(e)		227,000		177,019
SCG Mortgage Trust, Series 2023-NASH, Class D, 1 mo. TSFR + 4.19%,9.51%, 12/15/40 (c),(d),(e)		320,000		318,213
SG Commercial Mortgage Securities Trust,
Series 2016-C5, Class D, 4.82%, 10/10/48 (c),(d),(e)		295,000		178,048
Series 2019-PREZ, Class E, 3.48%, 09/15/39 (c),(d),(e)		1,720,000		1,325,060
SREIT Trust,
Series 2021-IND, Class F, 1 mo. TSFR + 2.65%,7.97%, 10/15/38 (c),(d),(e)		145,000		138,922
Series 2021-IND, Class G, 1 mo. TSFR + 3.38%,8.71%, 10/15/38 (c),(d),(e)		1,545,000		1,463,364
Starwood Mortgage Trust,
Series 2021-LIH, Class E, 1 mo. TSFR + 3.02%,8.34%, 11/15/36 (c),(d),(e)		1,000,000		974,615
Series 2021-LIH, Class F, 1 mo. TSFR + 3.67%,8.99%, 11/15/36 (c),(d),(e)		125,000		121,134
Series 2021-LIH, Class G, 1 mo. TSFR + 4.31%,9.64%, 11/15/36 (c),(d),(e)		1,000,000		961,443
STWD Trust, Series 2021-FLWR, Class G, 1 mo. TSFR + 3.79%,9.11%, 07/15/36 (c),(d),(e)		223,000		219,707
TPGI Trust, Series 2021-DGWD, Class G, 1 mo. TSFR + 3.96%,9.29%, 06/15/26 (c),(d),(e)		1,143,200		1,142,396
UBS Commercial Mortgage Trust,
Series 2018-C11, Class D, 3.00%, 06/15/51 (c),(d),(e)		112,000		66,421
Series 2018-C9, Class D, 4.95%, 03/15/51 (c),(d),(e)		331,000		198,990
Velocity Commercial Capital Loan Trust,
Series 2023-3, Class M1, 7.51%, 08/25/53 (c),(d),(e)		4,087,956		4,138,933
Series 2023-3, Class M2, 8.27%, 08/25/53 (c),(d),(e)		248,927		252,967
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class D, 3.96%, 12/15/47 (c),(d),(e)		992,000		938,616

See Notes to Consolidated Financial Statements.

88

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2015-C26, Class D, 3.59%, 02/15/48 (c),(d)	$	4,590,000	$	4,279,014
Series 2015-C27, Class D, 3.77%, 02/15/48 (c),(d)		5,146,000		3,290,810
Series 2015-NXS4, Class D, 3.68%, 12/15/48 (c),(e)		100,000		88,504
Series 2016-LC24, Class D, 3.21%, 10/15/49 (c),(d)		4,253,000		3,381,224
Series 2016-NXS5, Class E, 4.98%, 01/15/59 (c),(d),(e)		100,000		58,726
Series 2019-JWDR, Class D, 3.33%, 09/15/31 (c),(d),(e)		100,000		92,029
Series 2019-JWDR, Class F, 4.56%, 09/15/31 (c),(d),(e)		2,488,000		2,306,145
Series 2019-JWDR, Class G, 5.38%, 09/15/31 (c),(d),(e)		2,074,000		1,906,958
WFRBS Commercial Mortgage Trust, Series 2014-C19, Class D, 4.23%, 03/15/47 (c),(d)		311,849		308,864
WMRK Commercial Mortgage Trust,
Series 2022-WMRK, Class C, 1 mo. TSFR + 4.08%,9.41%, 11/15/27 (c),(d),(e)		2,696,000		2,709,644
Series 2022-WMRK, Class D, 1 mo. TSFR + 4.93%,10.26%, 11/15/27 (c),(d),(e)		1,000,000		1,007,325
Series 2022-WMRK, Class E, 1 mo. TSFR + 5.68%,11.00%, 11/15/27 (c),(d),(e)		1,000,000		1,004,058
Worldwide Plaza Trust, Series 2017-WWP, Class F, 3.60%, 11/10/36 (c),(d),(e)		109,000		9,772
				160,424,548
Interest Only Commercial Mortgage-Backed Securities — 2.0%
Bank5, Series 2024-5YR5, Class XD, 3.00%, 02/15/29 (c),(d),(e),(g)		1,000,000		122,175
BBCMS Mortgage Trust, Series 2022-C16, Class XD, 2.18%, 06/15/55 (c),(d),(e),(g)		4,299,000		587,437
California Housing Finance Agency, Series X, 0.29%, 01/15/35 (c),(e),(g)		14,417,722		239,724
CFK Trust, Series 2020-MF2, Class X, 0.77%, 03/15/39 (c),(d),(e),(g)		19,612,000		376,668
Citigroup Commercial Mortgage Trust,
Series 2019-C7, Class XD, 1.20%, 12/15/72 (c),(d),(e),(g)		5,347,000		298,250
Series 2019-GC43, Class XD, 0.62%, 11/10/52 (c),(d),(e),(g)		5,918,000		166,994
Commercial Mortgage Trust, Series 2014-UBS4, Class XA, 1.05%, 08/10/47 (c),(e),(g)		13,824,438		20,294
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA, 0.71%, 06/15/57 (c),(e),(g)		32,586,693		188,514

See Notes to Consolidated Financial Statements.

89

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series 2015-C3, Class XA, 0.66%, 08/15/48 (c),(e),(g)	$	63,068,848	$	364,349
Series 2019-C18, Class XD, 1.42%, 12/15/52 (c),(d),(e),(g)		4,452,333		280,933
DC Office Trust, Series 2019-MTC, Class X, 0.11%, 09/15/45 (c),(d),(e),(g)		64,579,000		431,129
Federal Home Loan Mortgage Corp.,
Series 303, Class C28, 4.50%, 01/15/43 (g)		9,231,578		1,816,239
Series 4941, Class IO, 4.00%, 12/15/47 (g)		6,673,114		1,316,725
Series 4976, Class MI, 4.50%, 05/25/50 (g)		14,400,708		2,952,347
Series 5036, Class KI, 4.00%, 06/25/48 (g)		17,083,394		3,193,296
Series 5093, Class AI, 3.50%, 04/25/51 (g)		12,779,677		2,067,995
Series 5104, Class GI, 3.50%, 06/25/49 (g)		9,289,573		1,771,512
Series 5134, Class BI, 4.50%, 08/25/51 (g)		17,352,238		3,851,815
Series 5146, Class BI, 4.00%, 08/25/50 (g)		22,057,287		4,279,753
Series 5236, Class KI, 4.00%, 11/25/51 (g)		29,479,727		5,784,129
Series 5322, Class DI, 3.00%, 10/25/51 (g)		15,496,912		2,381,473
Series K049, Class X3, 1.55%, 10/25/43 (c),(e),(g)		2,177,000		33,933
Series K061, Class X1, 0.15%, 11/25/26 (c),(e),(g)		15,736,262		64,047
Series K071, Class X1, 0.28%, 11/25/27 (c),(e),(g)		86,564,617		727,403
Series K085, Class X3, 2.31%, 12/25/45 (c),(e),(g)		1,000,000		90,464
Series K095, Class X3, 2.10%, 08/25/47 (c),(e),(g)		9,297,000		856,495
Series K102, Class X3, 1.89%, 12/25/46 (c),(e),(g)		1,000,000		88,784
Series K115, Class X3, 2.96%, 09/25/48 (c),(e),(g)		1,000,000		143,551
Series K118, Class X3, 2.69%, 10/25/48 (c),(e),(g)		652,000		87,946
Series K119, Class X3, 2.73%, 09/25/48 (c),(e),(g)		1,525,000		208,195
Series K122, Class X3, 2.63%, 01/25/49 (c),(e),(g)		1,000,000		134,667
Series K126, Class X3, 2.63%, 01/25/49 (c),(e),(g)		1,148,000		159,487
Series K128, Class X3, 2.78%, 04/25/31 (c),(e),(g)		1,000,000		147,220
Series K142, Class X3, 3.10%, 03/25/32 (c),(e),(g)		1,000,000		182,534
Series K143, Class X3, 3.14%, 04/25/50 (c),(e),(g)		1,000,000		186,170
Series K148, Class X3, 4.15%, 08/25/54 (c),(e),(g)		751,000		194,313

See Notes to Consolidated Financial Statements.

90

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
Series K-1514, Class X3, 2.77%, 10/25/34 (c),(e),(g)	$	13,043,739	$	2,586,104
Series K154, Class X1, 0.29%, 11/25/32 (c),(e),(g)		30,874,999		555,102
Series KLU1, Class X3, 4.11%, 01/25/31 (c),(e),(g)		18,464,853		1,933,566
Series KLU2, Class X1, 0.96%, 08/25/29 (c),(e),(g)		55,245,351		2,185,230
Series KLU2, Class X3, 3.91%, 08/25/29 (c),(e),(g)		8,205,250		1,067,470
Series KS11, Class XFX, 1.60%, 06/25/29 (c),(e),(g)		25,186,898		1,544,637
Series KW10, Class X3, 2.72%, 10/25/32 (c),(e),(g)		5,935,000		719,411
Federal National Mortgage Association,
Series 2020-41, Class GI, 4.00%, 10/15/44 (g)		34,342,570		6,407,705
Series 2020-62, Class GI, 4.00%, 06/25/48 (g)		8,836,183		1,760,724
Series 2021-91, Class NI, 3.50%, 01/25/52 (g)		23,453,311		4,069,220
Series 409, Class C14, 3.50%, 04/25/42 (g)		12,840,819		2,055,301
Series 413, Class C35, 4.50%, 10/25/40 (g)		10,476,467		1,936,481
Government National Mortgage Association,
Series 2021-158, Class JI, 5.00%, 02/20/50 (g)		12,288,305		2,547,685
Series 2022-125, Class CI, 5.00%, 06/20/52 (g)		21,950,476		4,183,585
Series 2022-125, Class IO, 4.50%, 06/20/52 (g)		26,979,827		5,073,125
Series 2022-159, Class IA, 4.50%, 12/20/48 (g)		18,387,091		3,319,716
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class XCP, 0.00%, 12/15/36 (c),(d),(e),(f),(g)		15,243,000		152
GS Mortgage Securities Trust, Series 2019-GC40, Class XD, 1.24%, 07/10/52 (c),(d),(e),(g)		2,219,000		116,790
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XD, 1.42%, 11/13/52 (c),(d),(e),(g)		4,231,000		272,015
MFT Mortgage Trust, Series 2020-ABC, Class XA, 0.12%, 02/10/42 (c),(d),(e),(g)		20,401,000		152,416
				78,283,395
U.S. Government Sponsored Agency Securities — 8.4%
Uniform Mortgage-Backed Security,
TBA, 30 Year Maturity, 5.50%, 04/01/54 (n)		71,000,000		70,669,992
TBA, 30 Year Maturity, 6.50%, 05/01/54 (n)		260,000,000		265,494,580
				336,164,572
Total North America				665,706,359
TOTAL MORTGAGE-BACKED SECURITIES (COST $687,645,219)				667,185,857

See Notes to Consolidated Financial Statements.

91

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
U.S. TREASURY NOTES — 3.3%
North America — 3.3%
0.00%, 04/16/24 - 06/25/24 (c),(f)	$	125,000,000	$	124,472,482
U.S. Treasury Notes,
2.75%, 08/15/32 (c),(j)		1,680,600		1,507,354
3.50%, 01/31/28 (c),(j)		832,900		808,531
3.88%, 12/31/27 (c),(j)		4,088,900		4,022,934
4.13%, 11/15/32 (c),(j)		1,911,000		1,897,936
Total North America				132,709,237
TOTAL U.S. TREASURY NOTES (COST $131,827,150)				132,709,237
Security Description	Shares		Value
EXCHANGE-TRADED FUNDS — 0.6%
iShares iBoxx $ Investment Grade Corporate Bond ETF (c)		17,500		1,906,100
Pershing Square Holdings Ltd.		445,571		22,991,464
TOTAL EXCHANGE-TRADED FUNDS (COST $21,811,929)				24,897,564
UNDERTAKINGS FOR COLLECTIVE INVESTMENT IN TRANSFERABLE SECURITIES — 3.8%
Ruffer SICAV - Ruffer Total Return International Class I (a)		82,985,608		152,270,292
TOTAL UNDERTAKINGS FOR COLLECTIVE INVESTMENT IN TRANSFERABLE SECURITIES (COST $161,327,914)				152,270,292
WARRANTS — 0.1%
ATI Penny Warrant (a),(c)		111,184		15,566
ATI Warrant (a),(c)		100,595		0
McLaren Racing Ltd. (a),(b),(c)		22,935		1,731,814
TOTAL WARRANTS (COST $0)				1,747,380
INVESTMENTS IN INVESTEE FUNDS — 10.9%
Europe — 1.0%
Qube Torus (cost $25,000,000) (a),(c),(o)		25,000		38,323,453
Total Europe				38,323,453
North America — 9.9%
Aeolus Property Catastrophe Keystone PF Fund LP (cost $18,147,027) (a),(o)		3		19,666,989

See Notes to Consolidated Financial Statements.

92

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Asgard Fixed Income Risk Premia Fund (cost $114,302,097) (a),(o)		116,681	$	140,505,854
Atreides Co. Series K DIs - SpaceX (Common) (cost $1,762,684) (a),(o)		1		2,594,547
Centiva Offshore Fund Ltd. (cost $14,580,500) (a),(o)		1		17,043,418
PIMCO ILS Fund SP II (cost $18,909,079) (a),(o)		6		19,063,642
Rokos Global Macro Fund Ltd. (cost $93,000,000) (o)		1		138,981,925
Statar Capital LLC (cost $59,000,005) (a),(o)		55,657		61,794,874
Total North America				399,651,249
TOTAL INVESTMENTS IN INVESTEE FUNDS (COST $344,701,392)				437,974,702
RIGHTS — 0.0%
Gracell Biotechnologies, Inc. (a),(b)		5,000		0
Omthera Pharmaceuticals, Inc. (a),(b)		700		0
Pershing Square SPARC Holdings Ltd. (a),(b)		505,024		0
Pershing Square Tontine Holdings Ltd. (a),(b)		2,020,101		0
Sinovac Biotech Ltd. (a),(b)		200		1,294
TOTAL RIGHTS (COST $0)				1,294
TOTAL LONG-TERM INVESTMENTS (COST $3,205,186,324)				3,385,183,137
Security Description	Contracts		Value
COMMODITIES — 5.7%
California Carbon Allowance Vintage 2025 Physical (a),(c)		689		26,471
California Carbon Allowance Vintage 2021 Physical (a),(c)		1,791,000		68,505,750
California Carbon Allowance Vintage 2022 Physical (a),(c)		1,161,000		44,408,250
California Carbon Allowance Vintage 2023 Physical (a),(c)		525,000		20,081,250
California Carbon Allowance Vintage 2024 Physical (a),(c)		2,482,000		94,936,500
TOTAL COMMODITIES (COST $175,346,134)				227,958,221

See Notes to Consolidated Financial Statements.

93

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date	Contracts	Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
PURCHASED OPTIONS — 0.6%
Exchange-Traded Call Options — 0.2%
NAT GAS EURO OPT APR25		5.00 USD	4/01/25			50		250	$	38,896	$	38,750	$	(146	)
NAT GAS EURO OPT AUG24		5.00 USD	8/01/24			1		5		1,123		29		(1,094	)
NAT GAS EURO OPT JUL24		5.00 USD	7/01/24			1		5		1,123		11		(1,112	)
NAT GAS EURO OPT JUN24		5.00 USD	6/01/24			1		5		1,123		2		(1,121	)
NAT GAS EURO OPT MAY24		5.00 USD	5/01/24			1		5		1,123		1		(1,122	)
NAT GAS EURO OPT OCT24		5.00 USD	10/01/24			1		5		1,123		89		(1,034	)
NAT GAS EURO OPT SEP24		5.00 USD	9/01/24			1		5		1,123		50		(1,073	)
CRUDE OIL FUT DEC 24		125.00 USD	12/01/24			25		3,125		32,591		5,751		(26,840	)
NAT GAS EURO OPT AUG 24		4.25 USD	7/26/24			88		374		8,185		7,216		(969	)
NAT GAS EURO OPT OCT24		4.25 USD	9/25/24			8		34		16,103		1,720		(14,383	)
CRUDE OIL FUT DEC 24		110.00 USD	11/15/24			100		11,000		167,297		47,000		(120,297	)
SILVER JUL24		70.00 USD	6/25/24			40		2,800		30,103		800		(29,303	)
NAT GAS EURO OPT JAN 26		6.00 USD	12/26/25			25		150		95,500		102,950		7,450
NAT GAS EURO OPT FEB 26		6.00 USD	1/27/26			25		150		95,500		96,500		1,000
NAT GAS EURO OPT MAR 26		6.00 USD	2/24/26			25		150		95,500		67,875		(27,625	)
NAT GAS EURO OPT APR 26		6.00 USD	3/26/26			25		150		95,500		22,650		(72,850	)
NAT GAS EURO OPT MAY 26		6.00 USD	4/27/26			25		150		95,500		21,975		(73,525	)
NAT GAS EURO OPT JUN 26		6.00 USD	5/26/26			25		150		95,500		26,875		(68,625	)
NAT GAS EURO OPT JUL 26		6.00 USD	6/25/26			25		150		95,500		33,900		(61,600	)
NAT GAS EURO OPT AUG 26		6.00 USD	7/28/26			25		150		95,500		36,875		(58,625	)
NAT GAS EURO OPT SEP 26		6.00 USD	8/26/26			25		150		95,500		36,825		(58,675	)
NAT GAS EURO OPT OCT 26		6.00 USD	9/25/26			25		150		95,500		41,100		(54,400	)
NAT GAS EURO OPT NOV 26		6.00 USD	10/27/26			25		150		95,500		61,125		(34,375	)

See Notes to Consolidated Financial Statements.

94

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date	Contracts	Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
NAT GAS EURO OPT DEC 26		6.00 USD	11/24/26			25		150	$	95,500	$	92,950	$	(2,550	)
CBOE SPX VOLATILITY INDX JUN 24		22.00 USD	6/18/24			1,740		38,280		589,045		165,300		(423,745	)
SILVER DEC24		30.00 USD	11/25/24			80		2,400		367,206		353,200		(14,006	)
SILVER DEC24		60.00 USD	11/25/24			40		2,400		28,103		20,800		(7,303	)
LME Copper 3Mo Call		9,000.00 USD	12/04/24			120		1,080,000		1,501,334		1,823,400		322,066
CRUDE OIL FUT JUN24		90.00 USD	5/16/24			25		2,250		13,044		16,750		3,706
NAT GAS EURO OPT DEC24		4.25 USD	11/25/24			8		34		16,103		17,200		1,097
NAT GAS EURO OPT NOV24		4.25 USD	10/28/24			8		34		16,103		6,224		(9,879	)
NAT GAS EURO OPT MAY24		3.00 USD	4/25/24			18		54		1,801		90		(1,711	)
NAT GAS EURO OPT JAN26		4.50 USD	12/26/25			25		112		118,250		180,300		62,050
NAT GAS EURO OPT FEB26		4.50 USD	1/27/26			25		112		118,250		164,625		46,375
NAT GAS EURO OPT MAR26		4.50 USD	2/24/26			25		112		118,250		115,350		(2,900	)
NAT GAS EURO OPT APR26		4.50 USD	3/20/26			25		112		118,250		56,125		(62,125	)
NAT GAS EURO OPT MAY26		4.50 USD	4/27/26			25		112		118,250		54,775		(63,475	)
NAT GAS EURO OPT JUN26		4.50 USD	5/26/26			25		112		118,250		66,300		(51,950	)
NAT GAS EURO OPT JUL26		4.50 USD	6/25/26			25		112		118,250		82,000		(36,250	)
NAT GAS EURO OPT AUG26		4.50 USD	7/28/26			25		113		118,250		87,275		(30,975	)
NAT GAS EURO OPT SEP26		4.50 USD	8/26/26			25		113		118,250		85,775		(32,475	)
NAT GAS EURO OPT OCT26		4.50 USD	9/25/26			25		113		118,250		93,625		(24,625	)
NAT GAS EURO OPT NOV26		4.50 USD	10/27/26			25		113		118,250		128,100		9,850
NAT GAS EURO OPT DEC26		4.50 USD	11/24/26			25		113		118,250		182,875		64,625
NAT GAS EURO OPT MAY24		2.75 USD	4/25/24			6		17		444		78		(366	)
NAT GAS EURO OPT MAY24		2.50 USD	4/25/24			14		35		1,274		490		(784	)
CRUDE OIL FUT JUL 24		110.00 USD	7/17/24			540		59,400		244,334		102,600		(141,734	)
NAT GAS EURO OPT JUN 24		3.00 USD	5/28/24			6		18		530		546		16

See Notes to Consolidated Financial Statements.

95

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date	Contracts	Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
LME Copper 3Mo Call		8,700.00 USD	5/01/24			70		609,000	$	452,678	$	403,970	$	(48,708	)
CRUDE OIL FUT JUN 24		80.00 USD	5/16/24			50		4,000		141,828		211,000		69,172
COMEX GOLD JUN 24		2,200.00 USD	5/28/24			50		110,000		231,098		326,000		94,902
LME Copper 3Mo Call		9,000.00 USD	6/04/25			40		360,000		497,123		826,370		329,247
NAT GAS EURO OPT OCT 24		4.00 USD	9/25/24			152		608		64,784		45,600		(19,184	)
NAT GAS EURO OPT SEP24		4.00 USD	8/27/24			101		404		40,695		19,695		(21,000	)
NAT GAS EURO OPT AUG 24		4.00 USD	7/26/24			101		404		40,695		12,423		(28,272	)
NAT GAS EURO OPT NOV 24		4.00 USD	10/28/24			151		604		68,841		153,265		84,424
NAT GAS EURO OPT NOV 24		3.00 USD	10/28/24			149		447		280,185		494,233		214,048
NAT GAS EURO OPT OCT 24		3.00 USD	9/25/24			148		444		278,052		203,944		(74,108	)
NAT GAS EURO OPT SEP24		3.00 USD	8/27/24			99		297		173,539		99,891		(73,648	)
NAT GAS EURO OPT AUG 24		3.00 USD	7/26/24			99		297		173,539		78,012		(95,527	)
CORN DEC24		520.00 USD	11/22/24			195		101,400		212,700		197,437		(15,263	)
NAT GAS EURO OPT MAY 24		3.25 USD	4/25/24			2		7		184		4		(180	)
CBOE SPX VOLATILITY INDX APR 24		17.00 USD	4/17/24			2,472		42,024		127,374		88,992		(38,382	)
SILVER DEC24		70.00 USD	11/25/24			40		2,800		6,103		14,400		8,297
SILVER SEP24		26.50 USD	8/27/24			45		1,192		253,016		249,750		(3,266	)
Invesco S&P 500 Equal Weight ETF		171.00 USD	4/19/24			1,103		188,613		118,051		133,463		15,412
iShares iBoxx $ Investment Grade Corporate Bond ETF		114.00 USD	4/19/24			1,715		195,510		20,626		5,145		(15,481	)
Invesco S&P 500 Equal Weight ETF		175.00 USD	4/19/24			1,970		344,750		53,243		39,400		(13,843	)
BRENT CRUDE SEP24		90.00 USD	7/26/24			125		11,250		250,000		302,500		52,500
iShares iBoxx $ Investment Grade Corporate Bond ETF		112.00 USD	4/19/24			859		96,208		8,613		4,295		(4,318	)

See Notes to Consolidated Financial Statements.

96

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date		Contracts		Notional Amount		Premium Paid			Market Value			Unrealized Appreciation (Depreciation)
DJ EURO STOXX 50 APR 24		5,050.00 EUR		4/19/24		824		4,161,200		$	375,340		$	707,688		$	332,348
NAT GAS EURO OPT JUN 24		3.25 USD		5/28/24		88		286			6,115			4,488			(1,627	)
NAT GAS EURO OPT JUL 24		3.75 USD		6/25/24		89		334			8,675			7,654			(1,021	)
CRUDE OIL FUT SEP 24		87.00 USD		8/15/24		50		4,350			135,088			112,500			(22,588	)
CBOE SPX VOLATILITY INDX JUN 24		18.00 USD		6/18/24		2,472		44,496			461,094			373,272			(87,822	)
CBOE SPX VOLATILITY INDX SEP 24		19.00 USD		9/18/24		2,472		46,968			682,338			632,832			(49,506	)
COPPER NOV24		475.00 USD		11/25/24		132		62,700			355,159			358,050			2,891
Invesco S&P 500 Equal Weight ETF		172.00 USD		4/19/24		1,387		238,564			122,093			119,282			(2,811	)
										$	11,283,103		$	10,772,377		$	(510,726	)
Exchange-Traded Put Options — 0.1%
NAT GAS EURO OPT AUG24		2.75 USD		8/01/24		2		5			4,655			8,654			3,999
NAT GAS EURO OPT JUL24		2.75 USD		7/01/24		2		5			4,655			9,634			4,979
NAT GAS EURO OPT JUN24		2.75 USD		6/01/24		2		5			4,655			15,272			10,617
NAT GAS EURO OPT MAY24		2.75 USD		5/01/24		2		6			4,655			19,684			15,029
NAT GAS EURO OPT OCT24		2.75 USD		10/01/24		2		6			4,655			8,400			3,745
NAT GAS EURO OPT SEP24		2.75 USD		9/01/24		2		6			4,655			9,242			4,587
CRUDE OIL FUT DEC 24		46.00 USD		12/01/24		25		1,150			85,091			7,000			(78,091	)
NAT GAS EURO OPT APR 25		2.00 USD		3/26/25		50		100			46,296			36,500			(9,796	)
NAT GAS EURO OPT MAY 25		2.00 USD		4/25/25		50		100			46,296			32,050			(14,246	)
NAT GAS EURO OPT JUN 25		2.00 USD		5/27/25		50		100			46,296			28,100			(18,196	)
NAT GAS EURO OPT OCT25		2.00 USD		9/25/25		50		100			46,296			29,700			(16,596	)
NAT GAS EURO OPT JUL 25		2.00 USD		6/25/25		50		100			46,296			25,000			(21,296	)
NAT GAS EURO OPT SEP25		2.00 USD		8/26/25		50		100			46,296			28,550			(17,746	)

See Notes to Consolidated Financial Statements.

97

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date	Contracts	Notional Amount		Premium Paid			Market Value			Unrealized Appreciation (Depreciation)
NAT GAS EURO OPT AUG25		2.00 USD	7/28/25			50		100		$	46,296		$	25,700			$	(20,596	)
CRUDE OIL FUT DEC 24		43.00 USD	11/15/24			100		4,300			310,297			20,000				(290,297	)
LME Copper 3Mo Call		7,500.00 USD	12/04/24			120		900,000			873,634			356,160				(517,474	)
NAT GAS EURO OPT MAY 24		1.80 USD	4/25/24			150		270			137,038			194,250				57,212
S&P 500 Index		4,650.00 USD	4/30/24			935		4,347,750			4,028,005			299,200				(3,728,805	)
NAT GAS EURO OPT JUN 2		1.70 USD	5/28/24			474		806			282,404			253,590				(28,814	)
NAT GAS EURO OPT MAY 24		1.00 USD	4/25/24			250		250			33,230			5,750				(27,480	)
LME Copper 3Mo Call		7,500.00 USD	6/01/25			40		300,000			400,123			247,630				(152,493	)
CORN DEC24		420.00 USD	11/22/24			195		81,900			156,638			97,500				(59,138	)
NAT GAS EURO OPT NOV 24		1.00 USD	10/28/24			250		250			23,230			12,750				(10,480	)
CRUDE OIL FUT JUN24		80.00 USD	4/25/24			85		6,800			197,338			28,900				(168,438	)
S&P 500 Index		4,900.00 USD	5/31/24			658		3,224,200			3,212,433			1,291,654				(1,920,779	)
CBOE SPX VOLATILITY INDX APR 24		14.50 USD	4/17/24			692		10,034			70,949			66,432				(4,517	)
CRUDE OIL FUT JUN 24		80.00 USD	5/16/24			120		9,600			293,013			217,200				(75,813	)
E-Mini S&P 500 Index		5,200.00 USD	4/05/24			412		2,142,400			192,070			82,400				(109,670	)
CRUDE OIL FUT MAY 24		80.50 USD	4/17/24			50		4,025			71,589			39,000				(32,589	)
CRUDE OIL FUT MAY 24		82.50 USD	4/17/24			20		1,650			34,635			28,999				(5,636	)
								$	10,753,719		$	3,524,901		$	(7,228,818	)

	Counterparty	Strike		Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
OTC Call Options — 0.2%
LME Nickel 3Mo Call	Morgan Stanley Capital Services LLC		40,000.00 USD		12/04/24		1,260		50,400,000	$	20,574	$	10,584	$	(9,990	)
LME Copper 3Mo Call	Morgan Stanley Capital Services LLC		16,500.00 USD		12/04/24		7,500		123,750,000		84,410		15,376		(69,034	)
Dual Digital Option S&P 500 Index 3944.4 & SOFR 2y 4.409%	Deutsche Bank AG		3,944.60 USD		6/21/24		10,800,000		42,601,680,000		68,854		32,808		(36,046	)

See Notes to Consolidated Financial Statements.

98

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Counterparty	Strike		Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
Dual Digital Option S&P 500 Index 3858.8 & SOFR 5y 3.903%	Deutsche Bank AG		3,858.80 USD		9/20/24		10,800,000		41,675,040,000	$	127,220	$	73,612	$	(53,608	)
JPY CNH FX Option Call 18.65 4/23/24	Bank of America N.A.		18.65 JPY		4/23/24		295,750,000		5,515,737,500		338,120		3,832		(334,288	)
JPY CNH FX Option Call 18.16 7/23/24	Bank of America N.A.		18.16 JPY		7/23/24		295,750,000		5,370,820,000		321,273		35,687		(285,586	)
JPY CNH FX Option Call 17.67 10/23/24	Bank of America N.A.		17.67 JPY		10/23/24		295,750,000		5,225,902,500		288,727		57,106		(231,621	)
12/4/24 Copper Future Call 10500 12/4/2024	Bank of America N.A.		10,500.00 USD		12/04/24		15,158		159,159,000		2,798,940		3,643,061		844,121
8/7/24 Copper Future Copper Call 9100 8/7/2024	Goldman Sachs International		9,100.00 USD		8/07/24		7,285		66,293,500		1,347,725		2,412,521		1,064,796
FX Knock Out Option USD Call CNH Put 7.325 8/21/24	Goldman Sachs International		7.33 USD		8/21/24		82,400,000		603,580,000		153,264		203,837		50,573
BRL JPY FX Option Call 31 5/6/24	JPMorgan Chase Bank, N.A.		31.00 BRL		5/06/24		164,800,000		5,108,800,000		159,543		62,925		(96,618	)
XAU USD FX Option Call 2250 6/7/24	Morgan Stanley & Co. LLC		2,250.00 USD		6/07/24		8,000		18,000,000		87,200		164,289		77,089
USD CNH FX Option Call 7.1819 4/11/24	JPMorgan Chase Bank, N.A.		7.18 USD		4/11/24		82,400,000		591,788,560		258,324		867,524		609,200
USD MXN FX Option Call 17 4/8/24	JPMorgan Chase Bank, N.A.		17.00 USD		4/08/24		12,360,000		210,120,000		23,360		6,493		(16,867	)
EUR MXN FX Option Call 19 5/30/24	JPMorgan Chase Bank, N.A.		19.00 EUR		5/30/24		16,480,000		313,120,000		62,357		46,425		(15,932	)
CREDIT DEFAULT INDEX SWAPTION 1Y BY 5Y EU 2/19/2025 TO BUY PROTECTION ON CDX.NA.IG.41 USD 5Y 2/21/2030 STRIKE 80	Barclays Bank PLC		80.00 USD		06/20/24		2,237,200,000		178,976,000,000		3,132,080		500,624		(2,631,456	)
SWAPTION CALL 50.0% 06/20/2024	Citigroup Global Markets, Inc.		50.00 USD		06/20/24		181,489,000		9,074,450,000		128,759		147,532		18,773
										$	9,400,730	$	8,284,236	$	(1,116,494	)

See Notes to Consolidated Financial Statements.

99

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Counterparty	Strike		Expiration Date		Contracts		Notional Amount		Premium Paid		Market Value		Unrealized Appreciation (Depreciation)
OTC Put Options — 0.1%
USD ILS FX Option Put 3.466 10/22/24	Bank of America N.A.		3.47 USD		10/22/24		2,730,000		9,462,180	$	944,319	$	557,986	$	(386,333	)
USD ILS FX Option Put 3.4275 10/31/24	Bank of America N.A.		3.43 USD		10/31/24		2,910,000		9,974,025		850,391		481,947		(368,444	)
JPY CNH FX Option Put 18.771 4/29/24	Deutsche Bank AG		18.77 JPY		4/29/24		315,250,000		5,917,557,750		436,924		6,662		(430,262	)
JPY CNH FX Option Put 18.256 7/31/24	Deutsche Bank AG		18.26 JPY		7/31/24		315,250,000		5,755,204,000		386,323		47,672		(338,651	)
JPY CNH FX Option Put 17.7735 10/31/24	Deutsche Bank AG		17.77 JPY		10/31/24		315,250,000		5,603,095,875		343,996		72,126		(271,870	)
Dual Digital Option USD/BRL 4.9 Put & USD/CNH 7.25 Call 2024	Citibank N.A.		4.90 USD		5/09/24		2,610,000		12,789,000		234,900		187,253		(47,647	)
USD TRY FX Option Put 38.925 12/6/24	Deutsche Bank AG		38.93 USD		12/06/24		22,310,000		868,416,750		1,624,922		428,985		(1,195,937	)
EUR HUF FX Option Put 367.5 4/9/24	Citibank N.A.		367.50 EUR		4/09/24		1,236,000		454,230,000		158,039		0		(158,039	)
EUR USD FX Option Put 1.02 7/10/24	JPMorgan Chase Bank, N.A.		1.02 EUR		7/10/24		4,120,000		4,202,400		252,092		129,972		(122,120	)
Dual Digital Option SPX 4515.5 Put & SOFR 4.2 Call 2024	Goldman Sachs International		4,515.35 USD		7/19/24		1,648,000		7,441,296,800		156,560		46,142		(110,418	)
Russell 2000 Index	JP Morgan Securities LLC		1,754.03 USD		6/21/24		23,489		41,200,013		197,760		21,560		(176,200	)
USD CNH FX Option Put 7.1819 4/11/24	JPMorgan Chase Bank, N.A.		7.18 USD		4/11/24		82,400,000		591,788,560		258,324		31,340		(226,984	)
EUR HUF FX Option Put 392.5 4/2/24	JPMorgan Chase Bank, N.A.		392.50 EUR		4/02/24		32,960,000		12,936,800,000		66,272		42,522		(23,750	)
Interest Rate Swaption Put 3.5% 11/18/2025	Barclays Bank PLC		3.50 EUR		11/13/24		1,115,500,000		3,904,250,000		533,090		536,770		3,680
Credit Default Index Swaption 3M by 12Y6M EU 6/20/2024 to Buy Protection on CDX.NA.HY.41.V2 USD 12Y6M 1/1/2038 Strike 103	Bank of America N.A.		103.00 USD		12/20/28		596,900,000		61,480,700,000		3,072,841		1,179,919		(1,892,922	)
										$	9,516,753	$	3,770,856	$	(5,745,897	)
Total Purchased Options Outstanding										$	40,954,305	$	26,352,370	$	(14,601,935	)

See Notes to Consolidated Financial Statements.

100

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
REPURCHASE AGREEMENTS (p) — 3.0%
Barclays Capital, Inc., 2.50%, dated 06/01/2023, due On Demand (collateralized by Egypt International Bond, 5.88% due 06/11/2025, market value $625,598) (q)		519,836	$	519,836
Barclays Capital, Inc., 5.00%, dated 06/09/2023, due On Demand (collateralized by Dominican Republic International Bond, 6.00% due 02/22/2033, market value $4,002,274) (q)		4,038,322		4,038,322
Barclays Capital, Inc., 3.25%, dated 09/08/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 2.13% due 02/09/2031, market value $1,145,267) (q)		1,127,622		1,127,622
Barclays Capital, Inc., 5.15%, dated 09/18/2023, due On Demand (collateralized by Turkey Government Bond, 6.00% due 01/14/2041, market value $202,059) (q)		190,875		190,875
Barclays Capital, Inc., 4.90%, dated 10/18/2023, due On Demand (collateralized by Israel International Bond, 4.50% due 01/17/2033, market value $1,338,273) (q)		1,328,321		1,328,321
Barclays Capital, Inc., 4.90%, dated 10/18/2023, due On Demand (collateralized by Israel International Bond, 4.50% due 01/17/2033, market value $1,472,193) (q)		1,458,310		1,458,310
Barclays Capital, Inc., 5.10%, dated 11/22/2023, due On Demand (collateralized by Turkey Government Bond, 6.75% due 05/30/2040, market value $630,892) (q)		614,363		614,363
Barclays Capital, Inc., 5.00%, dated 12/06/2023, due On Demand (collateralized by America Movil SAB de CV, 6.38% due 03/01/2035, market value $864,933) (q)		895,758		895,758
Barclays Capital, Inc., 5.00%, dated 12/07/2023, due On Demand (collateralized by Turkey Government Bond, 7.38% due 02/05/2025, market value $1,574,121) (q)		1,690,006		1,690,006
Barclays Capital, Inc., 3.25%, dated 12/11/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 2.13% due 02/09/2031, market value $1,008,966) (q)		1,018,855		1,018,855
Barclays Capital, Inc., 2.50%, dated 12/11/2023, due On Demand (collateralized by Egypt International Bond, 5.88% due 06/11/2025, market value $1,964,200) (q)		1,884,701		1,884,701

See Notes to Consolidated Financial Statements.

101

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Barclays Capital, Inc., 5.00%, dated 12/11/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 3.40% due 12/06/2027, market value $2,152,074) (q)		2,187,065	$	2,187,065
Barclays Capital, Inc., 3.25%, dated 12/11/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 2.13% due 02/09/2031, market value $1,387,120) (q)		1,400,716		1,400,716
Barclays Capital, Inc., 5.00%, dated 12/11/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 3.40% due 12/06/2027, market value $1,004,175) (q)		1,020,502		1,020,502
JPMorgan Chase Bank, N.A., 4.70%, dated 01/08/2024, due 04/09/2024 (collateralized by Alibaba Group Holding Limited, 3.40% due 12/06/2027, market value $1,865,572)		1,956,436		1,956,436
JPMorgan Chase Bank, N.A., 4.50%, dated 01/08/2024, due 04/24/2024 (collateralized by Industrial and Commercial Bank of China Limited Bond, 3.20% due Perpectual Maturity, market value $4,787,280)		5,059,451		5,059,451
JPMorgan Chase Bank, N.A., 5.00%, dated 01/08/2024, due 04/24/2024 (collateralized by Dominican Republic International Bond, 6.00% due 02/22/2033, market value $754,066)		804,836		804,836
JPMorgan Chase Bank, N.A., 2.25%, dated 01/08/2024, due 04/24/2024 (collateralized by Bank of China Bond, 2.13% due 12/03/2029, market value $1,696,835)		1,804,080		1,804,080
JPMorgan Chase Bank, N.A., 4.80%, dated 01/08/2024, due 04/24/2024 (collateralized by Turkey Government Bond, 6.00% due 01/14/2041, market value $583,180)		628,394		628,394
Barclays Capital, Inc., 5.10%, dated 01/10/2024, due On Demand (collateralized by Romania Internation bonds, 4.00% due 02/14/2051, market value $633,988) (q)		653,806		653,806
Barclays Capital, Inc., 5.10%, dated 01/11/2024, due On Demand (collateralized by Petroleos Mexicanos Bond, 6.84% due 01/23/2030, market value $1,658,879) (q)		1,713,579		1,713,579
Barclays Capital, Inc., 5.12%, dated 01/11/2024, due On Demand (collateralized by Turkey Government Bond, 11.88% due 01/15/2030, market value $1,186,870) (q)		1,268,530		1,268,530

See Notes to Consolidated Financial Statements.

102

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
JPMorgan Chase Bank, N.A., 5.05%, dated 01/17/2024, due 04/24/2024 (collateralized by Mexican Federal Electricity Commission, 4.02% due 07/26/2033, market value $591,472)		620,334	$	620,334
Barclays Capital, Inc., 4.85%, dated 01/24/2024, due On Demand (collateralized by Japfa Comfeed Indonesia Tbk Pt, 5.38% due 03/23/2026, market value $662,002) (q)		685,189		685,189
Barclays Capital, Inc., 5.00%, dated 01/29/2024, due On Demand (collateralized by Vale Overseas Ltd., 6.13% due 06/12/2033, market value $2,483,960) (q)		2,594,932		2,594,932
Barclays Capital, Inc., 5.00%, dated 01/29/2024, due On Demand (collateralized by Vale Overseas Ltd., 6.88% due 11/10/2039, market value $2,629,451) (q)		2,751,545		2,751,545
Barclays Capital, Inc., 3.30%, dated 01/29/2024, due On Demand (collateralized by West African Development Bank, 2.75% due 01/22/2033, market value $600,662) (q)		558,443		602,532
JPMorgan Chase Bank, N.A., 3.70%, dated 01/29/2024, due 04/24/2024 (collateralized by West African Development Bank, 2.75% due 01/22/2033, market value $481,028)		466,253		503,063
Barclays Capital, Inc., 5.00%, dated 02/05/2024, due On Demand (collateralized by Vale Overseas Ltd., 6.88% due 11/10/2039, market value $1,045,792) (q)		1,100,318		1,100,318
Barclays Capital, Inc., 5.00%, dated 02/06/2024, due On Demand (collateralized by Vale Overseas Ltd., 6.88% due 11/10/2039, market value $295,131) (q)		310,495		310,495
JPMorgan Chase Bank, N.A., 5.08%, dated 02/07/2024, due 04/24/2024 (collateralized by West African Development Bank, 4.70% due 10/22/2031, market value $624,331)		651,934		651,934
Barclays Capital, Inc., 5.05%, dated 02/26/2024, due On Demand (collateralized by Bahrain International Bond, 7.50% due 09/20/2047, market value $2,773,652) (q)		2,912,134		2,912,134
Barclays Capital, Inc., 5.05%, dated 02/27/2024, due On Demand (collateralized by Bahrain International Bond, 7.50% due 09/20/2047, market value $277,270) (q)		290,964		290,964
Barclays Capital, Inc., 5.10%, dated 02/27/2024, due On Demand (collateralized by Turkey Government Bond, 8.00% due 02/14/2034, market value $5,468,645) (q)		5,590,780		5,590,780

See Notes to Consolidated Financial Statements.

103

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
JPMorgan Chase Bank, N.A., 4.90%, dated 02/28/2024, due 04/24/2024 (collateralized by Japfa Comfeed Indonesia Tbk Pt, 5.38% due 03/23/2026, market value $400,131)		436,271	$	436,271
Barclays Capital, Inc., 5.00%, dated 02/28/2024, due On Demand (collateralized by Mexican Federal Electricity Commission, 4.02% due 07/26/2033, market value $794,892) (q)		819,892		819,892
Barclays Capital, Inc., 5.10%, dated 03/05/2024, due On Demand (collateralized by Petroleos Mexicanos Bond, 6.84% due 01/23/2030, market value $2,609,582) (q)		2,640,588		2,640,588
JPMorgan Chase Bank, N.A., 5.00%, dated 03/05/2024, due 04/24/2024 (collateralized by Petroleos Mexicanos Bond, 6.84% due 01/23/2030, market value $2,507,280)		2,587,140		2,587,140
Barclays Capital, Inc., 5.10%, dated 03/06/2024, due On Demand (collateralized by Turkey Government Bond, 11.88% due 01/15/2030, market value $886,114) (q)		911,084		911,084
JPMorgan Chase Bank, N.A., 5.10%, dated 03/06/2024, due 04/24/2024 (collateralized by Turkey Government Bond, 7.63% due 05/15/2034, market value $2,005,000) (q)		2,079,598		2,079,598
JPMorgan Chase Bank, N.A., 5.10%, dated 03/06/2024, due 04/24/2024 (collateralized by Turkey Government Bond, 7.63% due 05/15/2034, market value $3,007,500)		3,119,397		3,119,397
Barclays Capital, Inc., 4.85%, dated 03/06/2024, due On Demand (collateralized by Turkey Government Bond, 7.63% due 05/15/2034, market value $1,166,910) (q)		1,184,053		1,184,053
JPMorgan Chase Bank, N.A., 5.05%, dated 03/11/2024, due 04/10/2024 (collateralized by Colombian International Bond, 8.75% due 11/14/2053, market value $936,344)		1,009,155		1,009,155
JPMorgan Chase Bank, N.A., 5.10%, dated 03/13/2024, due 04/24/2024 (collateralized by Turkey Government Bond, 7.63% due 05/15/2034, market value $2,050,113)		2,156,868		2,156,868
JPMorgan Chase Bank, N.A., 5.05%, dated 03/14/2024, due 04/24/2024 (collateralized by Mexican International Bond, 6.34% due 05/04/2053, market value $1,920,905)		2,059,812		2,059,812

See Notes to Consolidated Financial Statements.

104

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Barclays Capital, Inc., 5.10%, dated 03/15/2024, due On Demand (collateralized by Mexican International Bond, 6.34% due 05/04/2053, market value $3,270,570) (q)		3,406,977	$	3,406,977
JPMorgan Chase Bank, N.A., 5.05%, dated 03/15/2024, due 04/24/2024 (collateralized by Mexican International Bond, 6.34% due 05/04/2053, market value $1,153,332)		1,229,403		1,229,403
Barclays Capital, Inc., 5.10%, dated 03/18/2024, due On Demand (collateralized by Mexican International Bond, 6.34% due 05/04/2053, market value $1,962,342) (q)		2,041,433		2,041,433
Merrill Lynch, Pierce, Fenner & Smith, Inc., 5.30%, dated 03/20/2024, due 06/21/2024 (collateralized by US Treasury Notes, 1.38% due 07/15/203, market value $1,343,550)		1,355,107		1,355,107
Barclays Capital, Inc., 4.90%, dated 03/26/2024, due On Demand (collateralized by Mongolia International bonds, 7.88% due 06/05/2029, market value $1,333,456) (q)		1,403,325		1,403,325
JPMorgan Chase Bank, N.A., 5.32%, dated 03/27/2024, due 04/03/2024 (collateralized by US Treasury Notes, 4.75% due 11/15/2053, market value $3,632,169)		3,688,039		3,688,039
JPMorgan Chase Bank, N.A., 5.29%, dated 03/27/2024, due 04/03/2024 (collateralized by US Treasury Notes, 4.00% due 02/15/2034, market value $3,595,054)		3,625,492		3,625,492
JPMorgan Chase Bank, N.A., 5.32%, dated 03/27/2024, due 04/03/2024 (collateralized by US Treasury Notes, 3.63% due 05/15/2053, market value $1,056,773)		1,071,834		1,071,834
JPMorgan Chase Bank, N.A., 5.29%, dated 03/27/2024, due 04/03/2024 (collateralized by US Treasury Notes, 4.00% due 02/15/2034, market value $14,096,495)		14,215,844		14,215,844
JPMorgan Chase Bank, N.A., 5.32%, dated 03/27/2024, due 04/03/2024 (collateralized by US Treasury Notes, 4.75% due 11/15/2053, market value $12,393,889)		12,584,531		12,584,531
Barclays Capital, Inc., 4.65%, dated 01/04/2024, due On Demand (collateralized by Israel International Bond, 4.50% due 07/17/2033, market value $637,051)(q)		678,132		678,132

See Notes to Consolidated Financial Statements.

105

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Barclays Capital, Inc., 4.60%, dated 11/13/2023, due On Demand (collateralized by Israel International Bond, 4.50% due 07/17/2033, market value $1,330,833) (q)		1,330,959	$	1,330,959
Barclays Capital, Inc., 4.95%, dated 10/12/2023, due On Demand (collateralized by Israel International Bond, 4.50% due 07/17/2033, market value $2,610,516) (q)		2,638,807		2,638,807
Barclays Capital, Inc., 2.25%, dated 12/11/2023, due On Demand (collateralized by Alibaba Group Holding Limited, 3.40% due 12/06/2027, market value $429,280) (q)		436,260		436,260
TOTAL REPURCHASE AGREEMENTS (COST $120,592,787)		120,507,686		120,588,585
TOTAL INVESTMENTS IN SECURITIES — 93.6% (COST $3,542,079,550)				3,760,082,313
TOTAL SECURITIES SOLD SHORT — (30.9)% (PROCEEDS $1,189,248,764)				(1,243,285,078	)
Other Assets and Liabilities (r) — 37.3%				1,498,135,723
Net Assets — 100.0%			$	4,014,932,958
SECURITIES SOLD SHORT — (30.9)%
COMMON STOCK — (14.0)%
Africa — 0.0%
Financial Services — 0.0%
Lesaka Technologies, Inc. (a)		200	$	(750	)
Materials — 0.0%
Caledonia Mining Corp. PLC		100		(1,107	)
Gold Fields Ltd., ADR		1,500		(23,835	)
Harmony Gold Mining Co., Ltd., ADR		600		(4,902	)
				(29,844	)
Telecommunication Services — 0.0%
IHS Holding Ltd. (a)		1,000		(3,530	)
Total Africa				(34,124	)
Asia — (0.9)%
Automobiles & Components — (0.1)%
ECARX Holdings, Inc., Class A (a)		2,447		(4,796	)
EZGO Technologies Ltd. (a)		4,500		(297	)
Gogoro, Inc. (a)		100		(184	)
Hesai Group, ADR (a)		300		(1,518	)
NIO, Inc., ADR (a)		614,600		(2,765,700	)
Niu Technologies, ADR (a)		3,300		(5,544	)

See Notes to Consolidated Financial Statements.

106

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Polestar Automotive Holding U.K. PLC, Class A, ADR (a)		20,700	$	(31,878	)
Toyota Motor Corp., ADR		3,500		(880,880	)
XPeng, Inc., ADR (a)		26,100		(200,448	)
				(3,891,245	)
Banks — (0.1)%
HDFC Bank Ltd., ADR		9,200		(514,924	)
Mitsubishi UFJ Financial Group, Inc., ADR		43,600		(446,028	)
Shinhan Financial Group Co. Ltd., ADR		1,600		(56,784	)
Sumitomo Mitsui Financial Group, Inc., ADR		26,600		(313,082	)
				(1,330,818	)
Capital Goods — 0.0%
BioNexus Gene Lab Corp. (a)		100		(71	)
EHang Holdings Ltd., ADR (a)		13,000		(267,410	)
Emeren Group Ltd., ADR (a)		4,500		(8,685	)
				(276,166	)
Commercial & Professional Services — 0.0%
SOS Ltd., ADR (a)		4		(7	)
Consumer Durables & Apparel — 0.0%
Sony Group Corp., ADR		4,400		(377,256	)
Consumer Services — 0.0%
17 Education & Technology Group, Inc., ADR (a)		85		(247	)
BTC Digital Ltd. (a)		36		(126	)
Gaotu Techedu, Inc., ADR (a)		30,900		(202,395	)
MEDIROM Healthcare Technologies, Inc., ADR (a)		100		(614	)
New Oriental Education & Technology Group, Inc., ADR (a)		2,690		(233,546	)
Tarena International, Inc., ADR (a)		33		(88	)
Trip.com Group Ltd., ADR (a)		10,500		(460,845	)
Youdao, Inc., ADR (a)		2,500		(10,050	)
				(907,911	)
Diversified Financials — 0.0%
Dragon Victory International (a)		400		(580	)
Futu Holdings Ltd., ADR (a)		5,000		(270,750	)
Future FinTech Group, Inc. (a)		260		(260	)
ORIX Corp., ADR		100		(11,020	)
Solowin Holdings (a)		689		(4,286	)
				(286,896	)
Food & Staples Retailing — 0.0%
DingDong Cayman Ltd., ADR (a)		6,900		(8,418	)
Meiwu Technology Co., Ltd. (a)		500		(505	)
				(8,923	)

See Notes to Consolidated Financial Statements.

107

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Food, Beverage & Tobacco — 0.0%
Farmmi, Inc. (a)		7	$	(6	)
Origin Agritech Ltd. (a)		574		(2,319	)
RLX Technology, Inc., ADR (a)		117,700		(225,984	)
TDH Holdings, Inc. (a)		560		(627	)
				(228,936	)
Health Care Equipment & Services — 0.0%
Aesthetic Medical International Holdings Group Ltd., ADR (a)		300		(93	)
Household & Personal Products — 0.0%
Yatsen Holding Ltd., ADR (a)		1,920		(4,051	)
Insurance — 0.0%
Huize Holding Ltd., ADR (a)		300		(176	)
Materials — 0.0%
POSCO Holdings, Inc., ADR		1,400		(109,788	)
ZK International Group Co. Ltd. (a)		1,100		(643	)
				(110,431	)
Media & Entertainment — (0.1)%
Bilibili, Inc., ADR (a)		68,500		(767,200	)
iClick Interactive Asia Group Ltd., ADR (a)		150		(594	)
iQIYI, Inc., ADR (a)		10,700		(45,261	)
NetEase, Inc., ADR		11,200		(1,158,864	)
Sea Ltd., ADR (a)		16,600		(891,586	)
Sohu.com Ltd., ADR (a)		500		(5,285	)
So-Young International, Inc., ADR		200		(218	)
Tencent Music Entertainment Group, ADR (a)		77,400		(866,106	)
WiMi Hologram Cloud, Inc., ADR (a)		8,831		(8,019	)
Zhihu, Inc., ADR (a)		29,800		(20,380	)
				(3,763,513	)
Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
Aslan Pharmaceuticals Ltd., ADR (a)		400		(246	)
BeiGene Ltd., ADR (a)		3,100		(484,809	)
Fresh2 Group Ltd., ADR (a)		195		(107	)
HUTCHMED China Ltd., ADR (a)		800		(13,440	)
QILIAN INTERNATIONAL HOLDING (a)		300		(191	)
Takeda Pharmaceutical Co. Ltd., ADR		39,300		(545,877	)
Zai Lab Ltd., ADR (a)		2,600		(41,652	)
				(1,086,322	)
Real Estate — (0.1)%
KE Holdings, Inc., ADR		107,400		(1,474,602	)

See Notes to Consolidated Financial Statements.

108

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Retailing — (0.2)%
Alibaba Group Holding Ltd., ADR		12,500	$	(904,500	)
Boqii Holding Ltd., ADR (a)		99		(24	)
Coupang, Inc. (a)		35,900		(638,661	)
GigaCloud Technology, Inc., Class A (a)		3,600		(96,192	)
Kaixin Auto Holdings (a)		26		(5	)
PDD Holdings, Inc., ADR (a)		54,300		(6,312,375	)
Uxin Ltd., ADR (a)		188		(399	)
				(7,952,156	)
Semiconductors & Semiconductor Equipment — (0.3)%
ASE Technology Holding Co., Ltd., ADR		800		(8,792	)
Daqo New Energy Corp., ADR (a)		17,500		(492,625	)
indie Semiconductor, Inc., Class A (a)		23,200		(164,256	)
JinkoSolar Holding Co. Ltd., ADR (a)		9,900		(249,381	)
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (c)		81,431		(11,078,688	)
United Microelectronics Corp., ADR (c)		2,896		(23,429	)
				(12,017,171	)
Software & Services — 0.0%
Bit Digital, Inc. (a)		16,900		(48,503	)
BIT Mining Ltd., ADR (a)		50		(147	)
Bit Origin Ltd. (a)		1,700		(6,817	)
Datasea, Inc. (a)		33		(254	)
GDS Holdings Ltd., ADR (a)		9,300		(61,845	)
Infosys Ltd., ADR		21,200		(380,116	)
Kingsoft Cloud Holdings Ltd., ADR (a)		21,800		(66,272	)
Link Motion, Inc., ADR (a),(b)		11,000		0
OneConnect Financial Technology Co. Ltd., ADR (a)		40		(89	)
Powerbridge Technologies Co. Ltd. (a)		600		(594	)
The9 Ltd., ADR (a)		430		(2,898	)
Vnet Group, Inc., ADR (a)		34,900		(54,095	)
Wipro Ltd., ADR		400		(2,300	)
				(623,930	)
Technology Hardware & Equipment — 0.0%
Canaan, Inc., ADR (a)		67,300		(102,296	)
Ebang International Holdings, Inc., Class A (a)		73		(708	)
Fabrinet (a)		1,000		(189,020	)
				(292,024	)
Telecommunication Services — 0.0%
Chunghwa Telecom Co. Ltd., ADR		1,000		(39,140	)
FingerMotion, Inc. (a)		2,700		(5,670	)
Sify Technologies Ltd., ADR (a)		500		(630	)
Telkom Indonesia Persero Tbk. PT, ADR		2,700		(60,102	)
				(105,542	)

See Notes to Consolidated Financial Statements.

109

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Transportation — 0.0%
BEST, Inc., ADR (a)		15	$	(33	)
Full Truck Alliance Co. Ltd., ADR		73,300		(532,891	)
Grindrod Shipping Holdings Ltd.		200		(2,114	)
				(535,038	)
Utilities — 0.0%
Korea Electric Power Corp., ADR		2,100		(17,493	)
ReNew Energy Global PLC, Class A (a)		10,900		(65,400	)
				(82,893	)
Total Asia				(35,356,100	)
Europe — (0.8)%
Banks — (0.1)%
HSBC Holdings PLC, ADR		34,800		(1,369,728	)
Lloyds Banking Group PLC, ADR		24,700		(63,973	)
				(1,433,701	)
Capital Goods — 0.0%
Lilium NV (a)		1,800		(1,728	)
Wallbox NV (a)		6,600		(9,372	)
				(11,100	)
Commercial & Professional Services — 0.0%
Cimpress PLC (a)		900		(79,659	)
RELX PLC, ADR		11,500		(497,835	)
				(577,494	)
Consumer Durables & Apparel — (0.1)%
Amer Sports, Inc. (a)		100		(1,630	)
Birkenstock Holding plc (a)		1,400		(66,150	)
Connexa Sports Technologies, Inc. (a)		35		(8	)
On Holding AG, Class A (a)		90,900		(3,216,042	)
				(3,283,830	)
Consumer Services — 0.0%
Pearson PLC, ADR		5,500		(72,380	)
Soho House & Co., Inc., A Shares (a)		300		(1,701	)
Super Group SGHC Ltd. (a)		700		(2,415	)
				(76,496	)
Diversified Financials — (0.1)%
Deutsche Bank AG		40,600		(640,262	)
UBS Group AG		76,665		(2,355,149	)
				(2,995,411	)

See Notes to Consolidated Financial Statements.

110

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Food, Beverage & Tobacco — 0.0%
Anheuser-Busch InBev SA, ADR		4,500	$	(273,510	)
Diageo PLC, ADR		7,700		(1,145,298	)
				(1,418,808	)
Health Care Equipment & Services — 0.0%
Alcon, Inc.		700		(58,303	)
EDAP TMS SA, ADR (a)		200		(1,470	)
Koninklijke Philips NV (a)		5,435		(108,700	)
OneMedNet Corp. (a)		7		(5	)
Sophia Genetics SA (a)		100		(493	)
				(168,971	)
Household & Personal Products — (0.1)%
Unilever PLC, ADR		44,000		(2,208,360	)
Materials — 0.0%
Amcor PLC		107,500		(1,022,325	)
Anglogold Ashanti PLC		12,800		(284,160	)
Arcadium Lithium PLC (a)		42,200		(181,882	)
Atlas Lithium Corp. (a)		1,500		(25,530	)
Mercer International, Inc.		2,400		(23,880	)
				(1,537,777	)
Media & Entertainment — 0.0%
Manchester United PLC, Class A (a)		400		(5,584	)
Pharmaceuticals, Biotechnology & Life Sciences — (0.1)%
AC Immune SA (a)		400		(1,184	)
ADC Therapeutics SA (a)		409		(1,836	)
Argenx SE, ADR (a)		600		(236,232	)
Artelo Biosciences, Inc. (a)		6		(9	)
BioNTech SE, ADR (a)		8,400		(774,900	)
GH Research PLC (a)		300		(3,198	)
ICON PLC, ADR (a)		7,700		(2,586,815	)
Mereo Biopharma Group PLC, ADR (a)		5,900		(19,470	)
Olink Holding AB, ADR (a)		4,800		(112,848	)
Prothena Corp. PLC (a)		200		(4,954	)
Tiziana Life Sciences Ltd. (a)		1,315		(567	)
				(3,742,013	)
Retailing — 0.0%
Jumia Technologies AG, ADR (a)		28,700		(146,944	)
MYT Netherlands Parent BV, ADR (a)		900		(2,862	)
				(149,806	)
Semiconductors & Semiconductor Equipment — (0.2)%
ASML Holding NV		8,300		(8,054,901	)

See Notes to Consolidated Financial Statements.

111

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Software & Services — (0.1)%
Arqit Quantum, Inc. (a)		5,600	$	(4,060	)
Endava PLC, ADR (a)		500		(19,020	)
SAP SE, ADR		9,800		(1,911,294	)
				(1,934,374	)
Technology Hardware & Equipment — 0.0%
Telefonaktiebolaget LM Ericsson, ADR		155,600		(857,356	)
Transportation — 0.0%
Costamare, Inc.		1,400		(15,890	)
Ryanair Holdings PLC, ADR		8,300		(1,208,397	)
				(1,224,287	)
Utilities — 0.0%
Atlantica Sustainable Infrastructure PLC		100		(1,848	)
National Grid PLC, ADR		5,700		(388,854	)
				(390,702	)
Total Europe				(30,070,971	)
Middle East — 0.0%
Automobiles & Components — 0.0%
Foresight Autonomous Holdings Ltd., ADR (a)		500		(535	)
Capital Goods — 0.0%
Elbit Systems Ltd.		100		(21,023	)
Consumer Services — 0.0%
NEOGAMES SA (a)		792		(22,936	)
Household & Personal Products — 0.0%
Oddity Tech Ltd., Class A (a)		300		(13,035	)
Media & Entertainment — 0.0%
Taboola.com Ltd. (a)		3,000		(13,320	)
Tremor International Ltd., ADR (a)		400		(2,088	)
Yalla Group Ltd., ADR (a)		700		(3,367	)
				(18,775	)
Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
Collplant Biotechnologies Ltd., ADR (a)		100		(539	)
Evogene Ltd. (a)		1,800		(1,332	)
				(1,871	)
Retailing — 0.0%
Global-e Online Ltd. (a)		3,700		(134,495	)
Software & Services — 0.0%
Check Point Software Technologies Ltd. (a),(c)		1,471		(241,259	)
Cognyte Software Ltd. (a)		2,700		(22,329	)
				(263,588	)

See Notes to Consolidated Financial Statements.

112

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March 31, 2024

Security Description	Shares		Value
Technology Hardware & Equipment — 0.0%
Innoviz Technologies Ltd. (a)		33,300	$	(44,955	)
Nano Dimension Ltd., ADR (a)		2,900		(8,077	)
				(53,032	)
Transportation — 0.0%
Castor Maritime, Inc. (a)		6		(21	)
ZIM Integrated Shipping Services Ltd.		3,400		(34,408	)
				(34,429	)
Utilities — 0.0%
Enlight Renewable Energy Ltd. (a)		300		(5,076	)
Total Middle East				(568,795	)
North America — (12.2)%
Automobiles & Components — 0.0%
Faraday Future Intelligent Electric, Inc. (a)		5		(1	)
Fox Factory Holding Corp. (a)		400		(20,828	)
Harley-Davidson, Inc.		3,000		(131,220	)
LCI Industries		1,900		(233,814	)
Lucid Group, Inc. (a)		197,800		(563,730	)
Luminar Technologies, Inc. (a)		65,900		(129,823	)
Magna International, Inc.		1,100		(59,928	)
Modine Manufacturing Co. (a)		300		(28,557	)
Patrick Industries, Inc.		100		(11,947	)
QuantumScape Corp. (a)		1,700		(10,693	)
Rivian Automotive, Inc., Class A (a)		108,700		(1,190,265	)
Solid Power, Inc. (a)		3,200		(6,496	)
Stellantis NV		5,900		(166,970	)
Thor Industries, Inc.		5,200		(610,168	)
Volcon, Inc. (a)		300		(204	)
Winnebago Industries, Inc.		3,300		(244,200	)
Workhorse Group, Inc. (a)		85,300		(20,011	)
Worksport Ltd. (a)		1,100		(633	)
XPEL, Inc. (a)		1,500		(81,030	)
				(3,510,518	)
Banks — (3.3)%
Ameris Bancorp		1,000		(48,380	)
Atlantic Union Bankshares Corp.		25,854		(912,905	)
Axos Financial, Inc. (a)		204,616		(11,057,449	)
Banc of California, Inc.		74,828		(1,138,134	)
Bancorp, Inc. (a)		33,629		(1,125,226	)
Bank of Hawaii Corp.		2,000		(124,780	)
Bank of Montreal		3,300		(322,344	)
Bank of Nova Scotia		4,500		(233,010	)
Bank OZK		144,710		(6,578,517	)

See Notes to Consolidated Financial Statements.

113

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March 31, 2024

Security Description	Shares		Value
Bankwell Financial Group, Inc.		4,002	$	(103,812	)
Banner Corp.		13,475		(646,800	)
Blue Ridge Bankshares, Inc.		55,450		(149,160	)
BOK Financial Corp.		200		(18,400	)
Cadence Bank		2,700		(78,300	)
Canadian Imperial Bank of Commerce		4,100		(207,952	)
Carver Bancorp, Inc. (a)		400		(612	)
Cathay General Bancorp		800		(30,264	)
City Holding Co.		46,494		(4,845,605	)
Civista Bancshares, Inc.		6,709		(103,184	)
Columbia Banking System, Inc.		4,100		(79,335	)
Comerica, Inc. (c)		4,090		(224,909	)
CrossFirst Bankshares, Inc. (a)		59,883		(828,781	)
Customers Bancorp, Inc. (a)		100		(5,306	)
CVB Financial Corp.		6,001		(107,058	)
Eagle Bancorp, Inc.		85,011		(1,996,908	)
East West Bancorp, Inc.		163,646		(12,946,035	)
Enterprise Financial Services Corp.		20,401		(827,465	)
Fifth Third Bancorp (c)		112,183		(4,174,329	)
Finance of America Cos., Inc., Class A (a)		1,400		(1,029	)
First BanCorp		100		(1,754	)
First Citizens BancShares, Inc., Class A		400		(654,000	)
Frost Bankers, Inc. (c)		59		(6,642	)
Fulton Financial Corp.		208,477		(3,312,700	)
Glacier Bancorp, Inc.		1,900		(76,532	)
Home BancShares, Inc.		17,432		(428,304	)
HomeStreet, Inc.		23,962		(360,628	)
Huntington Bancshares, Inc.		523,293		(7,299,937	)
Independent Bank Corp.		1,200		(62,424	)
Independent Bank Group, Inc.		67,866		(3,098,083	)
KeyCorp (c)		478,193		(7,560,231	)
loanDepot, Inc., Class A (a)		1,500		(3,885	)
M&T Bank Corp.		9,500		(1,381,680	)
MGIC Investment Corp.		6,600		(147,576	)
New York Community Bancorp, Inc.		200,996		(647,207	)
Old National Bancorp		31,004		(539,780	)
Pathward Financial, Inc.		83,527		(4,216,443	)
PennyMac Financial Services, Inc.		2,700		(245,943	)
Pinnacle Financial Partners, Inc.		2,700		(231,876	)
PNC Financial Services Group, Inc. (The)		22,400		(3,619,840	)
Preferred Bank		62,969		(4,834,130	)
Prosperity Bancshares, Inc.		58,866		(3,872,205	)
Regions Financial Corp. (c)		358,967		(7,552,666	)
Rocket Cos., Inc., Class A (a)		3,700		(53,835	)
Royal Bank of Canada		9,000		(907,920	)
Seacoast Banking Corp. of Florida		500		(12,695	)

See Notes to Consolidated Financial Statements.

114

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March 31, 2024

Security Description	Shares		Value
ServisFirst Bancshares, Inc.		13,434	$	(891,480	)
Simmons First National Corp., Class A		11,366		(221,182	)
SouthState Corp.		98,718		(8,393,992	)
Stellar Bancorp, Inc.		300		(7,308	)
TFS Financial Corp.		3,000		(37,680	)
Triumph Financial, Inc. (a)		8,505		(674,617	)
Trustmark Corp.		49,494		(1,391,276	)
U.S. Bancorp		14,600		(652,620	)
UMB Financial Corp.		200		(17,398	)
United Bankshares, Inc.		56,363		(2,017,232	)
United Community Banks, Inc.		3,000		(78,960	)
WaFd, Inc.		933		(27,085	)
Walker & Dunlop, Inc.		400		(40,424	)
Webster Financial Corp.		14,100		(715,857	)
Wells Fargo & Co.		1,500		(86,940	)
Western Alliance Bancorp (c)		152,097		(9,763,106	)
Wintrust Financial Corp.		15,383		(1,605,831	)
WSFS Financial Corp.		2,600		(117,364	)
Zions Bancorp NA (c)		55,386		(2,403,752	)
				(129,189,009	)
Capital Goods — (0.3)%
374Water, Inc. (a)		1,100		(1,386	)
AAON, Inc.		400		(35,240	)
Advanced Drainage Systems, Inc.		4,800		(826,752	)
AerSale Corp. (a)		1,700		(12,206	)
AgEagle Aerial Systems, Inc. (a)		630		(497	)
Ameresco, Inc., Class A (a)		3,400		(82,042	)
American Superconductor Corp. (a)		3,200		(43,232	)
Amprius Technologies, Inc. (a)		200		(530	)
Array Technologies, Inc. (a)		47,700		(711,207	)
Astec Industries, Inc.		100		(4,371	)
Astra Space, Inc. (a)		2,726		(1,859	)
Ballard Power Systems, Inc. (a)		5,200		(14,456	)
Beam Global (a)		2,000		(13,600	)
Blink Charging Co. (a)		21,600		(65,016	)
Boeing Co. (The) (a)		2,300		(443,877	)
Brookfield Business Corp., Class A		100		(2,414	)
Builders FirstSource, Inc. (a)		16,200		(3,378,510	)
Byrna Technologies, Inc. (a)		1,400		(19,502	)
CAE, Inc. (a)		1,000		(20,640	)
CBAK Energy Technology, Inc. (a)		2,200		(2,288	)
Chart Industries, Inc. (a)		5,900		(971,848	)
ClearSign Technologies Corp. (a)		100		(97	)
Desktop Metal, Inc., Class A (a)		11,900		(10,472	)
Dragonfly Energy Holdings Corp. (a)		6,000		(3,240	)

See Notes to Consolidated Financial Statements.

115

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Encore Wire Corp.		700	$	(183,946	)
Energy Vault Holdings, Inc. (a)		17,900		(32,041	)
Eos Energy Enterprises, Inc. (a)		64,800		(66,744	)
ESS Tech, Inc. (a)		23,100		(16,708	)
Fastenal Co.		33,800		(2,607,332	)
Fluence Energy, Inc. (a)		13,200		(228,888	)
Flux Power Holdings, Inc. (a)		400		(1,772	)
FTC Solar, Inc. (a)		18,500		(9,972	)
FuelCell Energy, Inc. (a)		1,000		(1,190	)
General Electric Co.		800		(140,424	)
Graco, Inc.		200		(18,692	)
Hillenbrand, Inc.		300		(15,087	)
Hyliion Holdings Corp. (a)		100		(176	)
Ideal Power, Inc. (a)		200		(1,780	)
Ideanomics, Inc. (a)		3,800		(3,610	)
Intuitive Machines, Inc. (a)		8,400		(52,500	)
iPower, Inc. (a)		600		(318	)
KULR Technology Group, Inc. (a)		6,400		(2,432	)
Lion Electric Co. (a)		3,600		(5,112	)
Markforged Holding Corp. (a)		9,500		(7,942	)
Microvast Holdings, Inc. (a)		25,700		(21,511	)
Net Power, Inc. (a)		4,700		(53,533	)
Nikola Corp. (a)		199,700		(207,688	)
Nxu, Inc. (a)		864		(589	)
PACCAR, Inc.		10,200		(1,263,678	)
Palladyne AI Corp. (a)		467		(845	)
Plug Power, Inc. (a)		218,900		(753,016	)
Quanta Services, Inc.		9,500		(2,468,100	)
Regal Rexnord Corp.		1,300		(234,130	)
Rocket Lab USA, Inc. (a)		33,500		(137,685	)
SES AI Corp. (a)		8,800		(14,784	)
Shoals Technologies Group, Inc., Class A (a)		24,600		(275,028	)
SKYX Platforms Corp. (a)		5,100		(6,681	)
Stem, Inc. (a)		24,900		(54,531	)
Stratasys Ltd. (a)		1,400		(16,268	)
SunPower Corp. (a),(c)		11,505		(34,515	)
Sunrun, Inc. (a)		70,215		(925,434	)
Symbotic, Inc. (a)		1,100		(49,500	)
Terran Orbital Corp. (a)		62,000		(81,220	)
TPI Composites, Inc. (a)		15,100		(43,941	)
UFP Industries, Inc.		1,000		(123,010	)
United Rentals, Inc.		900		(648,999	)
Urban-Gro, Inc. (a)		1,000		(1,370	)
Virgin Galactic Holdings, Inc. (a)		2,300		(3,404	)
Watsco, Inc.		100		(43,197	)

See Notes to Consolidated Financial Statements.

116

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
WESCO International, Inc.		2,300	$	(393,944	)
Xometry, Inc., Class A (a)		3,800		(64,182	)
Xos, Inc. (a)		76		(778	)
				(17,983,509	)
Chemicals — (0.0)%
Novusterra, Inc. (a),(b)		383	$	0
Commercial & Professional Services — (0.1)%
Aqua Metals, Inc. (a)		3,100		(1,668	)
Aris Water Solutions, Inc., Class A		1,000		(14,150	)
Blacksky Technology, Inc. (a)		13,400		(18,224	)
Ceridian HCM Holding, Inc. (a)		16,200		(1,072,602	)
Clarivate PLC (a)		82,900		(615,947	)
Copart, Inc. (a)		61,900		(3,585,248	)
CoStar Group, Inc. (a),(c)		4,989		(481,937	)
Deluxe Corp.		600		(12,354	)
Equifax, Inc. (c)		546		(146,066	)
Experian PLC (c)		1,526		(66,541	)
FiscalNote Holdings, Inc. (a)		20,000		(26,600	)
Innodata, Inc. (a)		1,800		(11,880	)
Knightscope, Inc., Class A (a)		27,400		(13,700	)
LanzaTech Global, Inc. (a)		3,500		(10,833	)
Montrose Environmental Group, Inc. (a)		1,400		(54,838	)
Paylocity Holding Corp. (a)		400		(68,744	)
Planet Labs PBC (a)		21,900		(55,845	)
RB Global, Inc.		15,600		(1,188,252	)
Skillsoft Corp. (a)		180		(1,620	)
Spire Global, Inc. (a)		1,850		(22,200	)
Stericycle, Inc. (a)		1,400		(73,850	)
Sterling Check Corp. (a)		1,600		(25,728	)
Team, Inc. (a)		100		(721	)
Thomson Reuters Corp.		1,800		(280,494	)
TransUnion (c)		1,268		(101,186	)
Willdan Group, Inc. (a)		300		(8,697	)
				(7,959,925	)
Consumer Discretionary Distribution & Retail — 0.0%
Savers Value Village, Inc. (a)		300		(5,784	)
Consumer Durables & Apparel — 0.0%
AMMO, Inc. (a)		8,800		(24,200	)
Aterian, Inc. (a)		708		(1,954	)
Capri Holdings Ltd. (a)		15,000		(679,500	)
Carter’s, Inc.		6,600		(558,888	)
Century Communities, Inc.		1,600		(154,400	)
Crocs, Inc. (a)		5,700		(819,660	)
Dream Finders Homes, Inc., Class A (a)		1,700		(74,341	)
Hanesbrands, Inc. (a)		11,500		(66,700	)
Hasbro, Inc.		4,500		(254,340	)

See Notes to Consolidated Financial Statements.

117

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
iRobot Corp. (a)		2,200	$	(19,272	)
Latham Group, Inc. (a)		4,500		(17,820	)
LGI Homes, Inc. (a)		1,200		(139,644	)
MDC Holdings, Inc.		1,700		(106,947	)
Meritage Homes Corp.		600		(105,276	)
PLBY Group, Inc. (a)		14,564		(15,292	)
Polaris, Inc.		4,100		(410,492	)
PulteGroup, Inc.		300		(36,186	)
Purple Innovation, Inc. (a)		5,800		(10,092	)
Skyline Champion Corp. (a)		3,400		(289,034	)
Smith & Wesson Brands, Inc.		900		(15,624	)
Snap One Holdings Corp. (a)		300		(2,586	)
Sonos, Inc. (a)		600		(11,436	)
Tapestry, Inc.		1,200		(56,976	)
Topgolf Callaway Brands Corp. (a)		6,300		(101,871	)
Traeger, Inc. (a)		2,500		(6,325	)
Tupperware Brands Corp. (a)		1,200		(1,608	)
Vizio Holding Corp., Class A (a)		500		(5,470	)
Worthington Enterprises, Inc.		500		(31,115	)
YETI Holdings, Inc. (a)		400		(15,420	)
				(4,032,469	)
Consumer Services — (0.5)%
ADT, Inc.		2,100		(14,112	)
Aramark		23,100		(751,212	)
Bally’s Corp. (a)		5,900		(82,246	)
Booking Holdings, Inc. (c)		31		(112,464	)
BurgerFi International, Inc. (a)		700		(404	)
Caesars Entertainment, Inc. (a)		40,476		(1,770,420	)
Darden Restaurants, Inc.		6,800		(1,136,620	)
Dave & Buster’s Entertainment, Inc. (a)		11,600		(726,160	)
Expedia Group, Inc. (a),(c)		778		(107,169	)
Full House Resorts, Inc. (a)		1,800		(10,026	)
GAN Ltd. (a)		5,900		(7,493	)
Global Business Travel Group I (a)		1,700		(10,217	)
Grand Canyon Education, Inc. (a)		400		(54,484	)
H&R Block, Inc.		3,000		(147,330	)
Hall of Fame Resort & Entertainment Co. (a)		381		(1,368	)
Inspirato, Inc. (a)		110		(434	)
Jack in the Box, Inc.		800		(54,784	)
Marriott Vacations Worldwide Corp.		2,600		(280,098	)
McDonald’s Corp.		32,300		(9,106,985	)
MGM Resorts International (a)		49,800		(2,351,058	)
Mister Car Wash, Inc. (a)		18,300		(141,825	)
Mondee Holdings, Inc. (a)		1,600		(3,696	)
Nerdy, Inc. (a)		5,900		(17,169	)

See Notes to Consolidated Financial Statements.

118

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Noodles & Co. (a)		3,700	$	(7,067	)
Penn Entertainment, Inc. (a)		39,600		(721,116	)
Restaurant Brands International, Inc.		23,600		(1,875,020	)
Royal Caribbean Cruises Ltd. (a)		7,000		(973,070	)
SeaWorld Entertainment, Inc. (a)		5,700		(320,397	)
Six Flags Entertainment Corp. (a)		18,800		(494,816	)
Sonder Holdings, Inc. (a)		475		(1,406	)
Udemy, Inc. (a)		5,000		(54,900	)
Vacasa, Inc., Class A (a)		25		(171	)
Vail Resorts, Inc., MTN		100		(22,283	)
XWELL, Inc. (a)		20		(34	)
				(21,358,054	)
Diversified Financials — (1.0)%
Affiliated Managers Group, Inc.		700		(117,229	)
AlTi Global, Inc. (a)		300		(1,698	)
American Express Co.		57,814		(13,163,670	)
Annaly Capital Management, Inc.		81,450		(1,603,750	)
Apollo Commercial Real Estate Finance, Inc.		6,600		(73,524	)
Apollo Global Management, Inc.		21,300		(2,395,185	)
Ares Management Corp., Class A		4,100		(545,218	)
ARMOUR Residential REIT, Inc.		6,660		(131,668	)
Bakkt Holdings, Inc. (a)		28,000		(12,874	)
Bank of New York Mellon Corp. (The)		7,600		(437,912	)
BGC Group, Inc., Class A		1,300		(10,101	)
BlackRock, Inc.		342		(285,125	)
Blackstone Mortgage Trust, Inc., Class A		20,900		(416,119	)
Blackstone Secured Lending Fund		4,400		(137,060	)
Brookfield Asset Management Ltd., Class A		21,600		(907,632	)
Brookfield Corp., Class A		57,667		(2,414,517	)
Capital One Financial Corp.		21,029		(3,131,008	)
Carlyle Group, Inc.		27,500		(1,290,025	)
Charles Schwab Corp.		13,100		(947,654	)
Claros Mortgage Trust, Inc.		2,800		(27,328	)
CME Group, Inc.		761		(163,836	)
Ellington Financial, Inc.		16,788		(198,266	)
Enova International, Inc. (a)		38,081		(2,392,629	)
FactSet Research Systems, Inc. (c)		133		(60,434	)
Forge Global Holdings, Inc. (a)		4,800		(9,264	)
Franklin BSP Realty Trust, Inc.		600		(8,016	)
Greenpro Capital Corp. (a)		580		(818	)
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		2,900		(82,360	)
Katapult Holdings, Inc. (a)		56		(653	)
KKR & Co., Inc.		8,600		(864,988	)
Moelis & Co., Class A		800		(45,416	)

See Notes to Consolidated Financial Statements.

119

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Moody’s Corp. (c)		164	$	(64,457	)
MSCI, Inc., Class A (c)		92		(51,561	)
Nasdaq, Inc.		13,693		(864,028	)
Nelnet, Inc., Class A		100		(9,465	)
NerdWallet, Inc., Class A (a)		600		(8,820	)
New York Mortgage Trust, Inc.		5,125		(36,900	)
Orchid Island Capital, Inc.		1,200		(10,716	)
PennyMac Mortgage Investment Trust		6,700		(98,356	)
PRA Group, Inc. (a)		300		(7,824	)
Raymond James Financial, Inc.		700		(89,894	)
Ready Capital Corp.		24,700		(225,511	)
Redwood Trust, Inc.		600		(3,822	)
Regional Management Corp.		16,141		(390,774	)
Rithm Capital Corp.		61,600		(687,456	)
S&P Global, Inc. (c)		101		(42,970	)
SoFi Technologies, Inc. (a)		33,000		(240,900	)
Starwood Property Trust, Inc.		20,800		(422,864	)
StepStone Group, Inc., Class A		3,200		(114,368	)
Tradeweb Markets, Inc., Class A		17,136		(1,785,057	)
Two Harbors Investment Corp.		9,750		(129,090	)
				(37,160,810	)
Energy — (0.7)%
Amplify Energy Corp. (a)		34		(225	)
Antero Midstream Corp.		9,800		(137,788	)
Antero Resources Corp. (a)		19,700		(571,300	)
Callon Petroleum Co. (a)		6,200		(221,712	)
Camber Energy, Inc. (a)		36		(7	)
Cameco Corp.		700		(30,324	)
Canadian Natural Resources Ltd.		16,400		(1,251,648	)
Centrus Energy Corp., Class A (a)		1,400		(58,142	)
Chevron Corp. (c)		17,156		(2,706,187	)
Civitas Resources, Inc.		6,800		(516,188	)
Comstock Resources, Inc.		43,100		(399,968	)
Comstock, Inc. (a)		6,600		(2,401	)
Coterra Energy, Inc.		100,100		(2,790,788	)
Crescent Energy Co., Class A		920		(10,948	)
Denison Mines Corp. (a)		52,700		(102,765	)
Diamondback Energy, Inc.		900		(178,353	)
Encore Energy Corp. (a)		200		(876	)
Energy Fuels, Inc. (a)		51,600		(324,564	)
EOG Resources, Inc. (c)		982		(125,539	)
EQT Corp.		85,200		(3,158,364	)
Equitrans Midstream Corp.		500		(6,245	)
Excelerate Energy, Inc., Class A		700		(11,214	)
Expro Group Holdings NV (a)		6,600		(131,802	)

See Notes to Consolidated Financial Statements.

120

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March 31, 2024

Security Description	Shares		Value
HighPeak Energy, Inc.		700	$	(11,039	)
KLX Energy Services Holdings, Inc. (a)		2,500		(19,350	)
Lightbridge Corp. (a)		90		(266	)
New Fortress Energy, Inc.		24,200		(740,278	)
NexGen Energy Ltd. (a)		4,500		(34,965	)
NextDecade Corp. (a)		3,500		(19,880	)
Northern Oil & Gas, Inc.		7,500		(297,600	)
Occidental Petroleum Corp. (c)		18,462		(1,199,845	)
ONEOK, Inc.		2,400		(192,408	)
OPAL Fuels, Inc., Class A (a)		1,100		(5,522	)
Par Pacific Holdings, Inc. (a)		5,000		(185,300	)
Patterson-UTI Energy, Inc.		1,815		(21,671	)
Pembina Pipeline Corp.		1,800		(63,612	)
Phillips 66		22,900		(3,740,486	)
ProFrac Holding Corp., Class A (a)		8,100		(67,716	)
Range Resources Corp.		5,400		(185,922	)
Sitio Royalties Corp., Class A		7		(173	)
Suncor Energy, Inc.		41,300		(1,524,383	)
Talos Energy, Inc. (a)		5,200		(72,436	)
TC Energy Corp.		11,300		(454,260	)
Tellurian, Inc. (a)		110,000		(72,754	)
Uranium Energy Corp. (a)		75,200		(507,600	)
Ur-Energy, Inc. (a)		2,600		(4,160	)
VAALCO Energy, Inc.		5,341		(37,227	)
Valaris Ltd. (a)		200		(15,052	)
Valero Energy Corp. (c)		7,601		(1,297,415	)
Vertex Energy, Inc. (a)		26,300		(36,820	)
Williams Cos., Inc.		64,000		(2,494,080	)
				(26,039,568	)
Equity Real Estate Investment Trusts (REIT’s) — 0.0%
NexPoint Diversified Real Estate Trust		313		(2,066	)
Peakstone Realty Trust		2,500		(40,325	)
Phillips Edison & Co., Inc.		8,600		(308,482	)
Safehold, Inc.		2,600		(53,560	)
				(404,433	)
Financial Services — 0.0%
Better Home & Finance Holding Co. (a)		3,400		(1,689	)
Food & Staples Retailing — (0.4)%
Andersons, Inc.		900		(51,633	)
BJ’s Wholesale Club Holdings, Inc. (a)		16,600		(1,255,790	)
Costco Wholesale Corp. (c)		2,457		(1,800,072	)
Dollar General Corp.		4,600		(717,876	)
Dollar Tree, Inc. (a)		8,700		(1,158,405	)
HF Foods Group, Inc. (a)		100		(350	)

See Notes to Consolidated Financial Statements.

121

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March 31, 2024

Security Description	Shares		Value
Performance Food Group Co. (a)		9,700	$	(724,008	)
Sysco Corp.		31,400		(2,549,052	)
U.S. Foods Holding Corp. (a)		23,500		(1,268,295	)
Walgreens Boots Alliance, Inc.		82,700		(1,793,763	)
				(11,319,244	)
Food, Beverage & Tobacco — (0.2)%
22nd Century Group, Inc. (a)		40		(5	)
Benson Hill, Inc. (a)		7,100		(1,424	)
BRC, Inc., Class A (a)		9,200		(39,376	)
Brown-Forman Corp., Class B		900		(46,458	)
Calavo Growers, Inc.		100		(2,781	)
Constellation Brands, Inc., Class A		7,400		(2,011,024	)
Darling Ingredients, Inc. (a)		2,400		(111,624	)
Farmer Bros Co. (a)		1,700		(6,069	)
Hershey Co. (The) (c)		1,286		(250,127	)
Kraft Heinz Co.		15,600		(575,640	)
Lamb Weston Holdings, Inc.		22,200		(2,364,966	)
Mission Produce, Inc. (a)		1,100		(13,057	)
Oatly Group AB, ADR (a)		700		(791	)
Pilgrim’s Pride Corp. (a)		2,300		(78,936	)
Seneca Foods Corp., Class A (a)		100		(5,690	)
Stryve Foods, Inc., Class A (a)		20		(29	)
SunOpta, Inc. (a)		8,400		(57,708	)
Utz Brands, Inc.		1,000		(18,440	)
Westrock Coffee Co. (a)		2,700		(27,891	)
Whole Earth Brands, Inc. (a)		2,300		(11,109	)
Zevia PBC, Class A (a)		1,600		(1,872	)
				(5,625,017	)
Health Care Equipment & Services — (0.2)%
AdaptHealth Corp. (a)		5,400		(62,154	)
Agiliti, Inc. (a)		2,800		(28,336	)
agilon health, Inc. (a)		25,500		(155,550	)
Align Technology, Inc. (a)		3,000		(983,760	)
Alignment Healthcare, Inc. (a)		100		(496	)
Amedisys, Inc. (a)		4,800		(442,368	)
AMN Healthcare Services, Inc. (a)		500		(31,255	)
Apyx Medical Corp. (a)		2,000		(2,720	)
Asensus Surgical, Inc. (a)		33,230		(7,643	)
Aveanna Healthcare Holdings, Inc. (a)		1,400		(3,486	)
Axogen, Inc. (a)		900		(7,263	)
Axonics, Inc. (a)		1,500		(103,455	)
Bausch & Lomb Corp. (a)		2,400		(41,520	)
Beyond Air, Inc. (a)		6,300		(10,962	)
Biomerica, Inc. (a)		500		(416	)

See Notes to Consolidated Financial Statements.

122

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March 31, 2024

Security Description	Shares		Value
BioSig Technologies, Inc. (a)		450	$	(297	)
Biotricity, Inc. (a)		250		(370	)
Bluejay Diagnostics, Inc. (a)		30		(24	)
Bright Health Group, Inc. (a)		200		(1,300	)
Butterfly Network, Inc. (a)		45,600		(49,248	)
CareMax, Inc. (a)		120		(578	)
Centene Corp. (a)		1,700		(133,416	)
ClearPoint Neuro, Inc. (a)		1,300		(8,840	)
Cosmos Health, Inc. (a)		200		(142	)
Cross Country Healthcare, Inc. (a)		300		(5,616	)
Cutera, Inc. (a)		2,900		(4,263	)
DarioHealth Corp. (a)		2,700		(4,131	)
Delcath Systems, Inc. (a)		200		(954	)
DocGo, Inc. (a)		1,000		(4,040	)
Doximity, Inc., Class A (a)		1,700		(45,747	)
Embecta Corp.		6,000		(79,620	)
ENDRA Life Sciences, Inc. (a)		245		(142	)
Enhabit, Inc. (a)		1,200		(13,980	)
Envista Holdings Corp. (a)		2,300		(49,174	)
Enzo Biochem, Inc. (a)		2,000		(2,540	)
Femasys, Inc. (a)		1,300		(2,015	)
Fulgent Genetics, Inc. (a)		1,500		(32,550	)
GE HealthCare Technologies, Inc.		2,300		(209,093	)
GeneDx Holdings Corp. (a)		600		(5,478	)
Inmode Ltd. (a)		2,900		(62,669	)
Innovage Holding Corp. (a)		200		(888	)
Inspire Medical Systems, Inc. (a)		6,400		(1,374,656	)
INVO BioScience, Inc. (a)		43		(46	)
iRhythm Technologies, Inc. (a)		4,700		(545,200	)
Laboratory Corp. of America Holdings		100		(21,846	)
Lantheus Holdings, Inc. (a)		400		(24,896	)
LifeMD, Inc. (a)		2,100		(21,588	)
Lucid Diagnostics, Inc. (a)		1,179		(955	)
Masimo Corp. (a)		600		(88,110	)
Medtronic PLC		17,700		(1,542,555	)
Milestone Scientific, Inc. (a)		200		(125	)
ModivCare, Inc. (a)		500		(11,725	)
Multiplan Corp. (a)		20,200		(16,386	)
Myomo, Inc. (a)		300		(981	)
Neogen Corp. (a)		24,100		(380,298	)
NeoGenomics, Inc. (a)		1,800		(28,296	)
OraSure Technologies, Inc. (a)		2,600		(15,990	)
Orchestra BioMed Holdings, Inc. (a)		938		(4,943	)
OrthoPediatrics Corp. (a)		300		(8,748	)
P3 Health Partners, Inc. (a)		6,300		(6,489	)
PAVmed, Inc. (a)		740		(1,584	)

See Notes to Consolidated Financial Statements.

123

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Penumbra, Inc. (a)		1,300	$	(290,134	)
PetVivo Holdings, Inc. (a)		300		(321	)
Predictive Oncology, Inc. (a)		325		(829	)
Privia Health Group, Inc. (a)		2,400		(47,016	)
Progyny, Inc. (a)		600		(22,890	)
Pulse Biosciences, Inc. (a)		900		(7,839	)
QuidelOrtho Corp. (a)		956		(45,831	)
R1 RCM, Inc. (a)		100		(1,288	)
RadNet, Inc. (a)		500		(24,330	)
ResMed, Inc.		2,800		(554,484	)
Rockwell Medical, Inc. (a)		3,636		(6,036	)
Sanara Medtech, Inc. (a)		100		(3,700	)
Schrodinger, Inc. (a)		1,500		(40,500	)
SeaStar Medical Holding Corp. (a)		1,300		(954	)
Senseonics Holdings, Inc. (a)		43,600		(23,156	)
Sharecare, Inc. (a)		18,600		(14,276	)
Shockwave Medical, Inc. (a)		3,100		(1,009,453	)
Sight Sciences, Inc. (a)		200		(1,056	)
Tela Bio, Inc. (a)		1,600		(9,072	)
Tenet Healthcare Corp. (a)		4,100		(430,951	)
TransMedics Group, Inc. (a)		2,700		(199,638	)
Venus Concept, Inc. (a)		400		(276	)
Vivani Medical, Inc. (a)		566		(1,047	)
VolitionRX Ltd. (a)		900		(681	)
Zomedica Corp. (a)		91,800		(13,394	)
				(9,443,068	)
Household & Personal Products — 0.0%
Beauty Health Co. (a)		17,900		(79,476	)
elf Beauty, Inc. (a)		5,400		(1,058,562	)
Flora Growth Corp. (a)		100		(231	)
Honest Co., Inc. (a)		4,000		(16,200	)
Safety Shot, Inc. (a)		400		(956	)
Veru, Inc. (a)		6,600		(4,621	)
				(1,160,046	)
Insurance — (0.1)%
Aflac, Inc.		13,300		(1,141,938	)
Ambac Financial Group, Inc. (a)		3,600		(56,268	)
Assurant, Inc.		2,400		(451,776	)
Atlantic American Corp.		200		(536	)
Caret Holdings, Inc., Class A (a)		417		(25,470	)
GoHealth, Inc., Class A (a)		119		(1,251	)
Hippo Holdings, Inc. (a)		1,124		(20,535	)
Lemonade, Inc. (a)		8,873		(145,606	)
Manulife Financial Corp.		65,700		(1,641,843	)

See Notes to Consolidated Financial Statements.

124

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Old Republic International Corp.		1,300	$	(39,936	)
Prudential Financial, Inc.		200		(23,480	)
RenaissanceRe Holdings Ltd.		1,400		(329,042	)
Sun Life Financial, Inc.		7,800		(425,724	)
				(4,303,405	)
Materials — (0.3)%
5E Advanced Materials, Inc. (a)		2,500		(3,350	)
Agnico Eagle Mines Ltd.		29,000		(1,729,850	)
Albemarle Corp.		37,500		(4,940,250	)
Alpha Metallurgical Resources, Inc.		600		(198,702	)
Alto Ingredients, Inc. (a)		100		(218	)
Ardagh Metal Packaging SA		7,700		(26,411	)
Aspen Aerogels, Inc. (a)		4,100		(72,160	)
Ball Corp.		1,400		(94,304	)
Compass Minerals International, Inc.		400		(6,296	)
Dakota Gold Corp. (a)		2,200		(5,214	)
Danimer Scientific, Inc. (a)		16,400		(17,876	)
Endeavour Silver Corp. (a)		3,800		(9,158	)
Equinox Gold Corp. (a)		44,400		(267,288	)
First Majestic Silver Corp.		5,900		(34,692	)
Ginkgo Bioworks Holdings, Inc. (a)		330,000		(382,800	)
Graphic Packaging Holding Co.		15,400		(449,372	)
Hecla Mining Co.		40		(192	)
Hycroft Mining Holding Corp. (a)		3,560		(7,868	)
i-80 Gold Corp. (a)		27,700		(37,118	)
Ingevity Corp. (a)		300		(14,310	)
International Flavors & Fragrances, Inc.		4,700		(404,153	)
International Paper Co.		6,000		(234,120	)
Ivanhoe Electric, Inc. (a)		3,900		(38,220	)
Kaiser Aluminum Corp.		500		(44,680	)
Lithium Americas Argentina Corp. (a)		1,800		(9,702	)
Lithium Americas Corp. (a)		3,785		(25,435	)
MAG Silver Corp. (a)		6,800		(71,944	)
Mativ Holdings, Inc.		5,800		(108,750	)
MP Materials Corp. (a)		31,700		(453,310	)
Nouveau Monde Graphite, Inc. (a)		600		(1,374	)
Nucor Corp.		9,700		(1,919,630	)
Perimeter Solutions SA (a)		4,000		(29,680	)
Piedmont Lithium, Inc. (a)		4,000		(53,280	)
Quaker Chemical Corp.		100		(20,525	)
Seabridge Gold, Inc. (a)		300		(4,536	)
SilverCrest Metals, Inc. (a)		25,000		(166,500	)
Southern Copper Corp.		1,700		(181,084	)
Steel Dynamics, Inc.		2,500		(370,575	)

See Notes to Consolidated Financial Statements.

125

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
TMC the metals Co., Inc. (a)		10,700	$	(15,301	)
Tronox Holdings PLC, Class A		1,900		(32,965	)
West Fraser Timber Co. Ltd.		300		(25,929	)
				(12,509,122	)
Media & Entertainment — (0.4)%
Advantage Solutions, Inc. (a)		300		(1,299	)
AMC Networks, Inc., Class A (a)		1,600		(19,408	)
Arena Group Holdings, Inc. (a)		400		(472	)
Atlanta Braves Holdings, Inc., Class C (a)		2,000		(78,120	)
BuzzFeed, Inc. (a)		2,900		(1,355	)
Cargurus, Inc. (a)		3,300		(76,164	)
Cars.com, Inc. (a)		200		(3,436	)
Charter Communications, Inc., Class A (a),(c)		2,850		(828,295	)
Cineverse Corp. (a)		2,881		(4,005	)
Comcast Corp., Class A (c)		14,301		(619,948	)
CuriosityStream, Inc.		1,200		(1,284	)
EchoStar Corp., Class A (a)		858		(12,226	)
Endeavor Group Holdings, Inc., Class A		2,200		(56,606	)
EverQuote, Inc., Class A (a)		3,500		(64,960	)
EW Scripps Co., Class A (a)		3,600		(14,148	)
fuboTV, Inc. (a)		39,800		(62,884	)
GameSquare Holdings, Inc. (a)		25		(35	)
Getty Images Holdings, Inc. (a)		4,400		(18,260	)
Gray Television, Inc.		4,800		(30,336	)
IMAX Corp. (a)		2,900		(46,893	)
IZEA Worldwide, Inc. (a)		600		(1,386	)
John Wiley & Sons, Inc., Class A		800		(30,504	)
Kartoon Studios, Inc. (a)		3,960		(5,425	)
Liberty Broadband Corp., Class C (a)		7,900		(452,117	)
Liberty Media Corp.-Liberty Formula One, Class A (a)		1,000		(58,740	)
Liberty Media Corp.-Liberty SiriusXM, Class C (a)		28,000		(831,880	)
Live Nation Entertainment, Inc. (a),(c)		5,641		(596,649	)
MediaAlpha, Inc., Class A (a)		1,300		(26,481	)
National CineMedia, Inc. (a)		7,460		(38,419	)
News Corp., Class A		40,200		(1,052,436	)
Nexstar Media Group, Inc. (c)		5,167		(890,222	)
Omnicom Group, Inc.		12,200		(1,180,472	)
PSQ Holdings, Inc. (a)		1,100		(5,918	)
PubMatic, Inc., Class A (a)		2,400		(56,928	)
Rumble, Inc. (a)		300		(2,424	)
Sinclair, Inc.		8,300		(111,801	)
Sphere Entertainment Co. (a)		4,500		(220,860	)
Stagwell, Inc. (a)		300		(1,866	)
Stran & Co., Inc. (a)		500		(730	)

See Notes to Consolidated Financial Statements.

126

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
System1, Inc. (a)		700	$	(1,372	)
Take-Two Interactive Software, Inc. (a)		23,300		(3,459,817	)
TEGNA, Inc.		300		(4,482	)
Trade Desk, Inc., Class A (a)		800		(69,936	)
TripAdvisor, Inc. (a)		1,600		(44,464	)
Walt Disney Co. (The)		30,800		(3,768,688	)
Warner Bros Discovery, Inc. (a)		4,174		(36,439	)
ZipRecruiter, Inc., Class A (a)		2,400		(27,576	)
				(14,918,166	)
Pharmaceuticals, Biotechnology & Life Sciences — (0.4)%
2seventy bio, Inc. (a)		100		(535	)
Aadi Bioscience, Inc. (a)		400		(936	)
Abeona Therapeutics, Inc. (a)		2,128		(15,428	)
AcelRx Pharmaceuticals, Inc. (a)		270		(278	)
ACELYRIN, Inc. (a)		600		(4,050	)
Aceragen, Inc. (a),(b)		735		(283	)
Actinium Pharmaceuticals, Inc. (a)		586		(4,588	)
Adaptimmune Therapeutics PLC, ADR (a)		8,079		(12,765	)
Adaptive Biotechnologies Corp. (a)		7,700		(24,717	)
Adial Pharmaceuticals, Inc. (a)		32		(43	)
Aerovate Therapeutics, Inc. (a)		100		(2,957	)
Aeterna Zentaris, Inc. (a)		148		(317	)
Agenus, Inc. (a)		9,600		(5,568	)
Akebia Therapeutics, Inc. (a)		24,400		(44,652	)
Akero Therapeutics, Inc. (a)		3,000		(75,780	)
Akoya Biosciences, Inc. (a)		2,000		(9,380	)
Allakos, Inc. (a)		4,500		(5,670	)
Alpha Teknova, Inc. (a)		200		(506	)
Altimmune, Inc. (a)		16,700		(170,006	)
Alzamend Neuro, Inc. (a)		33		(33	)
Apellis Pharmaceuticals, Inc. (a)		10,300		(605,434	)
Applied Therapeutics, Inc. (a)		800		(5,440	)
Aptevo Therapeutics, Inc. (a)		100		(469	)
Aquestive Therapeutics, Inc. (a)		1,500		(6,390	)
Arcturus Therapeutics Holdings, Inc. (a)		2,400		(81,048	)
Atara Biotherapeutics, Inc. (a)		20,800		(14,435	)
Atossa Therapeutics, Inc. (a)		300		(540	)
Aurora Cannabis, Inc. (a)		1,200		(5,268	)
Avadel Pharmaceuticals PLC, ADR (a)		6,700		(113,163	)
Avantor, Inc. (a)		13,500		(345,195	)
Axsome Therapeutics, Inc. (a)		10,100		(805,980	)
Aytu BioPharma, Inc. (a)		21		(64	)
Bausch Health Cos., Inc. (a)		34,300		(363,923	)
Beyondspring, Inc. (a)		1,000		(3,570	)
BioCardia, Inc. (a)		900		(366	)

See Notes to Consolidated Financial Statements.

127

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
BioLife Solutions, Inc. (a)		3,500	$	(64,925	)
Bionano Genomics, Inc. (a)		3,200		(3,552	)
Biora Therapeutics, Inc. (a)		700		(770	)
Bio-Techne Corp.		200		(14,078	)
Blueprint Medicines Corp. (a)		100		(9,486	)
BrainStorm Cell Therapeutics, Inc. (a)		600		(339	)
BriaCell Therapeutics Corp. (a)		500		(1,430	)
Bright Green Corp. (a)		6,300		(1,535	)
Cabaletta Bio, Inc. (a)		1,500		(25,590	)
Canopy Growth Corp. (a)		8,250		(71,197	)
Capricor Therapeutics, Inc. (a)		800		(5,432	)
Cardiff Oncology, Inc. (a)		200		(1,068	)
Cargo Therapeutics, Inc. (a)		300		(6,696	)
Carisma Therapeutics, Inc. (a)		2,778		(6,306	)
Cartesian Therapeutic,s Inc. (a)		4,800		(3,120	)
CASI Pharmaceuticals Holdings, Inc. (a)		330		(1,191	)
Catalent, Inc. (a)		21,900		(1,236,255	)
Catalyst Biosciences, Inc. (a),(b)		4,600		0
Catalyst Pharmaceuticals, Inc. (a)		500		(7,970	)
Centessa Pharmaceuticals PLC, ADR (a)		1,300		(14,690	)
Cerevel Therapeutics Holdings, Inc. (a)		1,000		(42,270	)
Cidara Therapeutics, Inc. (a)		1,000		(920	)
Citius Pharmaceuticals, Inc. (a)		12,200		(10,947	)
Cronos Group, Inc. (a)		9,200		(24,012	)
CryoPort, Inc. (a)		200		(3,540	)
Cytek Biosciences, Inc. (a)		6,400		(42,944	)
Dare Bioscience, Inc. (a)		5,200		(2,549	)
DermTech, Inc. (a)		2,800		(1,966	)
Durect Corp. (a)		70		(85	)
Dyadic International, Inc. (a)		400		(668	)
Elanco Animal Health, Inc. (a)		10,000		(162,800	)
Elevation Oncology, Inc. (a)		7,600		(38,988	)
Entrada Therapeutics, Inc. (a)		400		(5,668	)
Exact Sciences Corp. (a)		4,700		(324,582	)
Eyenovia, Inc. (a)		2,400		(2,366	)
Fennec Pharmaceuticals, Inc. (a)		500		(5,560	)
Foghorn Therapeutics, Inc. (a)		900		(6,039	)
Fortrea Holdings, Inc. (a)		15,700		(630,198	)
Fortress Biotech, Inc. (a)		3,580		(7,160	)
Galectin Therapeutics, Inc. (a),(b)		1,340		0
Galera Therapeutics, Inc. (a)		100		(14	)
Gemini Therapeutics, Inc. (a),(b)		1,300		0
Genelux Corp. (a)		300		(1,929	)
Geron Corp. (a)		2,300		(7,590	)
Greenwich Lifesciences, Inc. (a)		200		(3,988	)
Gritstone bio, Inc. (a)		5,600		(14,392	)

See Notes to Consolidated Financial Statements.

128

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March 31, 2024

Security Description	Shares		Value
Hepion Pharmaceuticals, Inc. (a)		165	$	(411	)
Heron Therapeutics, Inc. (a)		39,300		(108,861	)
HilleVax, Inc. (a)		400		(6,652	)
Humacyte, Inc. (a)		100		(311	)
IGM Biosciences, Inc. (a)		4,400		(42,460	)
IM Cannabis Corp. (a)		70		(37	)
ImmunityBio, Inc. (a)		36,098		(193,846	)
Inmune Bio, Inc. (a)		800		(9,400	)
Inovio Pharmaceuticals, Inc. (a)		1,492		(20,709	)
Intra-Cellular Therapies, Inc. (a)		400		(27,680	)
Invivyd, Inc. (a)		1,900		(8,436	)
Iovance Biotherapeutics, Inc. (a)		48,400		(717,288	)
iTeos Therapeutics, Inc. (a)		1,600		(21,824	)
Iterum Therapeutics PLC (a)		13		(20	)
Jaguar Health, Inc. (a)		20,503		(1,843	)
Kiniksa Pharmaceuticals Ltd., Class A (a)		500		(9,865	)
Korro Bio, Inc. (a)		200		(18,000	)
Krystal Biotech, Inc. (a)		2,000		(355,860	)
Lifecore Biomedical, Inc. (a)		300		(1,593	)
Ligand Pharmaceuticals, Inc. (a)		100		(7,310	)
Lineage Cell Therapeutics, Inc. (a)		11,900		(17,612	)
Lisata Therapeutics, Inc. (a)		200		(624	)
Madrigal Pharmaceuticals, Inc. (a)		5,700		(1,522,128	)
Matinas BioPharma Holdings, Inc. (a)		25,051		(6,789	)
Meiragtx Holdings PLC (a)		3,700		(22,459	)
Monte Rosa Therapeutics, Inc. (a)		700		(4,935	)
MoonLake Immunotherapeutics (a)		2,600		(130,598	)
Mural Oncology PLC (a)		500		(2,445	)
Myriad Genetics, Inc. (a)		2,400		(51,168	)
Nautilus Biotechnology, Inc. (a)		1,000		(2,940	)
NeuBase Therapeutics, Inc. (a)		49		(22	)
Nkarta, Inc. (a)		900		(9,729	)
NovaBay Pharmaceuticals, Inc. (a)		41		(4	)
Novavax, Inc. (a)		32,500		(155,350	)
Nuvalent, Inc., Class A (a)		1,000		(75,090	)
Ocular Therapeutix, Inc. (a)		600		(5,460	)
Ocuphire Pharma, Inc. (a)		2,300		(4,623	)
Omega Therapeutics, Inc. (a)		4,700		(17,155	)
OmniAb, Inc. (a)		4,700		(25,474	)
Oncocyte Corp. (a)		200		(586	)
OpGen, Inc. (a)		405		(281	)
Optinose, Inc. (a)		1,000		(1,460	)
Organigram Holdings, Inc. (a)		7,575		(16,286	)
Organon & Co.		21,400		(402,320	)
Orgenesis, Inc. (a)		400		(329	)
Outlook Therapeutics, Inc. (a)		1,310		(15,641	)

See Notes to Consolidated Financial Statements.

129

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Ovid therapeutics, Inc. (a)		1,300	$	(3,965	)
Pacific Biosciences of California, Inc. (a)		400		(1,500	)
Palatin Technologies, Inc. (a)		3,976		(7,435	)
PDL BioPharma, Inc. (a),(b)		4,500		(11,115	)
Perspective Therapeutics, Inc. (a)		4,300		(5,117	)
Pluri, Inc. (a)		200		(161	)
Poseida Therapeutics, Inc. (a)		100		(319	)
Praxis Precision Medicines, Inc. (a)		60		(3,661	)
Precigen, Inc. (a)		7,300		(10,585	)
Protalix BioTherapeutics, Inc. (a)		6,800		(8,568	)
Quantum-Si, Inc. (a)		11,000		(21,670	)
Regeneron Pharmaceuticals, Inc. (a)		400		(384,996	)
Regulus Therapeutics, Inc. (a)		500		(1,440	)
Repligen Corp. (a)		600		(110,352	)
Revance Therapeutics, Inc. (a)		17,700		(87,084	)
Reviva Pharmaceuticals Holdings, Inc. (a)		100		(378	)
REVOLUTION Medicines, Inc. (a)		45		(1,450	)
Revvity, Inc.		600		(63,000	)
Rhythm Pharmaceuticals, Inc. (a)		6,300		(272,979	)
Roivant Sciences Ltd. (a)		6,100		(64,294	)
SAB Biotherapeutics, Inc. (a)		40		(182	)
Sana Biotechnology, Inc. (a)		8,000		(80,000	)
Scilex Holding Co. (a)		11,154		(17,735	)
scPharmaceuticals, Inc. (a)		3,100		(15,562	)
SCYNEXIS, Inc. (a)		5,000		(7,350	)
Sera Prognostics, Inc., Class A (a)		500		(4,550	)
Seres Therapeutics, Inc. (a)		8,800		(6,812	)
Sesen Bio (a),(b)		25,568		0
SNDL, Inc. (a)		67,940		(136,220	)
Solid Biosciences, Inc. (a)		27		(360	)
Spero Therapeutics, Inc. (a)		2,100		(3,612	)
Spyre Therapeutics, Inc. (a)		48		(1,821	)
Structure Therapeutics, Inc., ADR (a)		6,800		(291,448	)
Summit Therapeutics, Inc. (a)		36,600		(151,524	)
T2 Biosystems, Inc. (a)		1,245		(3,735	)
Taysha Gene Therapies, Inc. (a)		7,400		(21,238	)
TG Therapeutics, Inc. (a)		300		(4,563	)
TherapeuticsMD, Inc. (a)		230		(527	)
Tilray Brands, Inc. (a)		171,900		(424,593	)
Titan Pharmaceuticals, Inc. (a)		15		(108	)
Trevena, Inc. (a)		3		(1	)
TScan Therapeutics, Inc. (a)		300		(2,382	)
Tyra Biosciences, Inc. (a)		200		(3,280	)
UNITY Biotechnology, Inc. (a)		10		(16	)
Vaccinex, Inc. (a)		2		(15	)
Vaxart, Inc. (a)		12,300		(15,990	)

See Notes to Consolidated Financial Statements.

130

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Vaxcyte, Inc. (a)		5,600	$	(382,536	)
Vaxxinity, Inc., Class A (a)		1,900		(1,363	)
Veracyte, Inc. (a)		5,500		(121,880	)
Verrica Pharmaceuticals, Inc. (a)		500		(2,960	)
Viatris, Inc.		1,400		(16,716	)
Viking Therapeutics, Inc. (a)		34,800		(2,853,600	)
Vincerx Pharma, Inc. (a)		100		(506	)
Vir Biotechnology, Inc. (a)		5,400		(54,702	)
Voyager Therapeutics, Inc. (a)		3,600		(33,516	)
vTv Therapeutics, Inc., Class A (a)		30		(706	)
X4 Pharmaceuticals, Inc. (a)		4,800		(6,672	)
Xeris Biopharma Holdings, Inc. (a)		936		(2,069	)
Zevra Therapeutics, Inc. (a)		2,700		(15,660	)
Zymeworks, Inc. (a)		7,000		(73,640	)
				(15,410,715	)
Real Estate — (0.8)%
Acadia Realty Trust		500		(8,505	)
Agree Realty Corp. (c)		1,386		(79,168	)
Alexandria Real Estate Equities, Inc.		9,100		(1,173,081	)
Altisource Portfolio Solutions SA (a)		2,000		(3,880	)
American Homes 4 Rent, Class A		5,500		(202,290	)
Americold Realty Trust, Inc.		5,900		(147,028	)
Apartment Income REIT Corp. (a)		400		(12,988	)
Apartment Investment & Management Co., Class A (a)		5,100		(41,769	)
Ashford Hospitality Trust, Inc. (a)		10,700		(14,659	)
Avalon GloboCare Corp. (a)		550		(176	)
AvalonBay Communities, Inc.		200		(37,112	)
Boston Properties, Inc.		15,100		(986,181	)
Braemar Hotels & Resorts, Inc.		4,500		(9,000	)
CBRE Group, Inc., Class A (a)		22,751		(2,212,307	)
Colliers International Group, Inc.		700		(85,561	)
Compass, Inc., Class A (a)		2,400		(8,640	)
Crown Castle, Inc.		4,100		(433,903	)
Digital Realty Trust, Inc. (c)		28,418		(4,093,329	)
DigitalBridge Group, Inc.		6		(116	)
Doma Holdings, Inc. (a)		300		(1,362	)
Easterly Government Properties, Inc.		400		(4,604	)
Empire State Realty Trust, Inc., Class A		11,900		(120,547	)
Equinix, Inc. (c)		3		(2,476	)
Equity Residential		2,200		(138,842	)
Essential Properties Realty Trust, Inc. (c)		878		(23,407	)
eXp World Holdings, Inc.		200		(2,066	)
Extra Space Storage, Inc.		18,800		(2,763,603	)
Fathom Holdings, Inc. (a)		400		(796	)

See Notes to Consolidated Financial Statements.

131

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Gaming and Leisure Properties, Inc. (c)		2,266	$	(104,395	)
Gladstone Commercial Corp.		2,700		(37,368	)
Global Net Lease, Inc.		17,706		(137,576	)
Healthcare Realty Trust, Inc.		39,300		(556,095	)
Healthpeak Properties, Inc. (c)		15,444		(289,575	)
Highwoods Properties, Inc.		2,100		(54,978	)
Host Hotels & Resorts, Inc. (c)		132,168		(2,733,234	)
Hudson Pacific Properties, Inc.		15,400		(99,330	)
Independence Realty Trust, Inc.		17,500		(282,275	)
Industrial Logistics Properties Trust		100		(429	)
Innovative Industrial Properties, Inc.		2,900		(300,266	)
JBG SMITH Properties		7,500		(120,375	)
Jones Lang LaSalle, Inc. (a)		1,300		(253,617	)
Kennedy-Wilson Holdings, Inc.		3,900		(33,462	)
Kimco Realty Corp.		3,700		(72,557	)
Kite Realty Group Trust		11,500		(249,320	)
Lamar Advertising Co., Class A		3,600		(429,876	)
Macerich Co.		8,500		(146,455	)
Medical Properties Trust, Inc.		47,000		(220,900	)
National Storage Affiliates Trust		6,700		(262,372	)
Newmark Group, Inc., Class A		1,800		(19,962	)
NNN REIT, Inc. (c)		3,276		(140,016	)
Omega Healthcare Investors, Inc. (c)		2,724		(86,269	)
Orion Office REIT, Inc.		1,500		(5,265	)
Outfront Media, Inc.		39,400		(661,526	)
Paramount Group, Inc.		15,200		(71,288	)
PotlatchDeltic Corp.		1,721		(80,921	)
Public Storage		5,000		(1,450,300	)
Realty Income Corp. (c)		12,366		(669,001	)
Simon Property Group, Inc.		11,900		(1,862,231	)
SL Green Realty Corp.		12,751		(702,963	)
Sun Communities, Inc.		2,400		(308,592	)
Sunstone Hotel Investors, Inc.		4,600		(51,244	)
Tricon Residential, Inc.		30,600		(341,190	)
Uniti Group, Inc.		20,400		(120,360	)
Ventas, Inc.		16,038		(698,295	)
VICI Properties, Inc. (c)		77,978		(2,322,965	)
Vornado Realty Trust		38,500		(1,107,645	)
Welltower, Inc. (c)		35,660		(3,332,070	)
Wheeler Real Estate Investment Trust, Inc. (a)		280		(44	)
Whitestone REIT		200		(2,510	)
WP Carey, Inc. (c)		4,502		(254,093	)
				(33,280,601	)
Real Estate Management & Development — 0.0%
Howard Hughes Holdings, Inc. (a)		700		(50,834	)

See Notes to Consolidated Financial Statements.

132

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Retailing — (0.7)%
Academy Sports & Outdoors, Inc.		14,900	$	(1,006,346	)
Asbury Automotive Group, Inc. (a)		1,000		(235,780	)
BARK, Inc. (a)		10,900		(13,516	)
Barnes & Noble Education, Inc. (a)		2,500		(1,810	)
Beyond, Inc. (a)		300		(10,773	)
Birks Group, Inc. (a)		100		(333	)
Boot Barn Holdings, Inc. (a)		7,700		(732,655	)
Caleres, Inc.		3,100		(127,193	)
ContextLogic, Inc., Class A (a)		500		(2,845	)
Designer Brands, Inc., Class A		10,100		(110,393	)
Etsy, Inc. (a),(c)		305		(20,960	)
EVgo, Inc. (a)		32,600		(81,826	)
Floor & Decor Holdings, Inc., Class A (a)		13,700		(1,775,794	)
Foot Locker, Inc.		14,300		(407,550	)
Grove Collaborative Holdings (a)		1,400		(2,338	)
GrowGeneration Corp. (a)		2,400		(6,864	)
Hibbett, Inc.		1,000		(76,810	)
Home Depot, Inc. (The)		3,300		(1,265,880	)
Leslie’s, Inc. (a)		39,600		(257,400	)
Lithia Motors, Inc.		2,000		(601,720	)
LKQ Corp.		1,100		(58,751	)
LL Flooring Holdings, Inc. (a)		3,100		(5,673	)
Lowe’s Cos., Inc. (c)		29,426		(7,495,685	)
Lulu’s Fashion Lounge Holdings, Inc. (a)		400		(560	)
Macy’s, Inc.		32,200		(643,678	)
Newegg Commerce, Inc. (a)		2,900		(2,680	)
ODP Corp. (a)		900		(47,745	)
OneWater Marine, Inc., Class A (a)		900		(25,335	)
Pool Corp.		2,900		(1,170,150	)
Rent the Runway, Inc., Class A (a)		17,500		(6,044	)
RumbleON, Inc., Class B (a)		35		(226	)
Sally Beauty Holdings, Inc. (a)		1,800		(22,356	)
Signet Jewelers Ltd.		10,800		(1,080,756	)
Sportsman’s Warehouse Holdings, Inc. (a)		7,900		(24,569	)
ThredUp, Inc., Class A (a)		2,100		(4,200	)
Tilly’s, Inc., Class A (a)		1,000		(6,800	)
Tractor Supply Co.		6,600		(1,727,352	)
Ulta Beauty, Inc. (a)		7,600		(3,973,888	)
Valvoline, Inc. (a)		6,700		(298,619	)
Victoria’s Secret & Co. (a)		20,900		(405,042	)
Vroom, Inc. (a)		552		(7,413	)
Wayfair, Inc., Class A (a),(c)		352		(23,894	)
Williams-Sonoma, Inc.		11,500		(3,651,595	)
				(27,421,797	)

See Notes to Consolidated Financial Statements.

133

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Semiconductors & Semiconductor Equipment — (0.9)%
Advanced Micro Devices, Inc. (a)		3,300	$	(595,617	)
Aehr Test Systems (a)		1,800		(22,320	)
Analog Devices, Inc.		4,900		(969,171	)
Applied Materials, Inc.		6,300		(1,299,249	)
ARM Holdings PLC, ADR (a)		30,400		(3,799,696	)
Atomera, Inc. (a)		600		(3,696	)
Broadcom, Inc.		8,300		(11,000,903	)
Canadian Solar, Inc. (a)		14,000		(276,640	)
Enphase Energy, Inc. (a)		26,100		(3,157,578	)
Entegris, Inc.		100		(14,054	)
First Solar, Inc. (a)		27,200		(4,591,360	)
Impinj, Inc. (a)		100		(12,841	)
Intel Corp. (c)		19,625		(866,836	)
MACOM Technology Solutions Holdings, Inc. (a)		600		(57,384	)
Marvell Technology, Inc.		23,600		(1,672,768	)
Meta Materials, Inc. (a)		700		(2,149	)
Microchip Technology, Inc.		6,300		(565,173	)
Monolithic Power Systems, Inc. (c)		1,115		(755,323	)
Navitas Semiconductor Corp. (a)		7,100		(33,867	)
ON Semiconductor Corp. (a)		33,700		(2,478,635	)
Onto Innovation, Inc. (a)		200		(36,216	)
Rigetti Computing, Inc. (a)		300		(459	)
SolarEdge Technologies, Inc. (a),(c)		6,380		(452,852	)
Texas Instruments, Inc.		2,900		(505,209	)
Transphorm, Inc. (a)		1,200		(5,892	)
Universal Display Corp.		500		(84,225	)
Wolfspeed, Inc. (a)		500		(14,750	)
				(33,274,863	)
Software & Services — (1.0)%
Accenture PLC, Class A		1,300		(450,593	)
Adeia, Inc.		2,300		(25,116	)
ANSYS, Inc. (a)		7,300		(2,534,268	)
Applied Digital Corp. (a)		6,000		(25,680	)
Aspen Technology, Inc. (a)		1,700		(362,576	)
Autodesk, Inc. (a)		1,400		(364,588	)
BigBear.ai Holdings, Inc. (a)		7		(14	)
Bill Holdings, Inc. (a)		600		(41,232	)
Bitdeer Technologies Group, Class A (a)		5,200		(36,504	)
Bitfarms Ltd. (a)		17,500		(39,025	)
BlackBerry Ltd. (a)		25,300		(69,828	)
BlackLine, Inc. (a)		1,100		(71,038	)
BM Technologies, Inc. (a)		400		(660	)
C3.ai, Inc., Class A (a),(c)		1,337		(36,193	)

See Notes to Consolidated Financial Statements.

134

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
CGI, Inc. (a)		800	$	(88,392	)
Cloudflare, Inc., Class A (a),(c)		129		(12,491	)
Concentrix Corp.		1,600		(105,952	)
Consensus Cloud Solutions, Inc. (a)		400		(6,344	)
CS Disco, Inc. (a)		100		(813	)
CXApp, Inc. (a)		4,800		(11,760	)
CYNGN, Inc. (a)		200		(33	)
Datadog, Inc., Class A (a),(c)		294		(36,338	)
DigitalOcean Holdings, Inc. (a),(c)		629		(24,015	)
DoubleVerify Holdings, Inc. (a)		1,000		(35,160	)
D-Wave Quantum, Inc. (a)		15,400		(31,416	)
E2open Parent Holdings, Inc. (a)		18,700		(83,028	)
EPAM Systems, Inc. (a)		2,900		(800,864	)
Euronet Worldwide, Inc. (a)		19,973		(2,195,632	)
EverCommerce, Inc. (a)		1,000		(9,420	)
Fidelity National Information Services, Inc.		2,500		(185,450	)
Fiserv, Inc. (a)		15,232		(2,434,378	)
Five9, Inc. (a)		3,800		(236,018	)
Flywire Corp. (a)		100		(2,481	)
Gartner, Inc. (a),(c)		191		(91,044	)
Glimpse Group, Inc. (a)		500		(560	)
Global Payments, Inc.		18,800		(2,512,808	)
Globant SA (a)		2,800		(565,320	)
Greenidge Generation Holdings, Inc. (a)		180		(630	)
Grid Dynamics Holdings, Inc. (a)		700		(8,603	)
Guidewire Software, Inc. (a)		100		(11,671	)
HubSpot, Inc. (a),(c)		75		(46,992	)
HUT 8 Corp. (a)		1,500		(16,560	)
Lightspeed Commerce, Inc. (a)		9,200		(129,352	)
Marathon Digital Holdings, Inc. (a)		51,900		(1,171,902	)
Matterport, Inc. (a)		7,200		(16,272	)
MeridianLink, Inc. (a)		1,000		(18,700	)
MicroCloud Hologram, Inc. (a)		600		(2,310	)
MicroStrategy, Inc., Class A (a)		3,700		(6,306,872	)
nCino, Inc. (a)		26,447		(988,589	)
NextNav, Inc. (a)		1,900		(12,502	)
Open Text Corp.		5,600		(217,448	)
Pagaya Technologies Ltd, Class A (a)		2,600		(26,260	)
Palo Alto Networks, Inc. (a),(c)		32,952		(9,362,652	)
Phunware, Inc. (a)		2,552		(22,866	)
Porch Group, Inc. (a)		11,400		(49,134	)
Priority Technology Holdings, Inc. (a)		100		(327	)
Quantum Computing, Inc. (a)		9,929		(9,831	)
Rekor Systems, Inc. (a)		17,600		(40,304	)
Remitly Global, Inc. (a)		2,400		(49,776	)
Riot Platforms, Inc. (a)		24,200		(296,208	)

See Notes to Consolidated Financial Statements.

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March 31, 2024

Security Description	Shares		Value
Roper Technologies, Inc.		3,000	$	(1,682,520	)
Rubicon Technologies, Inc. (a)		1,200		(484	)
Ryvyl, Inc. (a)		270		(786	)
ServiceNow, Inc. (a),(c)		101		(77,002	)
Shift4 Payments, Inc., Class A (a)		1,700		(112,319	)
Shopify, Inc., Class A (a),(c)		10,211		(787,983	)
SilverSun Technologies, Inc.		200		(2,638	)
SoundHound AI, Inc., Class A (a)		85,900		(505,951	)
Sphere 3D Corp. (a)		4,314		(6,644	)
Terawulf, Inc. (a)		23,600		(62,068	)
Verb Technology Co., Inc. (a)		25		(7	)
VeriSign, Inc. (a),(c)		382		(72,393	)
Veritone, Inc. (a)		8,200		(43,132	)
Verra Mobility Corp. (a)		1,100		(27,467	)
WM Technology, Inc. (a)		4,300		(5,719	)
XTI Aerospace, Inc. (a)		601		(1,037	)
				(35,720,943	)
Technology Hardware & Equipment — (0.2)%
908 Devices, Inc. (a)		1,800		(13,590	)
ADTRAN Holdings, Inc.		2,800		(15,232	)
AEye, Inc. (a)		270		(337	)
Akoustis Technologies, Inc. (a)		17,700		(10,462	)
Alpine 4 Holdings, Inc. (a)		1,825		(1,294	)
AmpliTech Group, Inc. (a)		100		(185	)
Applied Optoelectronics, Inc. (a)		8,100		(112,266	)
Belden, Inc.		100		(9,261	)
CDW Corp.		3,500		(895,230	)
Cepton, Inc. (a)		400		(1,112	)
Clearfield, Inc. (a)		2,500		(77,100	)
Coherent Corp. (a)		2,900		(175,798	)
Digital Ally, Inc. (a)		155		(391	)
Harmonic, Inc. (a)		6,000		(80,640	)
Juniper Networks, Inc.		7,000		(259,420	)
Knowles Corp. (a)		1,400		(22,540	)
Lightwave Logic, Inc. (a)		7,000		(32,760	)
Luna Innovations, Inc. (a)		1,200		(3,846	)
Mirion Technologies, Inc. (a)		10,200		(115,974	)
Novanta, Inc. (a)		1,100		(192,247	)
Ondas Holdings, Inc. (a)		8,476		(8,223	)
Ouster, Inc. (a)		12,970		(102,982	)
Red Cat Holdings, Inc. (a)		2,200		(1,683	)
SmartRent, Inc. (a)		7,400		(19,832	)
Super Micro Computer, Inc. (a)		6,800		(6,868,204	)
Ubiquiti, Inc.		600		(69,510	)
Viasat, Inc. (a)		7,000		(126,630	)

See Notes to Consolidated Financial Statements.

136

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Vislink Technologies, Inc. (a)		115	$	(375	)
Vontier Corp.		3,600		(163,296	)
Vuzix Corp. (a)		1,100		(1,331	)
Zebra Technologies Corp., Class A (a)		100		(30,144	)
				(9,411,895	)
Telecommunication Services — (0.1)%
Anterix, Inc. (a)		300		(10,083	)
AST SpaceMobile, Inc. (a)		300		(870	)
BCE, Inc.		6,300		(214,074	)
Consolidated Communications Holdings, Inc. (a)		2,000		(8,640	)
Frontier Communications Parent, Inc. (a)		31,000		(759,500	)
Globalstar, Inc. (a)		3,100		(4,557	)
Millicom International Cellular SA (a)		1,300		(26,299	)
Rogers Communications, Inc., Class B		4,200		(172,200	)
Shenandoah Telecommunications Co.		1,100		(19,107	)
SurgePays, Inc. (a)		300		(1,155	)
Telephone & Data Systems, Inc.		300		(4,806	)
TELUS Corp.		36,100		(577,961	)
Verizon Communications, Inc.		111,200		(4,665,952	)
				(6,465,204	)
Transportation — (0.4)%
Alaska Air Group, Inc. (a)		13,300		(571,767	)
Allegiant Travel Co.		1,000		(75,210	)
American Airlines Group, Inc. (a)		17,300		(265,555	)
Avis Budget Group, Inc.		100		(12,246	)
Blade Air Mobility, Inc. (a)		8,100		(23,085	)
Canadian National Railway Co.		11,200		(1,475,152	)
Canadian Pacific Kansas City Ltd.		34,030		(3,000,425	)
Delta Air Lines, Inc.		26,900		(1,287,703	)
Frontier Group Holdings, Inc. (a)		22,500		(182,475	)
FTAI Infrastructure, Inc.		1,400		(8,792	)
Hawaiian Holdings, Inc. (a)		12,400		(165,292	)
Hertz Global Holdings, Inc. (a)		35,100		(274,833	)
JetBlue Airways Corp. (a)		108,800		(807,296	)
Joby Aviation, Inc. (a)		11,000		(58,960	)
Matson, Inc.		2,200		(247,280	)
Mesa Air Group, Inc. (a)		600		(528	)
Saia, Inc. (a)		1,000		(585,000	)
SkyWest, Inc. (a)		1,200		(82,896	)
Surf Air Mobility, Inc. (a)		3,400		(2,866	)
United Airlines Holdings, Inc. (a)		84,400		(4,041,072	)
Wheels Up Experience, Inc. (a)		5,210		(14,953	)
XPO, Inc. (a)		5,700		(695,571	)
				(13,878,957	)

See Notes to Consolidated Financial Statements.

137

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Utilities — (0.2)%
Algonquin Power & Utilities Corp.		35,100		(221,832	)
Altus Power, Inc. (a)		400		(1,912	)
Atmos Energy Corp.		4,400		(523,028	)
Brookfield Infrastructure Corp., Class A		9,600		(345,984	)
Brookfield Renewable Corp., Class A		15,400		(378,378	)
Cadiz, Inc. (a)		3,646		(10,573	)
California Water Service Group		700		(32,536	)
Clearway Energy, Inc., Class C		9,100		(209,755	)
Essential Utilities, Inc.		2,600		(96,330	)
Montauk Renewables, Inc. (a)		500		(2,080	)
New Jersey Resources Corp.		200		(8,582	)
NextEra Energy Partners LP		10,100		(303,808	)
ONE Gas, Inc.		2,900		(187,137	)
Ormat Technologies, Inc.		500		(33,095	)
PG&E Corp.		90,800		(1,521,808	)
PPL Corp.		14,300		(393,679	)
Public Service Enterprise Group, Inc.		27,600		(1,843,128	)
Southwest Gas Holdings, Inc.		4,400		(334,972	)
Spruce Power Holding Corp. (a)		1,000		(3,970	)
Sunnova Energy International, Inc. (a)		7,300		(44,749	)
UGI Corp.		200		(4,908	)
				(6,502,244	)
Total North America				(488,341,889	)
Oceania — (0.1)%
Automobiles & Components — 0.0%
Cenntro, Inc. (a)		2,500		(3,550	)
Energy — 0.0%
Woodside Energy Group Ltd., ADR		17,000		(339,490	)
Materials — (0.1)%
BHP Group Ltd., ADR		41,400		(2,388,366	)
Rio Tinto PLC, ADR		3,500		(223,090	)
				(2,611,456	)
Pharmaceuticals, Biotechnology & Life Sciences — 0.0%
Alterity Therapeutics Ltd., ADR (a)		10		(21	)
Genetic Technologies Ltd., ADR (a)		200		(578	)
Immutep Ltd., ADR (a)		2,900		(6,757	)
Opthea Ltd., ADR (a)		100		(411	)
				(7,767	)

See Notes to Consolidated Financial Statements.

138

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
Software & Services — 0.0%
Iris Energy Ltd. (a)		400	$	(2,160	)
Mawson Infrastructure Group, Inc. (a)		5,266		(8,057	)
				(10,217	)
Total Oceania				(2,972,480	)
South America — 0.0%
Banks — 0.0%
Banco Santander Chile, ADR		4,000		(79,320	)
Itau Unibanco Holding SA, ADR		27,100		(187,803	)
				(267,123	)
Capital Goods — 0.0%
Sociedad Quimica y Minera de Chile SA, ADR		24,000		(1,179,840	)
Energy — 0.0%
Cosan SA, ADR		1,300		(16,835	)
Ecopetrol SA, ADR		6,000		(71,040	)
Petroleo Brasileiro SA, ADR		48,200		(733,122	)
				(820,997	)
Food & Staples Retailing — 0.0%
Sendas Distribuidora SA, ADR		4,000		(59,120	)
Materials — 0.0%
Bioceres Crop Solutions Corp. (a)		1,000		(12,660	)
ERO Copper Corp. (a)		1,500		(28,920	)
Sigma Lithium Corp. (a)		26,400		(342,144	)
				(383,724	)
Telecommunication Services — 0.0%
Liberty Latin America Ltd., Class C (a)		1,500		(10,485	)
Utilities — 0.0%
Centrais Eletricas Brasileiras SA, ADR (a)		8,600		(71,810	)
Cia de Saneamento Basico do Estado de Sao Paulo SABESP, ADR		13,500		(227,205	)
Enel Chile SA, ADR		2,800		(8,540	)
				(307,555	)
Total South America				(3,028,844	)
TOTAL COMMON STOCK (PROCEEDS $510,246,519)				(560,373,203	)

See Notes to Consolidated Financial Statements.

139

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description		Principal Amount			Value
CORPORATE BONDS & NOTES — (0.8)%
Alibaba Group Holding Ltd.,
2.13%, 02/09/31 (c)		$	4,261,000		$	(3,541,353	)
3.40%, 12/06/27 (c)			5,765,000			(5,451,100	)
America Movil SAB de CV, 6.38%, 03/01/35 (c)			794,000			(864,933	)
Banque Ouest Africaine de Developpement,
2.75%, 01/22/33 (c), (k)			1,302,000	EUR		(1,081,691	)
4.70%, 10/22/31 (c),(k)		$	726,000			(624,331	)
Comision Federal de Electricidad, 3.88%, 07/26/33 (c),(k)			1,697,000			(1,386,364	)
Industrial & Commercial Bank of China Ltd., 3.20%, 12/31/49 (c),(e),(k),(l)			5,050,000			(4,787,280	)
Japfa Comfeed Indonesia Tbk. PT, 5.38%, 03/23/26 (c),(k),(h)			1,160,000			(1,062,133	)
Petroleos Mexicanos, 6.84%, 01/23/30 (c)			7,683,000			(6,775,742	)
Vale Overseas Ltd.,
6.88%, 11/10/39 (c)			3,713,000			(3,970,374	)
6.13%, 06/12/33 (c)			2,460,000			(2,483,960	)
	��
TOTAL CORPORATE BONDS & NOTES (PROCEEDS $31,980,663)						(32,029,261	)
Security Description		Shares			Value
EXCHANGE-TRADED FUNDS — (0.4)%
Energy Select Sector SPDR Fund (c)			17,708			(1,671,812	)
iShares Expanded Tech-Software Sector ETF (c)			882			(75,208	)
iShares MSCI Taiwan ETF (c)			9,854			(479,693	)
Real Estate Select Sector SPDR Fund			46,360			(1,832,611	)
SPDR S&P 500 ETF Trust			19,301			(10,095,774	)
TOTAL EXCHANGE-TRADED FUNDS (PROCEEDS $13,746,973)						(14,155,098	)
Security Description		Principal Amount			Value
MORTGAGE BACKED SECURITIES — (14.4)%
North America — (14.4)%
U.S. Government Sponsored Agency Securities — (14.4)%
Uniform Mortgage-Backed Security,
TBA, 30 Year Maturity, 4.00%, 04/01/54		$	200,000,000			(185,328,200	)
TBA, 30 Year Maturity, 5.00%, 05/01/54			250,000,000			(244,121,000	)
TBA, 30 Year Maturity, 5.50%, 05/01/54			150,000,000			(149,296,950	)
TOTAL MORTGAGE BACKED SECURITIES (PROCEEDS $576,551,757)						(578,746,150	)

See Notes to Consolidated Financial Statements.

140

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Principal Amount		Value
SOVEREIGN DEBT — (1.2)%
Bahrain Government International Bonds, 7.50%, 09/20/47 (c),(k)	$	3,191,000	$	(3,050,921	)
China Government International Bonds, 2.13%, 12/03/29 (c),(k)		1,696,000		(1,517,844	)
Colombia Government International Bonds, 8.75%, 11/14/53 (c)		863,000		(936,344	)
Dominican Republic International Bonds, 6.00%, 02/22/33 (c),(k)		4,901,000		(4,756,340	)
Egypt Government International Bonds, 5.88%, 06/11/25 (c),(k)		2,637,000		(2,589,798	)
Israel Government International Bonds, 4.50%, 01/17/33 (c)		7,945,000		(7,388,866	)
Mexico Government International Bonds, 6.34%, 05/04/53 (c)		8,420,000		(8,307,150	)
Mongolia Government International Bonds, 7.88%, 06/05/29 (c),(k)		1,294,000		(1,333,456	)
Romania Government International Bonds, 4.00%, 02/14/51 (c),(k)		898,000		(633,988	)
Turkey Government International Bonds,
6.00%, 01/14/41 (c)		956,000		(785,239	)
6.75%, 05/30/40 (c)		710,000		(630,892	)
7.38%, 02/05/25 (c)		1,553,000		(1,574,121	)
7.63%, 05/15/34 (c)		8,209,000		(8,229,522	)
8.00%, 02/14/34 (c)		5,252,000		(5,468,645	)
11.88%, 01/15/30 (c)		1,668,000		(2,072,984	)
TOTAL SOVEREIGN DEBT (PROCEEDS $48,133,400)				(49,276,110	)
U.S. TREASURY NOTES — (0.2)%
U.S. Treasury Bonds,
3.63%, 05/15/53 (c)		1,202,800		(1,056,773	)
4.75%, 11/15/53 (c),(j)		1,710,800		(1,826,279	)
4.25%, 02/15/54 (c)		207,000		(203,572	)
4.50%, 02/15/44 (c)		320,000		(321,750	)
U.S. Treasury Notes,
1.38%, 07/15/33 (c)		1,421,700		(1,364,375	)
4.13%, 02/15/27 (c)		269,000		(266,730	)
4.00%, 02/15/34 (c),(j)		3,001,400		(2,951,689	)
4.63%, 02/28/26 (c)		8,000		(7,993	)
4.25%, 02/28/29 - 02/28/31 (c)		705,000		(706,066	)
TOTAL U.S. TREASURY NOTES (PROCEEDS $8,588,911)				(8,705,227	)

See Notes to Consolidated Financial Statements.

141

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Security Description	Shares		Value
WARRANT — 0.0%
North America — 0.0%
Salarius Pharmaceuticals, Inc. (a),(b)	$	1,000	$	(0	)
TOTAL WARRANT (PROCEEDS $0)				(0	)
RIGHT — 0.0%
NeuroBo Pharmaceuticals, Inc. (b)		92		(29	)
RiceBran Technologies (b)		80		—
TOTAL RIGHT (PROCEEDS $541)				(29	)
TOTAL SECURITIES SOLD SHORT — (30.9)% (PROCEEDS $1,189,248,764)				(1,243,285,078	)

Footnote Legend:

^ A balance indicated with a “0”, reflects either a zero balance or an amount that rounds to less than 1.

(a) Non-income producing.

(b) Security is valued using significant unobservable inputs.

(c) Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund.

(d) Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration.

(e) Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of March 31, 2024.

(f) Non-interest bearing bond.

(g) Security is an Interest Only (IO) bond, which represents the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.

(h) Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of March 31, 2024. Maturity date presented is the ultimate maturity.

(i) All or a portion of the security represents an unsettled loan commitment at March 31, 2024 where the rate will be determined at time of settlement.

(j) All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements.

(k) Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the Unites States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration.

(l) Security is perpetual in nature and has no stated maturity.

(m) Security is currently in default due to bankruptcy or failure to make payment of principal or interest.

(n) A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis.

See Notes to Consolidated Financial Statements.

142

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

(o) Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II, Atreides Co., Asgard Fixed Income Risk Premia Fund, Rokos Global Macro Fund Ltd., Centiva Offshore Fund LLP, Qube Torus and Statar Capital Class A, 1/2/2019, 12/30/2019, 7/1/2021, 8/2/2021, 9/1/2021, 6/1/2022, 7/1/2022 and 7/1/2022. Amounts to $437,974,702 and represents 10.9% of Net Assets.

(p) Repurchase agreements may additionally have cash collateral held to meet collateral requirements.

(q) Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

(r) Assets, other than investments in securities, less liabilities other than securities sold short.

Options Written Contracts Outstanding at March 31, 2024

	Strike		Expiration Date	Contracts			Notional Amount			Premium Received			Market Value			Unrealized Appreciation (Depreciation)
Exchange-Traded Call Options Written
ASTERA LABS, INC. APR 24		90.00 USD	04/19/24		(149	)		(13,410	)	$	(74,194	)	$	(38,144	)	$	36,050
BRENT CRUDE SEP24		100.00 USD	07/26/24		(125	)		(12,500	)		(85,250	)		(96,250	)		(11,000	)
CBOE SPX VOLATILITY INDX APR 24		14.50 USD	04/17/24		(692	)		(10,034	)		(65,375	)		(52,592	)		12,783
CBOE SPX VOLATILITY INDX JUN 24		28.00 USD	06/18/24		(2,472	)		(69,216	)		(189,042	)		(148,320	)		40,722
CBOE SPX VOLATILITY INDX JUN 24		40.00 USD	06/18/24		(2,175	)		(87,000	)		(190,271	)		(65,250	)		125,021
CBOE SPX VOLATILITY INDX SEP 24		29.00 USD	09/18/24		(2,472	)		(71,688	)		(305,226	)		(289,224	)		16,002
COMEX GOLD JUN 24		2,300.00 USD	05/28/24		(50	)		(115,000	)		(96,901	)		(130,500	)		(33,599	)
COPPER DEC24		5.25 USD	11/25/24		(132	)		(72,600	)		(115,090	)		(120,450	)		(5,360	)
CRUDE OIL FUT JUL 24		120.00 USD	07/17/24		(540	)		(64,800	)		(155,266	)		(54,000	)		101,266
CRUDE OIL FUT JUN 24		85.00 USD	06/01/24		(50	)		(4,250	)		(96,072	)		(88,000	)		8,072
CRUDE OIL FUT OPT DE		150.00 USD	11/15/24		(100	)		(15,000	)		(52,703	)		(9,000	)		43,703
CRUDE OIL FUT OPT DE		165.00 USD	12/01/24		(25	)		(4,125	)		(12,410	)		(1,500	)		10,910
CRUDE OIL FUT SEP 24		92.00 USD	08/15/24		(50	)		(4,600	)		(79,912	)		(62,500	)		17,412
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND ETF		108.00 USD	04/19/24		(859	)		(92,772	)		(85,017	)		(116,824	)		(31,807	)
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND ETF		110.00 USD	04/19/24		(1,715	)		(188,650	)		(133,723	)		(39,445	)		94,278
LME COPPER 3MO CALL		9,250.00 USD	05/01/24		(70	)		(647,500	)		(187,822	)		(96,320	)		91,502
NAT GAS EURO OPT APR 26		8.00 USD	03/26/26		(50	)		(400	)		(85,500	)		(17,200	)		68,300
NAT GAS EURO OPT AUG 24		3.50 USD	08/01/24		(200	)		(700	)		(164,416	)		(59,600	)		104,816
NAT GAS EURO OPT AUG 26		8.00 USD	07/28/26		(50	)		(400	)		(85,500	)		(30,100	)		55,400
NAT GAS EURO OPT DEC 24		3.75 USD	11/25/24		(8	)		(30	)		(19,577	)		(26,496	)		(6,919	)
NAT GAS EURO OPT DEC 26		8.00 USD	11/24/26		(50	)		(400	)		(85,500	)		(86,650	)		(1,150	)

See Notes to Consolidated Financial Statements.

143

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike		Expiration Date	Contracts			Notional Amount			Premium Received			Market Value			Unrealized Appreciation (Depreciation)
NAT GAS EURO OPT FEB 26		8.00 USD	01/27/26		(50	)		(400	)	$	(85,500	)	$	(108,850	)	$	(23,350	)
NAT GAS EURO OPT JAN 26		8.00 USD	12/26/25		(50	)		(400	)		(85,500	)		(113,850	)		(28,350	)
NAT GAS EURO OPT JUL 26		8.00 USD	06/25/26		(50	)		(400	)		(85,500	)		(27,050	)		58,450
NAT GAS EURO OPT JUN 24		2.60 USD	05/28/24		(40	)		(104	)		(42,283	)		(10,600	)		31,683
NAT GAS EURO OPT JUN 24		2.75 USD	05/28/24		(50	)		(138	)		(47,354	)		(8,700	)		38,654
NAT GAS EURO OPT JUN 24		3.00 USD	05/28/24		(10	)		(30	)		(9,871	)		(910	)		8,961
NAT GAS EURO OPT JUN 26		8.00 USD	05/26/26		(50	)		(400	)		(85,500	)		(20,750	)		64,750
NAT GAS EURO OPT MAR 26		8.00 USD	02/24/26		(50	)		(400	)		(85,500	)		(74,750	)		10,750
NAT GAS EURO OPT MAY 24		2.20 USD	04/25/24		(45	)		(99	)		(48,669	)		(5,895	)		42,774
NAT GAS EURO OPT MAY 26		8.00 USD	04/27/26		(50	)		(400	)		(85,500	)		(16,650	)		68,850
NAT GAS EURO OPT NOV 24		3.50 USD	10/28/24		(300	)		(1,050	)		(272,124	)		(539,700	)		(267,576	)
NAT GAS EURO OPT NOV 24		3.75 USD	10/28/24		(8	)		(30	)		(22,777	)		(10,752	)		12,025
NAT GAS EURO OPT NOV 26		8.00 USD	10/27/26		(50	)		(400	)		(85,500	)		(54,100	)		31,400
NAT GAS EURO OPT OCT 24		3.75 USD	09/25/24		(8	)		(30	)		(22,777	)		(3,432	)		19,345
NAT GAS EURO OPT OCT 24		3.50 USD	10/01/24		(100	)		(350	)		(107,708	)		(62,500	)		45,208
NAT GAS EURO OPT OCT 26		8.00 USD	09/25/26		(50	)		(400	)		(85,500	)		(34,900	)		50,600
NAT GAS EURO OPT SEP 24		3.50 USD	09/01/24		(200	)		(700	)		(164,416	)		(86,600	)		77,816
NAT GAS EURO OPT SEP 26		8.00 USD	08/26/26		(50	)		(400	)		(85,500	)		(30,550	)		54,950
SILVER DEC 24		45.00 USD	11/25/24		(80	)		(3,600	)		(119,794	)		(82,800	)		36,994
SILVER DEC 24		50.00 USD	11/25/24		(80	)		(4,000	)		(43,794	)		(63,200	)		(19,406	)
SILVER SEP 24		32.50 USD	08/27/24		(45	)		(1,462	)		(71,884	)		(65,025	)		6,859
XBIOTECH, INC. JUN 24		105.00 USD	06/21/2024		(2,900	)		(304,500	)		(1,791,130	)		(667,000	)		1,124,130
										$	(5,898,848	)	$	(3,716,929	)	$	2,181,919
Exchange-Traded Put Options Written
CBOE SPX VOLATILITY INDX JUN 24		14.50 USD	06/18/24		(2,472	)		(35,844	)		(221,178	)		(232,368	)		(11,190	)
CBOE SPX VOLATILITY INDX JUN 24		17.00 USD	06/18/24		(1,740	)		(29,580	)		(280,955	)		(455,880	)		(174,925	)
CBOE SPX VOLATILITY INDX SEP 24		15.00 USD	09/18/24		(1,236	)		(18,540	)		(126,657	)		(131,016	)		(4,359	)
CBOE SPX VOLATILITY INDX SEP 24		16.00 USD	09/18/24		(1,236	)		(19,776	)		(188,457	)		(194,052	)		(5,595	)
CRUDE OIL FUT JUN 24		70.00 USD	05/16/24		(100	)		(7,000	)		(105,823	)		(27,000	)		78,823
CRUDE OIL FUT OPT DE		47.00 USD	11/15/24		(100	)		(4,700	)		(408,703	)		(32,000	)		376,703
CRUDE OIL FUT OPT DE		50.00 USD	12/01/24		(25	)		(1,250	)		(107,409	)		(11,250	)		96,159
DJ EURO STOXX 50 APR 24		5,025.00 EUR	04/19/24		(824	)		(4,140,600	)		(226,590	)		(254,270	)		(27,680	)

See Notes to Consolidated Financial Statements.

144

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Strike	Expiration Date	Contracts			Notional Amount			Premium Received			Market Value			Unrealized Appreciation (Depreciation)
EURO STOXX 50 INDEX	4,850.00 EUR	04/19/24		(824	)		(3,996,400	)	$	(308,987	)	$	(75,569	)	$	233,418
NAT GAS EURO OPT JUN 24	2.00 USD	05/28/24		(198	)		(396	)		(256,212	)		(324,324	)		(68,112	)
NAT GAS EURO OPT MAY 24	2.00 USD	04/25/24		(1	)		(2	)		(1,227	)		(2,713	)		(1,486	)
NAT GAS EURO OPT OCT 24	2.00 USD	09/25/24		(150	)		(300	)		(146,482	)		(145,650	)		832
NAT GAS EURO OPT OCT 24	2.25 USD	09/25/24		(200	)		(450	)		(346,626	)		(338,800	)		7,826
S&P 500 INDEX	4,400.00 USD	04/30/24		(935	)		(4,114,000	)		(2,049,468	)		(196,350	)		1,853,118
S&P 500 INDEX	4,600.00 USD	05/31/24		(658	)		(3,026,800	)		(1,354,668	)		(560,616	)		794,052
									$	(6,129,442	)	$	(2,981,858	)	$	3,147,584

	Counterparty	Strike		Expiration Date		Contracts			Notional Amount			Premium Paid			Market Value			Unrealized Appreciation (Depreciation)
OTC Call Options Written
8/7/24 COPPER FUTURE COPPER CALL 10100 8/7/2024	Goldman Sachs International		10,100.00 USD		08/07/24		(7,285	)		(73,578,500	)	$	(407,960	)	$	(842,018	)	$	(434,058	)
BRL JPY FX OPTION CALL 31.5 5/6/24	JPMorgan Chase Bank, N.A.		31.50 BRL		05/06/24		(164,800,000	)		(5,191,200,000	)		(79,440	)		(25,873	)		53,567
CREDIT DEFAULT INDEX SWAPTION 3M BY 12Y6M EU 6/20/2024 TO SELL PROTECTION ON CDX.NA.HY.41.V2 USD 12Y6M 1/1/2038 STRIKE 100	Bank of America N.A.		100.00 USD		12/20/28		(596,900,000	)		(59,690,000,000	)		(1,211,409	)		(578,491	)	$	632,918
EUR MXN FX OPTION CALL 18.32 5/30/24	JPMorgan Chase Bank, N.A.		18.32 EUR		05/30/24		(16,480,000	)		(301,913,600	)		(217,091	)		(148,794	)		68,297
LME NICKEL 3MO CALL	Morgan Stanley Capital Services LLC		60,000.00 USD		12/04/24		(1,260	)		(75,600,000	)		(2,568	)		(1,377	)		1,191
												$	(1,918,468	)	$	(1,596,553	)	$	321,915

See Notes to Consolidated Financial Statements.

145

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	Counterparty	Strike		Expiration Date		Contracts			Notional Amount			Premium Paid			Market Value			Unrealized Appreciation (Depreciation)
OTC Put Options Written
CREDIT DEFAULT INDEX SWAPTION 1Y BY 5Y EU 2/19/2025 TO SELL PROTECTION ON CDX.NA.IG.41 USD 5Y 2/21/2030 STRIKE 110	Barclays Bank PLC		110.00 USD		06/20/24		(2,237,200,000	)		(246,092,000,000	)	$	(1,252,832	)	$	(329,002	)	$	923,830
INTEREST RATE SWAPTION PUT 4% 11/15/2025	Barclays Bank PLC		4.00 EUR		11/13/24		(1,115,500,000	)		(4,462,000,000	)		(244,086	)		(146,855	)		97,231
												$	(1,496,918	)	$	(475,857	)	$	1,021,061
Total Options Written Outstanding												$	(15,443,676	)	$	(8,771,197	)	$	6,672,479

Reverse Repurchase Agreements Outstanding at March 31, 2024

Counterparty	Interest Rate	Trade Rate		Maturity Date			Face Value		Face Value Including Accrued Interest
Barclays Capital, Inc.	5.60%		3/28/2024		4/2/2024		$	1,475,828	$	1,475,828
Barclays Capital, Inc.	5.60%		3/28/2024		4/2/2024			2,338,108		2,338,108
Barclays Capital, Inc.	4.10%		2/21/2024		On Demand	1		2,899,276		2,912,153
Barclays Capital, Inc.	4.10%		2/21/2024		On Demand	1		3,701,049		3,717,488
Barclays Capital, Inc.	5.50%		11/23/2023		On Demand	1		2,507,917		2,556,195
Barclays Capital, Inc.	5.50%		2/28/2024		On Demand	1		1,815,197		1,824,072
Barclays Capital, Inc.	5.55%		1/9/2024		On Demand	1		5,661,040		5,732,605
Barclays Capital, Inc.	5.55%		2/28/2024		On Demand	1		1,166,737		1,172,493
Barclays Capital, Inc.	5.55%		3/5/2024		On Demand	1		1,259,574		1,264,623
Barclays Capital, Inc.	5.55%		3/19/2024		On Demand	1		2,602,933		2,607,748
Barclays Capital, Inc.	5.55%		3/21/2024		4/2/2024			2,445,444		2,449,214
Barclays Capital, Inc.	5.55%		3/21/2024		4/2/2024			2,698,503		2,702,663
Barclays Capital, Inc.	5.60%		2/15/2024		On Demand	1		2,569,173		2,587,157
Barclays Capital, Inc.	5.60%		2/15/2024		On Demand	1		3,882,271		3,909,446
Barclays Capital, Inc.	5.60%		2/28/2024		On Demand	1		1,996,001		2,005,937
Barclays Capital, Inc.	5.60%		2/28/2024		On Demand	1		3,910,818		3,930,285
Barclays Capital, Inc.	5.60%		3/11/2024		On Demand	1		9,954,724		9,985,695
Barclays Capital, Inc.	5.60%		3/27/2024		4/1/2024			3,312,931		3,314,993
Barclays Capital, Inc.	5.60%		3/27/2024		4/1/2024			3,489,961		3,492,133
Barclays Capital, Inc.	5.63%		1/18/2024		On Demand	1		3,552,637		3,593,195
Barclays Capital, Inc.	5.65%		1/29/2024		On Demand	1		621,656		627,705
Barclays Capital, Inc.	5.65%		1/29/2024		On Demand	1		2,140,771		2,161,602
Barclays Capital, Inc.	5.65%		2/13/2024		On Demand	1		3,589,318		3,615,795
Barclays Capital, Inc.	5.65%		2/14/2024		On Demand	1		2,443,704		2,461,346
Barclays Capital, Inc.	5.65%		2/28/2024		On Demand	1		2,688,667		2,702,170
Barclays Capital, Inc.	5.65%		3/5/2024		On Demand	1		266,127		267,213
Barclays Capital, Inc.	5.65%		3/5/2024		On Demand	1		1,175,205		1,180,000

See Notes to Consolidated Financial Statements.

146

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Counterparty	Interest Rate	Trade Rate		Maturity Date		Face Value		Face Value Including Accrued Interest
JPMorgan Chase Bank, N.A.	5.37%		3/28/2024		4/3/2024	$	2,490,778	$	2,490,778
JPMorgan Chase Bank, N.A.	5.44%		3/28/2024		4/3/2024		3,050,900		3,050,900
JPMorgan Chase Bank, N.A.	5.35%		3/28/2024		4/3/2024		1,125,522		1,126,191
JPMorgan Chase Bank, N.A.	5.35%		3/28/2024		4/3/2024		5,249,209		5,252,329
JPMorgan Chase Bank, N.A.	5.37%		3/28/2024		4/3/2024		6,246,303		6,246,303
JPMorgan Chase Bank, N.A.	5.40%		3/28/2024		4/3/2024		650,527		650,918
JPMorgan Chase Bank, N.A.	5.40%		3/28/2024		4/3/2024		3,988,241		3,990,634
JPMorgan Chase Bank, N.A.	5.44%		3/27/2024		4/3/2024		809,582		810,194
JPMorgan Chase Bank, N.A.	5.44%		3/27/2024		4/3/2024		1,504,225		1,505,362
JPMorgan Chase Bank, N.A.	5.44%		3/27/2024		4/3/2024		1,915,940		1,917,387
JPMorgan Chase Bank, N.A.	5.44%		3/27/2024		4/3/2024		4,044,036		4,047,091
JPMorgan Chase Bank, N.A.	5.44%		3/28/2024		4/3/2024		6,768,065		6,768,065
JPMorgan Chase Bank, N.A.	5.50%		2/22/2024		4/24/2024		2,020,032		2,031,759
JPMorgan Chase Bank, N.A.	5.55%		1/8/2024		4/17/2024		6,432,893		6,515,207
JPMorgan Chase Bank, N.A.	5.60%		3/21/2024		4/1/2024		7,704,265		7,716,249
JPMorgan Chase Bank, N.A.	5.60%		3/28/2024		4/2/2024		4,497,552		4,497,552
Total Reverse Repurchase Agreements Outstanding						$	134,663,640	$	135,204,781

¹  Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand.

Future Contracts Outstanding at March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Long Futures
3 Month Eurodollar		586		LIFFE		141,250,838 EUR		06/17/24	$	(97,928	)
3 Month Eurodollar		191		LIFFE		46,692,312 EUR		06/16/25		(195,749	)
3 Month Eurodollar		200		LIFFE		48,766,600 EUR		09/15/25		3,668
3 Month Eurodollar		516		LIFFE		125,887,591 EUR		03/16/26		115,134
3 Month SOFR		1		CME		236,663 USD		06/20/24		19
3 Month SOFR		114		CME		27,053,315 USD		09/18/24		(16,790	)
3 Month SOFR		90		CME		21,411,592 USD		12/18/24		(6,217	)
3 Month SOFR		61		CME		14,738,987 USD		09/17/25		(108,900	)
3 Month SOFR		77		CME		18,524,337 USD		03/18/26		2,825
3 Month SOFR		244		CME		58,719,854 USD		06/17/26		38,396
3 Month SOFR		3		CME		722,038 USD		03/21/29		325
Aluminium		41		LME		2,300,321 USD		04/17/24		64,272
Aluminium		36		LME		2,129,850 USD		12/18/24		48,015
Australian 10-Year Bond		179		SFE		20,751,117 AUD		06/17/24		75,544
Brent Crude		76		ICE		6,294,912 USD		04/30/24		317,088
Brent Crude		100		ICE		158,000 USD		05/28/24		4,000

See Notes to Consolidated Financial Statements.

147

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Brent Crude		347		ICE		29,271,468 USD		05/31/24	$	622,582
Brent Crude		11		ICE		921,455 USD		06/28/24		17,395
Brent Crude		100		ICE		200,000 USD		07/26/24		42,000
Brent Crude		58		ICE		4,755,130 USD		08/30/24		105,850
Brent Crude		92		ICE		7,513,520 USD		09/30/24		132,600
Brent Crude		25		ICE		120,000 USD		10/28/24		(71,250	)
Brent Crude		10		ICE		6,700 USD		11/01/24		(1,400	)
Brent Crude		10		NYMEX		818,250 USD		12/01/24		6,250
Brent Crude		10		ICE		6,700 USD		12/02/24		(800	)
Brent Crude		10		ICE		6,700 USD		01/02/25		(200	)
Brent Crude		25		NYM		1,929,650 USD		10/31/25		350
Brent Crude		2		ICE		147,720 USD		10/31/25		6,680
British Pound Currency		125		ICE		9,981,483 USD		06/17/24		(116,639	)
CAC40 Index		82		ICE		6,657,193 EUR		04/19/24		92,873
CBOE Volatility Index		326		CBOE		4,956,024 USD		04/17/24		(271,828	)
CBOE Volatility Index		280		CBOE		4,420,865 USD		05/22/24		(103,685	)
CBOE Volatility Index		82		CBOE		1,324,090 USD		06/18/24		87
Chicago CG Basis		60		ICE		52,538 USD		11/04/24		(89,288	)
Chicago CG Basis		62		ICE		54,289 USD		12/03/24		(10,501	)
Chicago CG Basis		62		ICE		54,289 USD		01/03/25		81,336
Chicago CG Basis		56		ICE		49,035 USD		02/04/25		74,865
Chicago CG Basis		93		ICE		60,876 USD		03/04/25		(65,139	)
Cocoa		483		ICE		29,755,129 USD		07/16/24		15,192,851
Coffee ‘C’		17		ICE		1,169,250 USD		05/20/24		34,669
Coffee ‘C’		138		ICE		9,654,485 USD		07/19/24		77,103
Copper		12		LME		2,685,012 USD		04/17/24		(48,660	)
Copper		26		LME		5,541,659 USD		05/15/24		195,592
Copper		125		COMEX		12,544,662 USD		05/29/24		(22,788	)
Copper		352		COMEX		36,439,658 USD		07/29/24		(896,458	)
Copper		44		LME		9,881,570 USD		12/18/24		1,930
Corn		2,403		CBT		50,625,007 USD		05/14/24		2,481,293
Cotton No.2		27		ICE		1,272,590 USD		05/08/24		(38,960	)
Cotton No.2		839		ICE		38,822,795 USD		07/09/24		(241,380	)
DAX Index		50		EUREX		22,598,276 EUR		06/21/24		940,547
DJIA mini E-CBOT		158		CBT		31,019,189 USD		06/21/24		719,851
Dominion Sp		279		ICE		608,181 USD		07/01/24		173,987
Dominion Sp		30		ICE		91,500 USD		09/01/24		22,500
Dominion Sp		300		ICE		823,875 USD		11/04/24		77,625
Dominion Sp		62		ICE		139,500 USD		12/03/24		8,913
Dominion Sp		93		ICE		196,075 USD		01/01/25		(969	)
Dominion Sp		84		ICE		177,100 USD		02/01/25		15,925
Dominion Sp		93		ICE		196,075 USD		03/01/25		50,763
Dominion Sp		30		ICE		61,125 USD		04/01/25		10,313

See Notes to Consolidated Financial Statements.

148

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Dominion Sp		31		ICE		63,163 USD		05/01/25	$	5,231
Dominion Sp		30		ICE		61,125 USD		06/01/25		(4,500	)
Eastern Gas South Swing		1		ICE		1,050 USD		04/01/24		(1,175	)
Eastern Gas South Swing		1		ICE		1,050 USD		04/01/24		(1,175	)
Eastern Gas South Swing		1		ICE		1,050 USD		04/01/24		(1,175	)
Eastern Gas South Swing		1		ICE		1,050 USD		04/01/24		(1,175	)
E-Mini Russell Index		365		ICE		38,247,129 USD		06/21/24		915,546
E-Mini S&P 500 Index		242		CME		62,949,167 USD		06/21/24		1,283,683
E-Mini S&P Mid Cap 400 Index		10		CME		2,986,415 USD		06/21/24		90,985
Euro Buxl		3		EUREX		403,280 EUR		06/06/24		4,445
Euro Stoxx 50		536		EUREX		26,571,014 EUR		06/21/24		507,307
Euro-BTP		35		EUREX		4,178,976 EUR		06/06/24		(14,701	)
Euro-Bund		10		EUREX		1,327,368 EUR		06/06/24		6,940
Euro-Schatz		96		EUREX		10,141,932 EUR		06/06/24		5,684
FTSE 100 Index		188		LIFFE		14,626,138 GBP		06/21/24		493,999
FTSE China Index		18		SGX		218,166 USD		04/29/24		48
FTSE/MIB Index		30		ICE		4,946,600 EUR		06/21/24		199,660
Gas Oil		163		ICE		13,489,750 USD		05/10/24		(319,350	)
Gas Oil		431		ICE		33,880,610 USD		06/12/24		685,590
Gas Oil		39		ICE		3,049,378 USD		07/11/24		61,847
Gasoline RBOB		29		NYM		3,077,318 USD		04/30/24		236,372
Gasoline RBOB		667		NYMEX		75,245,090 USD		05/31/24		70,549
Gasoline RBOB		23		NYMEX		1,970,682 USD		11/29/24		150,364
Gold		43		COMEX		9,450,610 USD		06/26/24		174,510
Henry Hub		30		ICE		158,700 USD		05/29/24		(8,925	)
Henry Hub		341		ICE		3,813,387 USD		01/01/25		(636,120	)
Henry Hub		744		ICE		6,789,501 USD		01/01/26		1,467,039
Henry Hub		672		ICE		6,132,452 USD		02/01/26		967,228
Henry Hub		744		ICE		6,789,501 USD		03/01/26		85,059
Henry Hub		720		ICE		6,570,484 USD		04/01/26		(603,485	)
Henry Hub		744		ICE		6,789,501 USD		05/01/26		(625,461	)
Henry Hub		720		ICE		6,570,484 USD		06/01/26		(311,885	)
Henry Hub		744		ICE		6,789,501 USD		07/01/26		(2,361	)
Henry Hub		744		ICE		6,789,501 USD		08/01/26		64,599
Henry Hub		720		ICE		6,570,484 USD		09/01/26		(7,685	)
Henry Hub		744		ICE		6,789,501 USD		10/01/26		99,939
Henry Hub		720		ICE		6,570,484 USD		11/01/26		618,715
Henry Hub		744		ICE		6,789,501 USD		12/01/26		1,409,379
HKG Hang Seng China Enterprises Index		112		HFE		32,468,800 HKD		04/29/24		11,450
HKG Hang Seng Index		43		HFE		35,689,100 HKD		04/29/24		(8,127	)
HSC Basis		31		ICE		21,700 USD		07/02/24		6,394

See Notes to Consolidated Financial Statements.

149

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
HSC Basis		31		ICE		21,700 USD		08/02/24	$	2,519
HSC Basis		30		ICE		21,000 USD		09/04/24		(3,375	)
HSC Basis		31		ICE		38,711 USD		10/02/24		7,130
ICE 3 Month Sonia		630		ICE		150,072,475 GBP		12/17/24		61,418
ICE 3 Month Sonia		39		ICE		9,314,520 GBP		03/18/25		8,796
ICE 3 Month Sonia		317		ICE		76,188,746 GBP		12/16/25		72,817
ICE 3 Month Sonia		564		ICE		135,828,287 GBP		06/16/26		129,733
Japanese 10 Year Bond		54		OSE		7,845,410,000 JPY		06/20/24		137,195
Korean 10 Year Bond		58		KFE		6,566,180,000 KRW		06/18/24		7,755
Korean 3 Year Bond		181		KFE		18,957,940,000 KRW		06/18/24		5,378
Lean Hogs		24		CME		959,450 USD		06/18/24		14,470
Lean Hogs		156		CME		6,489,359 USD		07/15/24		241
Live Cattle		593		CME		42,260,510 USD		06/28/24		494,790
Long Gilt		16		LIFFE		1,583,519 GBP		06/26/24		19,595
Mexican Peso Currency		351		CME		10,320,890 USD		06/17/24		112,585
Michon Basis		30		ICE		21,750 USD		03/31/25		15,188
Michon Basis		31		ICE		22,475 USD		04/30/25		9,106
Michon Basis		30		ICE		21,750 USD		05/30/25		3,938
Michon Basis		31		ICE		22,475 USD		06/30/25		(2,131	)
Michon Basis		31		ICE		22,475 USD		07/31/25		(4,263	)
Michon Basis		30		ICE		21,750 USD		08/29/25		(14,438	)
Michon Basis		31		ICE		22,475 USD		09/30/25		(19,569	)
NASDAQ 100 E-Mini		52		CME		19,008,453 USD		06/21/24		205,547
Natural Gas		422		NYMEX		7,861,429 USD		04/26/24		(421,569	)
Natural Gas		201		NYMEX		9,275,074 USD		04/26/24		(5,731,444	)
Natural Gas		273		NYMEX		11,620,027 USD		05/29/24		(6,168,217	)
Natural Gas		33		NYM		784,020 USD		06/26/24		(11,820	)
Natural Gas		249		NYMEX		10,938,384 USD		06/26/24		(5,111,784	)
Natural Gas		16		NYMEX		390,250 USD		07/29/24		470
Natural Gas		221		NYMEX		10,021,274 USD		07/29/24		(4,624,454	)
Natural Gas		64		NYMEX		1,578,740 USD		08/28/24		(19,060	)
Natural Gas		221		NYMEX		10,006,274 USD		08/28/24		(4,620,504	)
Natural Gas		42		NYMEX		1,083,730 USD		09/26/24		(21,130	)
Natural Gas		298		NYMEX		13,177,556 USD		09/26/24		(5,638,156	)
Natural Gas		116		NYMEX		3,446,570 USD		10/29/24		(47,770	)
Natural Gas		196		NYMEX		9,512,937 USD		11/01/24		(3,770,137	)
Natural Gas		107		NYMEX		3,733,590 USD		11/26/24		(50,650	)
Natural Gas		196		NYMEX		9,512,937 USD		12/01/24		(2,766,617	)
Natural Gas		40		NYMEX		1,484,510 USD		12/27/24		6,290
Natural Gas		63		NYMEX		2,212,809 USD		01/29/25		24,321
Natural Gas		32		NYMEX		971,555 USD		02/01/25		164,765
Natural Gas		208		NYMEX		6,734,770 USD		02/26/25		(78,770	)

See Notes to Consolidated Financial Statements.

150

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Natural Gas		32		NYMEX		971,555 USD		03/01/25	$	52,445
Natural Gas		28		NYMEX		838,760 USD		03/27/25		3,480
Natural Gas		28		NYMEX		919,648 USD		04/01/25		(77,408	)
Natural Gas		69		NYMEX		2,496,000 USD		04/28/25		(377,700	)
Natural Gas		28		NYMEX		919,648 USD		05/01/25		(60,048	)
Natural Gas		47		NYMEX		2,023,207 USD		05/28/25		(499,937	)
Natural Gas		28		NYMEX		919,648 USD		06/01/25		(12,168	)
Natural Gas		51		NYMEX		1,703,680 USD		06/26/25		38,990
Natural Gas		28		NYMEX		919,648 USD		07/01/25		37,112
Natural Gas		58		NYMEX		2,424,289 USD		07/29/25		(418,069	)
Natural Gas		28		NYMEX		919,648 USD		08/01/25		48,872
Natural Gas		58		NYMEX		2,414,599 USD		08/27/25		(432,159	)
Natural Gas		28		NYMEX		919,648 USD		09/01/25		37,392
Natural Gas		62		NYMEX		2,092,660 USD		09/26/25		56,880
Natural Gas		28		NYMEX		919,648 USD		10/01/25		51,112
Natural Gas		44		NYMEX		1,994,778 USD		10/29/25		(328,498	)
Natural Gas		32		NYMEX		971,555 USD		11/01/25		240,285
Natural Gas		45		NYMEX		2,034,740 USD		11/25/25		(143,840	)
Natural Gas		32		NYMEX		971,555 USD		12/01/25		373,085
Natural Gas		10		NYM		329,660 USD		03/27/26		1,840
Natural Gas		54		NYMEX		2,034,693 USD		01/01/27		487,107
Natural Gas		54		NYMEX		2,034,693 USD		02/01/27		375,327
Natural Gas		54		NYMEX		2,034,693 USD		03/01/27		28,107
Natural Gas		54		NYMEX		2,034,693 USD		04/01/27		(236,493	)
Natural Gas		54		NYMEX		2,034,693 USD		05/01/27		(241,893	)
Natural Gas		54		NYMEX		2,034,693 USD		06/01/27		(156,573	)
Natural Gas		54		NYMEX		2,034,693 USD		07/01/27		(66,393	)
Natural Gas		54		NYMEX		2,034,693 USD		08/01/27		(53,973	)
Natural Gas		54		NYMEX		2,034,693 USD		09/01/27		(83,673	)
Natural Gas		54		NYMEX		2,034,693 USD		10/01/27		(59,373	)
Natural Gas		54		NYMEX		2,034,693 USD		11/01/27		111,807
Natural Gas		54		NYMEX		2,034,693 USD		12/01/27		338,067
New Zealand Dollar		81		ICE		4,965,300 USD		06/17/24		(125,550	)
Nikkei Index		28		OSE		1,121,120,000 JPY		06/14/24		64,733
NY Harbor ULSD		119		NYM		13,262,437 USD		04/30/24		(154,182	)
NY Harbor ULSD		168		NYM		19,000,256 USD		05/31/24		(515,653	)
OMXS30 Index		211		NASDAQ OMX		52,374,480 SEK		04/19/24		83,378
S&P ASX Share Price Index 200		100		SFE		19,277,500 AUD		06/20/24		390,900
S&P TSX 60 Index		73		CDE		19,257,510 CAD		06/21/24		241,482
Silver		15		COMEX		1,880,525 USD		05/29/24		(11,825	)
Soybean		523		CBOT		17,519,724 USD		05/14/24		141,986
Soybean		437		CBT		25,881,512 USD		05/14/24		152,762

See Notes to Consolidated Financial Statements.

151

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Soybean Oil		236		CBT		6,829,272 USD		05/14/24	$	(39,552	)
Sugar		308		ICE		7,315,839 USD		04/30/24		452,660
TOPIX		17		OSE		458,439,000 JPY		06/13/24		82,311
Trans Z4 Basis		31		ICE		31,775 USD		01/03/25		(1,550	)
U.S. Treasury 10-Year Note		4,165		CBT		460,264,904 USD		06/18/24		1,204,081
U.S. Treasury 2-Year Note		443		CBT		90,632,624 USD		06/28/24		(46,044	)
U.S. Treasury 5-Year Note		1,579		CBT		168,945,852 USD		06/28/24		31,812
U.S. Treasury 5-Year Note		85		CBT		9,099,844 USD		06/28/24		(3,515	)
U.S. Treasury Long Bond		74		CBT		8,863,885 USD		06/18/24		48,490
VSTOXX		8,652		EUREX		1,248,360 EUR		06/19/24		(296,722	)
VSTOXX		1,648		EUREX		37,080 EUR		06/19/24		(22,226	)
VSTOXX		1,236		EUREX		86,520 EUR		06/19/24		(10,002	)
Waha Gas Basis		30		ICE		64,163 USD		04/01/24		(63,525	)
Waha Gas Basis		31		ICE		77,500 USD		03/04/25		11,625
Waha Gas Basis		60		ICE		135,750 USD		04/01/25		(31,500	)
Waha Gas Basis		62		ICE		140,275 USD		05/01/25		(21,313	)
Waha Gas Basis		60		ICE		135,750 USD		06/01/25		7,500
Waha Gas Basis		31		ICE		62,775 USD		07/01/25		15,306
Waha Gas Basis		31		ICE		62,775 USD		08/01/25		21,119
Waha Gas Basis		30		ICE		60,750 USD		09/01/25		4,875
Waha Gas Basis		31		ICE		62,775 USD		10/01/25		(15,306	)
Western Hub Real-Time Peak Daily Mini		25		ICE		290,690 USD		04/02/24		(74,810	)
Western Hub Real-Time Peak Daily Mini		25		ICE		314,160 USD		06/04/24		2,640
Western Hub Real-Time Peak Daily Mini		100		ICE		1,364,900 USD		07/02/24		(284,900	)
Western Hub Real-Time Peak Daily Mini		45		ICE		629,454 USD		08/02/24		45,276
Western Hub Real-Time Peak Daily Mini		45		ICE		629,454 USD		09/04/24		(39,396	)
Western Hub Real-Time Peak Daily Mini		100		ICE		1,364,900 USD		10/02/24		(120,900	)
Western Hub Real-Time Peak Daily Mini		30		ICE		428,560 USD		10/02/24		37,040
Western Hub Real-Time Peak Daily Mini		50		ICE		875,895 USD		11/04/24		(39,615	)
Western Hub Real-Time Peak Daily Mini		115		ICE		1,935,041 USD		01/03/25		172,771
Western Hub Real-Time Peak Daily Mini		145		ICE		3,174,688 USD		02/04/25		421,080
Western Hub Real-Time Peak Daily Mini		61		ICE		971,494 USD		02/04/25		500,290

See Notes to Consolidated Financial Statements.

152

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Western Hub Real-Time Peak Daily Mini		145		ICE		2,886,080 USD		03/04/25	$	(58,000	)
Western Hub Real-Time Peak Daily Mini		61		ICE		872,362 USD		03/05/25		263,507
Western Hub Real-Time Peak Daily Mini		61		ICE		1,008,668 USD		04/02/25		41,514
Western Hub Real-Time Peak Daily Mini		70		ICE		1,230,650 USD		04/02/25		(60,530	)
Western Hub Real-Time Peak Daily Mini		61		ICE		912,014 USD		05/02/25		(75,826	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,289,253 USD		05/02/25		(131,173	)
Western Hub Real-Time Peak Daily Mini		61		ICE		1,011,146 USD		06/03/25		(140,066	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,230,650 USD		06/03/25		(67,586	)
Western Hub Real-Time Peak Daily Mini		61		ICE		951,667 USD		07/02/25		(143,539	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,230,650 USD		07/02/25		25,318
Western Hub Real-Time Peak Daily Mini		61		ICE		971,494 USD		08/04/25		77,048
Western Hub Real-Time Peak Daily Mini		70		ICE		1,289,253 USD		08/04/25		556,283
Western Hub Real-Time Peak Daily Mini		61		ICE		1,011,146 USD		09/03/25		(45,492	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,230,650 USD		09/03/25		367,534
Western Hub Real-Time Peak Daily Mini		61		ICE		951,667 USD		10/02/25		(109,574	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,230,650 USD		10/02/25		66,478
Western Hub Real-Time Peak Daily Mini		61		ICE		931,841 USD		11/04/25		(51,098	)
Western Hub Real-Time Peak Daily Mini		70		ICE		1,347,855 USD		11/04/25		(5,759	)
Western Hub Real-Time Peak Daily Mini		61		ICE		1,033,451 USD		11/26/25		139,195
Western Hub Real-Time Peak Daily Mini		70		ICE		1,113,446 USD		12/02/25		28,226
Western Hub Real-Time Peak Daily Mini		61		ICE		971,494 USD		01/05/26		304,212
Western Hub Real-Time Peak Daily Mini		70		ICE		1,289,253 USD		01/05/26		197,771

See Notes to Consolidated Financial Statements.

153

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Wheat		1,013		CBT		27,194,275 USD		05/14/24	$	1,182,387
WTI Crude		39		NYM		3,126,620 USD		04/22/24		117,010
WTI Crude		357		NYMEX		28,738,847 USD		05/21/24		685,093
WTI Crude		59		NYM		4,695,450 USD		08/20/24		29,860
WTI Crude		105		NYM		8,158,700 USD		09/20/24		166,750
WTI Crude		7		NYMEX		511,810 USD		11/20/24		33,070
WTI Crude		128		NYMEX		9,165,130 USD		11/20/25		91,830
Zinc		27		LME		1,716,791 USD		04/17/24		(94,307	)
									$	(6,456,185	)
Short Futures
1 Year Mid-Curve 3 Month Eurodollar Option		205		EUREX		24,164,875 EUR		06/06/24	$	(82,405	)
3 Month Eurodollar		338		LIFFE		81,687,515 EUR		09/16/24		(7,644	)
3 Month Eurodollar		286		LIFFE		69,438,115 EUR		12/16/24		108,964
3 Month Eurodollar		150		LIFFE		36,494,775 EUR		03/17/25		42,241
3 Month Eurodollar		125		LIFFE		30,448,002 EUR		06/16/25		9,645
3 Month Eurodollar		393		LIFFE		95,905,472 EUR		12/15/25		(11,966	)
3 Month SOFR		63		CME		14,967,000 USD		09/18/24		25,762
3 Month SOFR		40		CME		9,541,350 USD		12/18/24		27,850
3 Month SOFR		496		CME		118,403,139 USD		03/19/25		69,939
3 Month SOFR		93		CME		22,288,224 USD		06/18/25		37,974
3 Month SOFR		149		CME		35,772,268 USD		09/17/25		36,480
3 Month SOFR		154		CME		37,038,100 USD		12/17/25		31,900
3 Month SOFR		19		CME		4,588,350 USD		03/18/26		16,712
3 Month SOFR		17		CME		4,100,850 USD		06/17/26		7,037
3 Month SOFR		18		CME		4,344,350 USD		09/16/26		7,475
3 Month SOFR		18		CME		4,342,537 USD		12/16/26		4,312
3 Month SOFR		3		CME		723,050 USD		03/17/27		(138	)
3 Month SOFR		3		CME		722,962 USD		06/16/27		(263	)
3 Month SOFR		8		CME		1,927,775 USD		09/15/27		(825	)
3 Month SOFR		8		CME		1,927,787 USD		12/15/27		(613	)
3 Month SOFR		12		CME		2,888,225 USD		03/14/28		(3,925	)
3 Month SOFR		9		CME		2,168,200 USD		06/20/28		(575	)
3 Month SOFR		10		CME		2,405,487 USD		09/19/28		(3,763	)
3 Month SOFR		7		CME		1,685,637 USD		12/20/28		(400	)
Aluminium		41		LME		2,284,110 USD		04/17/24		(80,483	)
Australian 10-Year Bond		6		SFE		692,948 AUD		06/17/24		(4,239	)
Australian Dollar Currency		102		CME		6,704,963 USD		06/17/24		41,303
Brent Crude		68		NYMEX		5,841,600 USD		04/30/24		(74,400	)
Brent Crude		325		ICE		27,610,586 USD		04/30/24		(664,414	)
Brent Crude		10		ICE		0 USD		06/03/24		260
Brent Crude		10		ICE		2,000 USD		07/01/24		750

See Notes to Consolidated Financial Statements.

154

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Brent Crude		100		ICE		64,000 USD		07/26/24	$	(13,000	)
Brent Crude		2		ICE		165,794 USD		07/31/24		(3,346	)
Brent Crude		70		NYM		5,840,250 USD		07/31/24		(79,650	)
Brent Crude		10		ICE		3,500 USD		08/01/24		750
Brent Crude		50		ICE		115,500 USD		10/28/24		79,000
California Carbon Allowance Vintage 2024		2,700		ICE		109,199,990 USD		12/24/24		1,712,990
Canadian 10-Year Bond		11		CDE		1,320,340 CAD		06/19/24		(2,511	)
Canadian Dollar Currency		252		CME		18,605,509 USD		06/18/24		(27,371	)
CBOE Volatility Index		208		CBOE		3,520,522 USD		07/17/24		1,557
CBOE Volatility Index		131		CBOE		2,340,011 USD		08/21/24		47,511
CBOE Volatility Index		261		CBOE		4,742,879 USD		09/18/24		42,321
Cocoa		427		ICE		28,104,794 USD		05/15/24		(13,596,026	)
Coffee ‘C’		109		ICE		7,679,513 USD		05/20/24		(39,731	)
Copper		26		LME		5,555,531 USD		05/15/24		(181,720	)
Copper		318		COMEX		32,741,239 USD		05/29/24		885,589
Copper		44		LME		9,979,419 USD		12/18/24		95,919
Corn		112		CBOT		2,429,300 USD		05/14/24		(45,900	)
Corn		2,519		CBT		54,496,738 USD		07/12/24		(2,747,537	)
Corn		15		CBT		352,500 USD		12/13/24		(5,813	)
Cotton No.2		768		ICE		35,666,974 USD		05/08/24		577,054
Dominion Sp		31		ICE		71,687 USD		01/05/24		(1,550	)
Dominion Sp		310		ICE		509,369 USD		05/01/24		(203,244	)
Dominion Sp		30		ICE		48,750 USD		06/01/24		(10,875	)
Dominion Sp		341		ICE		1,064,462 USD		10/01/24		(130,975	)
Dominion Sp		31		ICE		86,800 USD		07/01/25		(12,400	)
Dominion Sp		31		ICE		86,800 USD		08/01/25		(4,263	)
Dominion Sp		30		ICE		84,000 USD		09/01/25		8,250
Dominion Sp		31		ICE		86,800 USD		10/01/25		19,956
Dominion Sp		30		ICE		69,375 USD		11/01/25		26,250
Dominion Sp		28		ICE		64,750 USD		02/03/26		(7,875	)
Dominion Sp		31		ICE		71,687 USD		03/03/26		(18,019	)
E-Mini S&P 500 Index		15		CME		3,974,575 USD		06/21/24		(6,800	)
Euro FX		155		CME		21,090,127 USD		06/17/24		123,471
Euro OAT		14		EUREX		1,784,140 EUR		06/06/24		(11,048	)
Euro Stoxx 50		720		EUREX		35,895,500 EUR		06/21/24		(462,330	)
Euro-Bund		12		EUREX		1,593,090 EUR		06/06/24		(8,060	)
Euro-Schatz		421		EUREX		44,512,330 EUR		06/06/24		13,627
FTSE Taiwan Index		18		SGX		1,235,880 USD		04/29/24		(18,720	)
Gas Oil		360		ICE		28,627,328 USD		05/10/24		(460,672	)
Gas Oil		87		ICE		6,821,275 USD		08/12/24		(95,225	)
Gasoline RBOB		572		NYM		65,705,334 USD		04/30/24		345,640
Gasoline RBOB		75		NYM		7,606,238 USD		08/30/24		(338,692	)

See Notes to Consolidated Financial Statements.

155

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Gasoline RBOB		23		NYM		1,858,702 USD		12/30/25	$	(157,920	)
Globex Natural Gas		48		NYMEX		1,058,690 USD		04/24/24		212,450
Globex Natural Gas		20		NYMEX		645,800 USD		05/28/24		246,400
Globex Natural Gas		16		NYMEX		516,800 USD		06/25/24		142,400
Globex Natural Gas		35		NYMEX		1,045,200 USD		07/25/24		190,500
Globex Natural Gas		35		NYMEX		1,045,200 USD		08/27/24		192,250
Globex Natural Gas		128		NYMEX		3,453,920 USD		09/25/24		215,520
Globex Natural Gas		29		NYMEX		848,781 USD		11/24/24		(919	)
Globex Natural Gas		13		NYMEX		531,600 USD		12/26/24		47,090
Globex Natural Gas		13		NYMEX		528,950 USD		01/28/25		67,320
Globex Natural Gas		13		NYMEX		518,900 USD		02/25/25		102,900
Globex Natural Gas		13		NYMEX		508,790 USD		03/26/25		117,750
Globex Natural Gas		13		NYMEX		508,400 USD		04/25/25		109,300
Globex Natural Gas		13		NYMEX		511,700 USD		05/27/25		90,370
Globex Natural Gas		13		NYMEX		515,510 USD		06/25/25		71,300
Globex Natural Gas		13		NYMEX		516,170 USD		07/28/25		66,500
Globex Natural Gas		13		NYMEX		517,370 USD		09/25/25		66,660
Globex Natural Gas		13		NYMEX		515,240 USD		09/25/25		70,900
Globex Natural Gas		13		NYMEX		526,700 USD		10/28/25		34,390
Henry Hub		836		ICE		9,209,646 USD		04/26/24		5,524,976
Henry Hub		100		NYMEX		674,335 USD		04/28/24		233,585
Henry Hub		158		NYMEX		1,052,742 USD		05/28/24		263,927
Henry Hub		626		ICE		7,670,753 USD		05/29/24		4,545,448
Henry Hub		681		ICE		8,182,771 USD		06/26/24		4,198,921
Henry Hub		158		NYMEX		1,052,742 USD		06/28/24		128,442
Henry Hub		681		ICE		8,162,853 USD		07/29/24		4,005,348
Henry Hub		158		NYMEX		1,052,742 USD		08/01/24		88,152
Henry Hub		716		ICE		8,292,578 USD		08/28/24		3,930,348
Henry Hub		158		NYMEX		1,052,742 USD		09/01/24		90,127
Henry Hub		867		ICE		9,456,175 USD		09/26/24		3,972,400
Henry Hub		158		NYMEX		1,052,742 USD		10/01/24		53,392
Henry Hub		1,200		ICE		12,854,858 USD		10/29/24		4,064,858
Henry Hub		1,220		ICE		13,110,386 USD		12/01/24		2,612,286
Henry Hub		58		NYMEX		583,700 USD		12/25/24		43,285
Henry Hub		93		ICE		840,100 USD		01/01/25		(26,428	)
Henry Hub		58		NYMEX		583,700 USD		01/28/25		68,805
Henry Hub		224		ICE		2,305,936 USD		02/01/25		317,376
Henry Hub		58		NYMEX		583,700 USD		02/28/25		119,700
Henry Hub		217		ICE		2,227,683 USD		03/01/25		491,683
Henry Hub		58		NYMEX		583,700 USD		03/28/25		147,540
Henry Hub		150		ICE		1,519,849 USD		04/01/25		391,849
Henry Hub		58		NYMEX		583,700 USD		04/28/25		138,550
Henry Hub		186		ICE		1,954,961 USD		05/01/25		527,411
Henry Hub		58		NYMEX		583,700 USD		05/28/25		113,755

See Notes to Consolidated Financial Statements.

156

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Henry Hub		180		ICE		1,891,897 USD		06/01/25	$	433,447
Henry Hub		186		ICE		1,954,961 USD		07/01/25		366,056
Henry Hub		58		NYMEX		583,700 USD		07/01/25		88,235
Henry Hub		186		ICE		1,954,961 USD		08/01/25		346,526
Henry Hub		58		NYMEX		583,700 USD		08/01/25		82,145
Henry Hub		180		ICE		1,891,897 USD		09/01/25		353,797
Henry Hub		58		NYMEX		583,700 USD		09/01/25		88,090
Henry Hub		124		ICE		1,188,850 USD		10/01/25		114,080
Henry Hub		58		NYMEX		583,700 USD		10/01/25		80,985
Henry Hub		180		ICE		1,917,596 USD		11/01/25		213,446
Henry Hub		58		NYMEX		583,700 USD		11/01/25		34,585
Henry Hub		186		ICE		1,981,516 USD		12/01/25		27,586
Henry Hub		58		NYMEX		583,700 USD		12/01/25		(25,590	)
Henry Hub		30		NYMEX		279,750 USD		12/26/25		(53,175	)
Henry Hub		30		NYMEX		279,750 USD		01/27/26		(37,200	)
Henry Hub		30		NYMEX		279,750 USD		02/24/26		2,550
Henry Hub		30		NYMEX		279,750 USD		03/26/26		31,125
Henry Hub		30		NYMEX		279,750 USD		04/27/26		31,200
Henry Hub		30		NYMEX		279,750 USD		05/26/26		18,975
Henry Hub		30		NYMEX		279,750 USD		06/25/26		6,075
Henry Hub		30		NYMEX		279,750 USD		07/28/26		3,375
Henry Hub		30		NYMEX		279,750 USD		08/26/26		6,300
Henry Hub		30		NYMEX		279,750 USD		09/25/26		1,950
Henry Hub		30		NYMEX		279,750 USD		10/27/26		(19,800	)
Henry Hub		30		NYMEX		279,750 USD		11/24/26		(50,850	)
Henry Hub		1		ICE		9,897 USD		01/01/27		(1,778	)
Henry Hub		4		ICE		39,590 USD		02/01/27		(5,040	)
Henry Hub		1		ICE		9,897 USD		03/01/27		348
Henry Hub		2		ICE		19,795 USD		04/01/27		3,145
Henry Hub		1		ICE		9,897 USD		05/01/27		1,598
Henry Hub		2		ICE		19,795 USD		06/01/27		2,405
Henry Hub		1		ICE		9,897 USD		07/01/27		785
Henry Hub		1		ICE		9,897 USD		08/01/27		728
Henry Hub		2		ICE		19,795 USD		09/01/27		1,730
Henry Hub		1		ICE		9,897 USD		10/01/27		753
Henry Hub		2		ICE		19,795 USD		11/01/27		(80	)
Henry Hub		1		ICE		9,898 USD		12/01/27		(1,088	)
Henry Physical Basis		60		ICE		20,625 USD		11/04/24		69,750
Henry Physical Basis		62		ICE		21,312 USD		12/03/24		2,712
Henry Physical Basis		62		ICE		21,312 USD		01/03/25		(60,838	)
Henry Physical Basis		56		ICE		19,250 USD		02/04/25		(56,700	)
Henry Physical Basis		62		ICE		21,312 USD		03/04/25		46,887
HSC Basis		31		ICE		15,887 USD		12/03/24		7,362

See Notes to Consolidated Financial Statements.

157

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
HSC Basis		62		ICE		18,794 USD		01/03/25	$	(1,744	)
HSC Basis		28		ICE		1,575 USD		02/04/25		(8,225	)
ICE 3 Month Sonia		680		ICE		162,854,786 GBP		06/17/25		(135,352	)
ICE 3 Month Sonia		167		ICE		40,112,838 GBP		09/16/25		9,831
ICE 3 Month Sonia		205		ICE		49,338,529 GBP		03/17/26		(35,391	)
Japan Yen Currency		181		CME		15,496,455 USD		06/17/24		360,330
Lean Hogs		132		CME		5,368,339 USD		06/18/24		11,779
Live Cattle		596		CME		42,026,403 USD		08/30/24		(456,477	)
Michon Basis		31		ICE		11,819 USD		04/30/24		(2,131	)
NASDAQ 100 E-Mini		33		CME		12,256,886 USD		06/21/24		63,386
Natural Gas		91		NYMEX		1,788,300 USD		04/26/24		183,970
Natural Gas		418		NYMEX		8,774,890 USD		05/29/24		427,430
Natural Gas		96		NYMEX		2,272,309 USD		06/26/24		25,909
Natural Gas		40		NYMEX		1,008,913 USD		07/29/24		32,113
Natural Gas		51		NYMEX		1,244,080 USD		08/28/24		1,210
Natural Gas		97		NYMEX		2,490,790 USD		09/26/24		36,690
Natural Gas		103		NYMEX		3,007,648 USD		10/29/24		(10,252	)
Natural Gas		162		NYMEX		5,558,620 USD		11/26/24		(17,420	)
Natural Gas		11		NYMEX		384,981 USD		12/01/24		6,361
Natural Gas		105		NYMEX		3,837,685 USD		12/27/24		(75,665	)
Natural Gas		28		NYMEX		273,860 USD		12/27/24		12,970
Natural Gas		13		NYMEX		538,400 USD		01/01/25		(7,860	)
Natural Gas		88		NYMEX		3,968,800 USD		01/01/25		689,040
Natural Gas		28		NYMEX		273,860 USD		01/29/25		25,290
Natural Gas		28		NYMEX		273,860 USD		02/26/25		49,860
Natural Gas		28		NYMEX		273,860 USD		03/27/25		63,300
Natural Gas		28		NYMEX		273,860 USD		04/28/25		58,960
Natural Gas		28		NYMEX		273,860 USD		05/28/25		46,990
Natural Gas		28		NYMEX		273,860 USD		06/26/25		34,670
Natural Gas		28		NYMEX		273,860 USD		07/29/25		31,730
Natural Gas		28		NYMEX		273,860 USD		08/27/25		34,600
Natural Gas		28		NYMEX		273,860 USD		09/26/25		31,170
Natural Gas		28		NYMEX		273,860 USD		10/29/25		8,770
Natural Gas		28		NYMEX		273,860 USD		11/25/25		(20,280	)
Natural Gas		3		NYMEX		121,200 USD		12/26/25		(11,970	)
Natural Gas		73		NYMEX		3,348,682 USD		12/29/25		108,212
Natural Gas		138		NYMEX		5,035,763 USD		01/01/26		(1,090,057	)
Natural Gas		3		NYMEX		121,200 USD		01/27/26		(5,580	)
Natural Gas		33		NYMEX		1,472,542 USD		01/28/26		77,962
Natural Gas		138		NYMEX		5,035,763 USD		02/01/26		(796,117	)
Natural Gas		3		NYMEX		121,200 USD		02/24/26		10,320
Natural Gas		33		NYMEX		1,472,542 USD		02/25/26		252,862
Natural Gas		138		NYMEX		5,035,763 USD		03/01/26		(64,717	)
Natural Gas		3		NYMEX		121,200 USD		03/26/26		21,750

See Notes to Consolidated Financial Statements.

158

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Natural Gas		138		NYMEX		5,035,763 USD		04/01/26	$	461,063
Natural Gas		3		NYMEX		121,200 USD		04/27/26		21,780
Natural Gas		33		NYMEX		1,472,542 USD		04/28/26		378,922
Natural Gas		138		NYMEX		5,035,763 USD		05/01/26		462,443
Natural Gas		3		NYMEX		121,200 USD		05/26/26		16,890
Natural Gas		33		NYMEX		1,472,942 USD		05/27/26		325,532
Natural Gas		138		NYMEX		5,035,763 USD		06/01/26		237,503
Natural Gas		3		NYMEX		121,200 USD		06/25/26		11,730
Natural Gas		33		NYMEX		1,472,542 USD		06/26/26		268,372
Natural Gas		138		NYMEX		5,035,763 USD		07/01/26		143
Natural Gas		3		NYMEX		121,200 USD		07/28/26		10,650
Natural Gas		33		NYMEX		1,472,542 USD		07/29/26		256,492
Natural Gas		138		NYMEX		5,035,763 USD		08/01/26		(49,537	)
Natural Gas		3		NYMEX		121,200 USD		08/26/26		11,820
Natural Gas		33		NYMEX		1,472,942 USD		08/27/26		269,762
Natural Gas		138		NYMEX		5,035,763 USD		09/01/26		4,283
Natural Gas		3		NYMEX		121,200 USD		09/25/26		10,080
Natural Gas		84		NYMEX		3,380,672 USD		09/28/26		269,312
Natural Gas		138		NYMEX		5,035,763 USD		10/01/26		(75,757	)
Natural Gas		3		NYMEX		121,200 USD		10/27/26		1,380
Natural Gas		33		NYMEX		1,472,542 USD		10/28/26		154,522
Natural Gas		138		NYMEX		5,035,763 USD		11/01/26		(475,957	)
Natural Gas		3		NYMEX		121,200 USD		11/24/26		(11,040	)
Natural Gas		33		NYMEX		1,472,542 USD		11/25/26		17,902
Natural Gas		138		NYMEX		5,035,763 USD		12/01/26		(1,047,277	)
Natural Gas		53		NYMEX		2,370,900 USD		12/29/26		(104,200	)
Natural Gas		53		NYMEX		2,370,900 USD		01/27/27		5,510
Natural Gas		53		NYMEX		2,370,900 USD		02/24/27		346,300
Natural Gas		53		NYMEX		2,370,900 USD		03/29/27		606,000
Natural Gas		53		NYMEX		2,370,900 USD		04/28/27		611,300
Natural Gas		53		NYMEX		2,370,900 USD		05/26/27		527,560
Natural Gas		53		NYMEX		2,370,900 USD		06/28/27		439,050
Natural Gas		53		NYMEX		2,370,900 USD		07/28/27		426,860
Natural Gas		53		NYMEX		2,370,900 USD		08/27/27		456,010
Natural Gas		53		NYMEX		2,370,900 USD		09/28/27		432,160
Natural Gas		53		NYMEX		2,370,900 USD		10/27/27		264,150
Natural Gas		53		NYMEX		2,370,900 USD		11/26/27		42,080
New Zealand Dollar		111		ICE		6,679,891 USD		06/17/24		47,641
NY Harbor ULSD		129		NYM		14,770,720 USD		04/30/24		560,931
NY Harbor ULSD		5		NYM		548,100 USD		11/29/24		1,911
Palladium		3		NYM		291,781 USD		06/26/24		(14,669	)
Platinum		20		NYM		922,340 USD		07/29/24		1,240
Silver		11		COMEX		1,378,300 USD		09/26/24		(18,645	)

See Notes to Consolidated Financial Statements.

159

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Soybean		44		CBOT		2,563,712 USD		05/14/24	$	(57,588	)
Soybean		48		CBT		1,632,000 USD		05/14/24		11,040
Soybean		579		CBT		19,560,945 USD		07/12/24		(182,955	)
Soybean		446		CBT		26,715,572 USD		07/14/24		(161,503	)
Soybean Oil		58		CBOT		1,585,597 USD		05/14/24		(83,063	)
Soybean Oil		244		CBT		7,138,880 USD		07/12/24		41,408
Sugar		17		ICE		405,794 USD		04/30/24		(22,987	)
Sugar		348		ICE		8,149,265 USD		06/28/24		(483,919	)
Swiss Franc Currency		57		CME		8,069,719 USD		06/17/24		102,544
TETCO M3 Basis		31		ICE		25,187 USD		03/04/25		(3,681	)
U.S. Treasury 10-Year Note		177		CBT		19,562,875 USD		06/18/24		(48,172	)
U.S. Treasury 2-Year Note		472		CBT		96,699,016 USD		06/28/24		182,388
U.S. Treasury 5-Year Note		308		CBT		32,869,836 USD		06/28/24		(90,975	)
U.S. Treasury Long Bond		143		CBT		17,008,594 USD		06/18/24		(213,969	)
U.S. Treasury Ultra Long Bond		435		CBT		55,509,663 USD		06/18/24		(605,337	)
VSTOXX		462		EUREX		682,999 EUR		04/17/24		31,580
VSTOXX		430		EUREX		704,447 EUR		06/19/24		17,746
VSTOXX		7,416		EUREX		730,270 EUR		06/19/24		67,790
VSTOXX		7,416		EUREX		484,100 EUR		06/19/24		162,253
VSTOXX		1,236		EUREX		86,520 EUR		06/19/24		3,334
VSTOXX		1,236		EUREX		139,050 EUR		06/19/24		(10,002	)
Waha Gas Basis		31		ICE		1,163 USD		04/02/24		54,250
Waha Gas Basis		60		ICE		129,825 USD		06/01/24		45,300
Waha Gas Basis		31		ICE		58,125 USD		07/01/24		12,594
Western Hub Real-Time Peak Daily Mini		132		ICE		1,738,898 USD		05/02/24		200,939
Western Hub Real-Time Peak Daily Mini		45		ICE		645,280 USD		07/02/24		32,560
Western Hub Real-Time Peak Daily Mini		33		ICE		678,181 USD		08/02/24		(91,960	)
Western Hub Real-Time Peak Daily Mini		33		ICE		678,181 USD		09/04/24		(10,648	)
Western Hub Real-Time Peak Daily Mini		9		ICE		129,216 USD		12/03/24		(6,864	)
Western Hub Real-Time Peak Daily Mini		30		ICE		565,706 USD		02/03/26		(224,566	)
Western Hub Real-Time Peak Daily Mini		30		ICE		538,768 USD		03/03/26		(108,272	)
Western Hub Real-Time Peak Daily Mini		30		ICE		592,645 USD		04/02/26		13,429
Western Hub Real-Time Peak Daily Mini		30		ICE		592,645 USD		05/04/26		58,309
Western Hub Real-Time Peak Daily Mini		30		ICE		538,768 USD		06/02/26		41,488

See Notes to Consolidated Financial Statements.

160

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Description	Contracts		Exchange		Notional Amount		Expiration Date		Value/ Unrealized Appreciation (Depreciation)
Western Hub Real-Time Peak Daily Mini		30		ICE		592,645 USD		07/02/26	$	(16,139	)
Western Hub Real-Time Peak Daily Mini		30		ICE		619,583 USD		08/04/26		(269,137	)
Western Hub Real-Time Peak Daily Mini		30		ICE		565,706 USD		09/02/26		(165,598	)
Western Hub Real-Time Peak Daily Mini		30		ICE		565,706 USD		10/02/26		(25,990	)
Western Hub Real-Time Peak Daily Mini		30		ICE		592,645 USD		11/03/26		12,373
Western Hub Real-Time Peak Daily Mini		30		ICE		538,768 USD		12/02/26		208
Western Hub Real-Time Peak Daily Mini		30		ICE		592,645 USD		01/05/27		(91,115	)
Wheat		1,131		CBT		30,996,201 USD		07/12/24		(1,562,461	)
WTI Crude		222		NYMEX		17,996,396 USD		04/22/24		(467,344	)
WTI Crude		16		NYM		1,234,591 USD		06/20/24		(72,129	)
WTI Crude		4		NYM		314,695 USD		07/22/24		(8,865	)
WTI Crude		104		NYMEX		8,004,350 USD		11/20/24		(91,010	)
Zinc		48		LME		2,997,340 USD		04/17/24		112,924
									$	27,235,209
Total Futures Contracts Outstanding									$	20,779,024

Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2024

Currency Purchased	Amount in Currency Purchased		Currency Sold		Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL		45,275,508		EUR		8,361,128	JPMorgan Chase Bank, N.A.		04/05/24	$	3,451
EUR		4,944,000		MXN		89,461,680	JPMorgan Chase Bank, N.A.		04/02/24		(50,712	)
HKD		5,131,000		USD		657,917	State Street Bank and Trust Company		04/30/24		(1,654	)
IDR		35,020,400,000		USD		2,225,988	State Street Bank and Trust Company		04/30/24		(21,450	)
PEN		9,170,000		USD		2,425,712	State Street Bank and Trust Company		04/30/24		37,988
PHP		112,900,000		USD		2,006,041	State Street Bank and Trust Company		04/30/24		2,552
SGD		2,130,000		USD		1,594,598	State Street Bank and Trust Company		04/30/24		(14,649	)
THB		25,000,000		USD		700,734	State Street Bank and Trust Company		04/30/24		(14,028	)

See Notes to Consolidated Financial Statements.

161

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Currency Purchased	Amount in Currency Purchased		Currency Sold		Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
TWD		12,900,000		USD		403,150	State Street Bank and Trust Company		04/30/24	$	79
USD		1,561,766		IDR		24,588,800,000	State Street Bank and Trust Company		04/30/24		13,898
USD		1,396,023		PEN		5,300,000	State Street Bank and Trust Company		04/30/24		(27,926	)
USD		2,216,395		PHP		125,100,000	State Street Bank and Trust Company		04/30/24		(9,247	)
USD		3,335,268		SGD		4,462,500	State Street Bank and Trust Company		04/30/24		25,164
USD		2,649,318		THB		94,400,000	State Street Bank and Trust Company		04/30/24		56,315
USD		3,061,507		TWD		95,100,000	State Street Bank and Trust Company		04/30/24		88,865
USD		1,819,540		XAU		824	JPMorgan Chase Bank, N.A.		04/03/24		(10,786	)
BRL		17,300,000		USD		3,476,552	State Street Bank and Trust Company		04/02/24		(26,797	)
BRL		46,515,740		USD		9,339,216	JPMorgan Chase Bank, N.A.		04/05/24		(66,588	)
BRL		17,300,000		USD		3,461,385	State Street Bank and Trust Company		05/03/24		(22,340	)
CLP		1,978,200,000		USD		2,162,676	State Street Bank and Trust Company		04/30/24		(145,449	)
CNH		149,285,343		USD		20,595,056	JPMorgan Chase Bank, N.A.		04/02/24		(39,784	)
CNH		207,936,400		USD		28,840,000	JPMorgan Chase Bank, N.A.		04/02/24		(208,996	)
CNH		25,119,336		USD		3,480,000	JPMorgan Chase Bank, N.A.		04/16/24		(20,367	)
COP		6,513,000,000		USD		1,640,219	State Street Bank and Trust Company		04/30/24		36,662
CZK		60,600,000		USD		2,594,500	State Street Bank and Trust Company		04/30/24		(9,491	)
EUR		4,120,000		HUF		1,626,765,520	JPMorgan Chase Bank, N.A.		04/02/24		(12,563	)
EUR		8,240,000		HUF		3,263,621,579	JPMorgan Chase Bank, N.A.		04/04/24		(42,847	)
EUR		1,071,200		USD		1,159,404	JPMorgan Chase Bank, N.A.		04/03/24		(4,137	)
EUR		1,087,000		USD		1,182,396	Morgan Stanley Capital Services LLC		04/17/24		(8,924	)
EUR		101,000		USD		110,132	Morgan Stanley Capital Services LLC		04/17/24		(1,098	)
EUR		3,316,000		USD		3,591,268	State Street Bank and Trust Company		04/25/24		(10,864	)
EUR		1,986,000		USD		2,154,115	Citibank N.A.		05/22/24		(7,401	)

See Notes to Consolidated Financial Statements.

162

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Currency Purchased	Amount in Currency Purchased		Currency Sold		Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP		651,000		USD		833,235	State Street Bank and Trust Company		04/25/24	$	(11,281	)
HUF		2,061,285,086		EUR		5,223,336	JPMorgan Chase Bank, N.A.		04/02/24		12,836
HUF		1,632,877,492		EUR		4,106,651	JPMorgan Chase Bank, N.A.		04/03/24		39,266
HUF		1,697,700,000		USD		4,651,659	State Street Bank and Trust Company		04/30/24		(13,231	)
ILS		3,400,000		USD		948,063	State Street Bank and Trust Company		04/30/24		(22,159	)
INR		476,600,000		USD		5,708,941	State Street Bank and Trust Company		04/30/24		3,141
INR		200,000,000		USD		2,409,003	State Street Bank and Trust Company		04/30/24		(11,990	)
JPY		353,435,698		USD		2,375,200	Morgan Stanley Capital Services LLC		04/04/24		(39,884	)
KRW		2,130,000,000		USD		1,602,950	State Street Bank and Trust Company		04/30/24		(24,059	)
MXN		236,214,092		USD		13,975,040	JPMorgan Chase Bank, N.A.		04/01/24		236,420
MXN		62,477,946		USD		3,708,000	JPMorgan Chase Bank, N.A.		04/01/24		50,890
MXN		27,590,651		USD		1,648,000	JPMorgan Chase Bank, N.A.		04/10/24		10,731
MXN		271,523,198		USD		16,358,048	JPMorgan Chase Bank, N.A.		04/10/24		(34,257	)
MXN		4,400,000		USD		252,105	State Street Bank and Trust Company		04/30/24		11,599
NOK		35,900,000		USD		3,432,919	State Street Bank and Trust Company		04/30/24		(120,024	)
PLN		4,500,000		USD		1,113,547	State Street Bank and Trust Company		04/30/24		14,300
PLN		900,000		USD		225,791	State Street Bank and Trust Company		04/30/24		(221	)
SEK		2,500,000		USD		242,972	State Street Bank and Trust Company		04/30/24		(9,161	)
USD		17,429,265		AUD		26,799,000	State Street Bank and Trust Company		04/26/24		(45,710	)
USD		3,472,153		BRL		17,300,000	State Street Bank and Trust Company		04/02/24		22,398
USD		4,135,678		CHF		3,535,000	State Street Bank and Trust Company		04/30/24		203,773
USD		185,853		CLP		170,000,000	State Street Bank and Trust Company		04/30/24		12,499
USD		13,184,000		CNH		94,766,592	JPMorgan Chase Bank, N.A.		04/02/24		135,478

See Notes to Consolidated Financial Statements.

163

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Currency Purchased	Amount in Currency Purchased		Currency Sold		Amount in Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD		13,368,876		CNH		95,418,000	State Street Bank and Trust Company		04/30/24	$	218,223
USD		1,675,478		COP		6,699,900,000	State Street Bank and Trust Company		04/30/24		(49,524	)
USD		2,600,512		CZK		61,700,000	State Street Bank and Trust Company		04/30/24		(31,419	)
USD		2,163,248		EUR		2,000,000	JPMorgan Chase Bank, N.A.		04/10/24		5,060
USD		16,956,061		EUR		15,489,000	Morgan Stanley Capital Services LLC		04/17/24		234,903
USD		137,667		EUR		127,000	Morgan Stanley Capital Services LLC		04/17/24		564
USD		10,687,326		EUR		9,823,000	State Street Bank and Trust Company		04/25/24		81,083
USD		2,368,561		EUR		2,182,000	Citibank N.A.		05/22/24		9,986
USD		690,060		EUR		636,000	Citibank N.A.		06/03/24		2,160
USD		26,084,373		GBP		20,694,000	State Street Bank and Trust Company		04/25/24		(43,893	)
USD		689,924		GBP		541,000	Citibank N.A.		05/02/24		7,019
USD		1,238,617		GBP		980,000	Citibank N.A.		05/13/24		1,146
USD		88,806		GBP		70,000	Citibank N.A.		05/28/24		408
USD		1,461,565		GBP		1,147,000	Citibank N.A.		06/07/24		13,021
USD		2,510,224		HUF		905,600,000	State Street Bank and Trust Company		04/30/24		35,959
USD		2,411,185		ILS		8,885,000	State Street Bank and Trust Company		04/30/24		(8,419	)
USD		278,014		INR		23,100,000	State Street Bank and Trust Company		04/30/24		1,159
USD		2,345,927		JPY		353,435,698	Morgan Stanley Capital Services LLC		04/04/24		10,611
USD		4,707,210		KRW		6,267,000,000	State Street Bank and Trust Company		04/30/24		61,712
USD		16,358,048		MXN		271,152,394	JPMorgan Chase Bank, N.A.		04/01/24		44,578
USD		1,651,296		MXN		27,546,920	JPMorgan Chase Bank, N.A.		04/01/24		(6,022	)
USD		767,013		NOK		8,013,334	State Street Bank and Trust Company		04/30/24		27,532
USD		1,012,448		PLN		4,100,000	State Street Bank and Trust Company		04/30/24		(15,147	)
USD		1,029,392		SEK		10,709,273	State Street Bank and Trust Company		04/30/24		27,811
USD		205,963		ZAR		3,900,000	State Street Bank and Trust Company		04/30/24		478
USD		1,354,262		ZAR		26,200,000	State Street Bank and Trust Company		04/30/24		(26,173	)
ZAR		41,100,000		USD		2,160,515	State Street Bank and Trust Company		04/30/24		4,976
Total Forward Foreign Currency Exchange Contacts Outstanding										$	516,022

See Notes to Consolidated Financial Statements.

164

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Mexico Government International Bonds		1.00		3M	12/20/28	Bank of America		1,600,000 USD	$	(11,695	)	$	3,837		$	(15,532	)
Republic of South Africa		1.00		3M	6/20/29	J.P. Morgan Chase Bank N.A.		2,100,000 USD		145,658			139,812			5,846
Republic of South Africa		1.00		3M	6/20/29	J.P. Morgan Chase Bank N.A.		2,600,000 USD		180,339			—			180,339
Republic of South Africa		1.00		3M	6/20/29	Morgan Stanley Capital Services LLC		7,400,000 USD		513,272			494,206			19,066
Republic of South Africa		1.00		3M	6/20/29	Morgan Stanley Capital Services LLC		7,400,000 USD		513,272			—			513,272
Republic of South Africa		1.00		3M	6/20/29	Goldman Sachs International		3,300,000 USD		228,892			—			228,892
Republic of South Africa		1.00		3M	6/20/29	Goldman Sachs International		1,900,000 USD		131,786			119,884			11,902
Buy MEXICO SNRFOR USD 100 Jun 2029 GOLD_ISDA 1%		1.00		3M	6/20/29	Goldman Sachs International		6,500,000 USD		(24,742	)		(34,501	)		9,759
Buy MEXICO SNRFOR USD 100 Jun 2029 JPMB_ISDA 1%		1.00		3M	6/20/29	J.P. Morgan Chase Bank N.A.		4,000,000 USD		(15,226	)		(20,305	)		5,079
Buy MEXICO SNRFOR USD 100 Jun 2029 CITI_ISDA 1%		1.00		3M	6/20/29	Citigroup Global Markets, Inc.		13,200,000 USD		(50,245	)		(67,006	)		16,761
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection)									$	1,611,311		$	635,927		$	975,384

Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG.41		1.00%		3M	12/20/2028	Citigroup Global Markets, Inc.		2,857,000 USD	$	49,289		$	(35,456	)	$	84,745
CDX.NA.HY.41		5.00%		3M	12/20/2028	Barclays Bank PLC		14,600,000 USD		(1,084,930	)		—			(1,084,930	)

See Notes to Consolidated Financial Statements.

165

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.HY.41		5.00%		3M	12/20/2028	J.P. Morgan Chase Bank N.A.		20,100,000 USD	$	(1,493,637	)	$	(4,278,787	)	$	2,785,150
CDX.NA.HY.41		5.00%		3M	12/20/2028	J.P. Morgan Chase Bank N.A.		12,700,000 USD		(943,740	)		—			(943,740	)
CDX.NA.HY.41		5.00%		3M	12/20/2028	J.P. Morgan Chase Bank N.A.		12,500,000 USD		(928,878	)		—			(928,878	)
CDX.NA.HY.41		5.00%		3M	12/20/2028	Barclays Bank PLC		9,200,000 USD		(683,655	)		—			(683,655	)
CDX.NA.HY.41		5.00%		3M	12/20/2028	Barclays Bank PLC		13,200,000 USD		(980,896	)		—			(980,896	)
CDX.EM.41		1.00%		3M	6/20/2029	Goldman Sachs International		12,300,000 USD		373,578			—			373,578
CDX.EM.41		1.00%		3M	6/20/2029	Goldman Sachs International		7,200,000 USD		218,680			2,353,240			(2,134,560	)
CDX.EM.41		1.00%		3M	6/20/2029	J.P. Morgan Chase Bank N.A.		64,100,000 USD		1,946,860			1			1,946,859
CDX.EM.41		1.00%		3M	6/20/2029	J.P. Morgan Chase Bank N.A.		46,000,000 USD		1,397,122			—			1,397,122
CDX.EM.41		1.00%		3M	6/20/2029	Goldman Sachs International		71,200,000 USD		2,162,502			—			2,162,502
CDX.EM.41		1.00%		3M	6/20/2029	Goldman Sachs International		4,800,000 USD		145,787			—			145,787
CDX.NA.HY.41		5.00%		3M	12/20/2028	Barclays Bank PLC		13,200,000 USD		(980,896	)		—			(980,896	)
CDX.NA.HY.41		5.00%		3M	12/20/2028	Intercontinental Exchange, Inc.		7,300,000 USD		(542,465	)		—			(542,465	)
CDX.NA.HY.41		5.00%		3M	12/20/2028	Intercontinental Exchange, Inc.		5,000,000 USD		(371,551	)		—			(371,551	)
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection)									$	(1,716,830	)	$	(1,961,002	)	$	244,172

Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency	Maturity Date	Counterparty	Rating	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG.41		1.00%	3M	12/20/2028	Citigroup Global Markets, Inc.	NR		215,592,750 USD	$	4,979,249		$	2,752,224		$	2,227,025
CMBX.NA.A.8		2.00%	M	10/17/2057	Goldman Sachs International	A		432,000 USD		(5,842	)		(3,376	)		(2,466	)
CDX.NA.HY.41		10.60%	T	12/20/2028	J.P. Morgan Securities LLC	NR		4,000,000 USD		192,853			—			192,853
CMBX.NA.BBB-.10		3.00%	M	11/17/2059	Goldman Sachs International	BBB		5,052,000 USD		(951,713	)		(207,050	)		(744,663	)

See Notes to Consolidated Financial Statements.

166

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency	Maturity Date	Counterparty	Rating	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.BBB-.15		3.00%	M	11/18/2064	Morgan Stanley Capital Services LLC	BBB		500,000 USD	$	(70,742	)	$	(74,083	)	$	3,341
CMBX.NA.BBB-.15		3.00%	M	11/18/2064	Morgan Stanley Capital Services LLC	BBB		2,000,000 USD		(282,967	)		—			(282,967	)
Itraxx Europe Main Series 41		1.00%	3M	6/20/2029	BNP Paribhas	NR		33,100,000 EUR		797,313			781,272			16,041
iTraxx Europe Xover Series 40		5.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		10,200,000 EUR		985,412			994,975			(9,563	)
CDX.NA.IG.41		1.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		18,300,000 USD		418,337			410,539			7,798
CDX.EM.41		1.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		15,900,000 USD		(482,918	)		—			(482,918	)
CDX.EM.41		1.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		9,400,000 USD		(285,499	)		(333,620	)		48,121
CDX.EM.41		1.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		2,700,000 USD		(82,005	)		—			(82,005	)
CDX.EM.41		1.00%	3M	6/20/2029	J.P. Morgan Chase Bank N.A.	NR		1,600,000 USD		(48,595	)		—			(48,595	)
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection)									$	5,162,883		$	4,320,881		$	842,002

OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of Turkey		1.00%		3M	06/20/2029	Morgan Stanley Capital Services LLC		200,000 USD	$	17,585		$	483,986		$	(466,401	)
Republic of Turkey		1.00%		3M	06/20/2029	J.P. Morgan Chase Bank N.A.		2,100,000 USD		184,646			496,155			(311,509	)
Republic of Turkey		1.00%		3M	06/20/2029	Goldman Sachs International		3,000,000 USD		263,780			309,512			(45,732	)
Republic of Panama		1.00%		3M	06/20/2029	Goldman Sachs International		9,400,000 USD		366,150			314,026			52,124
Republic of Peru		1.00%		3M	06/20/2029	Citigroup Global Markets, Inc.		2,400,000 USD		(38,551	)		(41,341	)		2,790

See Notes to Consolidated Financial Statements.

167

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of Chile		1.00%		3M	06/20/2029	J.P. Morgan Chase Bank N.A.		10,300,000 USD	$	(220,420	)	$	(231,027	)	$	10,607
Republic of Peru		1.00%		3M	06/20/2029	Morgan Stanley Capital Services LLC		8,000,000 USD		(128,505	)		(137,237	)		8,732
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection)									$	444,685		$	1,194,074		$	(749,389	)

Variance/Volatility Swaps (Buy Contracts) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
CorrSwap 2024-10-03 0.88 Put OTC		0.88		T	10/03/24	Citibank N.A.		13,050,000 EUR	$	51,825		$	—	$	51,825
Variance Swap - EUR/USD (6.475% - 2024-05-13)		6.75		T	5/13/24	Morgan Stanley Capital Services LLC		31,274 EUR		(728,573	)		—		(728,573	)
Variance Swap - EUR/USD (6.75% - 2024-08-13)		6.18		T	8/13/24	Morgan Stanley Capital Services LLC		30,000 EUR		(579,571	)		—		(579,571	)
Variance Swap - UKX (10.6% - 2024-04-19)		10.90		T	4/19/24	Bank of America N.A.		1,943 GBP		(62,005	)				(62,005	)
Variance Swap - SX5E (13.1% - 2024-04-19)		13.10		T	4/19/24	JPMorgan Chase Bank N.A.		3,145 EUR		(230,516	)		—		(230,516	)
Variance Swap - SPX (13.6% - 2024-04-19)		13.60		T	4/19/24	JPMorgan Chase Bank N.A.		1,515USD		(111,876	)		—		(111,876	)
Variance Swap - UKX (10.9% - 2024-04-19)		13.15		T	4/19/24	Bank of America N.A.		1,890 GBP		(57,723	)		—		(57,723	)
Variance Swap - SPX (13.15% - 2024-04-19)		12.95		T	4/19/24	Bank of America N.A.		1,567USD		(91,514	)		—		(91,514	)
Variance Swap - SPX (12.95% - 2024-04-19)		12.95		T	4/19/24	JPMorgan Chase Bank N.A.		1,591USD		(89,794	)		—		(89,794	)
Variance Swap - SX5E (12.95% - 2024-04-19)		19.70		T	4/19/24	Bank of America N.A.		795 EUR		(38,363	)		—		(38,363	)
Total Variance/Volatility Swaps (Buy Contracts)									$	(1,938,110	)	$	—	$	(1,938,110	)

See Notes to Consolidated Financial Statements.

168

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Variance/Volatility Swaps (Sell Contracts) — Outstanding at March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency		Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Volatility Swap - VarBasket 20241220-25.758/Ratio1		26.47		T	12/20/2024	Goldman Sachs & Co., LLC		(1,012,500) USD	$	644,429	$	—	$	644,429
Volatility Swap - VarBasket 20241220-26.648/Ratio1		10.30		T	12/20/2024	Morgan Stanley Capital Services LLC		(700,000) USD		302,480		—		302,480
XAU/USD		21.00		T	4/18/2024	JPMorgan Chase Bank N.A.		(2,143) USD		596,863		—		596,863
Volatility Swap - VarBasket 20241220-27.235/Ratio1		27.24		T	12/20/2024	Goldman Sachs & Co., LLC		(500,000) USD		297,237		—		297,237
Volatility Swap - VarBasket 20241220-29.25/Ratio1.		27.24		T	12/20/2024	Citibank N.A.		(870,000) USD		289,239		—		289,239
S&P 500 Index		22.60		T	12/20/2024	JPMorgan Chase Bank N.A.		(3,850) USD		875,658		—		875,658
S&P 500 Index		20.50		T	6/21/2024	JPMorgan Chase Bank N.A.		(1,061) USD		269,195		—		269,195
S&P 500 Index		21.05		T	6/21/2024	JPMorgan Chase Bank N.A.		(2,066) USD		572,260		—		572,260
S&P 500 Index		21.60		T	6/21/2024	Citibank N.A.		(2,084) USD		619,615		—		619,615
S&P 500 Index		22.45		T	6/21/2024	JPMorgan Chase Bank N.A.		(1,938) USD		651,373		—		651,373
S&P 500 Index		22.60		T	6/21/2024	Citibank N.A.		(2,765) USD		939,524		—		939,524
S&P 500 Index		23.90		T	6/21/2024	JPMorgan Chase Bank N.A.		(1,820) USD		732,907		—		732,907
S&P 500 Index		19.70		T	9/20/2024	Bank of America N.A.		(3,272) USD		514,728		—		514,728
S&P 500 Index		19.60		T	9/20/2024	Goldman Sachs & Co., LLC		(3,329) USD		499,052		—		499,052
VARIANCE SWAP - SX5E (19% - 2024-12-20) CITI		19.00		T	1/02/2025	Citibank N.A.		(5,395) EUR		301,479		—		301,479
Variance Swap - SX5E (18.85% - 2024-12-20)		18.85		T	12/20/2024	JPMorgan Chase Bank N.A.		(5,464) EUR		237,407		—		237,407
Variance Swap - SX5E (18.8% - 2024-12-20)		18.80		T	12/20/2024	JPMorgan Chase Bank N.A.		(2,739) EUR		104,225		—		104,225
Volatility Swap - EUR/USD (6.175% - 2024-05-13)		6.45		T	5/13/2024	Morgan Stanley Capital Services LLC		(405,000) EUR		753,057		—		753,057

See Notes to Consolidated Financial Statements.

169

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Obligation	Financing Fee		Payment Frequency	Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Variance Swap - SX5E (19% - 2024-12-20)		19.00	T	12/20/2024	Goldman Sachs & Co., LLC		(2,711) EUR	$	127,220	$	—	$	127,220
Volatility Swap - EUR/USD (6.45% - 2024-08-13)		26.65	T	8/13/2024	Morgan Stanley Capital Services LLC		(405,000) EUR		571,214		—		571,214
Variance Swap - SX5E (18.65% - 2024-12-20)		18.65	T	12/20/2024	JPMorgan Chase Bank N.A.		(7,180) EUR		88,675		—		88,675
Variance Swap - SPX (19.35% - 2024-12-20)		19.35	T	12/20/2024	JPMorgan Chase Bank N.A.		(3,194) USD		107,268		—		107,268
Total Variance/Volatility Swaps (Sell Contracts)								$	10,095,105	$	—	$	10,095,105

OTC Total Return Swaps Outstanding at March 31, 2024

Reference Instrument

Termination Date2

Payment Frequency

Financing Rate

Counterparty

Notional Amount

Unrealized Appreciation (Depreciation)

Buys

Adevinta ASA

04/22/24

M

5.21

%

JPMorgan Chase Bank, N.A.

59,983,048 NOK

$

14,621

Admiral Acquisition Ltd.

04/22/24

M

5.68

%

Morgan Stanley Capital Services LLC

889,833 USD

7,314

Admiral Acquisition Ltd.

04/22/24

M

5.68

%

Morgan Stanley Capital Services LLC

34,994 USD

0

Albertsons Cos., Inc.

04/22/24

M

5.56

%

Goldman Sachs International

5,100,976 USD

104,399

Albertsons Cos., Inc.

04/22/24

M

5.82

%

JPMorgan Chase Bank, N.A.

7,768,174 USD

158,987

Altium Ltd.

04/22/24

M

4.67

%

JPMorgan Chase Bank, N.A.

18,036,020 AUD

21,660

Alumina Ltd.

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

1,213,511 AUD

87,843

Amedisys, Inc.

04/22/24

M

5.56

%

Goldman Sachs International

4,567,968 USD

496

Amedisys, Inc.

04/22/24

M

5.56

%

JPMorgan Chase Bank, N.A.

6,083,190 USD

660

American Equity Investment Life Holding Co.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

3,804,690 USD

(677

)

ANSYS, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

11,868,049 USD

(35,447

)

As Partners Co., Ltd.

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

7,550 USD

0

Axonics, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

12,719,793 USD

130,421

Banca Monte dei Paschi di Siena SpA

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

1,880,678 EUR

(8,594

)

Capri Holdings Ltd.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

7,197,993 USD

(39,506

)

Catalent, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

9,083,388 USD

97,583

CB Equity Index Swap - CIEQSSU2

04/22/24

M

1.00

%

Citibank N.A.

8,742,377 USD

3,839

Cerevel Therapeutics Holdings, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

6,976,114 USD

0

See Notes to Consolidated Financial Statements.

170

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Instrument

Termination Date

Payment Frequency

Financing Rate

Counterparty

Notional Amount

Unrealized Appreciation (Depreciation)

Cheniere Energy, Inc.

04/22/24

M

5.65

%

Morgan Stanley Capital Services LLC

2,040,551 USD

$

19,041

Chinook Therapeutics, Inc.1

04/22/24

M

5.00

%

JPMorgan Chase Bank, N.A.

62,921 USD

19,663

CSR Ltd.

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

8,967,351 AUD

(330

)

Darktrace PLC

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

1,265,200 GBP

43,708

Discover Financial Services

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

11,376,505 USD

349,757

Egypt Treasury Bills

04/22/24

M

1.00

%

Goldman Sachs International

18,999,818 USD

(378,307

)

Energy Transfer LP

04/22/24

M

6.08

%

Morgan Stanley Capital Services LLC

6,458,391 USD

57,997

Enerplus Corp.

04/22/24

M

5.82

%

JPMorgan Chase Bank, N.A.

12,853,243 USD

495,661

Enterprise Products Partners LP

04/22/24

M

6.08

%

Morgan Stanley Capital Services LLC

2,159,250 USD

29,250

Equity Index Swap - BAEISMIL

04/22/24

M

1.00

%

Bank of America N.A.

12,856,814 USD

6,338

Equity Index Swap - JMABCVT3

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

20,712,629 USD

233,471

Fibra MTY SAPI de CV

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

62,431 USD

839

Galderma Group AG

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

3,088,599 CHF

337,174

GCI Liberty, Inc.1

04/22/24

M

2.50

%

Goldman Sachs International

53,762 USD

(46,340

)

GS Equity Index Swap - GSCBBXC3

04/22/24

M

1.00

%

Goldman Sachs International

45,849,449 USD

1,070,238

GS Equity Index Swap - GSVICVS1

04/22/24

M

1.00

%

Goldman Sachs International

8,333,029 USD

(1,205

)

Haleon PLC

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

192,628 GBP

6,830

Ispace, Inc.

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

685,477 USD

(22,257

)

J.P. Morgan Equity Index Swap - JPOSSVV1

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

6,831,349 USD

58,079

Juniper Networks, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

14,015,405 USD

45,529

Kayne Anderson Energy Infrastructure Fund

04/22/24

M

5.50

%

Morgan Stanley Capital Services LLC

1,794,000 USD

47,840

Kindred Group PLC

04/22/24

M

4.53

%

JPMorgan Chase Bank, N.A.

44,874,075 SEK

28,866

Lakeland Bancorp, Inc.

04/22/24

M

5.56

%

Goldman Sachs International

412,682 USD

(12,886

)

Lakeland Bancorp, Inc.

04/22/24

M

5.56

%

Goldman Sachs International

857,189 USD

(26,766

)

Masonite International Corp.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

9,739,107 USD

(10,362

)

McGrath RentCorp

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

13,617,713 USD

78,824

MDC Holdings, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

14,234,460 USD

9,056

Mirati Therapeutics, Inc.1

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

0 USD

94,767

Moncler SpA

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

1,014,319 EUR

15,075

MorphoSys AG

04/22/24

M

4.41

%

JPMorgan Chase Bank, N.A.

6,420,240 EUR

91,916

MPLX LP

04/22/24

M

6.08

%

Morgan Stanley Capital Services LLC

8,176,215 USD

178,924

MS Alpha Swap

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

155,572,673 USD

349,906

MS Alpha Swap

04/22/24

M

7.50

%

Morgan Stanley Capital Services LLC

153,027,716 USD

865,134

Nexi SpA

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

858,978 EUR

16,378

See Notes to Consolidated Financial Statements.

171

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Instrument

Termination Date

Payment Frequency

Financing Rate

Counterparty

Notional Amount

Unrealized Appreciation (Depreciation)

NextEra Energy, Inc.

04/22/24

M

6.08

%

Morgan Stanley Capital Services LLC

1,748,760 USD

$

72,675

Nippon Express Holdings, Inc.

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

1,182,850 USD

1,082

Olink Holding AB

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

7,848,516 USD

(179,413

)

Parkin Co. PJSC

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

505,891 USD

10,740

Pioneer Natural Resources Co.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

14,722,219 USD

407,494

Plains All American Pipeline LP

04/22/24

M

5.33

%

Morgan Stanley Capital Services LLC

1,733,022 USD

17,959

Redrow PLC

04/22/24

M

5.74

%

JPMorgan Chase Bank, N.A.

1,448,717 GBP

(4,113

)

Repsol SA

04/22/24

M

4.41

%

Morgan Stanley Capital Services LLC

235,176 EUR

2,406

Serena Energia SA

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

322,058 USD

13,246

Southwestern Energy Co.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

14,443,794 USD

574,582

SP Plus Corp.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

8,081,370 USD

65,525

SPDR S&P Biotech ETF

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

56,309,848 USD

(183,362

)

Taiwan Semiconductor Manufacturing Co., Ltd.

04/22/24

M

5.78

%

Morgan Stanley Capital Services LLC

2,378,957 USD

(22,740

)

Targa Resources Corp.

04/22/24

M

5.63

%

Morgan Stanley Capital Services LLC

8,556,207 USD

75,534

U.S. Steel Corp.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

5,106,055 USD

93,069

U.S. Treasury Bonds

04/22/24

M

1.00

%

Barclays Bank PLC

33,604,296 USD

(318,094

)

U.S. Treasury Bonds

04/22/24

M

1.00

%

Barclays Bank PLC

31,160,059 USD

(184,922

)

U.S. Treasury Notes

04/22/24

M

1.00

%

Barclays Bank PLC

24,726,607 USD

(355,975

)

U.S. Treasury Notes

04/22/24

M

1.00

%

Barclays Bank PLC

35,331,569 USD

(15,114

)

U.S. Treasury Notes

04/22/24

M

1.00

%

Barclays Bank PLC

6,987,109 USD

5,030

U.S. Treasury Notes

04/22/24

M

1.00

%

Barclays Bank PLC

38,554,599 USD

(148,741

)

U.S. Treasury Notes

04/22/24

M

1.00

%

Barclays Bank PLC

46,028,649 USD

(110,096

)

Western Midstream Partners LP

04/22/24

M

6.08

%

Morgan Stanley Capital Services LLC

3,452,491 USD

56,258

Westrock Co.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

14,382,193 USD

182,612

Wyndham Hotels & Resorts, Inc.

04/22/24

M

5.81

%

JPMorgan Chase Bank, N.A.

2,311,275 USD

13,022

Total Buys

$

4,664,071

Sells

Alcoa Corp.

04/22/24

M

1.00

%

JPMorgan Chase Bank, N.A.

(893,851) USD

(69,569

)

Alerian MLP ETF

04/22/24

M

1.90

%

Morgan Stanley Capital Services LLC

(772,635) USD

(489

)

Amer Sports, Inc.

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

(977,300) USD

7,434

Anheuser-Busch InBev SA

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

(2,254,942) USD

(3,157

)

ARM Holdings PLC

04/22/24

M

2.18

%

Morgan Stanley Capital Services LLC

(5,829,309) USD

251,256

Barratt Developments PLC

04/22/24

M

4.84

%

JPMorgan Chase Bank, N.A.

(1,490,935) GBP

13,360

BBB Foods, Inc.

04/22/24

M

1.00

%

Morgan Stanley Capital Services LLC

(1,424,924) USD

9,966

See Notes to Consolidated Financial Statements.

172

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Instrument	Termination Date		Payment Frequency		Financing Rate			Counterparty	Notional Amount		Unrealized Appreciation (Depreciation)
BrightSpring Health Services, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(904,822) USD	$	(65,380	)
Brookfield Asset Management Ltd.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(289,380) USD		4,275
Capital One Financial Corp.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(11,453,111) USD		(456,749	)
Cava Group, Inc.		04/22/24		M		2.18	%	Morgan Stanley Capital Services LLC		(5,125,574) USD		(84,605	)
CCC Intelligent Solutions Holdings, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(2,838,864) USD		(7,735	)
Chesapeake Energy Corp.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(14,498,280) USD		(433,688	)
Chord Energy Corp.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(11,531,435) USD		(479,803	)
Clearwater Analytics Holdings, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(1,540,623) USD		(36,901	)
Core & Main, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(8,494,339) USD		(21,941	)
Crescent Energy Co.		04/22/24		M		1.33	%	Morgan Stanley Capital Services LLC		(1,902,294) USD		(44,665	)
Dominion Energy, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(7,162,458) USD		(154,702	)
Dun & Bradstreet Holdings, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(146,867) USD		(2,348	)
Enbridge, Inc.		04/22/24		M		5.08	%	Morgan Stanley Capital Services LLC		(4,259,010) USD		(46,410	)
EnLink Midstream LLC		04/22/24		M		5.08	%	Morgan Stanley Capital Services LLC		(881,720) USD		(32,160	)
Essential Properties Realty Trust, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(951,784) USD		289
Exelon Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(5,513,232) USD		(75,493	)
Exxon Mobil Corp.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(14,724,079) USD		(356,782	)
GE HealthCare Technologies, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(5,333,402) USD		(76,016	)
GFL Environmental, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(2,052,047) USD		3,161
HIS Co., Ltd.		04/22/24		M		1.00	%	Goldman Sachs International		(116,929,357) JPY		(12,990	)
iShares iBoxx $ High Yield Corporate Bond ETF		04/22/24		M		1.00	%	Barclays Bank PLC		(34,252,367) USD		(332,782	)
iShares iBoxx $ Investment Grade Corporate Bond ETF		04/22/24		M		1.00	%	Barclays Bank PLC		(111,099,555) USD		(1,376,012	)
iShares iBoxx $ Investment Grade Corporate Bond ETF		04/22/24		M		1.00	%	Barclays Bank PLC		(57,211,698) USD		(423,320	)
JMDC, Inc.		04/22/24		M		0.00	%	Goldman Sachs International		(4,019,844) JPY		330
JPMorgan Alerian MLP Index ETN		04/22/24		Q		5.33	%	Morgan Stanley Capital Services LLC		(15,955,997) USD		(67,491	)
Keurig Dr Pepper, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(4,553,049) USD		(9,297	)
Kinder Morgan, Inc.		04/22/24		M		5.08	%	Morgan Stanley Capital Services LLC		(6,917,676) USD		(87,856	)
Kodiak Gas Services, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(557,929) USD		(11,454	)

See Notes to Consolidated Financial Statements.

173

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Reference Instrument	Termination Date		Payment Frequency		Financing Rate			Counterparty	Notional Amount		Unrealized Appreciation (Depreciation)
MediaTek, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(71,471) USD	$	(3,208	)
Nasdaq, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(2,770,964) USD		(44,811	)
NEXTracker, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(10,260,525) USD		215,993
Oddity Tech Ltd.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(2,550,511) USD		(34,807	)
ONEOK, Inc.		04/22/24		M		5.08	%	Morgan Stanley Capital Services LLC		(3,800,335) USD		(33,475	)
Permian Resources Corp.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(5,146,179) USD		(107,848	)
Pinnacle West Capital Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(2,181,565) USD		(41,802	)
Provident Financial Services, Inc.		04/22/24		M		4.91	%	Goldman Sachs International		(412,021) USD		17,596
Provident Financial Services, Inc.		04/22/24		M		4.91	%	JPMorgan Chase Bank, N.A.		(845,045) USD		36,089
REV Group, Inc.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(1,161,322) USD		(151,707	)
SharkNinja, Inc.		04/22/24		M		7.80	%	Morgan Stanley Capital Services LLC		(1,364,989) USD		(24,826	)
Smith Douglas Homes Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(908,031) USD		24,397
Smurfit Kappa Group PLC		04/22/24		M		4.84	%	JPMorgan Chase Bank, N.A.		(10,114,171) GBP		(135,457	)
Snowflake, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(2,371,829) USD		(32,132	)
Super Micro Computer, Inc.		04/22/24		M		4.00	%	Morgan Stanley Capital Services LLC		(6,100,446) USD		90,768
Synopsys, Inc.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(6,215,151) USD		314,985
TC Energy Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(1,778,772) USD		8,806
Terreno Realty Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(1,576,346) USD		(3,509	)
United Microelectronics Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(53,466) USD		1,271
Utilities Select Sector SPDR Fund		04/22/24		M		5.08	%	Morgan Stanley Capital Services LLC		(1,689,905) USD		(49,820	)
WillScot Mobile Mini Holdings Corp.		04/22/24		M		5.01	%	JPMorgan Chase Bank, N.A.		(5,726,529) USD		23,304
Wistron Corp.		04/22/24		M		1.00	%	Morgan Stanley Capital Services LLC		(33,618) USD		(1,144	)
Total Sells											$	(4,411,061	)
Total OTC Total Return Swaps Outstanding											$	253,010

¹  Security is valued using significant unobservable inputs.

²  The termination date presented for OTC Total Return Swaps is the monthly settlement date.

See Notes to Consolidated Financial Statements.

174

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2024

The Fund Pays/ Receives Floating Rate

Floating Rate Index

Fixed Rate

Pay/ Receive Payment Frequency

Maturity Date

Counterparty

Notional Amount

Market Value

Upfront Premium Paid (Received)

Unrealized Appreciation (Depreciation)

Pays

USD SOFR

3.12%

M/M

06/16/2037

Morgan Stanley & Co. LLC

2,300,000 USD

$

210,591

$

—

$

210,591

Pays

USD SOFR

3.32%

M/M

09/22/2037

Bank of New York Mellon, LLC

2,800,000 USD

191,951

—

191,951

Pays

USD SOFR

2.22%

M/M

03/25/2037

Bank of New York Mellon, LLC

800,000 USD

125,734

—

125,734

Pays

USD SOFR

4.21%

M/M

04/18/2026

Citi Bank N.A.

500,000 USD

8,512

—

8,512

Pays

USD SOFR

3.19%

M/M

12/01/2037

Bank of New York Mellon, LLC

3,000,000 USD

238,926

—

238,926

Pays

GBP SONIA

3.46%

M/M

02/08/2030

Citi Bank N.A.

1,000,000 GBP

21,472

—

21,472

Pays

USD SOFR

3.87%

M/M

02/23/2029

RBC Bank

4,000,000 USD

25,809

—

25,809

Receives

USD SOFR

3.48%

M/M

04/20/2028

Barclays Bank PLC

(504,000) USD

(20,151)

—

(20,151)

Pays

JPY TONA

0.34%

M/M

04/20/2028

BNP Paribas

810,000,000JPY

5,675

—

5,675

Pays

USD SOFR

1.66%

M/M

06/17/2025

Morgan Stanley & Co. LLC

10,000,000 USD

383,560

(2,766)

386,326

Pays

USD SOFR

2.72%

M/M

09/08/2028

Morgan Stanley & Co. LLC

1,000,000 USD

65,737

(191)

65,928

Pays

USD SOFR

2.39%

M/M

11/16/2028

Morgan Stanley & Co. LLC

4,000,000 USD

308,071

(930)

309,001

Pays

USD SOFR

2.67%

M/M

09/13/2028

Morgan Stanley & Co. LLC

2,500,000 USD

167,870

(306)

168,176

Pays

USD SOFR

2.43%

M/M

10/11/2026

Morgan Stanley & Co. LLC

3,000,000 USD

159,570

(796)

160,366

Pays

USD SOFR

1.58%

M/M

05/21/2025

Morgan Stanley & Co. LLC

10,000,000 USD

402,511

(2,624)

405,135

Pays

USD SOFR

1.88%

M/M

01/24/2027

Morgan Stanley & Co. LLC

1,500,000 USD

115,847

(243)

116,090

Pays

USD SOFR

2.22%

M/M

09/29/2024

Morgan Stanley & Co. LLC

2,000,000 USD

39,569

(221)

39,790

Pays

USD SOFR

1.32%

M/M

02/28/2027

Morgan Stanley & Co. LLC

5,000,000 USD

453,937

(1,378)

455,315

Pays

USD SOFR

2.42%

M/M

09/22/2024

Morgan Stanley & Co. LLC

2,000,000 USD

31,634

(262)

31,896

Pays

USD SOFR

1.61%

M/M

03/23/2027

Morgan Stanley & Co. LLC

7,000,000 USD

566,802

(2,068)

568,870

Pays

USD SOFR

2.05%

M/M

11/30/2024

Morgan Stanley & Co. LLC

5,000,000 USD

101,687

(1,033)

102,720

Pays

USD SOFR

1.62%

M/M

03/24/2027

Morgan Stanley & Co. LLC

7,000,000 USD

565,993

(1,880)

567,873

Pays

USD SOFR

0.80%

M/M

01/13/2026

Morgan Stanley & Co. LLC

80,000 USD

6,367

(21)

6,388

Pays

USD SOFR

0.95%

M/M

01/13/2027

Morgan Stanley & Co. LLC

940,000 USD

97,360

(268)

97,628

See Notes to Consolidated Financial Statements.

175

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

The Fund Pays/ Receives Floating Rate

Floating Rate Index

Fixed Rate

Pay/ Receive Payment Frequency

Maturity Date

Counterparty

Notional Amount

Market Value

Upfront Premium Paid (Received)

Unrealized Appreciation (Depreciation)

Pays

USD SOFR

2.42%

M/M

10/24/2024

Morgan Stanley & Co. LLC

2,000,000 USD

$

34,311

$

(394)

$

34,705

Pays

USD SOFR

2.35%

M/M

11/08/2024

Morgan Stanley & Co. LLC

4,000,000 USD

70,575

(1,025)

71,600

Pays

USD SOFR

0.71%

6M/3M

01/22/2026

Morgan Stanley & Co. LLC

12,000,000 USD

974,520

(5,364)

979,884

Pays

USD SOFR

2.72%

M/M

08/08/2028

Morgan Stanley & Co. LLC

3,000,000 USD

201,170

(632)

201,802

Pays

USD SOFR

2.45%

M/M

10/18/2024

Morgan Stanley & Co. LLC

4,000,000 USD

67,958

(751)

68,709

Pays

USD SOFR

2.58%

M/M

08/05/2025

Morgan Stanley & Co. LLC

7,000,000 USD

261,706

(1,844)

263,550

Pays

USD SOFR

2.83%

M/M

07/29/2029

Morgan Stanley & Co. LLC

3,000,000 USD

213,012

(725)

213,737

Pays

USD SOFR

2.37%

M/M

11/01/2024

Morgan Stanley & Co. LLC

2,000,000 USD

35,153

(394)

35,547

Receives

USD SOFR

0.98%

M/M

03/25/2030

Morgan Stanley & Co. LLC

(3,000,000) USD

(340,314)

—

(340,314)

Pays

USD SOFR

3.21%

M/M

05/25/2033

Morgan Stanley & Co. LLC

2,000,000 USD

85,379

—

85,379

Pays

USD SOFR

2.30%

M/M

01/26/2025

Morgan Stanley & Co. LLC

900,000 USD

25,493

—

25,493

Pays

USD SOFR

2.40%

M/M

01/25/2027

Morgan Stanley & Co. LLC

2,900,000 USD

160,384

—

160,384

Pays

USD SOFR

1.56%

M/M

09/26/2026

Morgan Stanley & Co. LLC

1,800,000 USD

119,480

—

119,480

Pays

USD SOFR

2.27%

M/M

01/25/2026

Morgan Stanley & Co. LLC

2,000,000 USD

92,746

—

92,746

Pays

USD SOFR

1.24%

M/M

04/19/2028

Morgan Stanley & Co. LLC

700,000 USD

76,867

—

76,867

Pays

USD SOFR

1.62%

M/M

07/25/2026

Morgan Stanley & Co. LLC

1,900,000 USD

129,382

—

129,382

Pays

USD SOFR

1.90%

M/M

08/27/2029

Morgan Stanley & Co. LLC

1,650,000 USD

168,296

—

168,296

Pays

USD SOFR

3.17%

M/M

05/04/2032

Merrill Lynch, Pierce, Fenner & Smith, Inc.

6,500,000 USD

438,121

—

438,121

Pays

USD SOFR

0.66%

M/M

03/11/2035

Morgan Stanley & Co. LLC

1,500,000 USD

424,683

—

424,683

Receives

USD SOFR

3.25%

M/M

05/17/2028

BNP Paribas

(165,000) USD

(8,189)

—

(8,189)

Pays

JPY TONA

0.15%

M/M

05/18/2026

BNP Paribas

1,000,000,000JPY

12,830

—

12,830

Pays

USD SOFR

3.49%

1Y

06/30/2038

Morgan Stanley & Co. LLC

8,000,000 USD

456,864

—

456,864

Receives

USD SOFR

4.37%

M/M

07/27/2026

BNP Paribas

(850,000) USD

(7,376)

—

(7,376)

Receives

USD SOFR

3.93%

M/M

07/27/2028

BNP Paribas

(610,000) USD

(9,009)

—

(9,009)

Pays

JPY TONA

0.15%

M/M

07/27/2026

BNP Paribas

172,000,000JPY

3,538

—

3,538

Pays

JPY TONA

0.28%

M/M

07/27/2028

BNP Paribas

480,000,000JPY

18,242

—

18,242

Pays

JPY TONA

0.69%

M/M

09/29/2027

BNP Paribas

1,866,000,000JPY

(38,061)

—

(38,061)

See Notes to Consolidated Financial Statements.

176

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

The Fund Pays/ Receives Floating Rate

Floating Rate Index

Fixed Rate

Pay/ Receive Payment Frequency

Maturity Date

Counterparty

Notional Amount

Market Value

Upfront Premium Paid (Received)

Unrealized Appreciation (Depreciation)

Receives

USD SOFR

3.96%

M/M

09/29/2027

Morgan Stanley & Co. LLC

(2,100,000) USD

$

11,297

$

(308)

$

11,605

Pays

JPY TONA

0.71%

M/M

09/29/2027

BNP Paribas

1,866,000,000 JPY

(42,131)

—

(42,131)

Pays

USD SOFR

4.62%

M/M

04/20/2029

RBC Bank

6,300,000 USD

(164,860)

—

(164,860)

Pays

USD SOFR

4.22%

M/M

11/07/2033

Bank of New York Mellon, LLC

1,500,000 USD

(31,019)

—

(31,019)

Receives

USD SOFR

4.30%

M/M

11/08/2028

JPMorgan Chase Bank, N.A.

(210,000) USD

1,577

—

1,577

Receives

USD SOFR

4.49%

M/M

11/09/2026

LCH Limited

(100,000) USD

(23)

—

(23)

Receives

USD SOFR

3.92%

M/M

11/10/2027

JPMorgan Chase Bank, N.A.

(1,800,000) USD

8,947

—

8,947

Receives

USD SOFR

3.85%

M/M

12/12/2028

Citi Bank N.A.

(600,000) USD

(6,612)

—

(6,612)

Receives

USD SOFR

3.43%

M/M

12/13/2027

Mizuho Financial Group, Inc

(2,200,000) USD

(7,573)

—

(7,573)

Receives

USD SOFR

3.91%

M/M

01/11/2027

Citi Bank N.A.

(300,000) USD

(4,002)

—

(4,002)

Receives

USD SOFR

3.26%

M/M

01/10/2028

Bank of America N.A.

(1,600,000) USD

(9,763)

—

(9,763)

Pays

USD SOFR

3.68%

1Y/1Y

02/01/2034

Bank of America N.A.

7,000,000 USD

100,946

—

100,946

Pays

JPY TONA

0.57%

1Y/1Y

06/19/2029

BNP Paribas

1,075,000,000JPY

(7,501)

—

(7,501)

Receives

EUR-EURIBOR

2.89%

1Y/6M

06/17/2026

BNP Paribas

(222,000,000) EUR

(313,149)

36,303

(349,452)

Receives

CNY-CNREPOFIX

2.11%

3M/3M

06/19/2029

Morgan Stanley & Co. LLC

(132,500,000) CNY

19,806

—

19,806

Receives

USD SOFR

4.24%

1Y/1Y

06/22/2026

BNP Paribas

(45,800,000) USD

(90,125)

(1,963)

(88,162)

Receives

CZK PRIBOR

3.18%

1Y/6M

06/16/2027

Citi Bank N.A.

(174,000,000) CZK

(80,105)

—

(80,105)

Pays

PLN WIBOR

4.98%

1Y/6M

06/16/2027

Barclays Bank PLC

20,100,000PLN

5,420

—

5,420

Receives

CNY-CNREPOFIX

2.11%

3M/3M

06/19/2029

Bank of America N.A.

(100,000,000) CNY

16,547

—

16,547

Receives

EUR-EURIBOR

3.04%

1Y/6M

06/17/2026

Deutsche Bank AG

(36,000,000) EUR

92,951

—

92,951

Receives

EUR-EURIBOR

3.04%

1Y/6/M

06/17/2026

Deutsche Bank AG

(36,000,000) EUR

92,578

—

92,578

Receives

EUR-EURIBOR

3.04%

1Y/6M

06/17/2026

Deutsche Bank AG

(36,000,000) EUR

119,786

—

119,786

Receives

USD SOFR

4.39%

1Y/1Y

06/22/2026

Bank of America N.A.

(3,500,000) USD

3,275

—

3,275

Receives

CNY-CNREPOFIX

2.10%

3M/3M

06/19/2029

Bank of America N.A.

(20,000,000) CNY

2,588

—

2,588

Receives

CNY-CNREPOFIX

2.12%

3M/3M

06/19/2029

BNP Paribas

(164,000,000) CNY

39,729

—

39,729

Receives

EUR-EURIBOR

2.67%

1Y/6M

03/28/2039

Morgan Stanley & Co. LLC

(600,000) EUR

5,956

1,463

4,493

Pays

USD SOFR

4.00%

1Y/1Y

03/28/2029

LCH Limited

1,600,000 USD

(1,755)

832

(2,587)

Receives

EUR-EURIBOR

2.65%

1Y/6M

04/04/2039

Nomura International PLC

(600,000) EUR

4,607

3,728

879

See Notes to Consolidated Financial Statements.

177

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

The Fund Pays/ Receives Floating Rate	Floating Rate Index	Fixed Rate		Pay/ Receive Payment Frequency	Maturity Date	Counterparty	Notional Amount		Market Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Pays	USD SOFR		3.99%	1Y/1Y	04/02/2029	Citi Bank N.A.		1,600,000 USD	$	(1,525)	$	(2,925)	$	1,400
Receives	EUR-EURIBOR		2.58%	1Y/6M	04/03/2034	BNP Paribas		(300,000) EUR		170		(298)		468
Receives	EUR-EURIBOR		2.61%	1Y/6M	04/04/2039	Societe Generale		(200,000) EUR		1,185		(161)		1,346
Pays	USD SOFR		3.96%	1Y/1Y	04/02/2029	BNP Paribas		500,000 USD		335		(414)		749
Pays	USD SOFR		3.83%	1Y/1Y	04/03/2034	Bank of America N.A.		300,000 USD		(49)		86		(135)
Receives	GBP SONIA		3.72%	1Y/1Y	03/28/2039	Bank of America N.A.		(200,000) GBP		351		289		62
Pays	CAD CORRA		3.45%	6M/6M	04/03/2034	Toronto- Dominion Bank		600,000CAD		630		1,451		(821)
Total Centrally Cleared Interest Rate Swaps Outstanding									$	7,711,284	$	11,967	$	7,699,317

Abbreviation Legend:
	1Y	Yearly
	3M	Quarterly
	6M	Semi-Annually
	ADR	American Depository Receipt
	ASX	Australian Securities Exchange
	CBOE	Chicago Board Options Exchange
	CBOT	Chicago Board of Trade
	CDE	Montreal Exchange
	CME	Chicago Mercantile Exchange
	CNREPOFIX	CFXS-Reuters to the floating-rate-index
	COMEX	Commodities Exchange Center
	ETF	Exchange-Traded Fund
	Eurex	Eurex Exchange
	EURIBOR	Euro Interbank Offered Rate
	FTSE	Financial Times and Stock Exchange
	FX	Foreign Exchange
	ICE	Ice Futures Europe
	LIFFE	London International Financial Futures and Options Exchange
	LME	London Metal Exchange
	M	Monthly
	MTN	Medium Term Note
	NYMEX	New York Mercantile Exchange
	OMX	Stockholm 30 Index
	OSE	Osaka Exchange
	OTC	Over the Counter
	PIK	Payment in Kind
	PRIBOR	Prague Interbank Offer Rate
	Q	Quarterly
	REIT	Real Estate Investment Trust

See Notes to Consolidated Financial Statements.

178

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Consolidated Schedule of Investments ^ (Continued)

March 31, 2024

	REITS	Real Estate Investment Trusts
	S&P	S&P 500 Index
	SFE	ASX Trade24
	SGX	Singapore Exchange
	SICAV	Société d’investissement à Capital Variable
	SOFR	Secured Overnight Financing Rate
	SONIA	Sterling Overnight Index Average
	SPDR	Standard and Poor’s Depository Receipt
	T	At Maturity
	TBA	To Be Announced
	TONA	Tokyo Overnight Average
	WIBOR	Poland Warsaw Interbank Offer Rate
Currency Legend:
	AUD	Australia Dollar
	BRL	Brazil Real
	CHF	Switzerland Franc
	CLP	Chile Peso
	CNH	Chinese Renminbi
	COP	Colombia Peso
	CZK	Czech Republic Koruna
	EUR	Euro Member Countries
	GBP	United Kingdom Pound
	HKD	Hong Kong Dollar
	HUF	Hungary Forint
	IDR	Indonesian Rupiah
	ILS	Israel Shekel
	INR	Indian Rupee
	JPY	Japan Yen
	KRW	Korean Won
	MXN	Mexico Peso
	NOK	Norway Krone
	PEN	Peru Nuevo Sol
	PHP	Philippines Peso
	PLN	Poland Zloty
	SEK	Sweden Krona
	SGD	Singapore Dollar
	THB	Thailand Baht
	TWD	Taiwan New Dollar
	USD	United States Dollar
	ZAR	South African Rand

See Notes to Consolidated Financial Statements.

179

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Statement of Assets and Liabilities

As of March 31, 2024

Assets:
Investment in securities, at fair value (cost $3,542,079,550)	$	3,760,082,313
Cash		374,845,203
Cash denominated in foreign currencies (cost of $15,608,124)		15,482,840
Segregated cash balance with broker for securities sold short		570,195,732
Segregated cash balance with custodian for derivative financial instruments		168,317,267
Segregated cash balance with counterparties for futures contracts		123,298,587
Segregated cash balance with counterparties for centrally cleared derivatives		132,530,858
Segregated cash balance with counterparties for OTC derivatives		36,754,558
Unrealized appreciation on forward foreign currency exchange contracts		1,806,694
Income receivable		27,442,883
Receivable for investments sold		1,921,977,374
Receivable for Fund shares sold		1,459,080
Receivable for periodic payments from swap contracts		3,947,997
Variation margin receivable on futures		26,008,578
Variation margin receivable on centrally cleared swaps		14,947,344
Swap contracts, at fair value (net premiums paid $1,603,679)		18,771,689
Prepaid expenses and other assets		74,462
Total assets		7,197,943,459
Liabilities:
Securities sold short, at fair value (proceeds of $1,189,248,764)		1,243,285,078
Cash received as collateral from custodian for derivative financial instruments		42,008,535
Cash received as collateral from counterparty for centrally cleared derivatives		3,450,000
Cash received as collateral from counterparty for futures contracts		3,777,055
Cash received as collateral for reverse repurchase agreements		3,502,000
Cash received as collateral from counterparty for OTC derivatives		3,262,309
Options written, at fair value (premiums received $15,443,676)		8,771,197
Unrealized depreciation on forward foreign currency exchange contracts		1,290,672
Payable for reverse repurchase agreements		135,204,781
Payable for investments purchased		1,682,698,191
Payable for Fund shares redeemed		3,861,552
Payable for periodic payments from swap contracts		3,541,111
Variation margin payable on futures		1,427,437
Variation margin payable on centrally cleared swaps		1,876,673
Swap contracts, at fair value (net premiums received $409,605)		9,916,999
Dividend and interest income payable on securities sold short		3,718,579
Management fee payable		19,221,263
Payable to Affiliate		862,144
Accrued expenses and other liabilities		11,334,925
Total Liabilities		3,183,010,501
Net assets	$	4,014,932,958
Net Assets Consist of:
Paid-in capital	$	4,925,371,830
Total distributable earnings (loss)		(910,438,872	)
Net assets	$	4,014,932,958

See Notes to Consolidated Financial Statements.

180

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Consolidated Statement of Assets and Liabilities (Continued)

As of March 31, 2024

Net Asset Value:
Class I Shares
Net Assets	$	2,868,551,123
Class I Shares outstanding, no par value, unlimited shares authorized		263,198,882
Net asset value per share	$	10.90
Class D Shares
Net Assets	$	18,519,405
Class D Shares outstanding, no par value, unlimited shares authorized		1,707,045
Net asset value per share	$	10.85
Class Y Shares
Net Assets	$	1,127,862,430
Class Y Shares outstanding, no par value, unlimited shares authorized		104,153,920
Net asset value per share	$	10.83

See Notes to Consolidated Financial Statements.

181

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Statement of Operations

For the Year Ended March 31, 2024

Investment Income:
Interest (including net foreign taxes withheld of $50,041)	$	215,284,338
Dividends (including net foreign taxes withheld of $202,990)		9,660,960
Other income		6,206,464
Total income		231,151,762
Expenses:
Management fees		78,378,083
Administration fees		5,045,443
Custodian fees		1,378,204
Trustees’ fees		1,105,305
Distribution fees — Class D		46,824
Shareholder service fees		2,840,307
Registration fees		151,589
Printing and postage fees		718,000
Professional fees		7,645,918
Interest on securities sold short		18,973,670
Dividends on securities sold short		11,011,562
Line of credit fee		1,505,000
Interest fees		544,409
Other		4,151,404
Total expenses		133,495,718
Expenses recouped (reimbursed) by Investment Adviser		(5,745	)
Total Net Expenses		133,489,973
Net investment income		97,661,789
Net Realized and Unrealized Gain (Loss):
Net realized gain (loss) on investments in securities		(41,719,716	)
Net realized gain (loss) on securities sold short		(19,072,642	)
Net realized gain (loss) on forward foreign currency exchange contracts		7,570,940
Net realized gain (loss) on foreign currency transactions		22,580
Net realized gain (loss) on futures contracts		57,142,873
Net realized gain (loss) on options written		9,568,862
Net realized gain (loss) on swap contracts		18,955,094
Net change in unrealized appreciation (depreciation) on investments in securities		322,440,484
Net change in unrealized appreciation (depreciation) on securities sold short		(66,753,716	)
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts		(875,723	)
Net change in unrealized appreciation (depreciation) on foreign currency translations		(396,157	)
Net change in unrealized appreciation (depreciation) on futures contracts		4,528,603
Net change in unrealized appreciation (depreciation) on options written		18,065,207
Net change in unrealized appreciation (depreciation) on swap contracts		7,899,975
Net realized and unrealized gain		317,376,664
Net increase in net assets resulting from operations	$	415,038,453

See Notes to Consolidated Financial Statements.

182

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Statement of Changes in Net Assets

	Year Ended 3/31/2024			Year Ended 3/31/2023
Increase (Decrease) in Net Assets
Operations:
Net investment income gain	$	97,661,789		$	7,487,839
Net realized gain (loss)		32,467,991			(227,423,568	)
Net change in unrealized appreciation		284,908,673			67,193,679
Net increase (decrease) in net assets resulting from operations		415,038,453			(152,742,050	)
Distributions:
Distributions from earnings
Class I Shares		(95,892,704	)		—
Class D Shares		(623,392	)		—
Class Y Shares		(40,565,264	)		—
Total distributions to shareholders		(137,081,360	)		—
Capital Transactions:
Shareholder subscriptions:
Proceeds from sale of Class I Shares		494,084,713			961,246,522
Proceeds from sale of Class D Shares		5,902,535			8,860,599
Proceeds from sale of Class Y Shares		207,332,596			100,379,829
Shareholder reinvestments:
Net asset value of Class I Shares issued to shareholders in payment of distributions declared		78,990,395			—
Net asset value of Class D Shares issued to shareholders in payment of distributions declared		432,705			—
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared		36,031,207			—
Shareholder redemptions:
Cost of Class I Shares redeemed		(1,263,507,587	)		(1,445,051,982	)
Cost of Class D Shares redeemed		(9,217,608	)		(13,507,148	)
Cost of Class Y Shares redeemed		(243,220,149	)		(260,497,584	)
Net decrease in net assets resulting from capital transactions		(693,171,193	)		(648,569,764	)
Net decrease in net assets		(415,214,100	)		(801,311,814	)
Net Assets:
Beginning of period		4,430,147,058			5,231,458,872
End of period	$	4,014,932,958		$	4,430,147,058
Share Transactions:
Class I Shares
Beginning of period		329,480,464			377,678,111
Shares issued		47,139,909			94,823,586
Reinvestment in Shares		7,566,130			—
Shares redeemed		(120,987,621	)		(143,021,233	)
Net change in shares resulting from share transactions		(66,281,582	)		(48,197,647	)
End of period		263,198,882			329,480,464

See Notes to Consolidated Financial Statements.

183

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Consolidated Statement of Changes in Net Assets (Continued)

	Year Ended 3/31/2024			Year Ended 3/31/2023
Share Transactions:
Class D Shares
Beginning of period	$	1,985,357		$	2,445,310
Shares issued		562,960			879,179
Reinvestment in Shares		41,606			—
Shares redeemed		(882,878	)		(1,339,132	)
Net change in shares resulting from share transactions		(278,312	)		(459,953	)
End of period		1,707,045			1,985,357
Share Transactions:
Class Y Shares
Beginning of period		103,832,078			119,885,251
Shares issued		20,123,797			9,990,118
Reinvestment in Shares		3,474,562			—
Shares redeemed		(23,276,517	)		(26,043,291	)
Net change in shares resulting from share transactions		321,842			(16,053,173	)
End of period		104,153,920			103,832,078

See Notes to Consolidated Financial Statements.

184

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Statement of Cash Flows

For the Year Ended March 31, 2024

Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$	415,038,453
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:
Purchases of investments in securities		(28,181,802,067	)
Proceeds from disposition of investments in securities		28,751,370,518
Proceeds from securities sold short		10,393,253,403
Payments to cover securities sold short		(11,214,418,054	)
Short-term investments, net		2,790,546
Premiums paid on closing options written		(71,158,214	)
Proceeds from premiums received from options written		79,652,901
Net realized gain (loss) on investments in securities		41,719,716
Net realized gain (loss) on securities sold short		19,072,642
Net realized gain (loss) on options written		(9,568,862	)
Net change in accretion of bond discount and amortization of bond and swap premium		(15,174,770	)
Net change in unrealized appreciation (depreciation) on investments in securities		(322,440,484	)
Net change in unrealized appreciation (depreciation) on securities sold short		66,753,716
Net change in unrealized appreciation (depreciation) on options written		(18,065,207	)
Net change in unrealized appreciation (depreciation) on reverse repurchase agreements		(206,734	)
Changes in assets and liabilities:
(Increase) decrease in assets:
Unrealized appreciation on forward foreign currency exchange contracts		2,811,833
Income receivable		(3,438,445	)
Receivable for periodic payments from swap contracts		22,134,109
Variation margin receivable on futures		14,057,070
Variation margin receivable on centrally cleared swaps		(14,199,648	)
Swap contracts, at fair value		6,200,451
Prepaid expenses and other assets		71,888
Increase (decrease) in liabilities:
Cash received as collateral for reverse repurchase agreements		2,286,000
Cash received as collateral from custodian for derivative financial instruments		37,349,719
Cash received as collateral from counterparty for OTC derivatives		2,322,746
Cash received as collateral from counterparty for centrally cleared derivatives		(38,597,263	)
Cash received as collateral from counterparty for futures contracts		33,441
Unrealized depreciation on forward foreign currency exchange contracts		(1,936,110	)
Swap contracts, at fair value		(9,502,673	)
Variation margin payable on futures		(959,638	)
Variation margin payable on centrally cleared swaps		(38,398,948	)
Payable for periodic payments from swap contracts		(30,960,196	)
Dividend and interest income payable on securities sold short		418,505
Interest payable on reverse repurchase agreements		371,821
Management fee payable		(1,988,821	)
Payable to Affiliates		38,039
Accrued expenses and other liabilities		1,235,615
Net cash used in operating activities	$	(113,833,002	)

See Notes to Consolidated Financial Statements.

185

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Statement of Cash Flows (Continued)

For the Year Ended March 31, 2024

Cash Flows from Financing Activities
Proceeds from shares sold	$	711,546,865
Cost of shares repurchased		(1,519,693,871	)
Proceeds from reverse repurchase agreements		1,243,546,368
Repayment of reverse repurchase agreements		(1,168,266,667	)
Credit facility borrowings		10,000,000
Credit facility repayments		(10,000,000	)
Distributions paid (net of reinvestment)		(21,627,053	)
Net cash used in financing activities		(754,494,358	)
Net increase (decrease) in unrestricted and restricted cash and foreign currency		(868,327,360	)
Unrestricted and restricted cash and foreign currency, beginning of period		2,289,752,405
Unrestricted and restricted cash and foreign currency, end of period	$	1,421,425,045
Supplemental disclosure of cash flow information:
Cash paid during the period for interest	$	172,588
Non-Cash Financing Activities
Capital shares issued in reinvestment of distribution	$	115,454,307

Reconciliation of unrestricted and restricted cash to the Consolidated Statement of Changes in Net Assets

	Year Ended March 31, 2024		Year Ended March 31, 2023
Cash	$	374,845,203	$	1,216,386,090
Foreign currency at value		15,482,840		23,963,340
Cash Pledged:
Securities sold short		570,195,732		491,909,326
Derivative financial instruments		168,317,267		342,241,522
Futures contracts		123,298,587		133,818,926
Centrally cleared derivatives		132,530,858		69,211,729
OTC derivatives		36,754,558		—
TBAs		—		12,155,472
Reverse repurchase agreements		—		66,000
	$	1,421,425,045	$	2,289,752,405

See Notes to Consolidated Financial Statements.

186

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Financial Highlights

(For Shares Outstanding Throughout the Period)

	Class I
	Year Ended 3/31/2024			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020
Net Asset Value, Beginning of Period	$	10.19		$	10.48		$	10.44		$	9.08		$	10.76
Income (Loss) From Investment Operations:
Net investment income (loss)1		0.24			0.01			(0.09	)		0.08			0.15
Net realized and unrealized gain (loss)		0.84			(0.30	)		0.31			1.60			(1.44	)
Total Income (Loss) From Investment Operations		1.08			(0.29	)		0.22			1.68			(1.29	)
Less Distributions to Shareholders:
From net investment income		(0.37	)		—			—			(0.32	)		(0.21	)
From net realized capital gains		—			—			(0.18	)		—			(0.18	)
Total Distributions		(0.37	)		—			(0.18	)		(0.32	)		(0.39	)
Net Asset Value, End of Period	$	10.90		$	10.19		$	10.48		$	10.44		$	9.08
Total Return		10.73	%5		(2.77	)%		2.09	%		18.34	%		(12.32	)%
Ratios to Average Net Assets:2
Total expenses before recoupment (reimbursement) from Investment Adviser		1.35	%		1.51	%		0.96	%		0.80	%		0.94	%
Management Fees		1.89	%		1.88	%		1.87	%		1.87	%		1.85	%
Net expenses after recoupment (reimbursement) from Investment Adviser3		3.24	%		3.39	%		2.83	%		2.67	%		2.79	%
Net investment income (loss)		2.33	%		0.13	%		(0.83	)%		0.77	%		1.43	%
Supplemental Data:
Net assets, end of period (in thousands)	$	2,868,551		$	3,358,347		$	3,958,328		$	3,637,018		$	4,734,372
Portfolio turnover		556	%4		846	%4		193	%		135	%		193	%

¹  Calculated using average shares outstanding during the period.

²  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.

³  There have been no recoupments (reimbursements) from Investment Adviser in the years shown. See Note 7.

⁴  Including TBA roll transactions. Had TBA roll transactions been excluded, the portfolio turnover rate would have been 136% for the year ended March 31, 2024 and 182% for the year ended March 31, 2023.

⁵ For the year ended March 31, 2024, 0.14% of the Portfolio’s total return consisted of a reimbursement by a Sub-adviser of the Fund.

See Notes to Consolidated Financial Statements.

187

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Financial Highlights (Continued)

(For Shares Outstanding Throughout the Period)

		Class D
		Year Ended 3/31/2024			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020
Net Asset Value, Beginning of Period		$	10.16		$	10.48		$	10.47		$	9.10		$	10.73
Income (Loss) From Investment Operations:
Net investment income (loss)1			0.22			(0.01	)		(0.12	)		0.05			0.13
Net realized and unrealized gain (loss)			0.83			(0.31	)		0.31			1.60			(1.46	)
Total Income (Loss) From Investment Operations			1.05			(0.32	)		0.19			1.65			(1.33	)
Less Distributions to Shareholders:
From net investment income			(0.36	)		—			—			(0.28	)		(0.12	)
From net realized capital gains			—			—			(0.18	)		—			(0.18	)
Total Distributions			(0.36	)		—			(0.18	)		(0.28	)		(0.30	)
Net Asset Value, End of Period		$	10.85		$	10.16		$	10.48		$	10.47		$	9.10
Total Return			10.44	%5		(3.05	)%		1.70	%		18.07	%		(12.60	)%
Ratios to Average Net Assets2
Total expenses before recoupment (reimbursement) from Investment Adviser			1.64	%		1.78	%		1.27	%		1.07	%		1.18	%
Management Fees	��		1.89	%		1.88	%		1.87	%		1.87	%		1.85	%
Recoupment (reimbursement) from Investment Adviser			(0.03	)%		—	%3		—	%3		—	%3		—	%3
Net expenses after recoupment (reimbursement) from Investment Adviser			3.50	%		3.66	%3		3.14	%3		2.94	%3		3.03	%3
Net investment income (loss)			2.08	%		(0.14	)%		(1.14	)%		0.51	%		1.19	%
Supplemental Data:
Net assets, end of period (in thousands)		$	18,519		$	20,179		$	25,626		$	27,031		$	40,987
Portfolio turnover			556	%4		846	%4		193	%		135	%		193	%

¹  Calculated using average shares outstanding during the period.

²  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.

³  There have been no recoupments (reimbursements) from Investment Adviser in the years ended, 2023, 2022, 2021 and 2020. See Note 7.

⁴  Including TBA roll transactions. Had TBA roll transactions been excluded, the portfolio turnover rate would have been 136% for the year ended March 31, 2024 and 182% for the year ended March 31, 2023.

⁵  For the year ended March 31, 2024, 0.14% of the Portfolio’s total return consisted of a reimbursement by a Sub-adviser of the Fund.

See Notes to Consolidated Financial Statements.

188

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Consolidated Financial Highlights (Continued)

(For Shares Outstanding Throughout the Period)

	Class Y
	Year Ended 3/31/2024			Year Ended 3/31/2023			Year Ended 3/31/2022			Year Ended 3/31/2021			Year Ended 3/31/2020
Net Asset Value, Beginning of Period	$	10.13		$	10.41		$	10.36		$	9.02		$	10.68
Income (Loss) From Investment Operations:
Net investment income (loss)1		0.25			0.02			(0.08	)		0.08			0.16
Net realized and unrealized gain (loss)		0.82			(0.30	)		0.31			1.59			(1.42	)
Total Income (Loss) From Investment Operations		1.07			(0.28	)		0.23			1.67			(1.26	)
Less Distributions to Shareholders:
From net investment income		(0.37	)		—			—			(0.33	)		(0.22	)
From net realized capital gains		—			—			(0.18	)		—			(0.18	)
Total Distributions		(0.37	)		—			(0.18	)		(0.33	)		(0.40	)
Net Asset Value, End of Period	$	10.83		$	10.13		$	10.41		$	10.36		$	9.02
Total Return		10.74	%5		(2.69	)%		2.10	%		18.49	%		(12.25	)%
Ratios to Average Net Assets2
Total expenses before recoupment (reimbursement) from Investment Adviser		1.27	%		1.44	%		0.86	%		0.72	%		0.83	%
Management Fees		1.89	%		1.88	%		1.87	%		1.87	%		1.85	%
Net expenses after recoupment (reimbursement) from Investment Adviser3		3.16	%		3.32	%		2.73	%		2.59	%		2.68	%
Net investment income (loss)		2.41	%		0.22	%		(0.72	)%		0.85	%		1.54	%
Supplemental Data:
Net assets, end of period (in thousands)	$	1,127,862		$	1,051,621		$	1,247,505		$	1,341,439		$	1,752,913
Portfolio turnover		556	%4		846	%4		193	%		135	%		193	%

¹  Calculated using average shares outstanding during the period.

²  The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds.

³  There have been no recoupments (reimbursements) from Investment Adviser in the years shown. See Note 7.

⁴  Including TBA roll transactions. Had TBA roll transactions been excluded, the portfolio turnover rate would have been 136% for the year ended March 31, 2024 and 182% for the year ended March 31, 2023.

⁵  For the year ended March 31, 2024, 0.14% of the Portfolio’s total return consisted of a reimbursement by a Sub-adviser of the Fund.

See Notes to Consolidated Financial Statements.

189

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Notes to Consolidated Financial Statements

For the Year Ended March 31, 2024

1. Organization

Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the year ended March 31, 2024, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of March 31, 2024, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.

The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’s day-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objective by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds generally employing alternative investment strategies. The Investment Adviser also manages a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser implements its investment strategy in coordination with the Investment Adviser in the Investment Adviser’s discretion. The Investment Adviser has the responsibility to oversee each Sub-Adviser (subject to the ultimate oversight of the Board). The Investment Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.

The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities. The Consolidated Financial Statements include the Financial Statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.

The Fund and the Cayman Subsidiary are each a commodity pool under the Commodity Exchange Act (“CEA”) and are subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the CEA, respectively, from certain disclosure,

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For the Year Ended March 31, 2024

reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTC No-Action Letter 12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.

Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.

2. Basis of Presentation

The Fund’s Consolidated Financial Statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of Consolidated Financial Statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.

The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services — Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.

Consolidation

The Fund consolidates its investment in the Subsidiaries. Accordingly, the Consolidated Financial Statements include the assets and liabilities and the results of operations and cash flows of the Subsidiaries. All material intercompany balances and transactions have been eliminated.

3. Significant Accounting Policies

Valuation Policy

The net asset values (“NAV”) of the Fund’s shares are calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).

For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at market value if market quotations are readily available, and otherwise at fair value as determined in good faith by the Board of the Fund, or its designee. The Board has delegated to the Custodian and the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. In accordance with Rule 2a-5 under the 1940 Act, the Board has designated the Investment Adviser as the “valuation designee” of the Fund. Each of the Board and the Investment Adviser has established procedures for determining the value of the Fund’s portfolio securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (together, the “Valuation Procedures”). Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the Investment Adviser as the valuation designee, in good faith, and such determinations will be subject to oversight by the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.

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For the Year Ended March 31, 2024

A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Accordingly, a security will not be considered to have readily available market quotations if its value is not determined solely by reference to Level 1 inputs in the fair value hierarchy outlined in U.S. GAAP, including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events.

Fair Value Measurements

Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.

Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:

Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.

The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.

Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.

The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).

Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.

192

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.

Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At March 31, 2024, the total fair value of Level 3 investments was $57,207,347. The appropriateness of fair values for these securities are monitored on an ongoing basis, including through backtesting, pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.

The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.

A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:

Exchange-Traded Securities

Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.

The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger, as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of March 31, 2024, no Fair Value Factor was applied to any such securities.

Short-Term Investments

The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At March 31, 2024, the Fund did not have any investment in short-term investments.

Derivative Financial Instruments

OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

193

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.

Fixed Income Securities

Fixed income securities, including corporate and convertible bonds, U.S. government sponsored agency securities, municipal bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and in corporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.

Investments in Investee Funds

The fair value of investments in unaffiliated investment funds (collectively, the “Investee Funds”) is generally determined using the reported NAV per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported NAV per share or its equivalent if the reported NAV per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946. If the Investee Fund does not provide a reported NAV per share or its equivalent on a Business Day, the Investment Adviser shall estimate fair value in good faith and in a manner consistent with the Valuation Procedures.

Securities and Other Investments

Bank Debt

The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund

194

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At March 31, 2024, the Fund did not have any outstanding unfunded commitments.

Mortgage-Related and Other Asset-Backed Securities

The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation liquidity, prepayment and extension risks.

Securities Sold Short

The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.

Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short on the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.

Commodities

The Fund is permitted to invest in California Carbon Allowances (“CCAs”) or futures on CCAs, which are generally treated as commodity interests in this report. CCA and other allowances (collectively, “Allowances”) are valued according to their vintage based on market price or the number of Allowances delivered during the valuation month. ICE futures U.S., Inc. (“ICE”) will serve as the primary pricing source. When early vintage Allowances no longer have readily observable market prices from ICE, they will be valued using prices for later vintage Allowances. ICE lists widely-traded futures contracts for the Allowance market. These contracts result in the delivery of an Allowance at expiry. The ICE CCA contracts permit delivery of Allowances issued by

195

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

California or any linked program (at this time Quebec and Ontario). Trading in these futures contracts are subject to ICE’s market rules. ICE lists separate CCAs by vintage (e.g., 2022 Vintage, 2023 Vintage and 2024 Vintage). The most traded ICE CCA contracts allow delivery of the indicated vintage or an earlier vintage; hence a 2022 Vintage Allowance can be delivered against the 2023 Vintage Contract. This flexibility means futures contracts on earlier vintages are usually more liquid than, and worth at least as much as, later vintages.

Repurchase Agreements

The Fund may invest in repurchase agreements, which are short term investments whereby the Fund acquires ownership of a debt security and the seller agrees to repurchase the security at a future date at a specified price. When entering into repurchase agreements, it is the Fund’s policy that the repurchase agreement be fully collateralized and that its custodian take possession of the underlying collateral securities. The repurchase counterparty has the ability to request additional collateral depending on the market value of the collateral security compared to the principal amount of the repurchase transaction in line with the agreement. To the extent that any repurchase transaction exceeds one Business Day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. The information required to be disclosed by FASB Accounting Standards Update No. 2011-11 for the Fund’s investments in repurchase agreements as of March 31, 2024, including the fair value of the repurchase agreement and the amount of collateral, can be found in the Fund’s Consolidated Schedule of Investments.

Reverse Repurchase Agreements

The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceeds the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of March 31, 2024, the face value of open reverse repurchase agreements for the Fund was $134,663,640. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the year ended March 31, 2024 was approximately $44,347,521, at a weighted average weekly interest rate of 5.47%.

An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements (“SLA”) and related collateral governed by an SLA (see Securities Lending below).

The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.

196

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Counterparty	Reverse Repurchase Agreement				Fair Value of Non-Cash Collateral(1),(2)			Cash Collateral Pledged(1)			Net Amount(3)
Barclays Capital, Inc.		$	(76,587,860	)		$	76,491,432		$	96,428		$	—
JPMorgan Chase Bank, N.A.			(58,616,921	)			58,223,318			393,603			—
		$	(135,204,781	)		$	134,714,750		$	490,031		$	—

⁽¹⁾  Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral received at March 31, 2024 was $143,701,235 and $3,502,000, respectively.

⁽²⁾  The total fair value of non-cash collateral in the table above includes securities valued at $134,714,750 that have been pledged and received as collateral on a reverse repurchase agreement.

⁽³⁾  Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default.

	Remaining Contractual Maturity of the Agreements As of March 31, 2024
	Overnight and Continuous			< 30 days			Between 30 & 90 days			> 90 days			Total
Corporate Bonds & Notes		$	16,847,886		$	6,561,171		$	—		$	—			23,409,057
Sovereign Debt			45,017,547			31,166,483			—			—			76,184,030
U.S. Treasury Obligations			—			35,121,663			—			—			35,121,663
Collateral Cash			490,031			—			—			—			490,031
Total		$	62,355,464		$	72,849,317		$	—		$	—		$	135,204,781
Gross amount of recognized liabilities for reverse repurchase agreements														$	135,204,781

Investment Transactions and Related Investment Income

Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.

Allocation of Income and Expenses

The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.

Cash

At March 31, 2024, the Fund had $374,845,203 in domestic cash and $15,482,840 in foreign cash held at State Street Bank and Trust Company. These balances, at year end, exceeded insured limits.

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For the Year Ended March 31, 2024

Foreign Currency

The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.

Contingencies

Under the Trust’s Amended and Restated Agreement and Declaration of Trust, the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.

Income Taxes

The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.

For the current open tax years ending on October 31, 2021, October 31, 2022, and October 31, 2023, with respect to all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the Consolidated Financial Statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these Consolidated Financial Statements.

Dividends and Distributions to Shareholders

Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times consistent with Rule 19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.

Value-at-Risk and Collateralization

Rule 18f-4 under the 1940 Act applies to the Fund’s use of derivative investments and certain financing transactions. As required by Rule 18f-4, the Fund has adopted and implemented a derivatives risk management program governing its use of derivatives through, among other things, the application of a value-at-risk based limit to the Fund’s derivatives exposure. Furthermore, based on requirements and

198

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

agreements with certain exchanges and third party broker-dealers, the Fund may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff.

The Fund may mitigate counterparty risk in part by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At March 31, 2024, the Fund used the gross method of presentation in its Consolidated Financial Statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per the Fund’s ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.

The Fund manages counterparty risk in part by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in NAV. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of some of the risks of the Fund, including credit and counterparty risk.

Securities Lending

The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The Fund will bear the risk of loss with respect to the investment of the cash collateral, as well as the possible loss of right to the collateral should the borrower fail financially. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. As of March 31, 2024, there were no securities on loan.

The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.

When-Issued and Delayed-Delivery Transactions

The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or

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delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.

Restricted Securities

The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.

Interbank Offered Rates Transition

Certain jurisdictions are currently reforming or phasing out their benchmark interest rates. Many such reforms and phase outs became effective at the end of calendar year 2021 with some persisting through 2024. For example, the Financial Conduct Authority ceased publication of the U.S. dollar London Interbank Offered Rates rates as of June 30, 2023. These rate changes may have an impact on existing transactions and contractual arrangements. In addition, there remains uncertainty over how other successor rates will change over time, including the extent to which such successor rates may exhibit market volatility, which could adversely affect our investment returns and our portfolio companies’ borrowing costs. The fund has taken steps to prepare for and mitigate the impact of changing base rates and evaluate the impact of changes on existing transactions and contractual arrangements.

4. Derivative Financial Instruments

In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to help manage certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of year end are disclosed in the Consolidated Schedule of Investments.

Forward Foreign Currency Exchange Contracts

The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is

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For the Year Ended March 31, 2024

recorded as an unrealized gain or loss on Forwards. When a contract is closed, the Fund recognizes a realized gain or loss 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.

The use of Forwards does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although Forwards may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.

Futures Contracts

The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss 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. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

Options Contracts

The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.

Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting

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For the Year Ended March 31, 2024

from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.

Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.

The Fund may purchase or write interest rate swaption agreements, which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. 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.

Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.

The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.

Swap Agreements

The Fund may enter into total return, interest rate, credit default, variance and volatility swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swaps are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into Swaps for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective Swaps to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the

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For the Year Ended March 31, 2024

possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into Swaps involves documentation risk resulting from the possibility that the parties to a Swap may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.

Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.

Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.

Total Return Swaps: The Fund may enter into total return swaps to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.

The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Investment Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Investment Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Investment Adviser) will select and manage the securities, derivatives,

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For the Year Ended March 31, 2024

and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund may obtain a significant portion of its investment exposure through Basket Swaps and/or Basket Notes.

Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.

In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.

Variance Swaps: A variance swap is a negotiated contract used to hedge or speculate on the magnitude of a price movement of an underlying asset, which can include exchange rates, interest rates, commodity price or the price of an index, i.e. the variance is the difference between an expected result and the actual result.

Volatility Swaps: A volatility swap is a negotiated contract with a payoff based on the realized volatility of an underlying asset where the realized amount is the difference between the realized volatility and the volatility strike or predetermined fixed volatility level.

Interest rate swaps, total return swaps, credit default swaps, variance swaps, and volatility swaps outstanding at year end are listed at the end of the Fund’s Consolidated Schedule of Investments.

At March 31, 2024, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:

	Asset Derivatives			Liability Derivatives
	Consolidated Statement of Assets & Liabilities Location	Fair Value		Consolidated Statement of Assets & Liabilities Location	Fair Value
Interest	Centrally cleared swaps, at fair value1	$	8,894,576	Centrally cleared swaps, at fair value1	$	(1,183,292	)
	Swap contracts, at fair value2		5,030	Swap contracts, at fair value2		(1,511,249	)
	Unrealized appreciation on futures contracts1		2,254,048	Unrealized depreciation on futures contracts1		(1,582,433	)
	Purchased options, at fair value3		2,364,845	Options written, at value		(1,054,348	)
Equity	Swap contracts, at fair value2		16,013,364	Swap contracts, at fair value2		(6,710,130	)
	Unrealized appreciation on futures contracts1		6,761,865	Unrealized depreciation on futures contracts1		(1,210,442	)
	Purchased options, at fair value3		4,183,477	Options written, at value		(3,516,920	)

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For the Year Ended March 31, 2024

	Asset Derivatives			Liability Derivatives
	Consolidated Statement of Assets & Liabilities Location	Fair Value		Consolidated Statement of Assets & Liabilities Location	Fair Value
Commodity	Unrealized appreciation on futures contracts1	$	90,882,539	Unrealized depreciation on futures contracts1	$	(76,844,867	)
	Purchased options, at fair value3		16,369,465	Options written, at value		(4,025,262	)
Credit	Centrally cleared swaps, at fair value1		15,380,201	Centrally cleared swaps, at fair value1		(10,322,837	)
	Swap contracts, at fair value2		832,161	Swap contracts, at fair value2		(387,476	)
Foreign Exchange	Unrealized appreciation on forward foreign currency exchange contracts		1,806,694	Unrealized depreciation on forward foreign currency exchange contracts		(1,290,672	)
	Unrealized appreciation on futures contracts1		787,874	Unrealized depreciation on futures contracts1		(269,560	)
	Swap contracts, at fair value2		1,921,134	Swap contracts, at fair value2		(1,308,144	)
	Purchased options, at fair value3		3,434,583	Options written, at value		(174,667	)
Total		$	171,891,856		$	(111,392,299	)
Amounts not subject to MNA4		$	139,258,381		$	(98,112,218	)
Total gross amounts subject to MNA		$	32,633,475		$	(13,280,081	)

¹  Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities.

²  Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts.

³  Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations.

⁴  See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA.

The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the year ended March 31, 2024:

Primary Underlying Risk	Average Number of Contracts1				Average Notional USD1				Net Realized Gain (Loss)				Net Change in Unrealized Appreciation (Depreciation)
Interest Rate
Swap contracts		$	—			$	228,581,010			$	4,434,585			$	(2,778,667	)
Future contracts			—				1,301,632,186				30,077,041				(2,387,273	)
Purchased options2			3,761,694,895				(887,309	)			(2,658,943	)			(4,674,523	)
Options written			(3,409,420,049	)			127,877				1,476,582				2,806,141

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For the Year Ended March 31, 2024

Primary Underlying Risk	Average Number of Contracts1				Average Notional USD1				Net Realized Gain  (Loss)1				Net Change in Unrealized Appreciation (Depreciation)
Equity
Swap contracts		$	—			$	728,600,378			$	29,678,788			$	71,944
Future contracts			—				224,292,352				27,974,194				7,977,949
Purchased options2			78,364,099				(5,586,321	)			(15,155,171	)			3,255,859
Options written			(1,706,958	)			1,346,864				3,127,549				2,103,847
Commodity
Swap Contracts			—				11,758				4,555				—
Future contracts			—				947,193,694				576,384				(1,450,793	)
Purchased options2			43,496				(6,176,147	)			(35,342,083	)			7,294,498
Options written			(10,383	)			(897,513	)			2,015,522				13,220,355
Credit
Swap contracts			—				574,127,425				(14,840,148	)			9,993,708
Foreign Exchange
Forward foreign currency exchange Contracts			—				287,158,508				7,570,940				(875,723	)
Swap Contracts			—				256,267				(322,686	)			612,990
Future contracts			—				17,726,263				(1,484,746	)			388,720
Purchased options2			1,180,248,462				(1,537,777	)			(12,115,348	)			(2,758,307	)
Options written			(63,402,642	)			(213,125	)			2,949,209				(65,136	)
										$	27,966,224			$	32,735,589

¹  Averages are based on monthly activity levels during the year ended March 31, 2024.

²  Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations.

Netting Arrangements

The Fund enters into ISDA Master Agreements that contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or SLAs and related collateral governed by an SLA (see Note 3).

The Fund has MNAs, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of March 31, 2024.

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For the Year Ended March 31, 2024

The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of March 31, 2024:

				Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
	Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities			Derivative Financial Instruments Available to Offset				Cash Collateral Received				Non-Cash Collateral			Net Amount
By Counterparty
Bank of America N.A.		$	2,316,477		$	(578,491	)		$	—			$	—		$	1,737,986
Barclays Bank PLC			1,037,394			(475,857	)			—				—			561,537
Deutsche Bank AG			661,865			—				—				—			661,865
Goldman Sachs International			1,334,018			—				—				—			1,334,018
Morgan Stanley Capital Services LLC			2,495,679			(1,606,934	)			—				—			888,745
Cayman Subsidiary
Bank of America N.A.			4,164,127			(249,605	)			—				—			3,914,522
Citibank N.A.			2,419,494			(7,401	)			(6,621	)			—			2,405,472
Goldman Sachs & Co., LLC			1,567,938			—				(143,427	)			—			1,424,511
Goldman Sachs International			3,028,650			(1,221,530	)			(1,807,120	)			—			—
JP Morgan Securities LLC			21,560			—				—				—			21,560
JPMorgan Chase Bank, N.A.			6,437,938			(1,324,332	)			(121,147	)			—			4,992,459
Morgan Stanley & Co. LLC			164,289			—				—				—			164,289
Morgan Stanley Capital Services LLC			1,909,440			(1,475,140	)			—				—			434,300
State Street Bank and Trust Company			907,083			(624,558	)			(282,525	)			—			—
Domestic Subsidiary IV
Barclays Bank PLC			5,030			(5,030	)			—				—			—
Citibank N.A.			7,019			—				—				—			7,019
Citigroup Global Markets, Inc.			147,533			—				—				—			147,533
Goldman Sachs International			122,821			(72,216	)			—				—			50,605
JPMorgan Chase Bank, N.A.			3,454,131			(2,228,662	)			(1,010,989	)			—			214,480
Morgan Stanley Capital Services LLC			349,906			—				(349,906	)			—			—
State Street Bank and Trust Company			81,083			(81,083	)			—				—			—
		$	32,633,475		$	(9,950,839	)		$	(3,721,735	)		$	—		$	18,960,901

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For the Year Ended March 31, 2024

					Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities
	Gross Amount of Liabilities Presented in Consolidated Statement of Assets and Liabilities				Derivative Financial Instruments Available to Offset			Cash Collateral Pledged			Non-Cash Collateral			Net Amount
By Counterparty
Bank of America N.A.		$	(578,491	)		$	578,491		$	—		$	—		$	—
Barclays Bank PLC			(475,857	)			475,857			—			—			—
Morgan Stanley Capital Services LLC			(1,606,934	)			1,606,934			—			—			—
Cayman Subsidiary
Bank of America N.A.			(249,605	)			249,605			—			—			—
Citibank N.A.			(7,401	)			7,401			—			—			—
Citigroup Global Markets, Inc.			(38,551	)			—			—			—			(38,551	)
Goldman Sachs International			(1,221,530	)			1,221,530			—			—			—
JPMorgan Chase Bank, N.A.			(1,324,332	)			1,324,332			—			—			—
Morgan Stanley Capital Services LLC			(1,475,140	)			1,475,140			—			—			—
State Street Bank and Trust Company			(624,558	)			624,558			—			—			—
Domestic Subsidiary IV
Barclays Bank PLC			(3,265,056	)			5,030			3,260,026			—			—
Goldman Sachs International			(72,216	)			72,216			—			—			—
JPMorgan Chase Bank, N.A.			(2,228,662	)			2,228,662			—			—			—
State Street Bank and Trust Company			(111,748	)			81,083			—			—			(30,665	)
		$	(13,280,081	)		$	9,950,839		$	3,260,026		$	—		$	(69,216	)

⁽¹⁾  The Fund and each Subsidiary are subject to separate MNAs with each individual counterparty.

⁽²⁾  Net amount represents the net amount receivable from the counterparty in the event of default.

⁽³⁾  Net amount represents the net amount payable to the individual counterparty in the event of default.

⁽⁴⁾  Additional required collateral received from the individual counterparty is not shown for financial reporting purposes.

⁽⁵⁾  Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes.

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For the Year Ended March 31, 2024

5. Fair Value Measurements

The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of March 31, 2024:

Assets:	Level 1			Level 2			Level 3			Total
Investments in Securities:
Common Stock		$	884,760,901		$	4,567,149		$	1,566,885		$	890,894,935
Preferred Stock			—			—			5,543,438			5,543,438
Asset-Backed Securities			—			224,914,105			—			224,914,105
Bank Debt			—			108,029,249			48,194,983			156,224,232
Corporate Bonds & Notes			—			438,200,143			112,270			438,312,413
Sovereign Debt			—			252,507,688			—			252,507,688
Mortgage-Backed Securities			—			667,185,857			—			667,185,857
U.S. Treasury Notes			—			132,709,237			—			132,709,237
Exchange-Traded Funds			24,897,564			—			—			24,897,564
Undertakings For Collective Investment in Transferable Securities			152,270,292			—			—			152,270,292
Warrants			—			15,566			1,731,814			1,747,380
Rights			—			—			1,294			1,294
Commodities			—			227,958,221			—			227,958,221
Repurchase Agreements			—			120,588,585			—			120,588,585
Purchased Options			14,297,278			12,055,092			—			26,352,370
Subtotal			1,076,226,035			2,188,730,892			57,150,684			3,322,107,611
Investments Valued at NAV												437,974,702
Total Investments in Securities		$	1,076,226,035		$	2,188,730,892		$	57,150,684		$	3,760,082,313
Other Financial Instruments:
Futures Contracts			100,686,326			—			—			100,686,326
Centrally Cleared Credit Default Swaps			—			15,380,201			—			15,380,201
OTC Total Return Swaps			—			7,678,168			114,430			7,792,598
Variance Swaps			—			10,146,930			—			10,146,930
Forward Foreign Currency Exchange Contracts			—			1,806,694			—			1,806,694
Centrally Cleared Interest Rate Swaps			—			8,894,576			—			8,894,576
OTC Credit Default Swaps			—			832,161			—			832,161
Total Investments in Securities and Other Financial Instruments		$	1,176,912,361		$	2,233,469,622		$	57,265,114		$	3,905,621,799

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For the Year Ended March 31, 2024

Liabilities:	Level 1				Level 2				Level 3				Total
Securities Sold Short:
Common Stock		$	(560,361,805	)		$	—			$	(11,398	)		$	(560,373,203	)
Corporate Bonds & Notes			—				(32,029,261	)			—				(32,029,261	)
Sovereign Debt			—				(49,276,110	)			—				(49,276,110	)
Mortgage-Backed Securities			—				(578,746,150	)			—				(578,746,150	)
U.S. Treasury Notes			—				(8,705,227	)			—				(8,705,227	)
Exchange-Traded Funds			(14,155,098	)			—				—				(14,155,098	)
Rights			—				—				(29	)			(29	)
Total Securities Sold Short			(574,516,903	)			(668,756,748	)			(11,427	)			(1,243,285,078	)
Other Financial Instruments:
Options Written			(6,698,787	)			(2,072,410	)			—			$	(8,771,197	)
Futures Contracts			(79,907,302	)			—				—				(79,907,302	)
Centrally Cleared Credit Default Swaps			—				(10,322,837	)			—				(10,322,837	)
OTC Total Return Swaps			—				(7,493,248	)			(46,340	)			(7,539,588	)
Reverse Repurchase Agreements			—				(135,204,781	)			—				(135,204,781	)
Forward Foreign Currency Exchange Contracts			—				(1,290,672	)			—				(1,290,672	)
Variance Swaps			—				(1,989,935	)			—				(1,989,935	)
Centrally Cleared Interest Rate Swaps			—				(1,183,292	)			—				(1,183,292	)
OTC Credit Default Swaps			—				(387,476	)			—				(387,476	)
Total Securities Sold Short and Other Financial Instruments		$	(661,122,992	)		$	(828,701,399	)		$	(57,767	)		$	(1,489,882,158	)

Investments in Investee Funds that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Financial Statements.

Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.

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For the Year Ended March 31, 2024

The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.

Investments in Investee Funds by Strategy	Unfunded Commitment $	Non-Redeemable Investments (A)		Other Restricted Investments (B)		Investments Subject to No Restrictions	Total $
		Amount $	Redemption Restriction Commencement Date	Amount $	Redemption Restriction Term	Amount $
Event-Driven(1)	N/A	2,594,547	N/A	38,730,631	Semi- Annual	—	41,325,178
Macro Strategies(2)	N/A	N/A	N/A	138,981,925	Monthly with 90 days’ notice	—	138,981,925
Macro Strategies(2)	N/A	N/A	N/A	140,505,854	Daily with 6 days’ notice	—	140,505,854
Macro-Strategies(2)	N/A	N/A	N/A	17,043,418	Quarterly	—	17,043,418
Macro-Strategies(2)	N/A	N/A	N/A	61,794,874	Monthly	—	61,794,874
Equity Hedge(3)	N/A	N/A	N/A	38,323,453	Monthly	—	38,323,453

⁽¹⁾  The Event-Driven strategy generally includes Investee Funds that seek returns by investing in strategies including catalyst events, share class arbitrage, share buybacks, post re-organization equity, recapitalizations, spin-offs and stub trades.

⁽²⁾  The Macro Strategies strategy generally includes Investee Funds with a focus on opportunistic and strategic allocations across asset classes including but not limited to bonds, rates, currencies and commodities.

⁽³⁾  The Equity Hedge strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies.

(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed when known.

(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without

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For the Year Ended March 31, 2024

consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.

The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with the Fund’s valuation methodology.

The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:

Valuation Description	Beginning Balance as of March 31, 2023				Transfers In				Transfers Out				Purchases			Sales				Amortization			Net Realized gain (loss)			Net change in unrealized appreciation (depreciation)				Balance as of March 31, 2024				Unrealized Gain/(Loss) as of March 31, 2024
Common Stocks		$	1,414,687			$	—			$	—			$	778,724		$	—			$	—		$	—		$	(626,526	)		$	1,566,885			$	(626,526	)
Preferred Stocks			9,088,567				—				—				—			—				—			—			(3,545,129	)			5,543,438				(3,545,129	)
Bank Debt			60,165,104				—				(15,778,748	)			17,582,809			(11,224,158	)			219,200			141,059			(2,910,283	)			48,194,983				(3,925,253	)
Corporate Bonds & Notes			125,350				—				—				—			(2,613	)			—			—			(10,467	)			112,270				(10,467	)
Warrants			246,796				—				—				—			—				—			—			1,485,018				1,731,814				1,485,018
Rights			—				—				—				—			—				—			—			1,294				1,294				1,294
Common Stock Sold Short			(11,144	)			(309	)			29				6,535			(4,122	)			—			1,122			(3,509	)			(11,398	)			(3,509	)
Rights Sold Short			—				(29	)			—				—			—				—			—			—				(29	)			—
OTC Total Return Swaps			—				—				—				—			(116,684	)			—			116,684			68,090				68,090				68,090
		$	71,029,360			$	(338	)		$	(15,778,719	)		$	18,368,068		$	(11,347,577	)		$	219,200		$	258,865		$	(5,541,512	)		$	57,207,347			$	(6,556,482	)

The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of March 31, 2024.

Assets	Valuation Technique		Unobeservable Input		Fair Value at March 31, 2024			Range of Inputs (Weighted Average)
Investments in Securities and Other Financial Instruments:
Bank Debt		Broker-dealer Quotations		Indicative Bid		$	19,304,754		N/A
		Comparable company Multiplies		EBITDA Multiplies			16,681,086		9.5x (a)
							9,233,531		10.0x (a)
		Distribution Analysis		Expected Distribution Proceeds			2,975,612		N/A
Common Stock		Broker-dealer Quotations		Indicative Bid			1,566,885		N/A
Corporate Bonds & Notes		Broker-dealer Quotations		Indicative Bid			112,270		N/A
Preferred Stock		Broker-dealer Quotations		Indicative Bid			5,543,438		N/A

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Assets	Valuation Technique		Unobeservable Input		Fair Value at March 31, 2024			Range of Inputs (Weighted Average)
		Comparable Company Multiples		EBITDA Multiplies		$	0^		9.5x (a)
Warrants		Distribution Analysis		Expected Distribution Proceeds			1,731,814		N/A
Rights		Broker-dealer Quotations		Indicative Bid			1,294		N/A
OTC Total Return Swaps		Broker-dealer Quotations		Indicative Bid			114,430		N/A
Total Investments in Securities and Other Financial Instruments						$	57,265,114

^(a)  A significant change in unobservable input would have resulted in a correlated significant change to value.

Liabilities	Valuation Technique		Unobeservable Input		Fair Value at March 31, 2024				Range of Inputs (Weighted Average)
Securities Sold Short and Other Financial Instruments:
Common Stock Sold Short		Broker-dealer Quotations		Indicative Bid		$	(11,398	)		N/A
Rights Sold Short		Broker-dealer Quotations		Indicative Bid			(29	)		N/A
Warrants Sold Short		Broker-dealer Quotations		Indicative Bid			0	^		N/A
OTC Total Return Swaps		Broker-dealer Quotations		Indicative Bid			(46,340	)		N/A
Total Securities Sold Short and Other Financial Instruments:						$	(57,767	)

^ A balance indicated with a “0”, reflects either a zero balance or an amount that rounds to less than 1.

6. Purchase and Sale of Fund Shares

The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. During the year ended March 31, 2024, only Class D Shares, Class I Shares and Class Y Shares were outstanding.

The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries with whom Blackstone Securities Partners L.P. (the “Distributor”) has an agreement for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that: have entered into an arrangement approved by the Distributor to provide certain administrative services to investors in the Fund’s Class I Shares. Shareholders of Class I Shares may be subject to additional advisory, administrative, servicing, account-level or other fees in addition to those described in the Fund’s Prospectus, which are paid to financial intermediaries to support the additional services they may provide. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement

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For the Year Ended March 31, 2024

accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/ trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the Distributor and do not charge a fee to the Fund. The minimum investment in Class D Shares by an investor is $10,000, and the minimum subsequent investment in Class D Shares by an investor is $1,000. The minimum investment in Class I Shares by an investor is $100,000, and the minimum subsequent investment in Class I Shares by an investor is $10,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.

Shares of the Fund may be purchased or redeemed at NAV each Business Day.

7. Investment Adviser Fees and Other Transactions with Affiliates

Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95%, and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80%. During the year ended March 31, 2024, the Fund paid the Investment Adviser $78,378,083 in management fees. From this amount, the Investment Adviser paid $42,278,786 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 1.02% of the Fund’s average daily net assets. The Investment Advisor paid, in the aggregate, $3,353,853 in sub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C. and Blackstone Liquid Credit Strategies LLC, and Harvest Fund Advisors LLC, all indirect wholly-owned subsidiaries of Blackstone and affiliates of the Investment Adviser, which amounted to 0.08% of the Fund’s average daily net assets.

Sub-Advisory Fees

Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Fund Management Fee received by the Investment Adviser.

Distribution and Service Fees

Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Expense Limitation and Reimbursement

The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”) (computed and applied on a monthly basis). Specified Expenses include all expenses incurred by the Fund with the exception of (i) distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (in each case as determined in the sole discretion of BAIA). As of March 31, 2024 the Fund has recorded a receivable from the investment Adviser of $5,745.

To the extent the estimated annualized Specified Expenses for any month exceed the Total Expense Cap, the Investment Adviser will waive its fees and/or reimburse the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2026 upon written notice to the Fund. This agreement cannot be terminated prior to August 31, 2026 without the Board’s consent. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Expense Limitation and Reimbursement Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect with respect to the Fund. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap or any other expense limitation agreement then in effect. During the three-year period ended March 31, 2024, there were no repayments or potential repayments to the Investment Adviser.

Related Party Transactions

Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At year ended March 31, 2024, the Fund has an amount payable to FINCO of $763,311.

Blackstone Alternative Asset Management L.P. (“BAAM”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses BAAM for such expenses paid on behalf of the Fund. BAAM does not charge any fees for providing such administrative services. At year ended March 31, 2024, the Fund has an amount payable to BAAM of $86,069.

Blackstone Administrative Services Partnership L.P. (“BASP”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses BASP for such expenses paid on behalf of the Fund. BASP does not charge any fees for providing such administrative services. At year ended March 31, 2024, the Fund has an amount payable to BASP of $12,764.

The Investment Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns a non-controlling, minority interest in Arcesium. At year end March 31, 2024, the amounts related to Arcesium are included in the amount payable to FINCO.

215

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

For the year ended March 31, 2024, the Fund received a reimbursement of $5,427,571 from a Sub-Adviser related to a violation of the Sub-Adviser’s internal policies by one of the Sub-Adviser’s employees. This payment is reflected in Net realized gain (loss) on investments in securities within the Consolidated Statement of Operations.

8. Other Agreements

State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. U.S. Bank National Association (“U.S. Bank”) serves as custodian for certain of the Fund’s securities, commodities, cash, and other property. Blackstone Securities Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.

9. Principal Investment Risks

The investment program of the Fund entails substantial risks and includes alternative investment and trading strategies not employed by traditional mutual funds. An investor may lose part or all of your investment and/or your investment may not perform as well as other similar investments. An investment in the Fund should be viewed only as part of an overall investment program. No assurance can be given that the Fund’s investment program will be successful. The following is a summary description of some, but not all, of the principal risks of investing in the Fund, including the indirect risks associated with the Fund’s investments in the Subsidiaries and Investee Funds. Any decision to invest in the Fund should be made after a review of the full set of principal risks in the Fund’s prospectus and should take into account that the Fund may make virtually any kind of investment, and be subject to related risks, which can be substantial. The relative significance of the principal risks identified below, at any given time, will vary depending on the specific composition of the Fund’s investment portfolio from time to time and the allocation of the Fund’s assets among the various investment strategies, which may change frequently and/or significantly over time. As applicable, references in these Risks to the “Fund” mean any one or more of the Fund, Subsidiaries, and Investments in Investee Funds, and references to a “Manager” mean any one or more of the Investment Adviser, Sub-Advisers, and advisers to the Investee Funds.

Market Risk and Selection Risk. The Fund is subject to market risk and selection risk. Market risk is the risk that one or more markets in which the Fund invests will decline in value, including the possibility that the markets will decline sharply and unpredictably. While a Manager may make efforts to control the risks associated with market changes, and may attempt to identify changes as they occur, market environment changes can be sudden and extreme. Significant shocks to or disruptions of the financial markets or the economy, including those caused by epidemics and pandemics, economic, natural, and man-made disasters, government action, rapid technological advancements, or significant geopolitical events, such as war, terrorism, sanctions, tariffs, or trade disputes could adversely affect the liquidity and volatility of securities held by the Fund and could increase the Fund’s exposure to the other risks detailed in this report. Market environment changes may adversely affect the performance of a model and amplify losses. Selection risk is the risk that the securities held by the Fund will underperform the markets, the relevant indices, or the securities selected by other funds with similar investment objectives and investment strategies.

Counterparty Credit Risk. The stability and liquidity of many derivative and securities lending transactions depend in large part on the creditworthiness of the parties to the transactions. If a counterparty to such a transaction defaults, exercising contractual rights may involve delays or costs for the Fund. Furthermore, there is a risk that a counterparty could become the subject of insolvency proceedings, and that the recovery of securities and other assets from such counterparty will be delayed or be of a value less than the value of the securities or assets originally entrusted to such counterparty. At times, including when the Fund has entered into a Basket Swap, the Fund will have significant exposure to a single counterparty.

216

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

Liquidity Risk. Some securities held by the Fund, including, but not limited to, restricted, distressed, non-exchange traded, privately placed securities, and/or commodity-related investments, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investee Funds are often illiquid and some Investee Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or for other cash needs, the Fund may suffer a loss.

Equity Securities Risk. Common and preferred stocks represent equity ownership in a company. Stock markets are volatile. The prices of equity securities will fluctuate and can decline and reduce the value of a portfolio investing in equities. The value of equity securities purchased by the Fund could decline if the financial condition of the companies the Fund invests in decline or if overall market and economic conditions deteriorate. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or an increase in production costs and competitive conditions within an industry. In addition, they may decline due to general market conditions that are not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or generally adverse investor sentiment.

Derivatives Risk. The use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. The Fund invests in derivatives for hedging and non-hedging purposes. Derivatives can be volatile and illiquid, are subject to counterparty credit risk, and may create investment exposure greater than the initial investment.

Structured Products Risk. Holders of structured products bear risks of the underlying investments, index, or reference obligation and are subject to counterparty credit, valuation, and liquidity risks. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Certain structured products may be thinly traded or have a limited trading market. In addition to the general risks associated with debt securities discussed herein, structured products carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the reference securities may decline in value or default; the possibility that changes in the reference instrument will reduce the interest rate and principal amount payable on maturity; and the possibility that the position is subordinate to other classes. Structured notes are based upon the movement of one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero. Structured products may be less liquid than other types of securities and more volatile than the reference instrument.

Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. As inflation increases, the present value of the Fund’s assets and distributions may decline. This risk is more prevalent with respect to debt securities held by the Fund. Inflation creates uncertainty over the future real value (after inflation) of an investment. Inflation rates may change frequently and drastically as a result of various factors, including unexpected shifts in the domestic or global economy (or expectations that such policies will change), and the Fund’s investments may not keep pace with inflation, which may result in losses to Fund investors or adversely affect the real value of shareholders’ investments in the Funds. For example, wages and prices of inputs increase during periods of inflation, which can negatively impact returns on investments. In an attempt to stabilize inflation, countries may impose wage and price controls or otherwise intervene in the economy. Governmental efforts to curb inflation often have negative effects on the level of economic activity. Investors’ expectation of future inflation can also impact the current value of portfolio investments, resulting in lower asset values and

217

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

potential losses. This risk is elevated compared to historical market conditions because of recent monetary policy measures, the current interest rate environment, and the historically high prevailing inflation rates.

Risks Specific to Investments in Investee Funds. In addition to risks relating to their direct investments, Investee Funds often involve additional special risks not present in direct investments. Investors in the Fund bear two layers of fees and expenses at both the Fund level and the Investee Fund level. The Fund’s investments in Investee Funds are priced, in the absence of readily available market values, based on estimates of fair value, which may prove to be inaccurate; these valuations are used to calculate fees payable to the Investment Adviser and the net asset value of the Fund’s shares. The Investment Adviser is also dependent on information, including performance information, provided by the Investee Funds, which if inaccurate could adversely affect the Investment Adviser’s ability to accurately value the Fund’s shares. Some Investee Funds are not registered as investment companies under the 1940 Act, and therefore, the Fund is not able to avail itself of the protections of the 1940 Act with respect to such investments. Certain Investee Funds, including unaffiliated hedge funds and UCITS funds, are also subject to transfer or redemption restrictions that impair the liquidity of these investments, and some Investee Funds may suspend the withdrawal rights of their shareholders, including the Fund, from time to time. Incentive fees charged by advisors of Investee Funds also creates an incentive for such advisors to make investments that are riskier or more speculative than in the absence of these fees. To the extent an Investee Fund invests in a special situation investment (an investment in securities or other instruments that an Investee Fund determines to be illiquid or lacking a readily ascertainable fair value and which the Investee Fund designates as a special situation investment), the Fund’s ownership interest with respect to such special situation investment generally may not be withdrawn until the special situation investment, or a portion thereof, is realized or deemed realized. The Fund also may purchase non-voting securities of, or to contractually forego the right to vote in respect of, Investee Funds in order to prevent the Fund from becoming an “affiliated person” of the Investee Fund for purposes of the 1940 Act and becoming subject to the prohibitions on transactions with affiliated persons contained in the 1940 Act. Consequently, the Fund will not be able to vote to the full extent of its economic interest on matters that require approval of investors in each Investee Fund, including matters that could adversely affect the Fund’s investment.

10. Investment Transactions

The aggregate cost of purchases and proceeds of sales of investments in securities (excluding short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the year ended March 31, 2024 were as follows:

	Purchases		Sales
	Long-Term	U.S. Government	Long-Term	U.S. Government
Including TBAs	$4,154,587,074	$22,354,776,042	$3,828,825,452	$24,700,175,462
Excluding TBAs	$4,154,587,074	$339,333,414	$3,828,825,452	$321,893,207

11. Income Tax Information

The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Code. The Fund has adopted a tax year-end of October 31, therefore the Consolidated Financial Statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2023. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.

The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares

218

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Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

of the Fund, at NAV, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.

The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.

The Fund made the following reclassification at March 31, 2024 due to permanent book and tax differences primarily attributable to gain or loss from passive foreign investment companies, certain derivative financial instrument transactions, and income from the wholly-owned Cayman Subsidiary from its tax year ended October 31, 2023:

Paid-in Capital	Distributable Earnings/(Loss)
$173,475,074	$(173,475,074)

The tax basis components of distributable earnings of the Fund at their tax year-ended October 31, 2023 were:

Undistributed Ordinary Income	Undistributed Long-Term Capital Gains	Capital Loss Carryforward1
$68,404,698	$—	$(57,277,554)

⁽¹⁾ Under the Regulated Investment Company Modernization Act of 2010, net capital losses recognized by the Cayman Subsidiary may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Any such losses, will be deemed to arise on the first day of the next taxable year. For the tax year ended October 31, 2023, short term and long term capital losses of $0 and $57,277,554 respectively, will be carried forward by the Fund.

In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2022 by the Fund is as follows:

Ordinary Income	Long-Term Capital Gain
$87,774,551	$—

In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2023 by the Fund is as follows:

Ordinary Income	Long-Term Capital Gain
$—	$—

219

Blackstone Alternative Multi-Strategy Fund and Subsidiaries

Notes to Consolidated Financial Statements (Continued)

For the Year Ended March 31, 2024

The Fund made an ordinary income and capital gains distribution in the amounts of $137,081,360 and $0, respectively to shareholders in December 2023. The final tax character of that distribution will be determined after the Fund’s October 31, 2024 tax year end.

As of March 31, 2024, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:

Aggregate Cost	Gross Unrealized Appreciation	Gross Unrealized (Depreciation)	Net Unrealized Appreciation (Depreciation)
$2,706,155,696	$66,267,004	$(236,619,606)	$(170,352,602)

12. Borrowings Under Credit Facility

As of March 31, 2024, the Fund had a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $400,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.35% plus the Overnight Bank Funding Rate (5.33% at March 31, 2024). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than April 3, 2025, the termination date of the Facility, at which time the Fund and the Bank can agree to extend the existing agreement. During the year ended March 31, 2024, there was a borrowing under the Facility of $10,000,000 which incurred interest of $1,853. The borrowing was outstanding for one day. As of March 31, 2024 the Fund had no borrowings under the Facility.

13. Subsequent Events

The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the Consolidated Financial Statements.

220

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the shareholders of Blackstone Alternative Multi-Strategy Fund and Subsidiaries and the Board of Directors of Blackstone Alternative Investment Funds

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Blackstone Alternative Multi-Strategy Fund and Subsidiaries, one of the portfolios constituting the Blackstone Alternative Investment Funds (the “Fund”), as of March 31, 2024, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of March 31, 2024, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights 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 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2024, by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

New York, New York

May 28, 2024

We have served as the auditor of one or more Blackstone investment companies since 2010.

221

Blackstone Alternative Multi-Strategy Fund And Subsidiaries

Shareholder Fee Example (Unaudited)

As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to 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.

Actual Expenses

The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six months-ended March 31, 2024. The first line in the table below provides information about actual account values and actual 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 “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second part of the table below 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 actual return of the Fund. The hypothetical amount 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 costs 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 the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/ exchange fees. Therefore, the second part 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.

	Beginning Account Value 10/1/23		Ending Account Value 3/31/24		Annualized Expense Ratio			Expenses Paid During the Period1
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Actual Fund Return
Class I		$1,000.00		$1,069.50		3.36	%		$17.38
Class D		1,000.00		1,067.60		3.58			18.51
Class Y		1,000.00		1,069.40		3.26			16.87
Hypothetical 5% Annual Return
Class I		1,000.00		1,008.20		3.36			16.87
Class D		1,000.00		1,007.10		3.58			17.96
Class Y		1,000.00		1,008.70		3.26			16.37

¹  Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period).

222

Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information

March 31, 2024

Management of the Fund

The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the Fund’s officers (“Officers”) are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.

Sub-Advisers

During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund and/or to one or more Subsidiaries.

Discretionary Sub-Advisers:

• Aperture Investors, LLC (until September 29, 2023)

• Bayforest Capital Limited

• Bayview Asset Management, LLC

• Blackstone Liquid Credit Strategies LLC

• Blackstone Real Estate Special Situations Advisors L.L.C.

• Caspian Capital LP

• Clear Sky Advisers, LLC

• D.E. Shaw Investment Management, L.L.C.

• Emso Asset Management Limited (until July 28, 2023)

• Endeavour Capital Advisors Inc.

• Fir Tree Capital Management LP

• Fort Baker Capital Management LP

• Harvest Fund Advisors LLC (effective January 2, 2024)

• Jasper Capital Hong Kong Limited (until November 30, 2023)

• Magnetar Asset Management LLC

• Maren Capital LLC (effective August 21, 2023)

• Mariner Investment Group, LLC

• Melqart Asset Management (UK) Limited

• Merritt Point Partners LLC

• Mesarete Capital LLP

• Nephila Capital, Ltd.

• North Reef Capital Management LP

• Sage Rock Capital Management LP (until January 12, 2024)

• Seiga Asset Management Limited

• Seven Grand Managers, LLC

• TrailStone Commodity Trading US, LLC

• Two Sigma Advisers, LP

• Varick Capital Partners LP (effective August 1, 2023)

• Waterfall Asset Management, LLC

223

Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2024

Trustees and Officers

The following tables set forth information concerning the Trustees and Officers of the Fund. Unless otherwise noted, the business address of each Trustee and Officer is c/o Blackstone Alternative Investment Advisors LLC, 345 Park Avenue, 28th Floor, New York, NY 10154.

Independent Trustees:

Name and Year of Birth of Independent Trustees	Position(s) Held with Fund	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Trusteeships Held by Trustee During Past 5 Years
Frank J. Coates (1964)	Trustee (Chair)	March 2013 – Present	Chief Technology Officer, Dynasty Financial Partners (July 2021 – Present); Executive Managing Director, Envestnet, Inc. (Wealth Management Solutions) (2016 – 2020)	1	None
Peter M. Gilbert (1947)	Trustee	February 2016 – Present	Retired (2015 – Present)	1	None
Paul J. Lawler (1948)	Trustee	March 2013 – Present	Retired (2011 – Present)	1	Trustee, First Eagle Funds (13 portfolios)
Kristen M. Leopold (1967)	Trustee	March 2013 – Present	Chief Financial Officer, BK Realty Services LLC (April 2021 – Present) Chief Financial Officer, WFL Real Estate Services LLC (2006 – April 2021)	1	Trustee, Macquarie Asset Management (Central Park Group Funds) (10 portfolios); Trustee, Constitution Capital Partners

224

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Supplemental Information (Continued)

March 31, 2024

Interested Trustees:

Name and Year of Birth of Independent Trustees	Position(s) Held with Fund	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex2 Overseen by Trustee	Other Trusteeships Held by Trustee During Past 5 Years
John M. Brown4 (1959)	Trustee	March 2013 – Present	Retired (2004 – Present)	1	None
Peter Koffler5 (1956)	Trustee	August 2012 – Present	Senior Managing Director,3 Blackstone Inc. (“Blackstone”) (2012 – Present); General Counsel, BAIA (2012 – December 2021); BXMA (2010 – December 2021) Chief Compliance Officer, BAIA (2018 –December 2020; July 2021 – December 2022); BXMA (2008 – 2012, 2018)	1	None

¹  Term of office of each Trustee is indefinite until his or her resignation, removal, or death. Any Trustee of the Fund may be removed from office in accordance with the provisions of the Trust’s Declaration of Trust and Bylaws.

²  As of March 31, 2024, the “Fund Complex” consists of BAMSF, the Blackstone Credit Closed-End Funds (Blackstone Senior Floating Rate 2027 Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit 2027 Term Fund, and Blackstone Floating Rate Enhanced Income Fund), Blackstone Private Credit Fund, and Blackstone Secured Lending Fund.

³  Executive title, not a board directorship.

⁴  Mr. Brown is treated as “interested person” of the Fund, as defined in the 1940 Act, due to a family member’s relationship with a Sub-Adviser to the Fund.

⁵  Mr. Koffler is an “interested person” of the Fund, as defined in the 1940 Act, due to his positions with the Adviser and its affiliates.

225

Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2024

Officers:

Name and Year of Birth of Officers	Position(s) Held with the Fund	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years
Brian F. Gavin (1969)	Co-President (Co-Principal Executive Officer) President (Principal Executive Officer)	July 2023 – Present August 2012 – July 2023	Chief Operating Officer & Senior Managing Director,2 Blackstone (2007 – Present)
Peter Koffler (1956)	Co-President (Co-Principal Executive Officer)	July 2023 – Present	Senior Managing Director,2 Blackstone (2012 – Present); General Counsel, BXMA (2010 – December 2021) and BAIA (2012 – December 2021); Chief Compliance Officer, BAIA (2018 – December 2020; July 2021 – January 2023); BXMA (2008 – 2012, 2018)
Stephen Adams (1984)	Chief Legal Officer	June 2023 – Present	Senior Vice President, Blackstone (2023 – Present); Vice President, Blackstone (2021 – 2022); Associate, Ropes & Gray LLP (2014 – 2021)
Sarah Kassman (1991)	Secretary	February 2022 – Present	Assistant Vice President, Blackstone (2024 – Present); Associate, Blackstone (2022 – Present); Analyst, Blackstone (2018 – 2021)
Thomas Procida (1980)	Treasurer and Principal Financial and Accounting Officer	Treasurer (August 2021 – Present); Principal Financial and Accounting Officer (February 2022 – Present)	Managing Director,2 Blackstone (2019 – Present); Senior Vice President, Blackstone (2015 – 2019)

226

Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2024

Name and Year of Birth of Officers	Position(s) Held with the Fund	Term of Office1 and Length of Time Served	Principal Occupation(s) During Past 5 Years
William Renahan (1969)	Chief Compliance Officer	August 2022 – Present	Managing Director,2 Blackstone (May 2022 – Present); Senior Managing Director, Duff & Phelps Investment Management (2017 – May 2022)
Sherilene Sibadan (1976)	Anti-Money Laundering Officer	July 2019 – Present	Managing Director,2 Blackstone (2022 – Present); Senior Vice President, Blackstone (2016 – 2021)

Term of office of each officer is indefinite until his or her death, resignation, removal, or disqualification.

Executive title, not a board directorship.

Compensation for Trustees

Each of the Independent Trustees is paid by the Fund Complex (as defined below) at a rate of $150,000 per fiscal year in the aggregate for the services to the Fund Complex (including the Subsidiaries). For his service to the Fund as an Interested Trustee, Mr. Brown is paid by the Fund Complex at a rate of $129,000 per fiscal year in the aggregate for his services to the Fund Complex (excluding the Subsidiaries). The Chairpersons of the Board of Trustees and the Audit Committee are paid by the Fund Complex an additional $35,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and any other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. The Trust has adopted a deferred compensation plan (the “Deferred Compensation Plan”) to allow each Independent Trustee to align his or her interest with the Fund and the Fund’s shareholders without purchasing shares of the Fund. Certain of the Independent Trustees currently participate in the Deferred Compensation Plan. Under the Deferred Compensation Plan, each participating Independent Trustee defers payment of all or part of the compensation payable for such Trustee’s services and thereby shares in the experience alongside the Fund’s shareholders as the compensation deferred increases or decreases depending on the investment performance of the Fund. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Trust’s Deferred Compensation Plan. Pursuant to the Deferred Compensation Plan, payments due under the Deferred Compensation Plan are unsecured obligations of the Trust.

The following tables set forth information covering the total compensation payable by the Fund during its fiscal year ended March 31, 2024, to the persons who served as Trustees and Officers of the Fund during such period.

Independent Trustees:

Name of Independent Trustee	Aggregate Compensation From the Fund			Total Compensation From the Fund Complex
Frank J. Coates		$	185,634		$	185,634
Peter M. Gilbert		$	150,000		$	150,000
Paul J. Lawler		$	150,000		$	150,000
Kristen M. Leopold		$	165,000		$	165,000

227

Blackstone Alternative Investment Funds and Subsidiaries

Supplemental Information (Continued)

March 31, 2024

Interested Trustees:

Name of Interested Trustee	Aggregate Compensation From the Fund			Total Compensation From Fund Complex
John M. Brown		$	129,442		$	129,442
Peter Koffler			None			None

¹  These amounts represent aggregate compensation for the services of each Trustee to each fund in the Fund Complex, for which each Trustee serves as trustee. As of December 31, 2023, the “Fund Complex” consists of BAMSF, the Blackstone Credit Closed-End Funds (Blackstone Senior Floating Rate 2027 Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit 2027 Term Fund, and Blackstone Floating Rate Enhanced Income Fund), Blackstone Private Credit Fund, and Blackstone Secured Lending Fund. Certain of the Independent Trustees have elected to defer all or part of their total compensation for the year ended March 31, 2024, under the Trust’s Deferred Compensation Plan. Amounts deferred for the fiscal year ended March 31, 2024 by Messrs. Gilbert and Lawler and by Ms. Leopold were $93,750, $150,000, and $33,000, respectively.

The Fund Complex also pays for a portion of the compensation for the Fund’s Chief Compliance Officer. The following table sets forth information covering the total compensation payable by the Fund, during its fiscal year ended March 31, 2024, to the Fund’s Chief Compliance Officer, William Renahan, during the period. No other Officer received any compensation from the Fund during the period.

Compensated Officer	Aggregate Compensation From the Fund			Total Compensation From the Fund Complex
Chief Compliance Officer		$	107,900		$	390,000

As of December 31, 2023, the “Fund Complex” consists of BAMSF, the Blackstone Credit Closed-End Funds (Blackstone Senior Floating Rate 2027 Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit 2027 Term Fund, and Blackstone Floating Rate Enhanced Income Fund), Blackstone Private Credit Fund, and Blackstone Secured Lending Fund

Form N-PORT Filings

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.

Proxy Voting Policies

A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.

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March 31, 2024

Board Approval of the Sub-Advisory Agreements

At meetings of the Board held in-person on November 14-15, 2023 and February 27-28, 2024, the Board, including a majority of the Independent Trustees, considered and approved for the Fund (i) the continuation of certain investment sub-advisory agreements ( “Continued Sub-Advisory Agreements”) and (ii) an amended and restated investment sub-advisory agreement (“Amended and Restated Sub-Advisory Agreement” together with the Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Sub-Advisers”):

Amended and Restated Sub-Advisory Agreements (approved at November meeting)

• Varick Capital Partners LP (“Varick”)

Continued Sub-Advisory Agreements (approved at November meeting)

• Blackstone Real Estate Special Situations Advisors L.L.C. (“BRESSA”)

• Clear Sky Advisers LLC (“Clear Sky”)

• Endeavour Capital Advisors Inc. (“Endeavour”)

• Seiga Asset Management Limited (“Seiga”)

• Waterfall Asset Management, LLC (“Waterfall”)

Continued Sub-Advisory Agreements (approved at February meeting)

• Blackstone Liquid Credit Strategies LLC (“BX LCS”)

• Mariner Investment Group, LLC (“Mariner”)

The Board noted that BAIA and the Fund relied on an exemptive order from the SEC that permits the Fund to hire, and make material amendments to sub-advisory agreements with, discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approve any new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Sub-Adviser.

The information the Board received in connection with the consideration of the Continued Sub-Advisory Agreements for each of the Sub-Advisers considered at the November 2023 meeting and February 2024 meeting generally included, among other things:

(1) a Manager Investment Review, which covered, among other things, summary information regarding each Sub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity monitoring, and compliance; and a summary of the key terms of the applicable Sub-Advisory Agreement;

(2) a sub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of each Sub-Adviser that had, presently or in the past, been allocated Fund assets; and

(3) a completed sub-adviser 15(c) questionnaire, including any follow-up responses thereto, which provided each Sub-Adviser’s responses to the Independent Trustees’ request for information.

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March 31, 2024

With respect to the Amended and Restated Sub-Advisory Agreement approved in November 2023 for Varick, the Board reviewed the proposed amendments to the Sub-Advisory Agreement and considered the amendment in light of the information provided in connection with the Board’s approval of the initial Sub-Advisory Agreement with Varick at its July 19, 2023 meeting.

At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating each Sub-Advisory Agreement, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders.

Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve each Continued Sub-Advisory Agreement and the Amended and Restated Sub-Advisory Agreement on the basis of the following factors, among others, for each Sub-Adviser:

Nature, Extent, and Quality of the Services

Except as otherwise noted, the Board considered with respect to each Sub-Adviser (either at the relevant meeting or, with respect to the Amended and Restated Sub-Advisory Agreement by reference to the most recent approval of the Sub-Adviser’s prior sub-advisory agreement):

(1) the Sub-Adviser’s personnel, operations, and, where available, financial condition;

(2) the Sub-Adviser’s investment expertise and strengths;

(3) the percentage of Fund assets that are, previously were, and/or potentially would be allocated to the Sub-Adviser;

(4) where applicable, the investment return on other assets that are, or were previously, managed by the Sub-Adviser and related investment risks;

(5) the Sub-Adviser’s experience and performance investing in particular instruments or strategies or managing hedge funds or other products;

(6) where applicable, the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its strategy for hedge funds or other products;

(7) where applicable, the Sub-Adviser’s experience and performance as a sub-adviser to the Fund since its inception or otherwise;

(8) the experience and depth of the Sub-Adviser’s portfolio management team in managing hedge funds or other products, as applicable, and its ability to manage risk; and

(9) any other factors deemed relevant to the determination of whether to approve or continue the Sub-Advisory Agreements.

The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.

Investment Performance of the Sub-Advisers

The Board considered the investment performance of the Sub-Advisers. The Board considered information about the performance record of the Fund’s assets managed by each Sub-Adviser (net of trading expenses and sub-advisory fees but gross of investment management fees paid to BAIA and other Fund operating expenses over various periods, including in many cases the year-to-date period, recent calendar month and

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March 31, 2024

year periods, and the inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, the Sub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance and risk measurements of the assets that are or were managed by the Sub-Adviser, if any, the custom index, and, if applicable, the Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the applicable Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of providing reasonable investment performance to the Fund.

Costs of Services and Profitability

In analyzing the cost of services and profitability of each Sub-Adviser, the Board considered (i) each Sub-Adviser’s sub-advisory fee or proposed sub-advisory fee for managing the allocated Fund assets, including any fee breakpoints or fulcrum fee arrangements; (ii) each Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to each Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable. The Board also took into account the entrepreneurial, business, and other risks each Sub-Adviser has undertaken, or would undertake, in serving as a sub-adviser to the Fund.

The Board noted that the compensation paid to each Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fee rates that BAIA pays the Sub-Advisers based on allocations of Fund assets among all the Sub-Advisers. The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.

Economies of Scale

The Board considered various financial and economic considerations relating to the arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Sub-Advisers. The Board noted challenges in identifying and measuring economies of scale, both generally and given the Fund’s multi-manager structure and the different sub-adviser fee levels and fee structures. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to the sub-advisory fees payable to the Sub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels, although the Fund’s expenses were sufficiently limited at the time of the meetings such that the expense cap did not currently result in BAIA bearing any of the Fund’s expenses.

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March 31, 2024

Other Benefits

The Board considered other potential benefits that each Sub-Adviser may receive from serving as a sub-adviser to the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders, BAIA, or Blackstone Multi-Asst Investing (“BXMA”) as applicable. The Board noted that each Sub-Adviser benefited from its relationship with BAIA or BXMA. The Board concluded that other ancillary or “fall out” benefits derived by each Sub-Adviser from its relationship with BAIA, BXMA, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.

Other Considerations

The Board reviewed and considered certain terms and conditions of each Sub-Adviser’s Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Adviser’s Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Adviser’s Sub-Advisory Agreement in the future.

Conclusion

The Board, including a majority of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that each Sub-Adviser provides or were proposed to provide to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1(b) under the 1940 Act. The Board based its approval or continuation of each Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not on any single controlling factor. The Board also gave due consideration to the recommendations of BAIA, which in each case recommended continuation or approval (as applicable) of the proposed sub-advisory arrangements as in the best interests of the Fund and its shareholders, and BAIA’s belief that the arrangements do not present any conflict of interest from which BAIA or any Sub-Adviser derives an inappropriate advantage. The Board was assisted by the advice of independent legal counsel in approving each Sub-Adviser’s Sub-Advisory Agreement.

Board Approval of the Investment Management Agreement for Blackstone Multi-Strategy Fund, and each of its Wholly Owned Subsidiaries

At a meeting of the Board held in-person on February 27-28, 2024, the Board, including all of the Independent Trustees, considered and approved (a) the investment management agreement by and between BAIA and the Trust, on behalf of the Blackstone Alternative Multi-Strategy Fund (the “BAMSF Investment Management Agreement”); and (b) the investment management agreements between BAIA and each of Blackstone Alternative Multi-Strategy Sub Fund II Ltd., Blackstone Alternative Multi-Strategy Sub Fund III L.L.C., and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Sub Funds”) (collectively, the “Sub Fund Agreements” and together with the BAMSF Investment Management Agreement, the “BAIA Investment Management Agreements”). Because the Sub Funds are wholly owned subsidiaries of the Fund, and because BAIA provides investment management services to the Fund and its Sub Funds on a collective basis, the Trustees evaluated the arrangements between BAIA and the Fund collectively with BAIA’s arrangements with the Sub Funds.

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March 31, 2024

The Independent Trustees were assisted in their review of the BAIA Investment Management Agreements by their independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the BAIA Investment Management Agreements. Before the meeting, the Board received, among other things, (1) materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the continuation of the BAIA Investment Management Agreements; (2) a presentation by BAIA relating to, among other things, BAIA’s experience and qualifications to serve as adviser to the Fund and the Sub Funds; (3) analysis of the fees and expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) as compared with a peer group of funds; (4) analysis of BAIA’s profitability for providing services to the Fund (on a combined basis with the Sub Funds); (5) information regarding BAIA’s Code of Ethics and compliance program; and (6) materials prepared by an outside firm, unaffiliated with the Fund or BAIA, that is in the business of regularly preparing reports for use by fund boards in considering investment advisory agreement approvals (the “Service Provider”) comparing the management fee rate and total operating expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) to those of a peer group of funds determined by the Service Provider.

Prior to the meeting, the Board received BAIA’s responses to an information request under Section 15(c) of the 1940 Act that addressed, among other things: (i) general financial information; (ii) any material business dealings with the Fund’s service providers; (iii) BAIA’s business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability; and (v) risk management and regulatory compliance matters.

At the meeting, there was a discussion regarding the materials that had been provided to the Board, the terms of the BAIA Investment Management Agreements, the services being provided by BAIA, and other relevant considerations. Following this discussion, the Board, including all of the Independent Trustees, determined to renew the BAIA Investment Management Agreements for an additional period of no more than twelve months ending March 31, 2024 on the basis of the following factors, among others:

Nature, Extent, and Quality of the Services

The Board discussed BAIA’s personnel, operations, and financial condition and considered:

(1) the background and experience of key investment personnel and BAIA’s ability to attract and retain talent;

(2) BAIA’s focus on analysis of complex asset categories, including alternative investments;

(3) BAIA’s disciplined investment approach and commitment to investment principles;

(4) BAIA’s manager selection and due diligence process;

(5) BAIA’s direct investing capabilities

(6) BAIA’s significant risk management, compliance, portfolio allocation, and operational efforts;

(7) BAIA’s and Blackstone Securities Partners L.P.’s strategic planning for the Fund in the marketplace; and

(8) BAIA’s oversight of and interaction with sub-advisers and other service providers.

The Board concluded that the nature, extent, and quality of the management services provided were appropriate and thus supported a decision to renew the BAIA Investment Management Agreements. The Board also concluded that BAIA likely would be able to provide during the coming year the same quality of investment management and related services as provided in the past and that these services are appropriate in scope and extent in light of the Fund’s and the Sub Funds’ operations, the competitive landscape, and shareholders’ expectations.

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March 31, 2024

Investment Performance of the Investment Adviser

The Board received and considered information about (i) the one year, , three-year, five-year, inception-to-date, and trailing three quarter performance information of the Fund (net of fees and expenses) as of December 31, 2023, each as compared to the MSCI World Total Return Index, Barclay’s Global Aggregate Bond Index , the S&P 500 Index, and HFRX Global Hedge Fund Index (the “BAIF Comparative Indices”); (ii) the historical monthly performance of the Fund since inception (net of fees and expenses); (iii) the one-year, three-year, five-year, inception-to-date, and trailing three quarter standard deviation (a measurement of volatility), Sharpe ratio (a measurement of risk-adjusted return), and beta ratio (a measure of sensitivity to changes in the price of an index) of the Fund as compared to the BAIF Comparative Indices; (iv) information about inception-to-date, trailing three-quarter, one-year, three-year, and five-year performance and risk measurements of the Fund and from a group of peer funds selected by BAIA (which included four funds from a peer group selected by a third-party Service Provider) such as (a) annualized return, (b) standard deviation, (c) Sharpe ratio, and (d) beta and alpha against the S&P 500, and (e) alpha against a custom benchmark index; and (iv) one-year, two-year, three-year, four-year, and five-year performance of the Fund as compared to the Service Provider-prepared peer group.

With respect to the Fund, the Board noted that, as of December 31, 2023 (i) the inception-to-date and one year performance returns were less than the corresponding returns of the MSCI World Total Return Index and the S&P 500 but greater than the corresponding returns of the HFRX Global Hedge Fund Index and Barclays Global Aggregate Bond Index; (ii) the inception-to-date and five-year performance returns were slightly less than the average returns of the BAIA-prepared peer group; and (iii) the three-year, one-year and trailing third quarter performance returns were greater than the average returns of the BAIA-prepared peer group. In this regard, the Board noted BAIA’s recent and broad repositioning of the portfolio commencing in late 2022 and BAIA’s representation that such repositioning had materially contributed to the improved performance profile. The Board also noted market-leading performance at several periods since the strategy’s inception.

Taking into account such factors, the Board concluded that the investment performance generated by BAIA was generally satisfactory and that BAIA was capable of generating a level of long-term investment performance that is appropriate in light of the Fund’s and the Sub Funds’ investment objectives, policies, and strategies, although recognizing that there can be no assurance of any particular investment outcome. The Board also considered BAIA’s continuing efforts to deliver consistent, improved performance.

Fees and Expenses

The Board, including the Independent Trustees, compared the fee and expense ratio of the Fund’s Class I (before and after any fee waivers and expense reimbursements) for the calendar year ended December 31, 2023 against the fee and expense ratios of the Service Provider-prepared peer group. The Board also considered the views of BAIA and the Service Provider as to the appropriateness of the Service Provider-prepared peer group. Specifically, the Board considered data based on information provided by the Service Provider indicating that, for the Fund’s Class I shares: (i) the contractual (before waivers) management (including both investment management and administration fees) fee rate was higher than the fee rate of all sixteen other funds in the Service Provider-prepared peer group; (ii) total net expenses (management fee and expenses after waiver) were higher than all sixteen other funds in the Service Provider-prepared peer group; and (iii) total fees were higher than all sixteen other funds in the Service Provider-prepared peer group. It was noted that the contractual management fee for the Fund was similar to the fee charged by the peer fund with the next-highest number of unaffiliated sub-advisers, likely correlating with the increased cost of managing these more complicated funds.

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March 31, 2024

The Board also took into consideration the peer group analysis prepared by BAIA, which showed fees and expenses of the Fund’s Class I, Class Y, and Class D shares and a group of eight competitor funds selected by BAIA (including seven funds from the Service Provider-prepared peer group). The Board noted that: (i) the contractual (before waivers) management fee rate for the Fund’s Class I, Class Y, and Class D shares was higher than the fee rate of seven of the eight other funds in the BAIA-prepared peer group; (ii) total expenses for the Fund’s Class I, Class Y, and Class D shares were higher than those of all eight funds in the BAIA-prepared peer group, and (iii) the net expense ratio of the Fund’s Class I shares was higher than that of seven of the eight funds in the BAIA-prepared peer group and the net expense ratios of the Fund’s Class Y and Class D shares were higher than those of all eight funds. The Board noted that certain expense information was not available for Class R, as no Class R shares were outstanding as of December 31, 2023. The Board considered the Fund’s fees and expenses in light of the scope, quality, and complexity of services provided by BAIA, including the need to compensate a wide variety of high-quality sub-advisers, and Blackstone’s overall brand and reputation, and determined that, given the scope, quality and complexity of services provided by BAIA, the fees, while generally higher than those charged by peers, were appropriate. On the basis of the factors considered and information presented, the Board determined that the Fund’s fees and expenses were reasonable.

Costs of Services and Profitability

In analyzing the cost of services and profitability of BAIA, the Board considered BAIA’s resources devoted to the Fund as well as the revenues earned and expenses incurred by BAIA. The Board also considered profitability data provided by BAIA showing fees, revenues, and overhead expenses of the Fund. The Board took into account the significant investment by, and cost to, BAIA regarding service infrastructure to support the Fund and its investors as well as the cost to BAIA associated with identifying, retaining, and monitoring the performance of a large number of unaffiliated sub-advisers pursuing a wide variety of investment strategies and investing in a wide range of asset classes. The Board also took into account the entrepreneurial, business, and other risks BAIA has undertaken as investment adviser of the Funds for which it is entitled to reasonable compensation. On the basis of the Board’s review of the fees to be charged by BAIA for investment advisory and related services, the relatively unique, and highly specialized, nature of the Fund’s investment program, BAIA’s financial information, BAIA’s entrepreneurial, business, and other risks, and the estimated overhead costs associated with managing the Fund, and comparisons of estimated profitability in respect of the Fund relative to other Blackstone business lines and Blackstone’s overall profit profile, the Board concluded that the level of investment management fees is appropriate in light of the services provided, the management fees and overall expense ratios of comparable investment companies, and the cap on expenses established by the expense limitation agreements.

Economies of Scale

The Board discussed various financial and economic considerations relating to the arrangement with BAIA, including economies of scale. The Board considered the management fee breakpoint for the Fund, noting that, for collective net assets of the Fund and its Sub Funds up to $2.5 billion, the management fee is calculated at a rate of 1.95%, and for collective net assets greater than or equal to $2.5 billion, the management fee is calculated at a rate of 1.80%. The Board concluded that the management fees, with the current breakpoint in place, reflected the complexity of the Fund’s and the Sub Funds’ operations and were reasonable in light of the Fund’s and Sub Funds’ current and anticipated size. The Board noted that it will have the opportunity to periodically re-examine whether the Fund and the Sub Funds had achieved economies of scale, as well as the appropriateness of management fees payable to BAIA, in the future. The Board further noted that certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels.

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Supplemental Information (Continued)

March 31, 2024

Other Benefits

The Board discussed other potential benefits that BAIA may receive from the Fund. The Board noted that BAIA indicated that it does not expect to receive significant ancillary, soft dollar, or other “fall out” benefits as a result of its relationship with the Fund. The Board concluded that other benefits derived by BAIA from its relationship with the Fund, to the extent such benefits are identifiable or determinable, are reasonable and fair, result from the provision of appropriate services to the Fund and its shareholders, and are consistent with industry practice and the best interests of the Fund and its shareholders. Retention of affiliated subadvisors was reviewed as a possible fall out benefit with the recognition that each sub-advisory agreement, whether with an affiliate or not, is subject to consideration by the Board under its normal Section 15(c) processes, generally at least annually.

Conclusion

The Board, including all of the Independent Trustees, concluded that the fees payable under the BAIA Investment Management Agreements were fair and reasonable with respect to the services that BAIA provides to the Fund it manages and in light of the other factors described above that the Board deemed relevant. The Board, including all of the Independent Trustees, determined to approve the continuation of the BAIA Investment Management Agreements based on a comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was assisted by the advice of the Independent Trustees’ independent legal counsel in approving the BAIA Investment Management Agreements.

Liquidity Risk Management Program Discussion

Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (“Program”). The Program’s principal objectives include assessing, managing, and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.

The Board has appointed BAIA as the program administrator for the Fund’s Program. BAIA expects to carry out its responsibilities as Program Administrator through its Liquidity Risk Committee (the “Committee”). BAIA uses a third-party service provider to provide preliminary liquidity classifications for the Fund’s investments. At the February 27-28, 2024 meeting, the Committee provided the Board with a report addressing the operation of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2023 through December 31, 2023. The Committee reported as to the following, among other things:

• the Program was adequately designed and adequately and effectively implemented; and

• the Program was effective in assessing, monitoring, and managing the liquidity risk of the Fund’s portfolio during the period.

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.

Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds

In October 2022, the SEC adopted rule and form amendments requiring mutual funds and exchange-traded funds to transmit concise and visually engaging streamlined annual and semiannual reports that highlight key information to shareholders. Other information, including financial statements, will no longer appear in the

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March 31, 2024

Fund’s shareholder reports but will be available online, delivered free of charge upon request, and filed with the SEC on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024.

Additional Information

The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.

Copies of this annual shareholder report are available upon request to prior shareholders of the Fund, without charge, by calling toll free 1-855-890-7725.

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 Blackstone

May 2024

FACTS WHAT DO BLACKSTONE REGISTERED FUNDS 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 income   ∎   Assets and investment experience   ∎   Risk tolerance and transaction history

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 Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing.

Reasons we can share your personal information	Do Blackstone Registered Funds 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 report 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 nonaffiliates to market to you	No	We don’t share

Questions? Email us at GLB.privacy@blackstone.com

238

Who We Are
Who is providing this notice?	Blackstone Registered Funds consists of Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Senior Floating Rate 2027 Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit 2027 Term Fund, and Blackstone Floating Rate Enhanced Income Fund, Blackstone Private Credit Fund, and Blackstone Secured Lending Fund.
What We Do
How do Blackstone Registered Funds 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.
How do Blackstone Registered Funds collect my personal information?	We collect your personal information, for example, when you: ∎   open an account or give us your income information ∎   provide employment information or give us your contact information ∎   tell us about your investment or retirement portfolio We also collect your personal information from others, such as credit bureaus, affiliates, or 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 nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law.
What happens when I limit sharing for an account I hold jointly with someone else?	Your choices will apply to everyone on your account—unless you tell us otherwise.
Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎   Our affiliates include entities with a Blackstone name and certain other financial companies.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎   Blackstone Registered Funds do not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎   Our joint marketing partners include financial services companies.

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Other Important Information

California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law.

Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident.

Contact Us

If you have any questions or comments about this Privacy Notice, or if you would like us to update information we have about you or your preferences, please email us at PrivacyQueries@Blackstone.com or access our web form www.blackstone.com/privacy.

You may also write to:

Blackstone Inc.

Attn: Legal & Compliance

345 Park Avenue

New York, NY 10154

240

 Blackstone

Investor Data Privacy Notice

Last updated: June 30, 2023

Why are you seeing this notice?

• You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (as applicable, the Fund) managed or advised by investment advisers or management companies that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone).

• We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the Data Privacy Notice) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice).

• “Personal Data” has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information relating to an identified or identifiable individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information).

• We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’ / anti-money laundering requests or otherwise.

Please read the information below carefully. It explains how and why Personal Data is processed by us.

Who is providing this notice?

Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, branches, operations and entities globally, including as described at this link: https://privacy.blackstone.com/visitors-online-privacy-notice/#appendixA

• For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner, manager and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties).

• Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties.

• Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you.

• We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, please see the ‘Contact Us’ section.

When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data—but only to the extent that we have informed you about the use or are otherwise permitted by law.

Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.

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What personal data do we collect about you?

The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment. The Personal Data we collect about you may include:

• Contact information, such as name, e-mail and postal address, and phone number;

• Demographic information, such as date and country of birth, gender, country of residence, nationality, and citizenship;

• Government-issued identification numbers provided in connection with a subscription to Funds, such as Social Security number, driver’s license number, passport number, national identification number, and tax identification number;

• Professional or employment-related information, such as the name of your employer or the organization you represent and your position;

• Financial information, such as information related to your transactions with us or others, bank account details (e.g., account and routing number), financial account history, information concerning the source of funds used for investments, and details regarding your investment history (e.g., types and amounts of investments) assets, income, and financial returns and positions;

• Investment preferences;

• Information related to background checks (e.g., “know your client”, anti-money laundering and sanctions checks) and any information related to applicable restrictions on your investments, such as political exposure or sanctions;

• Information collected in the context of monitoring and surveillance where permitted or required by applicable law, including recordings of telephone and video calls and CCTV; and

• Other information you or the organization you represent choose to provide, such as through eligibility questionnaires and ongoing investor relations communications.

We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.

Where do we obtain your personal data?

We collect Personal Data about you from a number of sources, including:

What

How

Personal data that you give us

•  From the forms and any associated documentation that you complete when subscribing for an investment, shares, interests, and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving license, your national insurance or Social Security number and income, employment information and details about your investment or retirement portfolio(s), and financial-related data (such as returns and financial positions) •  When you provide it to us in correspondence and conversations, including electronic communications such as e-mail and telephone calls •  When you make transactions with respect to the Fund •  When you interact with our online platforms and websites (such as bxaccess.com) •  When you purchase securities from us and/or tell us where to send money •  From cookies, web beacons, and similar interactions when you or your devices access our sites •  When we need to identify you and/or complete necessary security checks, where you visit one of our buildings or attend meetings. This can include form of ID, and your image for CCTV purposes.

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What

How

Personal data that we obtain from others

We obtain Personal Data from: •  Publicly available and accessible directories and sources •  Bankruptcy registers •  Tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction •  Governmental and competent regulatory authorities to whom we have regulatory obligations •  Credit agencies •  Fraud prevention and detection agencies / organizations •  Transaction counterparties

Why do we process your personal data?

We may process your Personal Data for the following reasons:

Why	How
Contract	It is necessary to perform our contract with you to: •  Administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares or interests) in our Funds •  Meet the resulting contractual obligations we have to you •  Facilitate the continuation or termination of the contractual relationship between you and the Fund •  Facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund
Compliance with law	It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to: •  Undertake our client and investor due diligence, and on-boarding checks •  Carry out verification, “know your client”, terrorist financing, sanctions, and anti-money laundering checks •  Verify the identity and addresses of our investors (and, if applicable, their beneficial owners) •  Comply with requests from regulatory, governmental, tax and law enforcement authorities •  Carry out surveillance and investigations •  Carry out audit checks •  Maintain statutory registers •  Prevent and detect fraud •  Comply with sanctions requirements
Legitimate Interests	For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to: •  Manage and administer your holding in any Funds in which you are invested, and any related accounts on an ongoing basis •  Assess and process any applications or requests made by you •  Open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme •  Send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme •  Address or investigate any complaints, claims, proceedings or disputes •  Provide you with, and inform you about, our investment products and services •  Monitor and improve our relationships with investors •  Comply with applicable prudential and regulatory obligations, including anti-money laundering, sanctions and “know your client” checks

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Why

How

Legitimate Interests (cont’d)

•  Assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, “know your client”, terrorist financing, and sanctions checks) •  Manage our risk and operations •  Comply with our accounting and tax-reporting requirements •  Comply with our audit requirements •  Assist with internal compliance with our policies and processes •  Ensure appropriate group management and governance •  Keep our internal records •  Prepare reports on incidents/accidents •  Protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law) •  Analyze and manage commercial risks •  Seek professional advice, including legal advice •  Enable any actual or proposed assignee or transferee, participant or sub-participant of the partnership’s or Fund vehicles’ rights or obligations to evaluate proposed transactions •  Facilitate business asset transactions involving the Fund partnership or Fund-related vehicles •  Monitor communications to/from us using our systems •  Protect the security and integrity of our information technology systems •  Protect the security and safety of our buildings and locations where we operate •  Operate, run and schedule online meetings, webinars and conferences (for example, using Zoom and other online meeting platforms) •  Manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent / agent banks •  Monitor the operation of Fund distribution platforms, where these are operated by third parties or service providers We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms.

Monitoring as described in ‘Legitimate Interests’ above

We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.

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Who we share your personal data with

We may share your Personal Data as follows:

Who	Why
Fund Associates	We share your Personal Data with our associates, related parties and members of our group. This is: •  To manage our relationship with you •  For the legitimate interests of a third party in carrying out anti-money laundering, ‘know your client’, and other compliance checks required of them under applicable laws and regulations •  For the purposes set out in this Data Privacy Notice
Fund Managers, Depositories, Administrators, Custodians, Distributors, Investment Advisers	•  Delivering the services you require •  Managing your investment •  Supporting and administering investment-related activities •  Complying with applicable investment, anti-money laundering and other laws and regulations
Tax Authorities	•  To comply with applicable laws and regulations •  Where required or requested by tax authorities in the territory in which you are located or domiciled (in particular, Cayman Island or UK/EEA tax authorities) who, in turn, may share your Personal Data with foreign tax authorities •  Where required or requested by foreign tax authorities, including outside of the territory in which you are located or domiciled (including outside the Cayman Islands or UK/EEA)
Service Providers	•  Delivering and facilitating the services needed to support our business relationship with you (including cloud services) •  Supporting and administering investment-related activities •  Where disclosure to the service provider is considered necessary to support Blackstone with the purposes described in section 5 of this Data Privacy Notice
Financing Counterparties, Lenders, Correspondent and Agent Banks	•  Assisting these transaction counterparties with regulatory checks, such as ‘know your client’, and anti-money laundering procedures •  Sourcing credit for Fund-related entities in the course of our transactions and fund life cycles
Our Lawyers, Auditors and other Professional Advisers	•  Providing you with investment-related services •  To comply with applicable legal and regulatory requirements •  Supporting Blackstone with the purposes described in section 5 of this Data Privacy Notice

In exceptional circumstances, we will share your Personal Data with:

• Competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in a country or territory; and

• Other organizations and agencies—where we are required to do so by law.

Do you have to provide us with this personal data?

Where we collect Personal Data from you, we will indicate if:

• Provision of the Personal Data is necessary for our compliance with a legal obligation; or

• It is purely voluntary and there are no implications for you if you do not wish to provide us with it.

Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes.

Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.

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Sending your personal data internationally

We may transfer your Personal Data between different countries to recipients in countries other than the country in which the information was originally collected (including to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third-party service providers). Where you are based in the UK, the EU, or another country which imposes data transfer restrictions outside of its territory, this includes transfers outside of the UK and the European Economic Area (“EEA”) or that geographical area, to those countries in which our affiliates, group members, service providers and business partners operate. Those countries may not have the same data protection laws as the country in which you initially provided the information.

Where we transfer Personal Data outside of the UK, the EEA, or other territories subject to data transfer restrictions to other members of our group, our service providers or another third party recipient, we will ensure that our arrangements with them are governed by data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).

Please contact us if you would like to know more about these agreements or receive a copy of them. Please see the ‘Contact Us’ section for details.

Consent—and your right to withdraw it

Except as may otherwise be required by local law, we do not generally rely on obtaining your consent to process your Personal Data. In particular, we do not generally rely on obtaining your consent where our processing of your Personal Data is subject only to the data protection laws of the UK/EEA (in these circumstances we will usually rely on another legal basis more appropriate in the circumstances, including those set out in “Why do we process your Personal Data?” above). If we do rely on consent for processing of your Personal Data, you have the right to withdraw this consent at any time. Please contact us or send us an e-mail at PrivacyQueries@Blackstone.com at any time if you wish to do so.

Where required by applicable law, we will obtain your consent for the processing of your Personal Data for direct marketing purposes. If you do receive direct marketing communications from us (for example, by post, e-mail, fax or telephone), you may opt-out by clicking the link in the relevant communication, completing the forms provided to you (where relevant), or by contacting us (see the ‘Contact Us’ section for details).

Retention and deletion of your personal data

We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:

• Retain Personal Data about you throughout the life cycle of any investment you are involved in; and

• Retain some Personal Data after your relationship with us ends.

As a general principle, we do not retain your Personal Data for longer than we need it. We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal / regulatory requirement, or business purpose, for retaining your Personal Data.

Your rights

You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:

• Access your Personal Data

• Restrict the use of your Personal Data in certain circumstances

• Have incomplete or inaccurate Personal Data corrected

• Ask us to stop processing your Personal Data

• Require us to delete your Personal Data in some limited circumstances

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You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organizations (where this is possible).

We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.

If you wish to exercise any of these rights, please see the ‘Contact Us’ section for details.

Concerns or queries

We take your concerns very seriously. We encourage you to bring to our attention any concerns you have about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Please see the ‘Contact Us’ section for details.

Please also contact us via any of the contact methods listed below if you have a disability and require an alternative format of this Data Privacy Notice.

If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:

Country	Supervisory Authority
Cayman Islands	Cayman Islands Ombudsman (available at: https://ombudsman.ky)
European Union	A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080
United Kingdom	Information Commissioner’s Office (available at: https://ico.org.uk/global/contact-us/)

Contact us

Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.

Contact us by e-mail or access our web form by e-mailing PrivacyQueries@Blackstone.com.

Contact us in writing using this address:

	Address
For EU/UK Related Queries	40 Berkeley Square London W1J 5AL United Kingdom
For All Other Queries	345 Park Avenue New York NY 10154

A list of country specific addresses and contacts for locations where we operate is available at https://privacy.blackstone.com/visitors-online-privacy-notice/#appendixA

Changes to this data privacy notice

We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).

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Blackstone Alternative Multi-Strategy Fund

a series of Blackstone Alternative Investment Funds

Trustees

John M. Brown

Frank J. Coates, Chair

Paul J. Lawler

Kristen M. Leopold

Peter Koffler

Peter M. Gilbert

Investment Adviser

Blackstone Alternative Investment Advisors LLC

345 Park Avenue

New York, New York 10154

Administrator

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Custodians

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

U.S. Bank N.A.

U.S. Bank Tower

425 Walnut Street

Cincinnati, OH 45202

Transfer Agent

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

Officers

Brian F. Gavin, Co-President (Co-Principal Executive Officer)

Peter Koffler, Co-President (Co-Principal Executive Officer)

Stephen Adams, Chief Legal Officer

Sarah Kassman, Secretary

Thomas Procida, Treasurer (Principal Financial and Accounting Officer)

William Renahan, Chief Compliance Officer

Sherilene Sibadan, Anti-Money Laundering Officer

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, New York 10112

Legal Counsel

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725

Item 2. Code of Ethics.

(a) The Registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the Registrant’s co-principal executive officers, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

(b) No disclosures are required by this Item 2(b).

(c) During the reporting period for this Form N-CSR, the Registrant amended its code of ethics for principal executive and senior financial officers adopted pursuant to rules promulgated under Section 406 of the Sarbanes-Oxley Act of 2022 to add language clarifying the responsibilities of the Registrant’s covered officers.

(d) There have been no waivers granted by the Registrant to individuals covered by the Registrant’s code of ethics during the reporting period for this Form N-CSR.

(e) Not applicable.

(f) A copy of the Registrant’s code of ethics is attached as Exhibit 13(a)(1) to this Form N-CSR.

Item 3. Audit Committee Financial Expert.

(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Audit Committee (the “Committee”).

   (2) The audit committee financial expert is Kristen M. Leopold, who is “independent” for purposes of this Item 3 of Form N-CSR.

   (3) Not applicable.

Item 4. Principal Accountant Fees and Services.

	Current Fiscal Year(1)		Previous Fiscal Year
(a)Audit Fees	$	345,000	$	265,000
(b)Audit-Related Fees	$	0	$	0
(c)Tax Fees(2)	$	43,400	$	41,340
(d)All Other Fees	$	0	$	0

⁽¹⁾  No fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X during the current fiscal year.

⁽²⁾  The nature of the services includes tax compliance, tax advice and tax planning.

(e) (1) Disclose the Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

The charter for the Committee requires that the Committee pre-approve (i) all audit and non-audit services that the Registrant’s independent auditors provide to the Registrant, and (ii) all non-audit services that the Registrant’s independent auditors provide to Blackstone Alternative Investment Advisors LLC (“BAIA”), the investment adviser of the Registrant, and any entity controlling, controlled by, or under common control with BAIA that provides ongoing services to the Registrant, if the engagement relates directly to the operations and financial reporting of the Registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.

   (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this item that were approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

	Current Fiscal Year			Previous Fiscal Year
(b)		0	%		0	%
(c)		0	%		0	%
(d)		0	%		0	%

(f) Not applicable.

(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years of the Registrant.

Current Fiscal Year	Previous Fiscal Year
$ 0	$	0

(h) Not applicable.

(i) Not applicable.

(j) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.

(b) Not applicable.

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

Not applicable. 

Item 8. Portfolio Managers of Closed-End Management 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.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

(a) The Registrant’s co-principal executive officers and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) 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.

(a) Not applicable.

(b) Not applicable.

Item 13. Exhibits.

(a)(1)	Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(2)	Certifications pursuant to Rule 30a-2(a) are attached hereto.
(3)	Not applicable.
(4)	Not applicable.
(b)	Certifications pursuant to Rule 30a-2(b) are attached hereto.

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.

(Registrant) Blackstone Alternative Investment  Funds                    

By (Signature and Title)	/s/ Brian F. Gavin
	Brian F. Gavin, Co-President (Co-Principal Executive Officer)
Date June 6, 2024

By (Signature and Title)	/s/ Peter Koffler
	Peter Koffler, Trustee and Co-President (Co-Principal Executive Officer)
Date June 6, 2024

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 (Signature and Title)	/s/ Brian F. Gavin
	Brian F. Gavin, Co-President (Co-Principal Executive Officer)
Date June 6, 2024

By (Signature and Title)	/s/ Peter Koffler
	Peter Koffler, Trustee and Co-President (Co-Principal Executive Officer)
Date June 6, 2024

By (Signature and Title)	/s/ Thomas Procida
	Thomas Procida, Treasurer (Principal Financial and Accounting Officer)
Date June 6, 2024